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On the Flow-level Dynamics of a Packet-switched
Network
Ciamac C. Moallemi and Devavrat Shah

Abstract: The packet is the fundamental unit of transportation in modern communication
networks such as the Internet. Physical layer scheduling decisions are made at the level of
packets, and packet-level models with exogenous arrival processes have long been employed to
study network performance, as well as design scheduling policies that more eciently utilize
network resources. On the other hand, a user of the network is more concerned with end-to-end
bandwidth, which is allocated through congestion control policies such as TCP. Utility-based
ow-level models have played an important role in understanding congestion control protocols.
In summary, these two classes of models have provided separate insights for ow-level and
packet-level dynamics of a network.
In this paper, we wish to study these two dynamics together. We propose a joint ow-level
and packet-level stochastic model for the dynamics of a network, and an associated policy
for congestion control and packet scheduling that is based on -weighted policies from the
literature. We provide a uid analysis for the model that establishes the throughput optimality
of the proposed policy, thus validating prior insights based on separate packet-level and ow-
level models. By analyzing a critically scaled uid model under the proposed policy, we provide
constant factor performance bounds on the delay performance and characterize the invariant
states of the system.
Keywords and phrases: Flow-level model, Packet-level model, Congestion control, Schedul-
ing, Utility maximization, Back-pressure maximum weight.
1. Introduction
The optimal control of a modern, packet-switched data network can be considered from two distinct
vantage points. From the rst point of view, the atomic unit of the network is the packet. In
a packet-level model, the limited resources of a network are allocated via the decisions on the
scheduling of packets. Scheduling policies for packet-based networks have been studied across a
long line of literature (e.g., [30, 27, 24]). The insights from this literature have enabled the design of
scheduling policies that allow for the ecient utilization of the resources of a network, in the sense
of maximizing the throughput of packets across the network, while minimizing the delay incurred
by packets, or, equivalently, the size of the buers needed to queue packets in the network.
Packet-level models accurately describe the mechanics of a network at a low level. However,
they model the arrival of new packets to the network exogenously. In reality, the arrival of new
packets is also under the control of the network designer, via rate allocation or congestion control
decisions. Moreover, while ecient utilization of network resources is a reasonable objective, a
network designer may also be concerned with the satisfaction of end users of the network. Such
objectives cannot directly be addressed in a packet-level model.

C. C. Moallemi is at the Graduate School of Business, Columbia University. D. Shah is with Laboratory for
Information and Decision Systems, Massachusetts Institute of Technology. This work was supported in parts by NSF
projects CNS 0546590 and TF 0728554. Authors email addresses: ciamac@gsb.columbia.edu, devavrat@mit.edu.
Initial version: November 10, 2009.
1
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
2 C. C. Moallemi & D. Shah
Flow-level models (cf. [12, 3]) provide a dierent point of view by considering the network at
a higher level of abstraction or, alternatively, over a longer time horizon. In a ow-level model,
the atomic unit of the network is a ow, or user, who wishes to transmit data from a source to a
destination. Resource allocation decisions are made via the allocation of a transmission rate to each
ow. Each ow generates utility as a function of its rate allocation, and rate allocation decisions
may be made so as to maximize a global utility function. In this way, a network designer can address
end user concerns such as fairness.
Flow-level models typically make two simplifying assumptions. The rst assumption is that,
as the number of ows evolves stochastically over time, the rates allocated to ows are updated
instantaneously. The rate allocation decision for a particular ow is made in a manner that requires
immediate knowledge of the demands of other ows for the limited transmission resources along the
ows entire path. This assumption, referred to as time-scale separation, is based on the idea that
ows arrive and depart according to much slower processes than the mechanisms of the rate control
algorithm. The second assumption is that, once the rate allocation decision is made, each ow can
transmit data instantaneously across the network at its given rate. In reality, each ow generates
discrete packets, and these packets must travel through queues to traverse the network. Moreover,
the packet scheduling decisions within the network must be made in a manner that is consistent
with and can sustain the transmission rates allocated to each ow, and the induced packet arrival
process must not result in the inecient allocation of low level network resources.
In this paper, our goal is to develop a stochastic model that jointly captures the packet-level and
ow-level dynamics of a network, without any assumption of time-scale separation. The contribu-
tions of this paper are as follows:
1. We present a joint model where the dynamic evolution of ows and packets is simultaneous.
In our model, it is possible to simultaneously seek ecient allocation of low level network
resources (buers) while maximizing the high-level metric of end-user utility.
2. For our network model, we propose packet scheduling and rate allocation policies where
decisions are made via myopic algorithms that combine the distinct insights of prior packet-
and ow-level models. Packets are scheduled according to a maximum weight policy. The
rate allocation decisions are completely local and distributed. Further, in long term (i.e.,
under uid scaling), the rate control policy exhibits the behavior of a primal algorithm for
an appropriate utility maximization problem.
3. We provide a uid analysis of the joint packet- and ow-level model. This analysis allows
us to establish stability of the joint model and the throughput optimality of our proposed
control policy.
4. We establish, using a uid model under critical loading, a performance bound on our control
policy under the metric of minimizing the outstanding number of packets and ows in the
network (or, in other words, minimizing delay). We demonstrate that, for a class of balanced
networks, our control policy performs to within a constant factor of any other control policy.
5. Under critical loading, we characterize the invariant manifold of the uid model of our con-
trol policy, as well as establishing convergence to this manifold starting from any initial
state. These results, along with the method of Bramson [4], lead to the characterization of
multiplicative state space collapse under heavy trac scaling. Further, we establish that the
invariant states of the uid model are asymptotically optimal under a limiting control policy.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 3
In summary, our work provides a joint dynamic ow- and packet-level model that captures the
microscopic (packet) and macroscopic (uid, ow) behavior of large packet-based communications
network faithfully. The performance analysis of our rate control and scheduling algorithm suggests
that the separate insights obtained for dynamic ow-level models [12, 3] and for packet-level models
[30, 27, 24] indeed continue to hold in the combined model.
The balance of the paper is organized as follows. In Section 1.1, we survey the related literature on
ow- and packet-level models. In Section 2, we introduce our network model. Our network control
policy, which combines features of maximum weight scheduling and utility-based rate allocation is
described in Section 3. A uid model is derived in Section 4. Stability (or, throughput optimality) of
the network control policy is established in Section 5. The critically scaled uid model is described
in Section 6. In Section 7, we provide performance guarantees for balanced networks. The invariant
states of the critically scaled uid model are described in Section 8. Finally, in Section 9, we
conclude.
1.1. Literature Review
The literature on scheduling in packet-level networks begins with Tassiulas and Ephremides [30],
who proposed a class of maximum weight (MW) or back-pressure policies. Such policies assign
a weight to every schedule, which is computed by summing the number of packets queued at links
that the schedule will serve. At each instant of time, the schedule with the maximum weight will be
selected. Tassiulas and Ephremides [30] establish that, in the context of multi-hop wireless networks,
MW is throughput optimal. That is, the stability region of MW contains the stability region of
any other scheduling algorithm. This work was subsequently extended to a much broader class of
queueing networks by others (e.g., [18, 7, 29, 6]).
By allowing for a broader class of weight functions, the MW algorithm can be generalized to the
family of so-called MW- scheduling algorithms. These algorithms are parameterized by a scalar
(0, ). MW- can be shown to inherit the throughput optimality of MW [14, 22] for all values
of (0, ). However, it has been observed experimentally that the average queue length (or,
delay) under MW- decreases as 0
+
[14]. Certain delay properties of this class of algorithms
have been subsequently established under a heavy trac scaling [27, 6, 24].
Flow-level models have received signicant recent attention in the literature, beginning with the
work of Kelly, Maulloo, and Tan [12]. This work developed rate-control algorithms as decentralized
solutions to a deterministic utility maximization problem. This optimization problem seeks to
maximize the utility generated by a rate allocation, subject to capacity constraints that dene a
set of feasible rates. This work was subsequently generalized to settings where ows stochastically
depart and arrive [17, 8, 3], addressing the question of the stability of the resulting control policies.
Fluid and diusion approximations of the resulting systems have been subsequently developed
[13, 11, 32]. Under these stochastic models, ows are assumed to be allocated rate as per the
optimal solution of the utility maximization problem instantaneously. Essentially, this time-scale
separation assumption captures the intuition that the dynamics of the arrivals and departures of
ows happens on a much slower time-scale than the dynamics of rate control algorithm.
In reality, ow arrivals/departures and rate control happen on the same time-scale. Various
authors have considered this issue, in the context of understanding the stability of the stochastic
ow level models without the time-scale separation assumption [15, 10, 28, 20, 26]. Lin, Schro,
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
4 C. C. Moallemi & D. Shah
and Srikant [15] assume a stochastic model of ow arrivals and departures as well as the operation
of a primal-dual algorithm for rate allocation. However, there are no packet dynamics present.
Other work [10, 28, 20] has assumed that rate control for each type of ow is a function of a local
Lagrange multiplier; and a separate Lagrange multiplier is associated with each link in the network.
These multipliers are updated using a maximum weight-type policy. In this line of work, Lagrange
multipliers are interpreted as queue lengths, but there are no actual packet-level dynamics present.
Further, these models lack ow-level dynamics as well. Thus, while overall this collection of work is
closest to the results of this paper, it stops short of oering a complete characterization of a joint
ow- and packet-level dynamic model.
Finally, we take note of recent work by Walton [31], which presents a simple but insightful model
for joint ow- and packet-level dynamics. In this model, each source generates packets by reacting
to the acknowledgements from its destination, and at each time instant, each source has at most
one packet in ight. Under a many-source scaling for a specic network topology, it is shown that
the network operates with rate allocation as per the proportional fair criteria. This work provides
important intuition about the relationship between utility maximization and the rate allocation
resulting from the packet-level dynamics in a large network. However, it is far from providing a
comprehensive joint ow- and packet-level dynamic model as well as ecient control policy.
2. Network Model
In this section, we introduce our network model. This model captures both the ow-level and the
packet-level aspects of a network, and will allow us to study the interplay between the dynamics
at these two levels. In a nutshell, ows of various types arrive according to an exogenous process
and seek to transmit some amount of data through the network. As in the standard congestion
control algorithm, TCP, the ows generate packets at their ingress to the network. The packets
travel to their respective destinations along links in the network, queueing in buers at intermediate
locations. As each packet travels along its route, it is subject to physical layer constraints, such
as medium access constraints, switching constraints, or constraints due to limited link capacity. A
ow departs once all of its packets have been sent.
In this section, we focus on the mechanics of the network that are independent of the network
control policy. In Section 3, we will propose a specic network control policy to be applied in the
context of this model.
2.1. Network Structure
Consider a network consisting of a set V of destination nodes, a set L of links, and a set F of ow
types. Each ow type is identied by a xed given route starting at the source link s(f) L and
ending at the destination node d(f) V. At a given time, multiple ows of a given type exist in
the network, each ow injects packets into the network.
The network maintains buers for packets that are in transit across the network. At each link,
there is a separate queue for the packets corresponding to each possible destination. Let E = LV
denote the set of all such queues, with each e = (, v) being the queue at link for nal destination
v. Trac in each queue is transmitted to the next hop along the route to the destination, and
leaves the network when it reaches the destination. We dene the routing matrix R {0, 1}
EE
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 5
by setting R
ee
1 if the next hop for queue e is queue e

, and R
ee
0 otherwise. Trac for a
ow of type f enters the network in the ingress queue (f)
_
s(f), d(f)
_
E. Dene the ingress
matrix {0, 1}
EF
by setting
ef
1 if (f) = e, and
ef
0 otherwise. We will assume that
the routes are acyclic. In this case, we can dene the matrix

_
I R

_
1
= I + R

+ (R

)
2
+ . (1)
Under the acyclic routing assumption,
e

e
= 1 if and only if a packet arriving at queue e will
subsequently eventually pass through queue e

