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Network Modeling

Formulary

Fiandrino Claudio - Pievanelli Elisa

Academic Year 2010/2011

Contents

I Theory 5

1 Elementary Queueing Theory 6

1.1 Introduction and Basic Deﬁnitions . . . . . . . . . . . . . . . . . . . . . 6

1.1.1 Arrivals and Service . . . . . . . . . . . . . . . . . . . . . . . . . 6

1.1.2 Scheduling Disciplines . . . . . . . . . . . . . . . . . . . . . . . . 11

1.1.3 Kendall’s Notation . . . . . . . . . . . . . . . . . . . . . . . . . . 12

1.1.4 Graphical Representation of Queue . . . . . . . . . . . . . . . . . 12

1.1.5 Measurement of Eﬀectiveness . . . . . . . . . . . . . . . . . . . . 13

1.1.6 Little’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

1.2 Birth-Death Processes: The M/M/1 Queue . . . . . . . . . . . . . . . . 15

1.2.1 Description and Steady-State Solution . . . . . . . . . . . . . . . 15

1.2.2 Performance Measurement . . . . . . . . . . . . . . . . . . . . . . 17

1.3 Finite-Capacity System - The M/M/1/N Queue . . . . . . . . . . . . . . 19

1.4 Multiservers Systems - The M/M/c Queue . . . . . . . . . . . . . . . . . 21

1.5 Multiservers Systems - The M/M/c/0 Queue . . . . . . . . . . . . . . . 23

1.6 Multiservers Systems - The M/M/∞ Queue . . . . . . . . . . . . . . . . 25

1.7 Finite-Source Systems - The M/M/1/N-1/N Queue . . . . . . . . . . . . 26

1.8 Finite-Source Systems - The M/M/k/0/N Queue . . . . . . . . . . . . . 26

2 Queues with Phase-Type Laws 28

2.1 The Erlang-r Service Model - The M/E

r

/1 Queue . . . . . . . . . . . . 28

2.2 The Erlang-r Arrival Model - The E

r

/M/1 Queue . . . . . . . . . . . . 30

2.3 The M/H

2

/1 and H

2

/M/1 Queues . . . . . . . . . . . . . . . . . . . . . 32

3 The M/G/1 and the G/M/1 Queues 34

3.1 Introduction in the M/G/1 Queue . . . . . . . . . . . . . . . . . . . . . 34

3.2 Solving the M/G/1 Queue . . . . . . . . . . . . . . . . . . . . . . . . . . 35

3.3 Average in other type of queue . . . . . . . . . . . . . . . . . . . . . . . 38

4 Queueing Networks 39

4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39

4.1.1 Basic Deﬁnitions . . . . . . . . . . . . . . . . . . . . . . . . . . . 39

4.1.2 The Departure Process - Burke’s Theorem . . . . . . . . . . . . . 39

2

Politecnico di Torino Formulary ver. 1.1

4.1.3 Two M/M/1 Queues in Tandem . . . . . . . . . . . . . . . . . . 41

4.2 Open Queueing Networks . . . . . . . . . . . . . . . . . . . . . . . . . . 41

4.2.1 Feedforward Networks . . . . . . . . . . . . . . . . . . . . . . . . 41

4.2.2 Jackson Networks . . . . . . . . . . . . . . . . . . . . . . . . . . 41

4.3 Closed Queueing Networks . . . . . . . . . . . . . . . . . . . . . . . . . . 44

II Exercises 45

5 Preliminary Exercises 46

6 Exercises on Queues 51

7 Network queues exercises 70

8 Simulation of exams 73

III Appendix 92

A Formulas 93

B Integrals 96

C Series 98

3

Introduction

The formulary consists of a theorical part, exercises and formulas.

We have wrote it during the course Network modelling: theory and simulation

attended, for the ﬁrst time, in this year.

The ﬁrst part has been written by Pievanelli Elisa, while the exercises by Fiandrino

Claudio

‡

.

‡

Contact me from http://claudioﬁandrino.altervista.org/ section contact & links.

4

Part I

Theory

5

Chapter 1

Elementary Queueing Theory

1.1 Introduction and Basic Deﬁnitions

The server(s) and the queue into which arriving customers are directed together con-

stitute the service facility or queueing system. Also, it frequently happens that both

the queue and the server are collectively referred to as a queue, such as the M/M/1

queue or the M/G/1 queue. One after the other, customers arrive to the service facil-

ity, eventually receive service and then depart. We make some assumptions about all

queueing systems we analyze:

• If the server is free (not already serving a customer) an arriving customer goes

immediately into service. No time at all is spent in the queue.

