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Queing Theory PDF
Queing Theory PDF
Queing Theory PDF
Birth-death processes
General
A birth-death (BD process) process refers to a Markov process with
l0 l1 l2 li l i+1
0 1 2 ... i i+1
m1 m2 m3 m i+1 m i+2
Transition rates
λi when j = i+1 probability of birth in interval ∆t is λi ∆t
qi,j =
µi if j = i−1
probability of death in interval ∆t is µi ∆t
0
otherwise
when the system is in state i
J. Virtamo 38.3143 Queueing Theory / Birth-death processes 2
λk πk = µk+1 πk+1 k = 0, 1, 2, . . .
d
π(t) = π(t) · Q where
dt
−λ0 λ0 0 ... ...
µ −(λ1 + µ1 ) λ1 0 ...
1
Q=
0 µ 2 −(λ 2 + µ2 ) λ 2 0
...
0 µ 3 −(λ 3 + µ3 ) λ 3
... ... 0 µ4 −(λ4 + µ4)
J. Virtamo 38.3143 Queueing Theory / Birth-death processes 4
l0 l1 l2 l i-1 li l i+1
0 1 2 ... i i+1
m1 m2 m3 mi m i+1 m i+2
all individuals have the same the system starts from state n
mortality rate µ
d
dt
πn(t) = −nµπn(t) ⇒ πn(t) = e−nµt
d
dt πi (t) = (i + 1)µπi+1(t) − iµπi (t) i = 0, 1, . . . , n − 1
Z t 0
d iµt
dt (e πi (t)) = (i + 1)µπi+1 (t)e iµt
⇒ πi (t) = (i + 1)e −iµt
µ 0
πi+1(t0 )eiµt dt0
Z t −nµt0 (n−1)µt0 0
πn−1(t) = ne −(n−1)µt
µ 0
e
| e
{z } dt = n e−(n−1)µt (1 − e−µt)
0
e−µt
Binomial distribution: the survival
n −µt i
Recursively πi(t) = (e
) (1 − e−µt )n−i probability at time t is e−µt inde-
i
pendent of others
J. Virtamo 38.3143 Queueing Theory / Birth-death processes 6
l l l l l l
0 1 2 ... i-1 i All states are transient
d
dt
πi (t) = −λπi (t) + λπi−1(t) i>0
d
π0(t) = e−λt
dt
π0(t) = −λπ0(t) ⇒
Z t 0
d λt
dt
(e πi(t)) = λπi−1(t)e λt
⇒ πi(t) = e −λt
λ 0
πi−1(t0 )eλt dt0
Zt −λt0 λt0 0
π1(t) = e −λt
λ 0
e
| {ze } dt = e−λt(λt)
1
(λt)i −λt
Recursively πi(t) = e Number of births in interval (0, t) ∼ Poisson(λt)
i!
J. Virtamo 38.3143 Queueing Theory / Birth-death processes 7
~ Exp(m) ~ Exp(l)
d
dt
π0(t) = − λπ0(t) + µπ1(t)
−λ λ
Q=
d
π1(t) = λπ0(t) − µπ1(t) µ −µ
dt
µ µ
π0(t) = λ+µ + (π0(0) − λ+µ )e−(λ+µ)t
λ λ
π1(t) = λ+µ
+ (π1(0) − λ+µ )e−(λ+µ)t
| {z } | {z }| {z }
equilibrium deviation from decays expo-
distribution the equilibrium nentially
J. Virtamo 38.3143 Queueing Theory / Birth-death processes 8
Global balance
q i, j X X i = 0, 1, . . . , n
j
πj qj,i = πi qi,j
j6=i j6=i one equation per each state
i q j, i | {z
flow to state i
} | {z
flow out of
}
state i
n + 1 states
Q
z
X }| {
− q0,j q0,1 q0,2 ... q0,n
0
j X
q1,0 − q1,j q1,2 ... q1,n
0
z
π}|
{ j
X
(π0 , . . . , π )
n
q2,0 q2,1 − q2,j . . . q2,n
=
j
... ... ... ...
...
...
X
qn,0 qn,1, qn,2, ... − qn,j
j
0
π·Q=0 π0 + π1 + · · · + πn = 1
one equation normalization condition
is redundant
J. Virtamo 38.3143 Queueing Theory / Birth-death processes 10
s palvelinta
m
s servers
K odotuspaikkaa
l m
K waiting places
λ arrival rate (Poisson)
m
µ
Exp(µ) holding time (expectation 1/µ)
ì
í
K=5 m
î s=4
0 l 1 l 2 l 3 l 4 l 5 l 6 l 7 l 8 l 9
m 2m 3m 4m 4m 4m 4m 4m 4m
J. Virtamo 38.3143 Queueing Theory / Birth-death processes 11
A virtual path (VP) of an ATM network is offered calls of two different types.
R1 = 1Mbps
R2 = 2Mbps
λ1 = arrival rate
λ2 = arrival rate
µ1 = mean holding time µ2 = mean holding time
n2
l2 (n2+1)m2
l1 l1
n1 m1 (n1+1)m1
l2 n2 m 2
n1
The state variable of the Markov process in this example is the pair (N1 , N2), where Ni defines
the number of class-i connections in progress.
J. Virtamo 38.3143 Queueing Theory / Birth-death processes 12
n2
n1