.
2.2. Dynamics: Flow-Level
In this section, we will describe in detail the stochastic model for dynamics of ows in the network.
The system evolves in continuous time, with t [0, ) denoting time, starting at t = 0. For each
ow type f F, let N
f
(t) denote the number of ows of type f active at time t. Flows of type f
arrive according to an independent Poisson process of rate
f
. Flows of type f receive an aggregate
rate of service X
f
(t) [0, C] at time t. Here, C > 0 is the maximal rate of service that can be
provided to any ow type. The total rate of service X
f
(t) is divided equally amongst the N
f
(t)
ows. As ows are serviced, packets are generated. The evolution of packets and ows proceeds
according to the following:
Packets are generated by all the ows of type f, in aggregate, as a time varying Poisson
process of rate X
f
(t) at time t. If N
f
(t) = 0, then we require that X
f
(t) = 0.
When a packet is generated by a ow of type f, it joins the ingress queue (f) E.
When a packet is generated by a ow of type f, the ow departs from the network with a
probability of 0 <
f
< 1, independent of everything else.
Thus, each ow of type f generates a number of packets that is distributed according to an inde-
pendent geometric random variable with mean
1
1/
f
, and the ow departure process for ows of
type f is a Poisson process of rate
f
X
f
(t) at time t. We can summarize the ow count process
N
f
() by the transitions
N
f
(t)
_
N
f
(t) + 1 at rate
f
,
N
f
(t) 1 at rate
f
X
f
(t).
Dene the oered load vector R
F
+
by
f

f
/
f
, for each ow type f. Without loss of
generality, we will make the following assumptions:
2
> 0, i.e., we restrict attention to ows with a non-trivial loading.
< C1, i.e., we assume that the maximal service rate C is sucient for the load generated
by any single ow type.
> 0, i.e., we restrict attention to queues with a non-trivial loadings.
1
The assumption that
f
< 1 is equivalent to requiring that 1/
f
> 1, i.e., each ow is expected to generate more
than one packet. This is reasonable since we require ows to arrive with at least one packet and for there to be some
variability in the number of packets associated with a ow.
2
In what follows, inequalities between vectors are to be interpreted component-wise. The vector 0 (resp., 1) is the
vector where every component is 0 (resp., 1), and whose dimension should be inferred from the context.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
6 C. C. Moallemi & D. Shah
Denote by A
f
(t) the cumulative number of ows of type f that have arrived in the time interval
[0, t]. Denote the cumulative number of packets generated by ows of type f in the time interval
[0, t] by A
f
(t). We suggest that the reader take note of dierence between A
f
() and A
f
(). Let
D
f
(t) denote the cumulative number of ows of type f that have departed in the time interval
[0, t]. The evolution of the ow count for ow type f over time can be written as
N
f
(t) = N
f
(0) +A
f
(t) D
f
(t). (2)
2.3. Dynamics: Packet-Level
As we have just described, ows generate packets which are injected into the network. These packets
must traverse the links of the network from source to destination. In this section, we describe the
dynamics of packets in the network.
We assume that each queue in the network is capable of transmitting at most 1 data packet per
unit time. However, the collection of queues that can simultaneously transmit is restricted by a set
of scheduling constraints. These scheduling constraints are meant to capture any limitations of the
network due to scarce resources (e.g., limited wireless bandwidth, limited link capacity, switching
constraints, etc.).
Formally, the scheduling constraints are described by the set S {0, 1}
E
. Under a permissible
schedule S, a packet will be transmitted from a queue e E if and only if
e
= 1. We assume
that 0 S. We require that each queue e be served by some schedule, i.e., there exists a S with

e
= 1.Further, we assume that S is monotone: if S and

{0, 1}
E
is such that

e

e
for
every queue e, then

S. Finally, denote by {0, 1}


ES
the matrix with columns consisting
of the elements of S.
We assume that the scheduling of packets happens at every integer time. At a time Z
+
, let
() S denote the scheduled queues for the time interval [, + 1). For each queue e, denote by
Q
e
(

) the length of the queue e immediately prior to the time (i.e., before scheduling happens).
The queue length evolves, for times t [, + 1) according to
3
Q
e
(t) Q
e
(

)
e
()I
{Qe(

)>0}
+

fF

ef
_
A
f
(t) A
f
(

)
_
+

E
R
e

e
()I
{Q
e
(

)>0}
.
Here, for each ow type f, A
f
(

) is the cumulative number of packets generated by ows of type


f in the time interval [0, ). The term
e
()I
{Qe()>0}
enforces an idling constraint, i.e., if queue e
is scheduled but empty, no packet departs. Note that, over a time interval [, +1), we assume the
transmission of packets already present in the network occurs instantly at time , while the arrival
of new packets to the network occurs continuously throughout the entire time interval.
Finally, let S

() denote the cumulative number of time slots during which the schedule was
employed up to and including time . Let Z
e
() denote the cumulative idling time for queue e up
to and including time . That is,
Z
e
()

s=0

e
_
S

(s) S

(s 1)
_
I
{Qe(s)=0}
.
3
I
{}
denotes the indicator function.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 7
Then, the overall queue length evolution can be written in vector form as
Q( + 1) = Q(0)
_
I R

_
S() +
_
I R

_
Z() + A( + 1), (3)
where we dene the vectors
Q(t)
_
Q
e
(t)

eE
, A(t)
_
A
f
(t)

fF
,
S()
_
S

()

S
, Z()
_
Z
e
(t)

eE
.
3. MWUM Control Policy
A network control policy is a rule that, at each point in time, provides two types of decisions: (a)
the rate of service provided to each ow, and (b) the scheduling of packets subject to the physical
constraints in the network. In Section 2, we described the stochastic evolution of ows and packets
in the network, taking as given the network control policy. In this section, we describe a control
policy called the maximum weight utility maximization- (MWUM-) policy. MWUM- takes as a
parameter a scalar (0, ) \ {1}.
The MWUM- policy is myopic and based only on local information. Specically, a ow generates
packets at rate that is based on the queue length at its ingress, and the scheduling of packets is
decided as a function of the eected queue lengths.
At the ow-level, rate allocation decisions are made according to a per ow utility maximization
problem. Each ow chooses a rate so as to myopically maximize its utility as a function of rate
consumption, subject to a linear penalty (or, price) for consuming limited network resources. As
in the case of -fair rate allocation, the utility function is assumed to have a constant relative risk
aversion of . The price charged is a function of the number of packets queued at the ingress queue
associated with the ow, raised to the power.
At the packet-level, packets are scheduled according to a maximum weight- scheduling algo-
rithm. In particular, each queue is assigned a weight equal to the number of queued packets to the
power, and a schedule is picked which maximizes the total weight of all scheduled queues.
3.1. Control: Rate Allocation
The rst control decision we shall consider is that of rate allocation, or, the determination of the
aggregate rate of service X
f
(t), at time t, for ows of type f. We will assume our network is governed
by a variant of an -fair rate allocation policy. This is as follows:
Assume that each ow of type f is allocated a rate Y
f
(t) 0 at time t by maximizing a (per
ow) utility function that depends on the allocated rate, subject to a linear penalty (or, cost) for
consuming resources from the limited capacity of the network. In particular, we will assume a utility
function given a rate allocation of y 0 to an individual ow of type f of the form
V
f
(y)
y
1
1
,
for some (0, ) \ {1}. This utility function is popularly known as -fair in the congestion
control literature [19], and has a constant relative risk aversion of . The individual ow will be
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
8 C. C. Moallemi & D. Shah
assigned capacity according to
Y
f
(t) argmax
y0
V
f
(y) Q

(f)
(t)y.
Here, Q

i(f)
(t) represents a price or congestion signal. Intuitively, a ow reacts to the congestion
in the network (or lack thereof) through the length of the ingress or rst-hop queue (f). Then,
if N
f
(t) > 0, the aggregate rate X
f
(t) allocated to all ows of type f at time t is determined
according to
X
f
(t) = N
f
(t)Y
f
(t) = argmax
x0
x
1
N

f
(t)
1
Q

(f)
(t) x.
If N
f
(t) = 0, we require that X
f
(t) = 0. Further, we will constrain the overall rate allocated to
ows of type f by the constant C. Thus, rate allocation is determined by the equation
X
f
(t) =
_

_
argmax
x[0,C]
x
1
N

f
(t)
1
Q

(f)
(t) x if N
f
(t) > 0,
0 otherwise.
Given the strictly concave nature of the objective in this optimization program, it is clear that the
maximizer is unique and X
f
(t) is well-dened.
Denote by

X
f
(t) the cumulative rate allocation to ows of type f in the time interval [0, t], i.e.,

X
f
(t)
_
t
0
X
f
(s) ds.

X
f
() is Lipschitz continuous and dierentiable, since X
f
() is always bounded by C.
3.2. Control: Scheduling
The second control decision that must be specied is that of scheduling. We will assume the fol-
lowing variation of the maximum weight or back-pressure policies introduced by Tassiulas and
Ephremides [30].
At the beginning of each discrete-time slot Z
+
, a schedule () S is chosen according to
the optimization problem
() argmax
S

eE

e
_
Q

e
(

E
R
ee
Q

e
(

)
_
= argmax
S

(I R)Q

),
(4)
where Q

)
_
Q

e
(

eE
is a vector of component-wise powers of queue lengths, immediately
prior to time . In other words, the schedule () is chosen so as to maximize the summation of
weights of queues served, where weight of a queue e E is given by
_
(I R)Q

e
. Given that S
is monotone, there exists a S that maximizes this weight and is such that
e
= 0 if Q
e
(

) = 0.
We will restrict our attention to such schedules only. From this, it follows that the objective value
of the optimization program in (4) is always non-negative.
By the discussion above, it is clear that the following invariants are satised:
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On the Flow-level Dynamics of a Packet-switched Network 9
1. For any schedule and time , S

() = S

( 1) if

(I R)Q

) <

(I R)Q

),
for some S.
2. For any queue e and time , Z
e
() = 0. In other words, there is no idling.
4. Fluid Model
In this section, we introduce the uid model of the our system. As we shall see, the allocation of rate
to ows in the uid model resembles rate allocation of ow-level models that has been popular
in the literature [17, 3]. In that sense, our model on original time-scale operates at a packet-level
granularity and on the uid-scale operates at a ow-level granularity.
4.1. Fluid Scaling and Fluid Model Equations
In order to introduce the uid model of our network, we will consider the scaled version of the
system. To this end, denote the overall system state at a time t 0 by
Z(t)
_
Q(t), Z(t), N(t), S(t),

X(t), A(t), D(t), A(t)
_
.
Here, the components of the state Z(t) are the primitives introduced in Sections 2.2 and 2.3. That
is, at times t R
+
, we have,
Q(t)
_
Q
e
(t)

eE
, where Q
e
(t) is the length of queue e,
N(t)
_
N
f
(t)

fF
, where N
f
(t) is the number of ows of type f,

X(t)
_

X
f
(t)

fF
, where

X
f
(t) is the cumulative rate allocated to ow type f,
A(t)
_
A
f
(t)

fF
, where A
f
(t) is the cumulative arrival count of ow type f,
D(t)
_
D
f
(t)

fF
, where D
f
(t) is the cumulative departure count of ow type f,
A(t)
_
A
f
(t)

fF
, where A
f
(t) is the cumulative packet arrival count of ow type f,
and, at times Z
+
, we have
Z()
_
Z
e
()

eE
, where Z
e
() is the cumulative idleness for queue e,
S()
_
S

()

S
, where S

() is the cumulative time schedule is employed.


Given a scaling parameter r R, r 1, dene the scaled system state as
Z
(r)
(t)
_
Q
(r)
(t), Z
(r)
(t), N
(r)
(t), S
(r)
(t),

X
(r)
(t), A
(r)
(t), D
(r)
(t), A
(r)
(t)
_
. (5)
Here, the scaled components are dened as
Q
(r)
(t) r
1
Q(rt), N
(r)
(t) r
1
N(rt),

X
(r)
(t) r
1

X(rt), A
(r)
(t) r
1
A(rt),
D
(r)
(t) r
1
D(rt), A
(r)
(t) r
1
A(rt),
Z
(r)
(t) r
1
_
(rt rt)Z(rt) + (rt rt)Z(rt)

,
S
(r)
(t) r
1
_
(rt rt)S(rt) + (rt rt)S(rt)

.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
10 C. C. Moallemi & D. Shah
In the above, the components Z() and S() are linearly interpolated for technical convenience only.
Our interest is in understanding the behavior of Z
(r)
() as r . Roughly speaking, in this
limiting system the trajectories will satisfy certain deterministic equations, called uid model equa-
tions. Solutions to these equations, which are dened below, will be denoted as uid model solutions.
The formal result is stated in Theorem 1.
Denition 1 (Fluid Model Solution). Given xed initial conditions q(0) R
E
+
and n(0) R
F
+
,
for every time horizon T > 0, let FMS(T) denote the set of all trajectories
z(t)
_
q(t), z(t), n(t), s(t), x(t), a(t), d(t), a(t)
_
Z R
E
+
R
E
+
R
F
+
R
S
+
R
F
+
R
F
+
R
F
+
R
F
+
, (6)
over the time interval [0, T] such that:
(F1) All components of z(t) are uniformly Lipschitz continuous and thus dierentiable for almost
every t (0, T). Such values of t are known as regular points.
(F2) For all t [0, T], n(t) = n(0) +a(t) d(t).
(F3) For all t [0, T], a(t) = t.
(F4) For all t [0, T], d(t) = diag() x(t).
(F5) For all t [0, T],
q(t) = q(0)
_
I R

_
s(t) +
_
I R

_
z(t) + a(t).
(F6) For all t [0, T], a(t) = x(t).
(F7) For all t [0, T], 1

s(t) = t.
(F8) Each component of z(), s(), and x() is non-decreasing.
In addition, dene the set FMS

(T) to be the subset of trajectories in FMS(T) that also satisfy:


