Queuing Theory Exercises.

E2 Course coordinator: Armin Halilovic

Exercises 2b
Continuous -Time Markov chains

Birth-and-Death Process
A birth-and-death process is a continuous-time Markov chain in which only transitions between adjacent states occur as shown in Fig. 1. Transitions occur according to Poisson processes. When the process is in state n, the birth rate is n and death rate n .

For a birth-and-death queueing system: 1. When the system is in state n customers arrive according to a Poisson process with the rate n . 2. Successive interarrival times are exponential random variables. When the system is in state n, the exponential random variable has parameter n . 3. Successive service times are exponential random variables. When the system is in state n, the exponential random variable has parameter n . Figure 1. Birth-and-Death rates (intensities)

Rate Transition Matrix for a Birth-and-Death Process:

Q= 0

1
0 0 ....

0 ( 1 + 1 ) 2
0 L

0 0

1
( 2 + 2 )

0L 0L 0L 3 L

3
L

2 ( 3 + 3 )

L K r The stationary probability state (steady state) vector p = ( p0 , p1 , p2 , p3 ,...) we get from the equation r r pQ = 0 . This equation gives the system 0 p0 + 1 p1 = 0 , (eq1)

0 p0 ( 1 + 1 ) p1 + 2 p2 = 0 , 1 p1 ( 2 + 2 ) p2 + 3 p3 = 0 2 p 2 ( 3 + 3 ) p 3 + 4 p 4 = 0

(eq2) (eq3) (eq4)

Queuing Theory Exercises. E2 Course coordinator: Armin Halilovic

Equations eq1, eq2, are called the balance equations because they show the balance between the average rates of entering and leaving each state, so called rate-in =rate out principle. The system is equivalent with the following system: 0 p0 + 1 p1 = 0 , eqA (=eq1)

1 p1 + 2 p2 = 0 , 2 p 2 + 3 p 3 = 0

eqB eqC

(= eqA+eq2) (= eqB+eq3)

3 p 3 + 4 p 4 = 0
-----

eqD (= eqC+eq3)

We use this system to express the steady state probabilities pk , k=1, 2, 3 as the functions of p0 . From equation A, B, C, D we have
p1 =

0 p , 1 0 p2 = 1 p1 = 0 1 p0 , 2 1 2 p3 = 2 p 2 = 0 1 2 p0 3 1 2 3

pn =

L ( n 1) n 1 pn 1 = 0 1 2 p n 1 2 3 L n 0

Substituting pn , n=0, 1, 2, 3in the equation p0 + p1 + p2 + p3 + L = 1 , we find p0 .

Exercise 1. A finite state birth-and-death process is defined below.
5 4 2

10

a) Find p 0 , p1 , p 2 , p3
Answer: ( p 0 , p1 , p 2 , p3 )=( 0.2898550725, 0.3623188406 ,0.2898550725, 0.05797101449) Exercise 2. A queueing system with a maximum capacity of 3 customers can be modeled as a finite state birth-and-death process shown below.

Queuing Theory Exercises. E2 Course coordinator: Armin Halilovic

10

a) Find p 0 , p1 , p 2 , p3 b) Find the average number of the customers in the queueing system.
Answer: a) ( p 0 , p1 , p 2 , p3 )=( 0.1453488372, 0.4360465116, 0.3488372093, 0.06976744186) b) 1.343023256

Exercise 3. Consider a Birth-and-Death Process where i) Find the stationary probability vector. ii) Find the stationary probability for state 3.

i och i are defined below.

a)

i = 20, i = 0,1, 2,3,... i = 25, i = 1, 2,3,... i = 10, i = 0,1, 2,3,... i = 40, i = 1, 2,3,...

b)

i = 6, i = 0,1, 2,3,... i = 8, i = 1, 2,3,... i = 10, i = 0,1, 2,3,... i = 20i, i = 1, 2,3,...

c)

d)

Answer: r 1 4 16 64 a) i) P = ( , , , ,...) 5 25 125 625 r 1 3 9 27 b) i) P = ( , , , ,...) 4 16 64 256 r 3 3 3 3 c) i) P = ( , , , ,...) 4 16 64 256

64 625 27 ii) p3 = 256 3 ii) p3 = 256 ii) p3 =

r 1 1 1 / 2 1 1 / 2 e , e ,...) d) i) P = (e 1 / 2 , e 1 / 2 , 2 4 2! 8 3!

ii) p3 =

1 1 / 2 e = 0.0126 8 3!

Exercise 4. (Birth-and-Death Process) Customers arrive at a queueing system with an infinite number of waiting position and a single server. We assume Poisson input and exponential service times so that system can be modeled as a birth-and-death process. The state Ek denotes that there are k customers in the system.

Queuing Theory Exercises. E2 Course coordinator: Armin Halilovic

i) Find the stationary probability vector. ii) Find the stationary probability that there are 2 customers in the system. iii ) Find the probability that there are no customers in the system a) = 30, =50 b) = 10, =11 c) = 2, =8 d) = 10, =11

Answer r 2 6 18 54 a) i) P = ( , , , ,...) 5 25 125 625 r 1 10 100 1000 b) i) P = ( , , , ,...) 11 121 1331 14641 r 3 3 3 3 c) i) P = ( , , , ,...) 4 16 64 256

ii) p 2 =

18 125 100 ii) p 2 = 1331 3 ii) p 2 = 64

iii) p 0 =

2 5 1 iii) p 0 = 11 3 iii) p 0 = 4