• If the server is busy, then the customer joins a queue of waiting customers and

stays in the queue until entering service.

• When the server becomes free, a customer is chosen from the queue according to

a scheduling policy and immediately enters into service. The time between the

departure of one customer and the start of service of the next customer is zero.

• Customers remain in the system until their service is complete and then they

depart. Customers do not become impatient and leave before they receive service.

1.1.1 Arrivals and Service

The length of a queue depends on the complete probabilistic description of the arrival

and service processes - the demand being placed on the resource - and of the capacity of

the resource to service these demands. It’s evident that, if the average service demands

of arriving customers are greater than the system service capacity, the system will break

down since unbounded queues will form. On the other hand, if the average arrival rate

is less than the system service capacity, then we still get queues. Even when the average

arrival and service rates are held constant, an increase in the variation of arrivals or

service increases the congestion. Thus we use elementary probability theory to predict

6

Politecnico di Torino Formulary ver. 1.1

average waiting times, average queue length, distribution of queue length, etc., on the

basis of:

• the arrival pattern of customers to the resource,

• the service pattern of customers,

• the scheduling algorithm in which the next customer to be served is chosen.

In some scenario, the space available to hold customers waiting for service, may be

limited. When the queue has reached its maximum capacity, so it is full; customers

who arrive to ﬁnd the queue full are lost.

The Arrival Process

The customer arrival process may be described in two ways:

1. By characterizing the number of arrivals per unit time (the arrival time);

2. By characterizing th time between successive arrivals (the interarrival time).

We use the variable λ to denote the mean arrival rate (1/λ denotes the mean time

between arrivals). If the arrival pattern is not deterministic, the input process is a

stochastic process, which means that we need its associated probability distribution.

The probability distribution of the interarrival time of customers is denoted by A(t)

where

A(t) = P (time between arrivals ≤ t)

and

1

λ

=

_

∞

0

t dA(t)

where dA(t) is the probability that the interarrival time is between t and t + dt. We

assume that these interarrival times are independent and identically distributed (iid),

which means that only A(t) is of signiﬁcance. The manner in which the arrival pattern

changes in time may be important. An arrival pattern that does not change with time

is called homogeneous arrival process. If it is invariant to shifts in the time origin, it

is called stationary arrival process.

The Service Process

The service pattern may be describe by a rate, the number of customers served per

unit time, or by a time, the time required to serve a customer. The parameter µ is used

to denote the mean service rate (1/µ denotes the mean service time). We use B(x) to

denote the probability distribution of the demand placed on the system

B(t) = P (Service time ≤ x)

7

Politecnico di Torino Formulary ver. 1.1

and

1

µ

=

_

∞

0

xdB(x)

where dB(x) is the probability that the service time is between x and x + dx. The

service time is equal to the length of time spent in service and does not include the

time spent waiting in the queue. Although it is usual to associate the service time

distribution with the server, the service time is actually the time that is request or

needed by customer who is taken into service. The service may be batch or single.

With batch service, several customers can be served simultaneously. Also, the service

rate may depend on the following factors:

1. Each server has its own queue.

2. There are fewer queues than server. Typically, there is a single queue for all

servers.

The servers may or may not be identically, B(x) may be diﬀerent for diﬀerent servers.

The capacity that a service facility has to hold waiting customers is often taken to be

inﬁnite.

Poisson Arrivals and Exponential Service

In stochastic modelling, numerous random variables are frequently modelled as expo-

nentials. These include:

• interarrival time,

• service time,

• time to failure of a component,

• time required to repair a component.

Recall that the cumulative distribution function for an exponential random variable,

X, with parameter λ > 0, is given by

F(x) =

_

1 −e

−λx

x ≥ 0

0 otherwise

and its corresponding probability density function is

f(x) =

_

λe

−λx

x ≥ 0

0 otherwise

Its mean and variance are given, respectively, by

E[X] =

1

λ

Var [X] =

1

λ

2

Reason for the use of exponential distribution include:

8

Politecnico di Torino Formulary ver. 1.1

1. its memoryless property and resulting analytical tractability,

2. its relationship to the Poisson process.