(F9) If t (0, T) is a regular point, then for all f F,
x
f
(t) =
_

_
argmax
x[0,C]
x
1
n

f
(t)
1
q

(f)
(t) x if n
f
(t) > 0,

f
/
f
(=
f
) otherwise,
where
4
x
f
(t)

x
f
(t).
(F10) If t (0, T) is a regular point, then for all S, s

(t) = 0, if

(I R)q

(t) < max


S

(I R)q

(t).
(F11) If t (0, T) is a regular point and n
f
(t) = 0 for some f F, then q
(f)
(t) = 0.
(F12) For all t [0, T], z(t) = 0.
Note that (F1)(F8) correspond to uid model equations that must be satised under any
scheduling policy, and, hence, are algorithm independent uid model equations. On the other hand,
(F9)(F12) are particular to networks controlled under the MWUM- policy. (F9) captures the
long-term eect of the rate allocation mechanism through the -fair utility maximization based
4
We use the notation

(t) to denote
d
dt
(t) for : [0, T] R.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 11
policy. Indeed, in a static resource allocation model, (F9) can be thought of as the primal update
in an algorithm that seeks to allocate rates to maximize the net -fair utility of the ows subject
to capacity constraints. (F10) captures the eect of short-term packet-level behavior induced by
the scheduling algorithm. Specically, the characteristics of the MW- packet scheduling algorithm
are captured by this equation.
4.2. Formal Statement
We wish to establish uid model solutions as limit of the scaled system state process Z
(r)
() as
r . To this end, x a time horizon T > 0. Let D[0, T] denote the space of all functions from
[0, T] to Z, as dened in (6), that are right continuous with left limits (RCLL). We will denote
the Skorohod metric on this space by d(, ) (see Appendix B for details). Given a xed scaling
parameter r, consider the scaled system dynamics over interval [0, T]. Each sample path Z
(r)
() of
the system state is RCLL, and hence is contained in the space D[0, T].
The following theorem formally establishes the convergence of the scaled system process to a
uid model solution of the form specied in Denition 1.
Theorem 1. Given a xed time horizon T > 0, consider a collection of scaled system state processes
{Z
(r)
() : r 1} D[0, T] under an arbitrary control policy. Suppose the initial conditions
lim
r
Q
(r)
(0) = q(0), lim
r
N
(r)
(0) = n(0), (7)
are satised with probability 1. Then, for any > 0,
liminf
r
P
_
Z
(r)
() FMS

(T)
_
= 1.
Here, FMS

(T) is an -attening of the set FMS(T) of uid model solutions, i.e.,


FMS

(T) {x D[0, T] : d(x, y) < , y FMS(T)}.


Additionally, under the MWUM- control policy, we have that
liminf
r
P
_
Z
(r)
() FMS

(T)
_
= 1.
Here, FMS

(T) is an -attening of the set FMS

(T) of MWUM- uid model solutions, i.e.,


FMS

(T) {x D[0, T] : d(x, y) < , y FMS

(T)}.
Theorem 1 can be established by following a somewhat standard sequence of arguments (cf.
[4, 25, 13]). First, the collection of measures corresponding to the collection of random processes
{Z
(r)
() : r 1} is shown to be tight. This establishes that limit points must exist. Next,
it is established that each limit point must satisfy the conditions of a uid model solution with
probability 1. The tightness argument uses concentration properties of Poisson process along with
the Lipschitz property of queue length process. A detailed argument is required to establish that,
with probability 1, the conditions of uid model solution are satised. The complete proof of
Theorem 1 is presented in Appendix B.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
12 C. C. Moallemi & D. Shah
5. System Stability
In this section, we characterize the stability of a network under the MWUM- policy. In particular,
we shall see that the network evolves according to a Markov process is positive recurrent as long
as the system is underloaded. In other words, the system is maximally stable. In order to construct
the stability region under the MWUM- policy, rst dene the set of packet arrival rates by

_
R
E
+
: s R
S
+
with s, 1

s 1
_
. (8)
Imagine that the network has no packet arrivals from ows, but instead has packets arriving ac-
cording to exogenous processes. Suppose that R
E
+
is the vector of exogenous arrival rates, so
that packets arrived to each queue e at rate
e
. Then, it is not dicult to see that the network
would not be stable under any scheduling policy if / . This is because there is at least one
queue in the network that is loaded beyond its service capacity. Hence, the set represents the
raw scheduling capacity of the network.
The set can alternatively be described as follows: Given a vector R
E
+
, consider the linear
program
PRIMAL() minimize
s
1

s
subject to s,
s R
S
+
.
Clearly if and only if PRIMAL() 1. The quantity PRIMAL() is called the eective load
of a system with exogenous packet arrivals at rate .
Now, in our model, packets arrive to the network not through an exogenous process, but rather,
they are generated by ows. As discussed in Section 2.2, each ow type f F generates packets at
according to an oered load of
f
. The generated packets are injected into the network according
to the ingress matrix , and subsequently travel through the network along pre-determined paths
specied by the routing matrix R. Let R
E
+
be the vector of implied loads on the scheduling
network due to the packets generated by ows. It seems reasonable to relate and the vector
R
F
+
of oered loads according to = + R

. Equivalently, we dene , where is


from (1). We dene the eective load L() of our network by L() PRIMAL().
Given the above discussion, it seems natural to suspect that the networks scheduling capacity
allows it to operate eectively as long as L() 1. This motivates the following denition:
Denition 2 (Admissibility). A vector R
F
+
of oered loads admissible if L() 1. Similarly,
is strictly admissible if L() < 1. Finally, is critically admissible if L() = 1.
We will establish system stability, or, more formally, positive recurrence, when oered load is
strictly admissible. To this end, recall that the system is completely described by the Z() process.
Under the MWUM- policy, the evolution of all the components of Z() is entirely determined by
_
N(), Q()
_
. Further, the changes in
_
N(), Q()
_
occur at times specied by the arrivals of a (time-
varying) Poisson process. Therefore, tuple
_
N(), Q()
_
forms the state space of a continuous-time
Markov chain. The following is the main result of this section:
Theorem 2. Consider a network system with strictly admissible operating under the MWUM-
policy. Then, the Markov chain
_
N(), Q()
_
is positive recurrent.
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On the Flow-level Dynamics of a Packet-switched Network 13
It is worth noting that if L() > 1, then at least one of the queues in the network must be,
on average, loaded beyond its capacity. Hence the network Markov process can not be positive
recurrent or stable.
The proof of Theorem 2, provided next in Section 5.1, uses a uid model approach. Dai [5]
pioneered such an approach for a class of queueing networks. However, this result does not apply
to the present setting, and a specialized analysis is needed. Conceptually, the uid model approach
involves two steps: (1) derive strong stability of uid model, and (2) use strong stability to establish
the positive recurrence of the original Markov chain. To this end, dene Lyapunov function L

over
the vector of ow counts n = [n
f
]
fF
R
F
+
and the vector of queue lengths q = [q
e
]
eE
R
E
+
by
L

(n, q)

fF
n
1+
f

f
+

eE
q
1+
e
. (9)
The following lemma, whose proof is found in Section 5.2, provides a central argument towards
establishing the strong stability of the uid model. This lemma will also be of use later in establishing
the characterization and attractiveness of invariant manifold under critical loading.
Lemma 3. Let
_
n(), q()
_
be, respectively, the ow count process and the queue length process of
a uid model solution in the set FMS

(T). If L() 1, then for every regular point t (0, T),


d
dt
L

_
n(t), q(t)
_
0.
Suppose further that L() < 1. Then, there exist

> 0 and T

> 0 such that, for all T > T

, if
the initial conditions
_
n(0), q(0)
_
satisfy
L

_
n(0), q(0)
_
= 1,
then
L

_
n(t), q(t)
_
1

, for all t [T

, T].
5.1. Proof of Theorem 2
The following lemma provides a sucient condition for positive recurrence:
Lemma 4. [21, Theorem 8.13] Let X() be an irreducible, aperiodic jump Markov process on a
countable state space X. Suppose there exists a function V : X R
+
, constants A and > 0, and
an integrable stopping time > 0 such that, for all x X with V (x) > A,
E[V (X()) | X(0) = x] V (x) E[ | X(0) = x].
If the set {x X : V (x) A} is nite and E[V (X(1)) | X(0) = x] < for all x X, then the
process X() is positive recurrent and ergodic.
Our proof of Theorem 2 relies on establishing the sucient condition for positive recurrence given
by Lemma 4, using the stability of the uid model (Lemma 3). To this end, note that under the
MWUM- policy, X(t)
_
N(t), Q(t)
_
Z
F
+
Z
E
+
is a jump Markov process. We shall use normed
version of the Lyapunov function L

, dened as
(n, q) (L

(n, q))
1
1+
,
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14 C. C. Moallemi & D. Shah
for all (n, q) R
F
+
R
E
+
. The role of V in Lemma 4 will be played by . Lemma 14 implies that
there exists constants 0 < C
1
C
2
< so that, for all (n, q),
C
1
(n, q)

(n, q) C
2
(n, q)

. (10)
Further, for any > 0 and (n, q), we have that (n, q) = (n, q).
Now, consider any sequence of initial states
_
x
k

_
N
k
(0), Q
k
(0)
_
Z
F
+
Z
E
+
: k N
_
,
such that x
k

as k . For each k, consider a system starting at the initial state x


k
.
Denote the state of the kth system at time t 0 by
X
k
(t)
_
N
k
(t), Q
k
(t)
_
.
For each k N, dene the scaling factor r
k

_
x
(k)
_
, and notice that r
k
. Fix a time
horizon T > 0, and for the kth system, consider the scaled state process, dened for t [0, T] as
X
(r
k
)
(t)
1
r
k
X
k
(r
k
t) =
1
r
k
_
N
k
(r
k
t), Q
k
(r
k
t)
_
,
The descriptor of the scaled system is given, for t [0, T], by Z
(r
k
)
(t) from (5). Let
(r
k
)
be its
distribution on D[0, T].
From (10), we have that, for any k,
X
(r
k
)
(0)

=
X
k
(0)

r
k
1/C
1
. (11)
Since the set of scaled initial conditions is compact, there must exist a limit point and a convergence
subsequence. Along this subsequence, by the analysis of Theorem 1 (in particular, Lemma 17) the
measures {
(r
k
)
} are tight, and therefore, there exists a measure
()
that is a limit point. By
restricting to a further subsequence, we can assume, without loss of generality, that
(r
k
)

()
as k . That is,
_
Z
(r
k
)
(t)
_
t[0,T]

_
z(t)
_
t[0,T]
, as k ,
with z() FMS

(T) satisfying the uid model equations.


Given a uid model solution z() of the form (6), denote by
_
n(), q()
_
the ow count and queue
length components. Note that
_
X
(r
k
)
(0)
_
= 1, for all k. By the continuity of , we have that

_
n(0), q(0)) = 1; that is L

_
n(0), q(0)
_
= 1. Then, from Lemma 3, there exist

> 0 and T

> 0
so that, for suciently large T,

_
n(t), q(t)
_
1

, for all t [T

, T]. (12)
Dene the functional F : D[0, T] R
+
by
F
_
_
z(t)
_
t[0,T]
_

1
T T

_
T
T

_
n(t), q(t)
_
dt.
Since F is a continuous, it follows that
F
_
_
Z
(r
k
)
(t)
_
t[0,T]
_
F
_
_
z(t)
_
t[0,T]
_
, as k . (13)
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On the Flow-level Dynamics of a Packet-switched Network 15
Further, from (11), and using the fact that the arrival processes are Poisson and the boundedness
of the rate allocation policies, it follows that for all t [0, T] and all k N,
E
__
_
_
_
N
(r
k
)
(t), Q
(r
k
)
(t))
_
_
_

_
C
3
T, (14)
for some constant C
3
> 0. From this, the uniform integrability of F
_
Z
(r
k
)
()
_
follows. Subsequently,
from (12) and (13), it follows that
lim
k
E
_
F
_
_
Z
(r
k
)
(t)
_
t[0,T]
__
1

.
Equivalently, in terms of the unscaled state process X(), we have that
lim
k
1
(x
k
)
E
_
1
T T

_
T
T

_
X
_

_
x
k
_
t
__
dt

X(0) = x
k
_
1

. (15)
To complete the proof of Theorem 2, dene U to be a random variable that is uniformly distributed
over [T

, T]. Dene the stopping time


_
X(0)
_
U. Note that
E[ | X(0) = x] =
1
2
(x)(T + T

).
Then, (15) implies that, for all initial states x Z
F
+
Z
E
+
with (x) suciently large,
E
_

_
X()
_

X(0) = x

(x) E[ | X(0) = x] ,
where the constant is chosen so that 0 < < 2

/(T + T

). This satises the conditions of


Lemma 4, and hence completes the proof of Theorem 2.
5.2. Proof of Lemma 3
Suppose t (0, T) is a regular point. We will start by establishing the rst part of Lemma 3: if
L() 1, then
d
dt
L

