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Queuing Networks
M. REISER
AND
S. S. LAVENBERG
ABSTRACT. It tS shown that mean queue sizes, mean waiting tunes, and throughputs in closed multiple-cham
queuing networks which have product-form solution can be computed recurslvely without computing product
terms and normahzatton constants The resulting computational procedures have improved properties (avoidance
of numerical problems and, m some cases, fewer operations) compared to previous algorithms. Furthermore, the
new algorithms have a phystcaUy meaningful interpretation which provides the basis for heuristic extensions that
allow the approximate solution of networks with a very large number of closed chains, and which is shown to be
asymptottcaUy vahd for large chain populations.
KEYWORDSAND PHRASES. queuing networks, closed queuing systems, analytical models, performance evalua-
tion, algorithms for the solution of queuing networks, approxtmaUon for general queuing networks
CRCATEGORIES: 4 6, 5 5
1. Introduction
T h e traditional a p p r o a c h to the solution o f M a r k o v i a n q u e u i n g networks was to f o r m u l a t e
a system o f algebraic equations (balance equations) for the j o i n t probability distribution o f
the vector-valued system state. It was the important discovery o f Jackson [7], G o r d o n and
N e w e l l [6], and Baskett, Chandy, Muntz, and Palacios [2] that for certain classes o f
networks, the solution o f the balance equations is in the f o r m o f a product o f simple terms.
All that r e m a i n e d to be d o n e numerically was to normalize the product terms to form a
proper probability distribution. In the case o f networks with closed routing chains, however,
this normalization turned out to be computationally limited, that is, until the publication
o f the convolution algorithm by Buzen [4] and Reiser and K o b a y a s h i [1 1, 13, 14].
F o r practical purposes, however, the j o i n t distribution contains far too m u c h detail.
M u c h simpler quantities such as m e a n q u e u e sizes, m e a n i n g waiting times, utilizations,
and throughputs were needed. W i t h i n the f r a m e w o r k o f the convolution algorithm [4, 1 1,
13, 14] it has been shown that such quantities can be derived f r o m the n o r m a l i z a t i o n
constants in an efficient m a n n e r (in m a n y cases this requires an effort similar to the
calculation o f the normalization constant). T h e m e a n - v a l u e algorithm given in this p a p e r
works directly with the desired statistics. Its operations count is asymptotically e q u i v a l e n t
to earlier algorithms. H o w e v e r its p r o g r a m i m p l e m e n t a t i o n is often simpler.
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Authors' addresses' M Reiser, IBM Zunch Research Laboratory, CH-8803 Ruschhkon, Saumerstrasse 4,
Switzerland, S S. Lavenberg, 1BM Thomas J. Watson Research Center, Yorktown Heights, NY 10598
© 1980 ACM 0004-541 !/80/0400-0313 $00 75
The mean-value analysis is based on a relation between the mean waiting time and the
mean queue size of a system with one customer less. This mean-value equation, augmented
by Little's equation applied to each routing chain and separately to each service center,
will furnish a set of equations which are easily solved numerically. At no point do we
compute normalization constants. The new algorithms are simple and avoid overflow/
underflow problems which may arise with the convolution algorithm. All mean values for
the queue size are calculated in parallel. Hence the storage requirement is higher than with
previous algorithms. However, the new method is considerably faster in the case o f
multiservers.
Furthermore, our algorithms have a physically meaningful interpretation which provides
the basis for heuristic extensions. We give one such heuristic extension that replaces the
recursion over the closed chain populations by an iteration for fixed populations and thus
makes possible the approximate solution of large problems with possibly hundreds of
closed chains. Such problems arise in the framework of communications network modeling
and are intractable by exact methods. The heuristic is shown to be asymptotically valid for
large chain populations.
2. Preliminaries
We consider closed multichain queuing networks which have a product-form solution. In
particular, we assume R closed routing chains and L service centers. Each chain contains
a fixed number of customers who proceed through a subset of the service centers according
to a Markov chain. Service centers adopt one of the following service mechanisms:
(i) FCFS: customers are served in order of arrival; multiple servers are allowed.
(ii) PS: customers are served in parallel by a single server, each customer receiving an
equal share of the service rate (processor sharing).