Deﬁnitions of Poisson process:

1. {t

i

} is a Poisson process if:

• t

i+1

−t

i

IID (interarrival times are independent and identically distributed),

• t

i+1

− t

i

∼ e

λ

(interarrival times are distributed as an exponential with

parameter λ)

2. A Poisson process {N(t), t ≥ 0} having a rate λ ≥ 0 is a counting process with

independent and stationary increments, with N(0)=0, and is such that the number

of events that occur in any time interval of length t has a Poisson distribution

with mean λt. This means that

P (N(t +s) −N(s) = n) = e

−λt

(λt)

n

n!

n = 0, 1, 2, . . .

Thus a Poisson process is a continuous-parameter, discrete-state process.

3. Let N(t) be the number of events that occur in an interval (0,t]. When the

following four conditions are true, then {N(t), t ≥ 0} is a Poisson process:

(a) N(0)=0,

(b) Events that occur in nonoverlapping time intervals are mutually indepen-

dent,

(c) The number of event that occur in any interval depends only on the length

of the interval and not on the past history of the system,

(d) For suﬃciently small h and some positive constant λ, we have

P (One event in(t, t +h]) = λh +o(h)

P (Zero events in(t, t +h]) = 1 −λh +o(h)

P (More Than one event in(t, t +h]) = o(h)

where o(h) (”little o h”) is any quantity that tends to zero faster than h

lim

h→0

o(h)

h

= 0

These deﬁnitions of the Poisson process are equivalent. The number of arrivals, N(t),

in the interval (0,t] has a Poisson distribution with parameter λt. To compute the mean

number of arrivals in an interval of length t, we proceed as follows:

E[N(t)] =

∞

k=1

k p

k

(t) =

∞

k=1

k e

−λt

(λt)

k

k!

= λt

_

∞

k=1

(

(λt)

k−1

(k −1)!

_

e

−λt

=

= λt

_

∞

k=1

(λt)

k

k!

_

e

−λt

= λt

9

Politecnico di Torino Formulary ver. 1.1

Poisson Process Have Exponential Interarrival Times

If the arrival process is a Poisson process, then the associated random variable de-

ﬁned as the time between successive arrivals (the intearrival time) has an exponential

distribution. The arrival process is Poisson:

p

n

(t) = e

−λt

(λt)

n

n!

, n = 0, 1, 2, . . .

Which describes the number of arrivals that have occurred by time t. Let X be the

random variable that denotes the time between successive arrivals. Its probability

distribution function is given by

A(t) = P (X ≤ t) = 1 −P (X > t)

But P (X > t) = P (0 arrivals in (0, t]) = p

0

(t). Thus

A(t) = 1 −p

0

(t) = 1 −e

−λt

t ≥ 0

with corresponding density function

a(t) = λe

−λt

t ≥ 0

This deﬁnes the exponential distribution. Thus X is exponentially distributed with

mean 1/λ and, consequently, for a Poisson arrival process, the time between arrivals is

exponentially distributed.

Superposition and Decomposition of Poisson Process

When two or more independent Poisson streams merge, the resulting stream is also

a Poisson stream. It follows then that multiple processes to a single service center

can be merged to a single arrival process whose interarrival times are exponentially

distributed. If the i-th stream, i = 1, 2, ..., n, has parameter λ

i

, then the parameter for

the merged stream is given by

λ =

n

i=1

λ

i

A single Poisson stream may be decomposed into multiple independent Poisson streams

if the decomposition is such that customers are directed into substreams i, i=1,2,...,n

with probability p

i

and

n

i=1

p

i

= 1

10

Politecnico di Torino Formulary ver. 1.1

PASTA (Poisson Arrivals See Time Average)

An important property of the Poisson arrival process is that the distribution of cus-

tomers seen by an arrival to a queueing system is, stochastically, the same as the limiting

distribution of customers at the system. Once the queueing system has reached the

steady state, each arrival from a Poisson process ﬁnds the system at equilibrium. If p

n

is the probability that the system contains n customers at equilibrium and a

n

is the

probability that an arriving customer ﬁnds n customers already present, then PASTA

says that p

n

= a

n

.

π

(i)

a

= lim

∆t→0

P (N(t) = i | one arrival in(t, t + ∆t))

= lim

∆t→0

P (N(t) = i, one arrival in(t, t + ∆t))

P (one arrival in(t, t + ∆t))

= lim

∆t→0

P (one arrival in(t, t + ∆t) | N(t) = i)

P (one arrival in(t, t + ∆t))

·

P (N(t) = i)

P (one arrival in(t, t + ∆t))

=

P (one arrival in(t, t + ∆t)) · P (N(t) = i)

P (one arrival in(t, t + ∆t))

= P (N(t) = i) = π

(i)

This result is a consequence of the memoryless property if the interarrival time distri-

bution of customers to queueing system fed by Poisson process: it does not depend on

the service time distribution. The PASTA property does not hold for arrival processes

diﬀerent from Poisson.