_
n(t), q(t)
_
0. To this end, note that
d
dt
L

_
n(t), q(t)
_
= (1 + )
_

fF
n

f
(t)

f
n
f
(t)
. .

n
+

eE
q

e
(t) q
e
(t)
. .

q
_
. (16)
We consider the terms
n
and
q
separately.
First, consider the term
n
. For each ow type f, we wish to show that
n

f
(t)

f
n
f
(t) q

(f)
(t)
_

f
x
f
(t)
_
. (17)
By (F2)(F4), n
f
(t) =
f

f
x
f
(t). There are two cases. If n
f
(t) = 0, then by (F9), we have that
x
f
(t) =
f
, thus both sides of (17) are 0. If n
f
(t) > 0, then
n

f
(t)

f
n
f
(t) =
n

f
(t)

f
_

f
x
f
(t)
_
n

f
(t)

1
f
1
n

f
(t)
x
1
f
(t)
1
. (18)
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16 C. C. Moallemi & D. Shah
Here, the inequality follows from the fact that the function g(z) z
1
/(1 ) is concave. For a
concave function g, g

(y)(y x) g(y) g(x), here we have x = x


f
(t) and y =
f
. Now, since x
f
(t)
is optimal for the rate allocation problem of (F9) and
f
is feasible, we have that
n

f
(t)
x
1
f
(t)
1
q

(f)
(t)x
f
(t) n

f
(t)

1
f
1
q

(f)
(t)
f
. (19)
Combining (18) and (19), we have established (17). Then, we can sum (17) over all f F, to obtain

n

_

_
x(t)
_

(t). (20)
Now, consider the term
q
in (16). (F5), (F6), and (F12) imply that
q(t) = (I R

) s(t) + x(t). (21)


From (F7) and (F10),
_
_
I R

_
s(t)
_

(t) =

S
s

(t)

(I R)q

(t) = max
S

(I R)q

(t). (22)
Together (21) and (22), imply that

q
[x(t)]

(t) max
S

(I R)q

(t). (23)
Now, combining (16), (20), and (23), we have that
d
dt
L

_
n(t), q(t)
_
(1 + )
_
[]

(t) max
S

(I R)q

(t)
_
. (24)
By the denition of L() PRIMAL(), there exists some s R
S
+
with 1

s = L() and

_
I R

_
s =

S
s

_
I R

_
.
This implies that
[]

(t) L() max


S

(I R)q

(t),
Hence, by (24),
d
dt
L

_
n(t), q(t)
_
(1 +)
_
1 L()
_
max
S

(I R)q

(t). (25)
In order to bound the right hand side of (25), we will argue that
max
S

(I R)q

(t)
1

(t)
|E|
2
. (26)
To see this, consider a queue e
0
E with maximal length at time t, i.e., q
e
0
(t) = max
e
q
e
(t). Dene
e
1
, . . . , e
J
E to be a sequence of distinct queues so that, for each 0 i < J, packets departing
from queue e
i
go to queue e
i+1
, and packets departing from queue e
J
exist the network. By our
assumption of acyclic routing, such a sequence exists, and since each queue is distinct, J +1 |E|.
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On the Flow-level Dynamics of a Packet-switched Network 17
Consider the distinct schedules
0
, . . . ,
J
S, where, for 0 i J, the schedule
i
serves exactly
the queue e
i
such schedules exist by the monotonicity assumption on the scheduling constraints.
Clearly, these schedules have weights given by

i
(I R)q

(t) =
_
q

e
i
(t) q

e
i+1
(t) if 0 i < J,
q

e
J
(t) if i = J.
Averaging over the J + 1 schedules,
1
J + 1
J

i=0

i
(I R)q

(t) =
q

e
0
(t)
J + 1
.
Since at least one schedule must have a weight that exceeds this average,
max
S

(I R)q

(t)
q

e
0
(t)
J + 1

max
eE
q

e
(t)
|E|
Since
max
eE
q

e
(t)
1

(t)
|E|
,
(26) follows.
Combining (25) and (26), we obtain, when L() 1,
d
dt
L

_
n(t), q(t)
_
(1 + )
_
1 L()
_
1

(t)
|E|
2
0. (27)
This establishes the rst part of Lemma 3.
To prove the second part of Lemma 3, we will consider two separate cases over initial conditions
_
n(0), q(0)
_
with L

_
n(0), q(0)
_
= 1:
(i) 1

q
1+
(0) >
1
.
(ii) 1

q
1+
(0)
1
.
Here,
1
> 0 is a constant that will be determined shortly.
For case (i), from the norm inequality in part (i) of Lemma 14, we have that

1
1+
1
< q(0)
1+
q(0)

,
Thus, 1

(0) >
2

1+
1
. Due to (F1), q() is uniformly Lipschitz continuous, there exists T
1
> 0
such that 1

(t)
2
/2 for all t [0, T
1
]. From (27), since L() < 1,we have that
d
dt
L

_
n(t), q(t)
_
(1 + )
_
1 L()
_

2
2|E|
2
< 0,
for all regular t (0, T
1
]. Therefore, there exists
1
> 0 so that
L

_
n(t), q(t)
_
1
1
, (28)
for all t T
1
.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
18 C. C. Moallemi & D. Shah
For case (ii), the argument is more complicated. The basic insight is as follows: if 1

q
1+
(0) is
small, then
q
in (16) must be small as well. Further, a good fraction of the ows will be allocated
the maximal rate (i.e., C), therefore
n
in (16) will be signicantly negative. This will leads to
strictly negative drift in L. We will now formalize this intuition and make an appropriate choice of

1
> 0 along the way.
First, by the Lipschitz continuity of q(), there exists some
1
> 0 such that, for all t [0,
1
],
1

q
1+
(t) 2
1
. Note that from (23), the fact that 0 S, and x(t) C1, for all regular t (0,
1
],

q
[x(t)]

(t) C1

(t).
By Jensens inequality,
_
1
|F|
1

(t)
_1+

1
|F|
1

q
1+
(t).
Therefore, for regular t (0,
1
],

q
C|F|
1
1+
(2
1
)

1+
. (29)
Again using the fact that 1

q
1+
(t) 2
1
for t [0,
1
], it follows that q
e
(t)
3
(2
1
)
1/1+
,
for all e E. Now, consider the set
F

{f F : n
f
(0) 4C
3
}.
By Lipschitz continuity, there exists some 0 < T
2
<
1
such that, for all f F

and all t [0, T


2
],
n
f
(t) 2C
3
. Then, by (F9), x
f
(t) = C for regular t (0, T
2
]. Thus, if f F

, we have, for regular


t (0, T
2
],
n

f
(t)

f
n
f
(t) =
n

f
(t)

f
_

f
x
f
(t)
_

n

f
(t)

f
(C
f
)
1
n

f
(t), (30)
where we dene

1
min
fF
C
f

f
> 0.
Finally, if f / F

, we have, for regular t (0, T


2
],
n

f
(t)

f
n
f
(t) =
n

f
(t)

f
_

f
x
f
(t)
_

(2C)

1
f

1+
1

f

2
(2C)

1+
1
, (31)
where we dene

2
max
fF

1
f

f
.
Using (16) and (29)(31), it follows that, for all t [0, T
2
],
d
dt
L

_
n(t), q(t)
_
(1 + )
_
_
_
C|F|
1
1+
+
2
|F|(2C)

1+
1

1

fF

f
(t)
_
_
. (32)
From (27), for all t 0, L

_
n(t), q(t)
_
1. For t [0, T
2
], 1

q(t)
1+
2
1
. Suppose that
1
< 1/4.
Then,

fF

n
1+
f
(t)
1 2
1
max
fF
1

1
4 max
fF
1

f
.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 19
for t [0, T
2
]. From part (i) of Lemma 14,

fF

f
(t)
_
_
1
4 max
fF
1

f
_
_

1+

3
> 0.
Then, for regular t (0, T
2
],
d
dt
L

_
n(t), q(t)
_
(1 + )
1

3
/2 < 0.
It follows that there exists
2
> 0 such that, for all t T
2
,
L

_
n(t), q(t)
_
1
2
. (33)
Lemma 3 follows from (28) and (33) with

= min{
1
,
2
} and T

= max{T
1
, T
2
}.
6. Critical Loading
We have established the throughput optimality of the system under the MWUM- control policy, for
any (0, ) \ {1}. Thus, this entire family of policies possesses good rst order characteristics.
Further, there may be many other throughput optimal policies outside the class of MWUM-
policies. This naturally raises the question of whether there is a best choice of , and how the
resulting MWUM- policy might compare against the universe of all other policies.
In order to answer these questions, we desire a more rened analysis of policy performance than
throughput optimality. One way to obtain such an analysis is via the study of a critically loaded
system, i.e., a system with critically admissible arrival rates. Under a critical loading, uid model
solutions take non-trivial values over entire horizon. In contrast, for strictly admissible systems
under throughput optimal policies, all uid trajectories go to 0 (cf. Lemma 3). We will employ the
study of the uid model solutions of critically loaded systems as a tool for the comparative analysis
of network control policies.
In particular, given a vector of ow counts, n R
F
+
, and the vector of queue lengths, q R
E
+
,
dene the linear cost function
c(n, q)

fF
n
f

f
+

eE
q
e
= 1

_
diag(
1
)n + q

. (34)
This cost function is analogous to a minimum delay objective in a packet-level queueing network:
a cost is incurred for each queued packet, and a cost is also incurred for each outstanding ow,
proportional to the number of packets that it is expected to generate.
In this section, we establish fundamental lower bounds that apply to the cost incurred in a
critically loaded uid model under any scheduling policy. In Sections 7 and 8, we will compare
these with the costs incurred by MWUM- control policies. We shall nd that as 0
+
, the cost
induced by the MWUM- algorithms improves and becomes close to the algorithm independent
lower bound
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
20 C. C. Moallemi & D. Shah
6.1. Virtual Resources and Workload
We begin with some denitions. First, consider the dual of the LP PRIMAL(),
DUAL() maximize

subject to

1,
R
E
+
.
Note that there is no duality gap, thus the value of PRIMAL() is equal to the value of DUAL().
Denition 3 (Virtual Resource). We will call any feasible solution R
E
+
of dual optimization
problem DUAL() a virtual resource. Suppose the system is critically loaded, i.e., the oered
load vector satises
L() = PRIMAL() = DUAL() = 1.
Then, we call a virtual resource that is an optimal solution of DUAL() a critical virtual
resource.
For a critically loaded system with oered load vector , let CR() denote the set of all critical
virtual resources. Note that CR() is a bounded polytope and hence possesses nitely many extreme
points. Let CR

() denote the set of extreme points of CR().


The following denition captures the amount of work associated with a critical resource, as a
function of the current state of the system.
Denition 4 (Workload). Consider a critically loaded system with an oered load vector and
a critical virtual resource CR(). If the ow count and queue length vectors are given by (n, q),
the workload associated with the resource is dened to be
w

(n, q)

_
q + diag()
1
n

.
6.2. A Lower Bound on Fluid Trajectories
Consider a critically loaded system with oered load vector . We claim that the following funda-
mental lower bound holds on the uid trajectory under any algorithm. This bound can be thought
of as a minimal work-conservation requirement.
Lemma 5. Consider the uid model trajectory of system under any scheduling and rate allocation
policy, with ow count and queue length processes given by
_
n(), q()
_
. Then, for any time t 0
and any critical virtual resource CR(),
w

_
n(0), q(0)
_
w

_
n(t), q(t)
_
. (35)
Proof. Given a time interval [0, T], for any T > 0, consider the uid model trajectory z() of the
form (6). By Theorem 1, this uid trajectory must satisfy the algorithm independent uid model
equations (F1)(F8). By (F1), the trajectory is Lipschitz continuous and dierentiable for almost
all t (0, T). For any such regular point t, by (F2)(F4), we have
n(t) = diag()

x(t).
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 21
Thus,
diag(
1
) n(t) =

x(t). (36)
From (F5)(F6), we obtain
q(t) =
_
I R

_
z(t)
_
I R

_
s(t) +

x(t). (37)
Adding (36) and (37), we obtain
q(t) + diag(
1
) n(t) = +
_
I R

_
( z(t) s(t)) .
Now, multiplying both sides by
_
I R

_
1
, we obtain

_
q(t) + diag(
1
) n(t)

= + z(t) s(t). (38)


Consider a critical virtual resource CR(). Since is DUAL() optimal,

= 1. Taking
an inner product of (38) with , we obtain

_
q(t) + diag(
1
) n(t)

= 1 +

z(t)

s(t). (39)
Now, by (F8), z() is non-decreasing. Since is non-negative, then

z(t) 0. By (F8), s(t) is


non-negative. Since is DUAL() feasible and from (F7), it follows that

s(t) 1

s(t) = 1.
Applying these observations to (39), it follows that
d
dt
w

_
n(t), q(t)
_
=

_
q(t) + diag(
1
) n(t)