(iii) LCFSPR: customers are served in reverse order of arrival by a single server and the
last arrival preempts the customer in service who will later resume service at the
point of interruption (last-come first-served preemptive resume).
(iv) D: customers are delayed independently of other customers at the service center
(there is effectively an infinite number of servers).
In the case of an FCFS service center, service demands must be exponentially distributed
and independent of a customer's chain membership. All other types of service center admit
chain-dependent phase-type service demand distributions [5, 9]. The service rate of a
service center may depend on the number o f customers at the center. One way this can
occur is if there are multiple servers at an FCFS service center, each having a constant
service rate. We adopt the following notation:
When convenient, we shall use K as an argument to indicate that the quantities relate to
the system with population vector K, e.g., nt(K) for a mean queue size or pz(k, K) for a
marginal queue size probability.
Without loss o f generality, we may assume Pr, the routing matrix o f chain r, to be
irreducible over S(r). F r o m standard Markov chain analysis, the mean number o f visits a
customer makes to service center l between successive arrivals at service center l*(r)
satisfies the equations
Or = OrP,, (2.1)
Or,t*t~) = 1, (2.2)
where & is the vector (8~,t: 1 E S(r)). (If ! E S(r), then &,t = 0.) Since Pr is an irreducible
stochastic matrix, the solution to (2.1) and (2.2) is unique. It is known that 8r,t is also the
throughput of chain r through service center l in units of the chain r throughput at the
marked center l*(r); namely,
~r,1 = Or, l~r,l*tr). (2.3)
It will also prove useful to define traffic intensities
pr,l = Or,l~'r,l. (2.4)
We shall also use Q(K) to denote a queuing network in the above class with population
vector K.
In order to prove the following theorems, we shall need the product-form solution o f
Q(K), which is well known from [2]. (We assume that the product-form solution is the
unique solution to the balance equations, i.e., that the network evolves as a finite state
Markov process which has a single irreducible class o f states.) Let (kl, ks . . . . . kL) be a state
vector of the network Q(K), where kt = (kt,t, k2,1 . . . . . ks,z) is a state vector o f service center
I and k~ + k2 + . . . + kL = K; kr,t is the number of chain r customers in center I. (The state
vector is not Markovian.) The equilibrium probability o f being in state (k~, k2. . . . . kL) is
given by
Irl(ka)~r2(k2) • • • lrL(kL)/g(K), (2.5)
where
k] k 2 kR
~'~) ffi a~(I k 0C(k)p~,~2,~ ... PR,t, (2.6)
Ikl f kl + k2 + . . . + kR, (2.7)
a~(O = II ( l / ~ ( j ) ) , (2.8)
.I--1
C(k) = I k I!/k,!k2! . . . ks!, (2.9)
and g(K) is the normalization constant. (We assume 0° = 1.) In all that follows any
quantity (e.g., Irj(k)) whose argument (e.g., k) has one or more negative components is
equal to zero.
There are many recursive relations which relate quantities o f Q(K) to those of
316 M. REISER AND S. S. LAVENBERG
Q(K - e,), i.e., to a system wRh one customer less in chain r. Such a relation for the
marginal queue size probabilities, not found in earlier publications, is given in
LEMMA I
I R
pt(k, K) -- p ~ tel Xr'tOK)¢r'tpt(k -- 1, K - er), k _> 1. (2.10)
PROOF. The following is a useful expression for the probability pt(k, K) that service
center I is in state k:
pt(k, K) = ~r,(k)ht(K - k)/g(K), (2.11)
where the quantity ht(i) is the sum of product terms ~rl(i0 . . . ~rz-l(it-1)~rl+l(it+0 . . . 7rL(iL)
over the domain ((il . . . . . it-l, iz+l. . . . . iL):~j,,t il ffi i}(i and ij, j = 1. . . . . L, are R-
dimensional index vectors). The term ht(i) is a normalization constant of a network related
to Q(i) with service center l removed. We also use the well-known equation for the
throughput [14], namely,
~,,t(K) = O,,tg(K - e,)/g(K). (2.12)
For simplicity of notation we drop the subscript I from pt( , ), a t ( ) , a t ( ) , ht(), ~,,t(),
p,,t, ¢r,t, let k = [k [, and let pk = p~ . . . . p ~ . Then, from (2.11) and (2.6),
where we used the identity C(k) -- ~ - 1 C(k - e r ) and the fact that h(K - e, - (k - e,))
ffi h(K - k) to obtain the second equality. Equation (2.12) was used to obtain the last
equality.