1.1.2 Scheduling Disciplines

The scheduling policy, or discipline, is the manner in which the customers are selected

from the queue and taken into service. We assume that the time it takes to select a

customer and to enter that into service is zero. We have two type of policies:

• Preemptive policies: it is used when there are diﬀerent types of customer (high

priority and low priority). When a high priority customer enters the queue and

ﬁnds a lower priority customer in service, the service of the lower priority customer

is interrupted and later resumed.

• Nonpreemptive system: in this case the server will commence the service of lower

priority customer if there are no higher priority customers in the queue. Several

scheduling disciplines exist:

– FCFS (First Come First Served), also called FIFO (First In First Out). In

this case it is selected the ﬁrst customer at the head of the queue to be the

ﬁrst served.

– LCFS (Last Come First Served) is the opposite of FCFS. The last customer

to arrive is the one next chosen to be served.

11

Politecnico di Torino Formulary ver. 1.1

– LCFS-PR (Last Come First Served-Preempt Resume)

– SIRO (Service In Random Order). The next customer to be served is chosen

at random among all those waiting.

– RR (Round Robin). In this scheduling discipline, the duration of service

provided each time a customer begins service is limited to a ﬁxed amount

(time slice). If a customer completes its service at any point during the time

slice, it immediately departs from the service center and the customer at the

head of the queue begins to be served. If, after the time slice has ﬁnished,

a customer has still not completed its service requirement, that customer is

reinserted back into the end of the queue to await its turn.

– PS (Processor Sharing), it is a limiting case of RR in whiche the time slice

goes to zero.

– IS (Inﬁnite Server). In this case the server has the ability to serve all cus-

tomers simultaneously.

– PRIO (Priority scheduling). The customer chosen from the queue is the one

with the highest priority.

1.1.3 Kendall’s Notation

Kendall’s notation is used to characterize queueing systems. It is given by A/B/C/X/Y/Z

where

A indicates the interarrival time distribution

B indicates the service time distribution

C indicates number of servers

X indicates the system capacity

Y indicates the size of the customer population

Z indicates the queue scheduling discipline

Some possible distribution for interarrival and service time are: M for Markovian, E for

Erlang, G for General and D for Deterministic. The number of servers is often taken

to be 1. This ﬁrst three parameters are always provided. The letters that specify the

system capacity, customer population and scheduling discipline may be omitted with

the understanding that the default values for capacity and population size is inﬁnite

and the default scheduling discipline is FCFS.

1.1.4 Graphical Representation of Queue

There are several ways to graph a queueing system, but we will see only one. for a

FCFS, single server queue. one possibility is shown in the ﬁgure 1.1.

12

Politecnico di Torino Formulary ver. 1.1

Time

N. customers

1

2

3

4

τ

1

τ

2

τ

3

τ

4

τ

5

τ

6

t

2

t

3

t

4

t

5

t

6

w

2

x

1

x

2

x

3

x

4

x

5

x

6

Figure 1.1: Representation of a queue

Let we denote with C

n

the n

th

customer that enters in the queue. Let we denote

with τ

n

the time at which C

n

arrives in the system and t

n

the arrival time between

the arrival of C

n−1

and C

n

. We assume that the t

n

are drawn from a distribution

such that P (t

n

≤ x) = A(t), independent of n, where A(t) is completely arbitrary

interarrival time distribution. Equally, we can deﬁne x

n

to be the service time for C

n

and P (x

n

≤ x) = B(x), where B(x) is a completely arbitrary service time distribution.

In the ﬁgure we have plotted N(t), the number of customers in the system at time t;

and w

n

represents the waiting time for C

n

and s

n

represent the system time for C

n

.

Moreover, we can say that:

. t

n

are interarrival times;

. x

n

are interdeparture times.