0.
Given that
_
n(), q()
_
is Lipschitz continuous, the desired result follows immediately.
Lemma 5 guarantees the conservation of workload under any policy. This motivates the eective
cost of a state (n, q) R
F
+
R
E
+
, dened by the linear program
c

(n, q) minimize
n

,q

c(n

, q

)
subject to w

(n

, q

) w

(n, q), CR

(),
n R
F
+
, q R
E
+
.
(40)
The eective cost is the lowest cost of any state with at least as much workload as (n, q). We have
the following lower bound on the cost achieved under any uid trajectory:
Theorem 6. Consider uid model trajectory of system under any scheduling and rate allocation
policy, with ow count and queue length processes given by
_
n(), q()
_
. Then, for any time t 0,
the instantaneous cost c
_
n(t), q(t)
_
is bounded below according to
c

_
n(0), q(0)
_
c
_
n(t), q(t)
_
. (41)
Proof. By Lemma 5, if the initial condition of a uid trajectory satises
_
n(0), q(0)
_
= (n, q), then
_
n(t), q(t)
_
is feasible for (40) for every t 0. The result immediately follows.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
22 C. C. Moallemi & D. Shah
7. Balanced Systems
In this section, we will develop a bound on the cost achieved in a uid model solution under the
MWUM- policy. In particular, we will establish that this cost, at any instant of time, is within a
constant factor of the cost achievable under any policy. The constant factor is uniform across the
entire uid trajectory, and relates to a notion of balance of the critical resources of the network
that we will describe shortly.
We begin with a preliminary lemma, that provides an upper bound on the cost under the MWUM-
policy. This upper bound is closely related to the Lyapunov function introduced earlier for
studying the system stability.
Lemma 7. Consider a uid model trajectory of system under the MWUM- policy, and denote the
ow count and queue length processes by
_
n(), q()
_
. Suppose that the oered load vector satises
L() 1. Then, at any time t 0, it must be that
c
_
n(t), q(t)
_

_
1 + ()
_
c
_
n(0), q(0)
_
, (42)
where () 0 as 0
+
.
Proof. Recall the Lyapunov function L

from (9). It follows from Lemma 3 that, so long as L() 1,


L

_
n(t), q(t)
_
L

_
n(0), q(0)
_
. (43)
Applying Lemma 14, with p 1 + and d |E| +|F|,

fF
n
f
(t)

f
_
1

f
_
1+
+

eE
q
e
(t) d

1+
_
_

fF
n
f
(0)

f
_
1

f
_
1+
+

eE
q
e
(0)
_
_
.
Now, as 0
+
, d

1+
1. Also,
_
1

_
1+

_
1

f
_
1+

_
1

_
1+
, (44)
where

min
f

f
and

max
f

f
. Thus, as 0
+
, 1/
f
1 uniformly over f. The result
then follows.
The following denition is central to our performance guarantee:
Denition 5 (Balance Factor). Given a system that is critically loaded with oered load vector
, dene the balance factor as the value of the optimization problem
() minimize
n,q,n

,q

c(n

, q

)
subject to w

(n

, q

) w

(n, q), CR

(),
c(n, q) = 1,
n, n

R
F
+
, q, q

R
E
+
.
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On the Flow-level Dynamics of a Packet-switched Network 23
It is clear that () 0, since n

, q

0. Since there are feasible solutions with (n, q) = (n

, q

),
it is also true that () 1. In order to interpret (), assume for the moment that there is
only a single critical extreme resource CR

(). If we dene v

, then the constraint that


w

(n

, q

) w

(n, q) is equivalent to
v

_
diag()
1
n

+q

_
diag()
1
n +q

.
In this case, it is clear that the solution to the LP dening () is given by
() = (min
e
v
e
)/(max
e
v
e
).
Hence, () is the measure of the degree of balance of the inuence of the critical resource across
buers in the network.
In the more general case (i.e., |CR

()| 1), dene the set V span {

: CR

()}. It is
not dicult to see that () > 0 if and only if, for each queue e V, there exists some v V with
v
e
> 0, i.e., if every queue is inuenced by some critical resource. We call networks where () > 0
balanced. In the extreme, if 1 V, then () = 1.
The following is the main theorem of this section. It oers a bound on the cost incurred at any
instant in time under the MWUM- policy, relative that incurred under any other policy. This
bound is a function of the balance factor.
Theorem 8. Consider uid model trajectory of a critically loaded system under the MWUM-
policy and denote the ow count and queue length processes by
_
n(), q()
_
. Suppose that () > 0.
Let
_
n

(), q

()
_
be the ow count and queue length policies under an arbitrary policy given the same
initial conditions, i.e., n(0) = n

(0) and q(0) = q

(0). Then, at any time t 0, it must be that


c
_
n(t), q(t)
_

1 + ()
()
c
_
n

(t), q

(t)
_
, (45)
where () 0 as 0
+
.
Proof. First, note that if
_
n(0), q(0)
_
= 0, i.e., the system is empty, then this holds for all t 0 (cf.
Theorem 10). In this case, (45) is immediate. Otherwise, x t 0, and set c c
_
n(0), q(0)
_
> 0.
Dene
(n

, q

)
_
n

(t), q

(t))/ c, (n, q)
_
n(0), q(0))/ c.
Using Lemma 5, it is clear that (n, q, n

, q

) is feasible for the LP dening (). Thus,


c
_
n(0), q(0)
_

1
()
c
_
n

(t), q

(t)
_
.
The result then follows by applying Lemma 7.
8. Invariant Manifold
In Section 7, we proved a constant factor guarantee on the cost of the MWUM- policy, relative
to the cost achieved under any other policy. Our bound held point-wise, at every instant of time.
However, the constant factor of the bound depends on the balance factor, and this could be very
large.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
24 C. C. Moallemi & D. Shah
In this section, we consider a dierent type of analysis. Instead of considering the evolution of the
uid model for every time t, we instead examine the asymptotically limiting states of the uid model
as t . In particular, we characterize these invariant states as xed points in the solution space
of an optimization problem. We shall also show that these xed points are attractive, i.e., starting
from any initial condition, the uid trajectory reaches an invariant state. We will quantify time to
converge to the invariant manifold as a function of the initial conditions of the uid trajectory.
This characterization of invariant states is key towards establishing the state space collapse
property of the system under a heavy trac limit [4]. Moreover, we shall demonstrate that these
invariant states are cost optimal as 0
+
. In other words, the cost of an invariant state cannot
be improved by any policy.
8.1. Optimization Problems
We start with two useful optimization problems that will be useful in characterizing invariant states
of the uid trajectory. We assume that the system is critically loaded.
Suppose we are given a state (n, q) R
F
+
R
E
+
of, respectively, ow counts and queue lengths.
Dene the optimization problem
ALGP(n, q) minimize
n

,q

,t,x,
L

(n

, q

)
subject to n

= n + t
_
diag()x

,
q

= q + t
_
x
_
I R

,
n

R
F
+
, q

R
E
+
, t R
+
,
x [0, C]
F
, .
Here, recall that is the scheduling capacity region of the network, dened by (8). Similarly, dene
the optimization problem
bALGD(n, q) minimize
n

,q

(n

, q

)
subject to w

(n

, q

) w

(n, q),
CR

(),
n

R
F
+
, q

R
E
+
.
Intuitively, given a state (n, q), ALGP(n, q) nds a state (n

, q

) which minimizes the Lyapunov


function L

and can be reached starting from (n, q), using feasible scheduling and rate allocation
decisions. ALGP(n, q), on the other hand, nds a state (n

, q

) which minimizes the Lyapunov


function and has at least as much workload as (n, q). The following result states that ALGP(n, q)
and bALGD(n, q) are equivalent optimization problems:
Lemma 9. A state (n

, q

) R
F
+
R
E
+
is feasible for the optimization problem ALGP(n, q) if and
only if it is feasible for the optimization problem bALGD(n, q).
Proof. First, consider any (n

, q

, t, x, ) that is feasible for ALGP(n, q). Note that feasibility for


ALGP(n, q) implies that
diag()
1
n

+ q

diag()
1
n + q + t
_
diag()
1
x
_
+ t
_
x
_
I R

_
.
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On the Flow-level Dynamics of a Packet-switched Network 25
Therefore, if CR

(), we have that


w

(n

, q

) = w

(n, q) + t
_

_
.
Since and is feasible for DUAL(), we have

1. Since CR

(), we have

= 1. Therefore, as t 0, it follows that


w

(n

, q

) w

(n, q).
That is, (n

, q

) is bALGD(n, q) feasible.
Next, assume that (n

, q

) is feasible for bALGD(n, q). Given some t 0, dene


x diag()
1
_
t
1
(n

n)

,
_
x t
1
(q

q)

.
With these denitions, if we establish existence of t 0 so that 0 x C1 and , then
(n

, q

, t, x, ) is feasible for ALGP(n, q) feasible.


Note that as t , x . By assumption, 0 <
f
< C, for all f F. Therefore, for t
suciently large, 0 x C1.
Next, we wish to show that, for t suciently large, . This requirement is equivalent to
demonstrating that PRIMAL() 1 and that 0. To show that PRIMAL() 1, note that
PRIMAL() = DUAL() and suppose that is feasible for DUAL(). Then,

_
x t
1
(q

q)

_
t
1
diag()
1
(n

n) t
1
(q

q)

t
1
_
w

(n

, q

) w

(n, q)

.
If CR(), then

= 1, and w

(n

, q

) w

(n, q) 0,
thus

1. On the other hand, if / CR(),

< 1. Therefore, in any event, for t suciently


large, DUAL() 1.
To show that 0, note that
=
_
x t
1
(q

q)

= t
1
_
diag()
1
(n

n) + (q

q)

.
By assumption, > 0. Therefore, for t suciently large enough, 0.
8.2. Fixed Points: Characterization
Note that the optimization problem bALGD(n, q) has a convex feasible set with a strictly convex
and coercive objective function (see, e.g., [1]). By standard arguments from theory of convex opti-
mization, it follows that an optimal solution exists and is unique. Hence, we can make the following
denition:
Denition 6 (Lifting Map). Given a critically scaled system, we dene the lifting map : R
F
+

R
E
+
R
F
+
R
E
+
to be the function that maps a state (n, q) to the unique solution of the optimization
problem bALGD(n, q).
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
26 C. C. Moallemi & D. Shah
The main result of this section is to characterize the invariant states of uid model as the xed
points of lifting map .
Theorem 10. A state (n, q) R
F
+
R
E
+
is an invariant state of a uid model solution under the
MWUM- policy if and only if it is a xed point of , i.e.,
(n, q) = (n, q).
Proof. The proof follows by establishing equivalence of the following statements, for every state
(n, q):
(i) (n, q) = (n, q).
(ii) Any uid model solution satisfying the initial condition
_
n(0), q(0)
_
= (n, q) has
_
n(t), q(t)
_
=
(n, q) for all t.
(iii) There exists a uid model solution with
_
n(t), q(t)
_
= (n, q) for all t.
(iv) (n, q) satisfy
()

= max
S

(I R)q

, (46)

f
q
(f)
= n
f
, f F. (47)
(i) (ii): If (n, q) = (n, q), then it solves bALGD(n, q). Consider a uid model solution with an
initial state
_
n(0), q(0)
_
= (n, q). By Lemma 3, it follows that, for all t, L

_
n(t), q(t)
_
L

(n, q).
From the uid model equations (F1)(F12),
_
n(t), q(t)
_
is ALGP(n, q) feasible, for all t. Therefore,
it follows that
_
n(t), q(t)
_
is an optimal solution of ALGP(n, q), and, by Lemma 9, of bALGD(n, q).
Since bALGD(n, q) has (n, q) as its unique solution, it follows that
_
n(t), q(t)
_
= (n, q), for all t.
(ii) (iii): This follows in a straightforward manner by considering the arguments in Theorem 1
with initial conditions given by (n, q).
(iii) (iv): Consider a uid model solution that satises
_
n(t), q(t)
_
= (n, q), for all t. Then,
for any regular point t, we have n(t) = 0 and q(t) = 0. Using (F2)(F4), it follows that x(t)

x(t) = . For any f F, if n


f
= n
f
(t) > 0 and x
f
(t) =
f
< C, then by (F9) it must be that
x
f
(t) = n
f
(t)/q
(f)
(t). Therefore,
f
q
(f)
= n
f
. Similarly, if n
f
= 0, it must be that q
(f)
= 0 by
(F11).
Now, dene H(t) 1

q
1+
(t). Since q() is constant, applying (F5), (F6), (F12), it must be that
for every regular t,
0 =

H(t) = q(t)

(t) =
_

_
I R

_
s(t)
_

(t).
Applying (F7) and (F10),
0 = ()

max
S

(I R)q

.
(iv) (i): Suppose (n, q) satisfy (46)(47). Dene (n

, q

) (n, q). Since (n

, q

) solves the
optimization problem bALGD(n, q), by Lemma 9, there exists (t, x, ) so that (n

, q

, t, x, ) is an
optimal solution for ALGP(n, q). This solution must satisfy
n

= n + t
_
diag()x

, q

= q + t
_
x
_
I R

_
.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 27
Now consider the trajectory
_
n(), q()
_
(n, q) +

t
(n

n, q

q), [0, t].