Equation (2.13) is similar to (2.10), but for the marginal-state probabilitiesp(k, K) rather
than the marginal queue size probabilitiesp(k, K). The lemma follows by taking appropriate
sums, whose details we omit for conciseness. A result similar to (2.10) is found in
[151. []
We now proceed to the main result.
THEOREM 1. The equilibrium mean waiting time Wr.t(K) o f chain r customers at service
center ! is related to quantities o f the network Q(K - e,) by
PROOF. For simplicity of notation we drop the subscript 1 and argument K from
n,,l(K), w,,t(K), k,.t(K), and drop the subscript l from a t ( ) , p t ( ) , h t ( ) , pt( , ), Or,l, ¢,,l.
We let K = [ K l, i = I i I, and pl = pil . . . p ~ , where i ffi (il . . . . . tR). From the definition of
n, and from (2.11), (2.6), and (2.12),
n¢= ~ i,C(i)a(Op i h ( K - i)
0~_~_K ~
= 2 iC(i - e,)
-
K •
+(i~+j)-J)P(J-I,K-e,)]" (2.15)
But the first sum in (2.19) is the definition of q~(K - er) and the second sum is the definition
of PBt(K e~), so that (2.16) follows. If Mz = 1, then ~l(0 = 1 and (2.17) follows directly
-
model can be mapped trivially into a multichain model without class changes. Thus a
solution to QOK) is also a solution to models with class changes.
m
K~
hr ~lEstr} O~.lW~,l ' (3.3)
where ~ is the throughput o f chain r at service center l*(r), i.e., ~r = ~r,~'t~}. Little's equation
for each service center yields the relation
n~,l ffi ~,lw~,l = ~O~,lw~,~ (3.4)
Now eqs. (3.1) to (3.4) allow for a recursive evaluation of mean queue sizes, mean waiting
times, and throughputs. The starting point is
n~,t(0) = 0 (3.5)
for all r = 1,2 . . . . . R ; l f f i 1,2 . . . . . L.
We shall state the computational procedure in semiformal algorithmic notation. It will
be beneficial to make the substitutions
w~z-- Or,zWr,t, (3.6)
nT-- 1 + nt. (3.7)
By i ffi (/1,/2 . . . . . &) we denote an R-dimensional index vector. Index vectors are appended
only to quantities which must be stored in looping through the index vectors. We assume
that reference to elements with negative indices yields the value zero. Furthermore, let
6(0 = 1 if i > 0 and 6(0) = 0.
where et is the mean service demand, which is assumed independent of the chain. The
calculation is complicated by the marginal queue size probabilities, which we have to carry
along in the recurswe scheme. This can be done by means of Lemma 1, which allows
calculation ofpt(i, K), i = 1, 2 . . . . . M~ - 1 from previously computed values. In order to
keep the recursion going, we need an independent equation forpt(0, K), which is obtained
from the relations
Mi
(Mr - Opt(i, K) -- mean number of idle servers = M~ - ut, (3.9)
where
R
ut = ~'t ~ ~,,t. (3.10)
r~l
Note that (3.10) is simply Little's equation applied to the set of servers.
We summarize in algorithmic notation:
A L G O R I T H M 2 To calculate mean queue sizes, mean waiting tunes and throughputs (multiple server case):
1 (Intttahzation)n~(O)~--l,pt(O,O)*-l,pt(i,O).~-Oforlffi ! , 2 , . , L , lffi 1,2 . . . . M ~ - l
2 (Mare loops on i) same as Algorithm 1
3. (Corollary I)
, ~.= 0 r d ,.
W,.~ Ml nl0--e,)+ 2 (Ml-l-j)pt(j,i-e,)
j-o
for • ffi 1, 2, , R and each multtserver FCFS service center ! E S(•); for other service centers use the waiting
tune equations m step 3 of Algonthm 1.
4 (Ltttle's equation for chains yields h,) same as A l g o m h m i
5 (Little's equation for service centers yields n7 (i)) same as Algorithm i
6. (Addmonal step under mare loops to calculate margmal queue stze probabdmes) for each multiserver FCFS
servtce center I andj = 1, 2, , Mt - 1
320 M. REISER A N D S. S. L A V E N B E R G
I
p ~ , i) ,,--- Y X , a , . t p ~ - 1, i - e,.).