1.1.5 Measurement of Eﬀectiveness

We analyze a queueing system with the purpose of obtaining the values of certain system

properties; for example: the number of customers in the system, the waiting time of a

customer, the length of a busy or idle period, the current work backload, etc.. These

are called measurement of eﬀectiveness. All these values are random variables and we

have to know their complete probabilistic descriptions, but sometimes we are satisﬁed

to be able to derive just mean and variance. We now consider the most commonly

obtained measures of eﬀectiveness:

• Number of customers: let N the random variable that describes the number

of customers in the system at steady state. The probability that at steady state

13

Politecnico di Torino Formulary ver. 1.1

the number of customer present in the system is n is denote by p

n

,

p

n

= P (N = n)

and the average number in the system at steady state is

E[N] =

∞

i=0

n · p

n

Let N

q

be the random variable that describes the number of customers waiting

in the queue and we denote its mean by E[N

q

].

• System time and queueing time: the time that a customer spend in the

system, from the instant of its arrival to the queue to the instant of its departure

from the server, is called the response time. This is a random variable and we

denote it by R and its mean value is E[R]. The response time is composed of the

time that the customer spends waiting in the queue, called waiting time, plus the

time the customer spends receiving service, called service time. Let W

q

be the

random variable that describes the time spends by the customer waiting in the

queue and its mean is E[W

q

].

• System utilization: in a queueing system with a single server, the utilization

U is deﬁned as the fraction of time that the server is busy. If the rate at which

customers arrive in the queueing system is λ and if µ is the rate at which these

customers are served, then the utilization is equal to ρ =

λ

µ

(where ρ is identiﬁed

with the utilization). In the case of queueing system with multiple servers, the

utilization is deﬁned as the average fraction of server that are active U =

λ

cµ

.

• System throughput: The throughput of a queueing system is equal to its

departure rate, the average number of customers that are processed per unit

time. It is denote by X. In a queueing system in which customers that arrive

are eventually served and leave the system, the throughput is equal to the arrival

rate λ.

• Traﬃc intensity: we deﬁne the traﬃc intensity as the rate at which work enters

the system, so it is given as the product of the average arrival rate of customers

and the service time: λ¯ x =

λ

µ

, where ¯ x =

1

µ

and µ is the mean service rate. In a

queueing system with a single server the traﬃc intensity is equal to the utilization.

For multiple servers, the traﬃc intensity is equal to cU.

1.1.6 Little’s Theorem

Little’s theorem equates the number of customers in a system to the product of the

eﬀective arrival rate and the time spend in the system. We assume that

E[N] = lim

T→∞

1

T

_

∞

0

N(t) dt

14

Politecnico di Torino Formulary ver. 1.1

E[D] = lim

N→∞

N

i=1

D

i

N

and the Little’s theorem says:

E[N] = E[λ] · E[D]

This says that the number of customers in the system is equal to the average arrival

rate of customers in the system multiplied by the average system time per customer.

Little’s theorem can be applied individually to the diﬀerent parts of a queueing system,

the queue and the server.

1.2 Birth-Death Processes: The M/M/1 Queue

Birth-Death processes are continuous-time Markov chains with a special structure. If

the states of the Markov chain are indexed by integer 0,1,2,.. , then transitions are

permitted only from state i > 0 to its nearest neighbors state i − 1 and i + 1.For the

state i = 0 the Markov chain must enter state 1. These processes are called skip-free

processes because to go from any state i to any other state j, each intermediate state

must be visited. An arrival to the queueing system results in one additional unit in

the system, and is deﬁned with a birth, whereas a departure removes a unit from the

system as is referred to as a death. The simplest of all queeuing system is the M/M/1

queue. This is a single server queue with FCFS scheduling discipline, an arrival process

that is Poisson and service time that is exponentially distributed.

1.2.1 Description and Steady-State Solution

At any time t, the state of an M/M/1 queue is completely characterized by specifying

the number of customers present. The state are denote with an integer number, n

denotes the state in which there are n customers in the system, including the one in

service. We want to know the state probabilities, the probability that the system is in

any given state n at any time t.

p

n

(t) = P (n in the sistem at time t)

This is a diﬃcult task; so we look to the steady-state probabilities

π

n

= lim

t→∞

p

n

(t)

If this limit exists, then the probability of ﬁnding the system in any particular state

eventually becomes independent of the starting state. This probability p

n

can be in-

terpreted as the probability of ﬁnding n customers in the system at an arbitrary point

in time after the process has reached steady state. Not all systems reach the steady

state, for some queueing systems it is impossible that lim

t→∞

p

n

(t) may not yield a true

probability distribution. This system is a Markov chain so we can draw the diagram