Dene J to be the Lyapunov function L

evaluated along this path, i.e., J() L

_
n(), q()
_
.
Then,

J(0)
1 +
=

fF
n

f
(
f

f
x
f
)

f
+ (x)

(I R)q

=
_

fF
n

f
(
f

f
x
f
)

f
+ ()

_
. .
X
+
_
()

(I R)q

_
. .
Y
,
where x .
First, consider Y . Since , there exists some s R
S
+
with 1

s 1 and s. From the


monotonicity of S, we can pick s so that = s. Therefore,

(I R)q

= s

(I R)q

max
S

(I R)q

.
Then, by (46), it follows that Y 0. Now, consider X, and note that X = 0 by (47) along with
the fact that
X =

fF
_
n

f
(
f
x
f
)

f
+
f
q

(f)
_
=

fF

f
_
q

(f)

n

f
_
. (48)
Thus, we have that

J(0) 0. Since J() is a convex function, this implies that J(0) J(t),
i.e., L

(n, q) L

(n

, q

). Due to uniqueness of the optimal solution to bALGD(n, q), it follows that


(n

, q

) = (n, q).
8.3. Fixed Points: Attractiveness
We will now establish the attractiveness of the space of xed points. Specically, we will show that
starting from any initial state, the uid trajectory converges (arbitrarily close to) space of xed
points, in nite time.
Given > 0, dene
J


_
(n, q) R
F
+
R
E
+
: (n, q) (n, q)
1
<
_
.
In other words, J

is the set of states (n, q) which are -approximate xed points (in an
1
-norm
sense) of the lifting map. Given a uid trajectory
_
n(), q()
_
, dene
h

_
n(), q()
_
inf
_
t 0 :
_
n(s), q(s)
_
J

, s t
_
.
In other words, h

_
n(), q()
_
is the amount of time required for the trajectory
_
n(), q()
_
to reach
and subsequently remain in the set J

.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
28 C. C. Moallemi & D. Shah
Theorem 11. For any > 0, there exists H

> 0 so that if
_
n(), q()
_
is a uid trajectory of the
MWUM- policy in a critically loaded system, with initial condition satisfying (n(0), q(0))

1,
then
h

_
n(), q()
_
H

.
In order to prove Theorem 11, we require the following technical lemma:
Lemma 12. Under the MWUM- policy, the lifting map is continuous. Further, is also
positively homogeneous, i.e., for all (n, q) R
F
+
R
E
+
and > 0,
(n, q) = (n, q).
Proof. To establish continuity, it suces to prove that is (n
k
, q
k
) (n, q), then (n
k
, q
k
)
(n, q). By denition of , we have that L

_
(n, q)
_
L

(n, q). Therefore, since the convergent


sequence {(n
k
, q
k
)} lies in a compact set, the sequence {(n
k
, q
k
)} is contained in a compact set
also. Dene x
k
(n
k
, q
k
) and x (n, q). Then, there exists a convergence subsequence of {x
k
}
that converges to some x. In what follows, that x = x, and thereby complete the proof of continuity
of .
Suppose that x = x. By passing to a subsequence, without loss of generality, assume that
x
k
x. Since x
k
is feasible for bALGD(n
k
, q
k
), and (n
k
, q
k
) (n, q), it follows that x is feasible for
bALGD(n, q). Since x is the unique optimal solution to bALGD(n, q), we have that L

(x) < L

( x).
Now, dene

_
max
CR

()
w

(n
k
, q
k
) w

(n, q)
w

(1)
_
+
,
where (x)
+
max(0, x). Consider x
k
x+
k
1. By the denition of
k
, it follows that x
k
is feasible
for bALGD(n
k
, q
k
). Then, L

(x
k
) L

( x
k
). Now, as k , L

(x
k
) L

( x). Further,
k
0,
so x
k
x and L

( x
k
) L

(x). Then, L

( x) L

(x). By contradiction, this establishes the


continuity of .
The positive homogeneity of follows directly from the denition of the optimization problem
bALGD.
Proof of Theorem 11. Given > 0, dene
D
_
(n, q) R
F
+
R
E
+
: L

(n, q) L

(1)
_
,
I {(n, q) D : (n, q) = (n, q)} ,
I


_
(n, q) D : (n, q) (n

, q

)
1
< , (n

, q

) I
_
,
K


_
(n, q) D : K(n, q) < K(n

, q

), (n

, q

) D \ I

_
.
where K(n, q) L

(n, q)L

_
(n, q)
_
. The result can be established by showing that the following
hold:
(i) K
_
n(t), q(t)
_
is non-increasing in t.
(ii) For > 0 suciently small, I K

.
(iii) Starting from any initial condition in D (this includes all (n, q) with (n, q)

1), the time


to hit K

is bounded uniformly.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 29
In particular, (iii) implies that starting from any state in D, the uid trajectory hits the set K

in
nite time. By (i), once the trajectory is in set K

, it remains in that set forever. By (ii), K

,
and the result follows. To complete the proof, (i), (ii) and (iii) need to be justied.
(i): Since L

is a Lyapunov function, then L

_
n(t), q(t)
_
is non-increasing over time under any
uid trajectory (cf. Lemma 3). From Lemma 5, the constraints in the optimization problem
bALGD
_
n(t), q(t)
_
can only become more restrictive over time. Therefore, as the time t increases, the
cost of the optimal solution of bALGD
_
n(t), q(t)
_
, i.e., L

_
(n(t), q(t))
_
, can only be non-decreasing.
Therefore, K
_
n(t), q(t)
_
is non-increasing over time.
(ii): First, consider claim I K

for any > 0. is continuous by Lemma 12. The constraints,


one for each CR

(), in bALGD(n, q) are continuous with respect to (n, q). And


_
n(t), q(t)
_
continuous with over t. Therefore, both functions L

_
n(t), q(t)
_
and K
_
n(t), q(t)
_
are continuous
with respect to t. Now, D is closed and bounded and I

is open, hence D\I

is closed and bounded.


Therefore, the inmum of the continuous function K is achieved over this set. Since I I

for any
> 0, by the denition of I, this this inmum must be strictly positive. However, over I value of
K is 0. Therefore, it follows that I K

. The claim that K

is trivial since if, (n, q) D \ I

then K(n, q) is greater than or equal to the inmum over that set, hence (n, q) / K

. Finally, to
establish that I

, recall again that is continuous and, hence, uniformly continuous over D.


Therefore, for any > 0 there exists > 0 such that
(n, q) (n

, q

)
1
< (n, q) (n

, q

)
1
< /2.
Consider any (n, q) I

and (n

, q

) I with (n, q) (n

, q

)
1
< . Then,
(n, q) (n, q)
1
(n, q) (n

, q

)
1
+(n

, q

) (n

, q

)
1
+(n

, q

) (n, q)
1
+ 0 + /2
< ,
for small enough choice of . This completes the proof of (ii).
(iii): Here, we shall use Theorem 10. First observe that, by the denition of K and Lemma 5, for
all 0 s t,
K
_
n(s), q(s)
_
K
_
n(t), q(t)
_
L

_
n(s), q(s)
_
L

_
n(t), q(t)
_
.
In other words, the decrease in K is at least as much as decrease in L.
Next, we wish to argue that when the uid trajectory belongs to the set D \ K

(i.e., is away
from the space of xed points I) then L

is strictly decreasing at some minimal rate. To be precise,


given (n, q) D \ K

, suppose that
_
n(), q()
_
is a uid model solution and t a regular point such
that
_
n(t), q(t)
_
= (n, q). We would like to show that
D(n, q)
1
1 +
d
dt
L

_
n(t), q(t)
_
, (49)
for some > 0.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
30 C. C. Moallemi & D. Shah
To this end, for each f F, dene the function x
f
: R
F
+
R
E
+
[0, C] as
x
f
(n, q)
_

f
if n
f
= 0,
n
f
(t)/q
(f)
(t) if 0 < n
f
< Cq
(f)
,
C otherwise.
Examining (F9), it is clear that this function determines the rate allocated to f at time t, i.e.,
x
f
(t) = x
f
(n, q). Recalling (16)(23), we have that
D(n, q) =

fF
n

f
n
f
(t) +

eE
q

e
q
e
(t)
=

fF
n

f
_

f
x
f
(n, q)
_
+ [x(n, q)]

max
S

(I R)q

fF
_
n

f
_

f
x
f
(n, q)
_
+ q

(f)
_
x
f
(n, q)
f
_
_
+ []

max
S

(I R)q

fF
_
n

f
q

(f)
_
_

f
x
f
(n, q)
_
+ T(q).
(50)
Here, for convenience, we dene the function T : R
E
+
R by
T(q) []

max
S

(I R)q

.
Now, recall that
f
< C for all f F. Therefore, it follows that, for all f F, if n
f
> 0,
x
f
(n, q) <
f
n
f
/
f
< q
(f)
(t).
Therefore, for all f F,
_
n

f
q

(f)
_
_

f
x
f
(n, q)
_
0, (51)
with the inequality being strict if n
f
=
f
q
(f)
and n
f
> 0.
Since (n, q) D \ K

, it can not be a xed point. Therefore, by part (iv) of the equivalence


established in Theorem 10, one of the following two conditions holds:
T(q) < 0.
T(q) = 0, and there exists some f F with n
f
=
f
q
(f)
with n
f
> 0.
Note that the n
f
> 0 requirement of the second case follows from (F11): n
f
= 0 would imply that
q
(f)
= 0, hence if n
f
=
f
q
(f)
, it must be that n
f
= 0. In either of the above two cases, using
(51) it is easy to see that the right hand side of (50) is strictly negative. However, this does not
provide a uniform, strictly negative, bound on the drift D. If D were established to be a continuous
function over set D \ K

, then such a uniform negative bound would follow as the set D \ K

is
closed and bounded. However, closer examination (50) reveals that D depends on the function x
f
,
thus is not necessarily continuous at the boundary n
f
= 0, for any f F.
This diculty is overcome as follows. We will cover D \ K

by a nite collection of closed and


bounded sets. On each set, we will obtain a bound on the drift D that is continuous on the set
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 31
as well as strictly negative. Hence, we will conclude that D is uniformly bounded by a negative
quantity on D \ K

, i.e., that (49) holds. The details are given next.


To begin, dene the function R: R
+
R
+
[0, C] by
R
_
n
f
, q
(f)
_

_
n
f
/q
(f)
if n
f
< Cq
(f)
,
C otherwise.
For given a vector b = [b
f
] {1, 0, 1}
|F|
, dene S
b
as to be the set of (n, q) D \ K

such that,
for each f,

f
R
_
n
f
, q
(f)
_
n
f
, if b
f
= 1,

R
_
n
f
, q
(f)
_

n
f
, if b
f
= 0,
R
_
n
f
, q
(f)
_

f
n
f
, if b
f
= 1.
Clearly S
b
is a closed and bounded set, since R is continuous. Given f F with b
f
= 0, dene
the function g
f
: S
b
R by
g
f
_
n, q)
_

f
(
f
n
f
)

if b
f
= 1,
(n
f
+
f
)

f
if b
f
= 1.
It is easy to check that for all (n, q) S
b
,

_
n
f
, q
(f)
_

g
f
(n, q) 0. (52)
Further, g
f
is continuous and g
f
(n, q) = 0 if and only if n
f
= 0. Finally, dene the function
F
b
: S
b
R as
F
b
(n, q) T(q) +

f : b
f
=0
_
n

f
q

(f)
_
_

f
x
f
(n, q)
_

f : b
f
=0
min
_
(C
f
)(

f
C

)n

f
,
n
1+
f
g
f
(n, q)
C

f
_
.
We make the following claims:
(a) F
b
is a continuous function over S
b
.
(b) For any (n, q) S
b
, D(n, q) F
b
(n, q).
(c) For any (n, q) S
b
, F
b
(n, q) < 0.
(a): To establish this claim, it is sucient to observe that for all f with b
f
= 0, x
f
is a continuous
function over S
b
. To see this, note that if b
f
= 0, then

R
_
n
f
, q
(f)
_

f

n
f
. Now x
f
(n, q) =
R
_
n
f
, q
(f)
_
if n
f
> 0 and x
f
(n, q) =
f
if n
f
= 0. Therefore, over S
b
, we have that x
f
(n, q) =
R
_
n
f
, q
(f)
_
for all n
f
0. This establishes continuity of x
f
for f with b
f
= 0.
(b): Here, we need to show that for any f with b
f
= 0, the term in F
b
is larger than or equal to
the corresponding term on the right hand side of (50) in magnitude and preserves the sign. That
is,

f
q

(f)

f
x
f
(n, q)

min
_
(C
f
)(

f
C

)n

f
,
n
1+
f
g
f
(n, q)
C

f
_
, (53)
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
32 C. C. Moallemi & D. Shah
and
_
n

f
q

(f)
_
_

f
x
f
(n, q)
_
= 0 n
f
= 0. (54)
Now, if n
f
= 0 then x
f
(n, q) =
f
and hence the left hand side above of (54) is 0. If n
f
> 0,
since b
f
= 0 and thus