J r~R(/)
rER{/)
The operations count per multiserver service center and per recursive step is of the order
of 2(M + I)R additions and 3 M R + 2 M multiplications or roughly 5 M R operations. We
observe that it grows linearly with M, which is now substantially better than previous
algorithms [l l] which had an operations count of the order M R. Once more we have
avoided normalization constants and their associated growth problems. Storage require-
ment is of the order MLKiK2 . . . KR, In the case of the convolution algorithm, the storage
requirement is 2KiK2 . . . KR + M R.
Finally, we wish to mention that Algorithm 2 generalizes straightforwardly to general
queue-dependent service rates if (2.14) is substituted in step 3.
w~zffipr, t ( l + n z - ~ E ) ~ t ) , : . , (4.3)
K~
A~ = (4.4)
Xl~S(r) W r,
* l,
n: -~ ~ Arw~t, (4.5)
r~R(l)
where for conciseness we have omitted the argument K. We may solve this set of equations
by cyclic iteration through (4.2) to (4.5).
In order to estimate the correction terms ¢¢,t = m.t(K) - nr.z(K - e:), we make two
assumptions:
(1) Only the chain with one customer removed is affected; i.e.,
¢¢,t == 0 for j # r. (4.6)
(2) For the affected chain ( j ffi r) the corrections can be estimated by means of a single
coalesced closed chain problem. We write
~.t ffi n,(K,) - Jt(Kr - 1), (4.7)
Mean-Value Analysis o f Closed Multichain Queuing Networks 321
where ffj is the mean queue size of service center l in a single chain queuing network with
Kr chain r customers and with modified parameters
f pr,tnt if l ~ S(r),
pl=l~r't (4.8)
otherwise.
Note that nt and n,,t = )~,w~z are those quantities in effect at a given iteration cycle of
Algorithm 3. The operations count per iteration cycle is of the order L K where K = K1 +
K2 + . . . + KR, dearly an affordable effort even fordarge problems. We shall show that
this heuristic algorithm is asymptotically valid as the population becomes large.
We consider the limit a ~ oo such that Kr = K,a and Kr is fixed, r = 1. . . . . R. The
quantity ¢,',t, given by (4.7) and (4.8), is the increment in mean queue size for a single chain
network when the populaUon size is increased by 1. It can be shown (e.g., [8]) that 0 _<
Err,I ~ 1. Let nt = lim~_~nt(K)/a, ff~l = lim~_,~w~t(K)/a, ~, = lim~_.~h,(K).
We assume that these limits exist for all I. It then follows from (4.3) to (4.6) that
I~r*,l "~ pr, ll~l, (4.9)
. * , (4.10)
~IES(r) W r,l
nt = ~ ~,Wr*,t. (4.11)
rER(1)
Pittel [10] proved rigorously that (4.9) to (4.11) describe the limit a ~ oo of queuing
networks in the class Q(K). Furthermore, he proved convergence of cyclic iteration through
(4.9) to (4. l 1). The examples given in [12] show that the heuristic is within a few percent
of the true value for rather small population sizes. Further validation work is in progress.
In summary, we showed that a few very simple and intuitively appealing principles
completely govern the mean-value behawor of product-form queuing networks with
multiple closed chains. These principles are
(i) an arriving customer "sees" the system with himself removed in equilibrium;
(ii) Little's equation applied to chains;
(iii) Little's equation applied to service centers.
They allow a very simple and stable calculation of most quantities of interest to modelers.
The three principles yield considerable insight into the analysis of closed multichain
networks. This has led to a heuristic method which allows for the approximate solutton of
problems with very many closed chains. The heurisUc was shown to be asymptotically
valid, and hence it should work better the larger the problem. Large computer communi-
cation networks with end-to-end flow control windows are now amenable to analytic
treatment. Another heuristic generalization which covers FCFS service centers with general
chain dependent service demand distributions is currently being investigated.
ACKNOWLEDGMENTS. The authors are grateful for the helpful discussions they had with
R. Wolff, P. J. Schweitzer, and H. Kobayashi.
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