R
_
n
f
, q
(f)
_

n
f
> 0, we have x
f
=
f
. Therefore, the left hand side
of (54) is not equal to 0. Thus, (54) is established.
To prove (53), we have the following cases:
n
f
= 0. Here, both sides of (53) are 0.
0 < n
f
Cq
(f)
. Here, we have

f
q

(f)

f
x
f
(n, q)

=
q

(f)

f
q

(f)

f
x
f
(n, q)

=
q

(f)

_
n
f
, q
(f)
_

f
R
_
n
f
, q
(f)
_

n
f
q

(f)
g
f
(n, q)

n
1+
f
g
f
(n, q)
C

f
,
where we have used the fact that b
f
= 0 and (52).
0 Cq
(f)
< n
f
. Here, since
f
< C, we have that

f
q

(f)

f
x
f
(n, q)

=
_
n

f
q

(f)
_
(C
f
) (C
f
)(

f
C

)n

f
.
(c): Suppose that (n, q) S
b
. We wish to establish that F
b
(n, q) < 0. Since (n, q) is not an invariant
point, by part (iv) of the equivalence established in Theorem 10 and by (F11), one of the following
two conditions holds:
T(q) < 0. In this case, using (51), clearly F
b
(n, q) < 0.
T(q) = 0, and there exists some f F with n
f
=
f
q
(f)
and n
f
> 0. Here, if b
f
= 0, then
since the inequality in (51) must be strict, we have F
b
(n, q) < 0. On the other hand, suppose
that b
f
= 0. Since n
f
> 0, we have that
min
_
(C
f
)(

f
C

)n

f
,
n
1+
f
g
f
(n, q)
C

f
_
> 0,
and it follows that F
b
(n, q) < 0.
Now, given claims (a) and (c), it follows that
sup
(n,q)S
b
F
b
(n, q)
b
< 0,
for some
b
> 0. Using claim (b), we have that
D(n, q)
b
< 0,
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 33
for all (n, q) S
b
. Since D \ K

=
b{1,0,1}
F S
b
, we have that, for all (n, q) D \ K

,
D(n, q) < 0,
where
min
b{1,0,1}
F

b
.
This completes the proof of Theorem 11.

8.4. Fixed Points: Optimality


The following theorem characterizes the cost associated with an invariant state, relative to the
eective cost. The eective cost represents the lowest cost achievable under any policy (cf. Theo-
rem 6). Hence, this result implies that the invariant states of the MWUM- policy are cost optimal,
as 0
+
.
Theorem 13. Suppose (n

, q

) is an invariant state of a critically loaded system under the MWUM-


policy. Then,
c(n

, q

)
_
1 + ()
_
c

(n

, q

), (55)
where () 0 as 0
+
.
Proof. Suppose (n

, q

) is an invariant state. Dene (n

, q

) to be an optimal solution to the eective


cost LP c

(n

, q

), dened by (40). Clearly


L

(n

, q

) L

(n

, q

),
since (n

, q

) is optimal for bALGD(n

, q

), and (n

, q

) is feasible for bALGD(n

, q

). Then, following
the same argument as in Lemma 7,
c(n

, q

)
_
1 + ()
_
c(n

, q

) =
_
1 + ()
_
c

(n

, q

),
where () 0 as 0
+
.
9. Discussion and Future Work
We have provided a model of a communications network that operates at the packet-level with the
goal of achieving end-to-end performance at the ow-level. The proposed MWUM- control policy
achieves this goal by means of the maximum weight- packet-level scheduling along with the -fair
rate allocation. We established the positive recurrence of the system by means of uid model when
the system is underloaded. For the critically loaded uid model, we established path-wise constant
factor optimality; the constant factor depends and the balance factor.
There are several interesting directions for future work. To start with, by characterizing the
invariant manifold of the critically loaded uid model and establishing its attractiveness, the work
here should lead to the multiplicative state-space collapse property in a relatively straightforward
manner following the method of Bramson [4]. As the next step, establishing the strong state-
space collapse property would require bounding the the maximal deviation in the system state
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
34 C. C. Moallemi & D. Shah
over certain time-horizon. We strongly believe that under MWUM- control policy for 1, this
should follow from a recently developed Lyapunov function based maximal inequality by Shah,
Tsitsiklis and Zhong [23]. However, further obtaining a complete characterization of the diusion
(heavy trac) approximation seems to be far more non-trivial question. Finally, the results about
path-wise constant factor optimality of critically loaded uid model seem to suggest the possibility
of such constant factor optimality of MWUM- control policy under diusion approximation.
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imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
36 C. C. Moallemi & D. Shah
Appendix A: Standard Norm Inequalities
The following lemma provides some standard norm inequalities that are used throughout the paper:
Lemma 14. Consider a vector x R
d
.
(i) If 0 < p q , then x
q
x
p
.
(ii) If 1 p and 1/p + 1/q = 1, then
d
1/q
x
1
x
p
.
Appendix B: Justication of the Fluid Model
In this appendix, we will provide a proof for Theorem 1, which establishes uid model as the formal
functional law of large numbers approximation.
We begin with some technical preliminaries. Fix T > 0. Recall from Section 4.2 that D[0, T] is
the space of functions from [0, T] to Z, as dened in (6), that are RCLL. This space is equipped
with the Skorohod metric, dened as
d(x, y) inf

o
x y, for x, y D[0, T].
Here, is the set of all non-decreasing functions : [0, T] [0, T] with (0) = 0 and (T) = T.
The norm
o
over is dened as follows: for ,

o
sup
0s<tT
log

(t) (s)
t s

.
By y refers to the composition y((t)), and for any x D[0, T],
x sup
t[0,T]
x(t)
1
,
with
1
being the standard
1
-norm over the product space Z.
For any x D[0, T] and 0 s < t T, dene
w
x
(s, t) sup
st
1
,t
2
t
x(t
1
) x(t
2
)
1
.
Further, for any > 0, dene
w

x
() = inf
{t
i
}S(T,)
max
i
w
x
(t
i1
, t
i
),
where S(T, ) is collection of all -sparse decompositions {t
i
} of [0, T], i.e., 0 = t
0
< t
1
< < t

=
T with t
i
t
i1
for all i 1.
It can be easily checked (see [2, Chapter 3]) that the D[0, T] is Polish space under the metric d.
Let B
T
denote the Borel -algebra on D[0, T] with respect to the topology induced by d. We will be
interested in probability measures over space (D[0, T], B). We shall utilize the following well-known
characterization of tightness of measures (see [2, Theorem 13.2]):
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 37
Theorem 15. The collection of measures {P

: } dened on (D[0, T], B) is tight if and only


if the following two conditions are satised:
(a)
lim
A
limsup

_
x D[0, T] : x A
_
= 0.
(b) For each > 0,
lim
0
limsup

_
x D[0, T] : w

x
()
_
= 0.
We state the following well-known concentration property of Poisson process that shall later
be useful. It follows from the application of a standard Cherno bound (see, for example, [9,
Theorem 2.2.3]).
Proposition 16. Consider a Poisson process of rate 1. Let N(t) be the number of events of this
Poisson process in time interval [0, t]. Then, for any [0, t],
P
_
|N(t) t|
_
2 exp
_

2
2t
_
.
B.1. Tightness
The rst step in the proof of Theorem 1 is the following lemma, which establishes tightness of the
collection of measures associated with the scaled system processes.
Lemma 17. Under the hypotheses of Theorem 1, for each r 1, let
(r)
denote the measure of
Z
(r)
() D[0, T]. Then, the collection of measures {
(r)
: r 1} is tight.
Proof. We will establish tightness by verifying conditions (a) and (b) of Theorem 15.
First, consider condition (a). It is sucient to show that for any > 0, there exist K() and r()
such that, for K K() and r r(),

(r)
_
x D[0, T] : x K
_
. (56)
To establish this, x > 0. By denition,
Z
(r)
() = sup
t[0,T]
_
Q
(r)
(t)
1
+Z
(r)
(t)
1
+N
(r)
(t)
1
+S
(r)
(t)
1
+

X
(r)
(t)
1
+A
(r)
(t)
1
+D
(r)
(t)
1
+A
(r)
(t)
1
_
.
We will bound each component of the system process Z
(r)
().
First, observe that for any t [0, T], with probability 1,
Z
(r)
(t)
1
+S
(r)
(t)
1
+

X
(r)
(t)
1
K
1
T, (57)
where the constant K
1
depends on system dimensions |E| and |F| and on the maximum rate
allocation C. This is because at most a unit amount of scheduling can be performed per unit time,
and maximal rate allocated to any ow type is at most C.
Next, consider the term A
(r)
(t)
1
. For each ow type f F, A
(r)
f
(T) is a Poisson process with
a time-varying rate that is at most C. Therefore, A
(r)
f
(T) is bounded above by 1/r times the total
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
38 C. C. Moallemi & D. Shah
number of events of a Poisson process of rate C in time interval [0, rT]. This number of events is
distributionally equivalent to number of events of Poisson process of rate 1 in interval [0, rTC].
Therefore, using Proposition 16,
P
_
A
(r)
f
(T) 2CT
_
2e

1
2
rTC
. (58)
It follows that for r suciently large, for any f F,
P
_
A
(r)
f
(T) 2CT
_


10|F|
. (59)
Then, by the union bound,
P
_
A
(r)
(T)
1
2|F|CT
_


10
. (60)
Next, consider term Q
(r)
(t)
1
. Note that
sup
t[0,T]
Q
(r)
(t)
1
Q
(r)
(0)
1
+A
(r)
(T)
1
. (61)
Now, by hypothesis, we have Q
(r)
(0) q(0) with probability 1 as r . Therefore, the collection
of vectors {Q
(r)
(0)} is almost surely bounded, and thus there exists a constant K
2
so that, for r
suciently large,
P
_
Q
(r)
(0)
1
K
2
_


10
. (62)
It follows that for a large enough constant K
3
(dependent on K
2
, C, T, |E|, |F|), and for r suciently
large,
P
_
sup
t[0,T]
Q
(r)
(t)
1
K
3
_


5
. (63)
Using very similar arguments (employing Proposition 16), it is possible to bound the Poisson
processes D
(r)
(t)
1
and A
(r)
(t)
1
. This, in turn, will a lead to a bound on N
(r)
(t)
1
, since

t[0,T]
N
(r)
(t)
1
N
(r)
(0)
1
+A
(r)
(T)
1
.
Therefore, there exists a constant K
4
, so that for r suciently large,
P
_
sup
t[0,T]
D
(r)
(t)
1
+A
(r)
(t)
1
+N
(r)
(t)
1
K
4
_


10
. (64)
From the discussion above, equations (57), (60), (63), (64), and union bound, it follows that for
any > 0, there exists constants K() and r() such that for K K() and r r(), we have that
P
_
Z
(r)
() K
_
.
This completes the verication of (56) or equivalently, condition (a) of Theorem 15.
Next, consider condition (b) of Theorem 15. For this, it is sucient to show that for any > 0,
there exist () and r(()) so that for r r(()),
P
_
w

Z
(r)
(())
_
(),
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 39
with () 0 as 0.
To bound w

Z
(r)
(), we need to nd an appropriate -sparse decomposition {t
0
, t
1
, . . . , t
n
} of
[0, T]. For this, we consider a natural decomposition: t
i
= i, for 0 i < n, and t
n
= T, when
n = T/. Then, it follows that t
i
t
i1
2 for all 0 < i n.
We wish to bound Z
(r)
(s) Z
(r)
(t)
1
, for t
i1
s, t t
i
, for any 0 < i n. To this end, rst
note that
Z
(r)
(s) Z
(r)
(t)
1
= Q
(r)
(t) Q
(r)
(s)
1
+Z
(r)
(t) Z
(r)
(s)
1
+N
(r)
(t) N
(r)
(s)
1
+S
(r)
(t) S
(r)
(s)
1
+

X
(r)
(t)

X
(r)
(s)
1
+A
(r)
(t) A
(r)
(s)
1
+D
(r)
(t) D
(r)
(s)
1
+A
(r)
(t) A
(r)
(s)
1
.
(65)
As noted earlier, the terms involving Z
(r)
(), S
(r)
() and

X
(r)
() are collectively upper bounded by
K
1
|t s|, with a system dependent constant K
1
, since they are all Lipschitz continuous. Therefore,
for /(10K
1
), the sum of these terms in (65) is no more than /10 with probability 1. Next,
we consider the remaining ve terms in (65). As in the justication of condition (a), we will have
similar argument for all these of ve terms. We will focus on the term corresponding to Q
(r)
().
From (3), it follows that
Q
(r)
(t) Q
(r)
(s)
1

_
_
(I R

)
_
S
(r)
(t) S
(r)
(s)
__
_
1
+
_
_
(I R

)
_
Z
(r)
(t) Z
(r)
(s)
__
_
1
+A
(r)
(t) A
(r)
(s)
1
.
Now the rst two terms are bounded by K
5
|t s|, with the constant K
5
dependent on |S|, |E|,
and |F|. To see this, note that both S
(r)
() and Z
(r)
() are Lipschitz continuous, and the matrices
(I R

) and (I R

) are nite dimensional (with dimension dependent on |S|, |E|, and |F|),
and with each entry bounded by constants. It follows that by choosing /(10K
5
), we have that
_
_
(I R

)
_
S
(r)
(t) S
(r)
(s)
__
_
1
+
_
_
(I R

)
_
Z
(r)
(t) Z
(r)
(s)
__
_
1


10
,
with probability 1. Now, to bound the contribution of term A
(r)
(t) A
(r)
(s)
1
, we can utilize
arguments used for obtaining (60) with T replaced by |t s|. Note that here we need to use
memory-less property of the Poisson process crucially. As a conclusion, we obtain that there
exists a constant K
6
so that is /(10K
6
), then for suciently large r,
P
_
A
(r)
(t) A
(r)
(s)
1
/10
_
1

2
10T
. (66)
From the above discussion, it follows that for any interval [t
i1
, t
i
], as long as we choose
suciently small and r suciently large,
P
_
sup
t
i1
s,tt
i
Q
(r)
(t) Q
(r)
(s)
1
/5
_
1

2
10T
. (67)
In a very similar manner (using Proposition 16), we obtain the following: there exists a constant
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
40 C. C. Moallemi & D. Shah
K
7
, so that if = /K
7
and r is suciently large, for any 0 < i n,
P
_
sup
t
i1
s,tt
i
N
(r)
(t) N
(r)
(s)
1
/10
_
1

2
10T
, (68)
P
_
sup
t
i1
s,tt
i
A
(r)
(t) A
(r)
(s)
1
/10
_
1

2
10T
, (69)
P
_
sup
t
i1
s,tt
i
A
(r)
(t) A
(r)
(s)
1
/10
_
1

2
10T
, (70)
P
_
sup
t
i1
s,tt
i
D
(r)
(t) D
(r)
(s)
1
/10
_
1

2
10T
. (71)
From (65)-(71) and the discussion above, it follows that there exists a constant K

so that is
K and r is suciently large, by a union bound over at most T/ intervals in the partition, we
obtain that
P
_
max
i
sup
t
i1
s,tt
i
Z
(r)
(t) Z
(r)
(s)
1

_
1 .
The result follows.
B.2. Proof of Theorem 1
We are now ready to prove Theorem 1.
Given that the collection of measures {
(r)
: r 1} is tight, for any sequence {r
k
: k N} R
with r
k
as k , there exists a further subsequence {r
k

} and limit point


()
such
that
(r
k

)
converges weakly to
()
as . By restricting to this subsequence, assume that

(r
k
)

()
. Since these measures are dened on a Polish space, by the Skorohod representation
theorem, there exists a probability space over which we can dene, for all k, random variables
Z
(r
k
)
() and z() that are distributed according to
(r
k
)
and
()
, respectively, and where the Z
(r
k
)
()
almost surely converges to z(), in the Skorohod metric. We will use this setting to argue that the
limiting random variable z() satises the appropriate uid model equations with probability 1.
Subsequently, we will establish that under an arbitrary control policy,
()
_
FMS(T)
_
= 1, while
under the MWUM- policy,
()
_
FMS

(T)
_
= 1. Since
(r
k
)

()
, from denition of weak
convergence, it follows that, under an arbitrary control policy, liminf
k

(r
k
)
(FMS

(T)) = 1, and
under the MWUM- policy, liminf
k

(r
k
)
(FMS

(T)) = 1, for any > 0. This will imply the


desired result.
To this end, we start by establishing that
()
_
FMS(T)
_
= 1. That is, we need to show that
equations (F1)-(F8) are satised.
(F1), (F2), (F5): We start with (F1). Among the components of Z
(r
k
)
(), Z
(r
k
)
(), S
(r
k
)
() and

X
(r
k
)
() are Lipschitz continuous by construction over [0, T]. Since Z
(r
k
)
() converges almost surely
to z() with respect to the Skorohod metric d, it follows that the corresponding components of z(),
z(), s() and x(), are Lipschitz continuous. Equivalently, this follows by the Arzel`a-Ascoli theorem.
Now, to establish Lipschitz continuity of the other components of z we will use the following
result:
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 41
Lemma 18. Given a xed T > 0, consider a Poisson process P with time-varying rate given by
(t), for t 0. Assume there exists constant K > 0 such that (t) [0, K] for all t 0 and that
(t) depends only on events that happen up to time t. Consider a sequence {
i
} R
+
with
i

as i . Dene the scaled process
P
i
(t) =
1

i
P(
i
t),
for t [0, T]. Also, dene the processes

i
(t) =
1

i
(
i
t), and
i
(t) =
_
t
0

i
(s) ds,
for t [0, T], where we assume
i
() is well-dened. Assume that P
i
() converges weakly to P

().
Then, the sample paths (over [0, T]) of P

() are Lipschitz continuous with probability 1. Further,


assume that
i
() converges (u.o.c.) to () over [0, T]. Then, P

(t) = (t), for all t [0, T].


Proof. This is a well-known property of Poisson processes. We describe the key steps of the proof.
First, using the concentration property of Proposition 16, it can be established that the sample
paths of scaled Poisson process are approximately Lipschitz. Second, using a variation of the Arzel`a-
Ascoli theorem (e.g., see [4, Lemma 4.2] or [33, Lemma 6.3]), it can be established that the limit
points of such approximately Lipschitz sample paths are in fact Lipschitz. Finally, note the fact
that number of events under a Poisson process with time-varying rate () over time interval [0, t] is
distributionally equivalent to number of events under a unit rate Poisson process over time interval
[0,
_
t
0
(s) ds]. As long as () is uniformly bounded by some constant, say K, the functional strong
law of large numbers for scaled unit rate Poisson process over [0, KT] can be used to obtain the
nal desired claim. An interested reader may nd the details to this argument in many places in
literature (e.g., [16, Appendix A]).
Now consider components A
(r
k
)
(), A
(r
k
)
(), and D
(r
k
)
(). By their construction, these are Poisson
processes with possibly time-varying rates that are always uniformly bounded. These processes
converge (over [0, T]) to the corresponding components a(), a() and d() of z(). Therefore, by
immediate application of Lemma 18, we obtain that a(), a() and d() are Lipschitz continuous.
Finally, the Lipschitz continuity of n() and q() is established if (F2) and (F5) hold this
is because all of the other components of z() are Lipschitz continuous. To this end, recall that
equations (2) and (3) are satised by scaled system Z
(r
k
)
for all t [0, T] by denition. These
equation are preserved under the almost sure convergence Z
(r
k
)
() z(). Thus, (F2) and (F5) are
satised.
(F3), (F4), (F6): These equations follow immediately by applying the later part of Lemma 18 for
Poisson process (possibly time-varying) A
(r
k
)
(), A
(r
k
)
() and D
(r
k
)
().
(F7), (F8): Among remaining equations, rst note that (F8) follows because Z
(r
k
)
(), S
(r
k
)
() and

X
(r
k
)
() are non-decreasing and this property is preserved under the almost sure convergence of
Z
(r
k
)
() to z(). A similar argument establishes (F7).
Now, consider a system that operates under the MWUM- control policy. We wish to establish
that
()
_
FMS

(T)
_
= 1. This involves further demonstrating that (F9)(F12) are satised.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
42 C. C. Moallemi & D. Shah
(F9): Consider any xed ow type f F and any regular point t (0, T). Now, if n
f
(t) = 0, then
it must be that n
f
(t) = 0. This is because of the following argument, utilizing non-negativity of
n
f
(): suppose that either n
f
(t) > 0 or n
f
(t) < 0. Then, there exist times t

< t or t
+
> t such that
n
f
(t

) < 0 or n
f
(t
+
) < 0 this is a contradiction. Given n
f
(t) = 0, by (F2) we have a
f
(t) =

d
f
(t).
By (F3) and (F4), it immediately follows that x
f
(t) =

x
f
(t) =
f
/
f
.
Now, suppose n
f
(t) > 0. Recall that N
(r
k
)
f
() converges to n
f
() as k under the Skorohod
metric. Therefore, it follows that there exists a > 0 such that, for k suciently large, N
(r
k
)
f
(s)
for all s [t , t +]. We will consider k to be suciently large for this to hold. Since t is a regular
point, x
f
(t) is dierentiable. Consider any 0 < < . Then, using the fact that N
(r
k
)
f
(s) > 0 for
s [t , t + ] and the radial invariance property of rate allocation policy, we obtain

X
(r
k
)
f
(t + )

X
(r
k
)
f
(t) =
1
r
k
_
r
k
t+r
k

r
k
t
X
f
(s) ds
=
1
r
k
_
r
k
t+r
k

r
k
t
_
_
argmax
x[0,C]
x
1
_
N
(r
k
)
f
_

1

_
Q
(r
k
)
(f)
_

x
_
_
ds.
(72)
Dene the function R: (0, ) R
+
[0, C] by
R(n, q) argmax
x[0,C]
x
1
n

1
q

x.
It can be easily checked that
R(n, q) =
_
n/q if n < Cq,
C otherwise.
Therefore, it follows that R is a continuous function. Further, N
(r
k
)
f
() and Q
(r
k
)
(f)
() are continuous
as functions of time. Therefore, treating R
_
N
(r
k
)
f
(), Q
(r
k
)
(f)
()
_
as a function of time, it is continuous
and takes values in [0, C]. Over the bounded interval [t, t + ], it must achieve a minimum and a
maximum, which we will denote by R
min
(k, t, ) and R
max
(k, t, ), respectively. From (72), it follows
that
R
min
(k, t, )

X
(r
k
)
f
(t + )

X
(r
k
)
f
(t)

R
max
(k, t, ). (73)
Now, since
_

X
(r
k
)
(), N
(r
k
)
(), Q
(r
k
)
()) converges to
_
x(), n(), q()
_
as k , it follows (due to
the appropriate continuity of R
min
, and R
max
) that
R
min
(t, )
x
f
(t + ) x
f
(t)

R
max
(t, ). (74)
Here, R
min
(t, ) and R
max
(t, ) correspond to the minima and maxima of R
_
n(), q()
_
over [t, t+].
Now, taking 0 in (74), invoking the continuity of
_
n(), q()
_
and subsequently of R, and
recalling that t is a regular point, we obtain
x
f
(t) =

x
f
(t) = argmax
x[0,C]
x
1
n

f
(t)
1
q

(f)
(t) x,
when n
f
(t) > 0.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010
On the Flow-level Dynamics of a Packet-switched Network 43
(F10): Suppose t (0, T) is a regular point and consider a schedule S. Assume there exists a
schedule S with

(I R)q

(t) <

(I R)q

(t). (75)
We wish to establish that s

(t) = 0. Since Q
(r
k
)
() converges to q() as k the inequality
(75) is strict. It follows that there exists > 0 such that for all k suciently large and for all
s [t , t + ],

(I R)
_
Q
(r
k
)
(s)
_

<

(I R)
_
Q
(r
k
)
(s)
_

.
Then, for unscaled system, the weight of schedule is strictly less than the weight of schedule
throughout the time-interval [r
k
(t ), r
k
(t +)]. Therefore, as per the MWUM- scheduling policy,
the schedule is never chosen in this time period. That is, for the scaled system, we have
S
(r
k
)

(t ) = S
(r
k
)

(t + ).
Then, as k
s

(t + ) s

(t ) = 0.
Thus, s

(t) = 0.
(F11): Consider a regular point t (0, T) with n
f
(t) = 0, for some f F. By (F9), we have
x
f
(t) =
f
. Suppose that q
(f)
(t) > 0. For any
1
,
2
> 0, there must exist > 0 so that, if
s (t , t + ),
q
(f)
(s)
1
, and n
f
(s)
2
.
Therefore, if k is suciently large, we must have
Q
(r
k
)
(f)
(s)
1
/2, and N
(r
k
)
f
(s) 2
2
.
Equivalently for the unscaled system,
Q
(f)
(r
k
s) r
k

1
/2, and N
f
(r
k
s) 2r
k

2
.
This that, for k suciently large and for all s (t , t + ), the rate allocation in the unscaled
system must satisfy
X
f
(r
k
s)
4
2

1
.
This can be made smaller that
f
/2 by the appropriate choice of
2
, and this contradicts the fact
that x
f
(t) =
f
. Therefore, it must be that q
(f)
(t) = 0.
(F12): This follows in a straightforward manner from the invariant (for the unscaled system) that
Z() = 0 for all Z
+
.
imsart-generic ver. 2009/08/13 file: flow-level-journal.tex date: March 3, 2010

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