15

Politecnico di Torino Formulary ver. 1.1

0 1 2

n · · · n + 1

λ

µ

λ

µ

λ

µ

Figure 1.2: State transition diagram of an M/M/1 queue

transition state (ﬁgure 1.2):

The arrivals are distributed as an exponential with parameter λ and the service times

are exponentially distributed with parameter µ. The steady state equation are:

State 0 : λπ

0

= µπ

1

State 1 : (λ +µ) · π

1

= λπ

0

+µπ

2

State n : (λ +µ) · π

n

= λπ

n−1

+µπ

n+1

n ≥ 1

If we sum the ﬁrst two equations we obtain: λπ

1

= µπ

2

. If we substitute this result

in one of the ﬁrst two equations we can ﬁnd the value of π

1

or π

2

. If we repeat this

procedure for all the state of the system we’ll ﬁnd:

λπ

n

= µπ

n+1

n ≥ 0

π

n+1

=

λ

µ

π

n

n ≥ 0

To ﬁnd the value of π

0

we proceed as follows:

π

1

=

λ

µ

π

0

π

2

=

λ

µ

π

1

=

_

λ

µ

_

2

π

0

π

n

=

_

λ

µ

_

n

π

0

If we impose ρ =

λ

µ

, we ﬁnd

π

n

= ρ

n

π

0

Now we need to know if the M/M/1 system is ergodic.

A Markov chain is ergodic if:

• ρ =

λ

µ

< 1

• π

0

= 1 −ρ

• π

n

= (1 −ρ)ρ

n

n > 0

16

Politecnico di Torino Formulary ver. 1.1

At this point, we impose

∞

i=0

π

i

= 1

This implies

π

0

∞

i=0

ρ

i

= 1

π

0

=

1

∞

i=0

ρ

i

with

∞

i=0

ρ

i

< ∞

1.2.2 Performance Measurement

Mean Number in System

Let N be the random variable that describes the number of customers in the system at

steady state and let E[N] be the mean number of customers in the M/M/1 queue.

E[N] =

∞

n=0

nπ

n

=

∞

n=0

n(1 −ρ)ρ

n

For n = 0, the product is zero then we can start the sum from n = 1

E[N] = (1 −ρ)

∞

n=1

nρ

n

= (1 −ρ)ρ

∞

n=1

nρ

n−1

Since nρ

n−1

can be written as nρ

n−1

=

dρ

n

dρ

E[N] = (1 −ρ)ρ

∞

n=1

d

dρ

ρ

n

= (1 −ρ)ρ

d

dρ

_

∞

n=1

ρ

n

_

We know that

∞

n=1

ρ

n

=

∞

n=0

ρ

n

−1 =

1

1 −ρ

−1 =

ρ

1 −ρ

so we can write

E[N] = (1 −ρ)ρ

d

dρ

_

ρ

1 −ρ

_

=

ρ

1 −ρ

(ρ < 1)

17

Politecnico di Torino Formulary ver. 1.1

Variance of Number in System

To compute the variance of the number of customers in an M/M/1 queue, we use the

formula

Var [N] = E

_

N

2

¸

−E[N]

2

The second moment is

E

_

N

2

¸

=

∞

n=0

n

2

π

n

=

∞

n=0

n

2

(1 −ρ)ρ

n

= (1 −ρ)

∞

n=0

n

2

ρ

n

= (1 −ρ)ρ

∞

n=0

n

2

ρ

n−1

= (1 −ρ)ρ

d

dρ

_

∞

n=0

nρ

n

_

= (1 −ρ)ρ

d

dρ

_

ρ

(1 −ρ)

2

_

= (1 −ρ)ρ

(1 −ρ)

2

+ 2(1 −ρ)ρ

(1 −ρ)

4

= ρ

ρ

(1 −ρ)

2

In this way we can write the variance as follows

Var [N] = ρ

ρ

(1 −ρ)

2

−

_

ρ

1 −ρ

_

2

=

ρ

(1 −ρ)

2

Delay - Mean of Waiting in the Queue

If the mean service time is 1/µ and the mean waiting time is n/µ we can write the

mean of waiting in the queueing system as

E[W | find 0 customer] =

1

µ

E[W | find 1 customer] =

2

µ

E[W | find n customers] =

n + 1

µ

=⇒

_

1

µ

+

n

µ

_

In this way we can compute the mean of waiting in the queueing system

E[W] =

∞

n=0

E[W | n] · P (finding n customers) =

∞

n=0

n + 1

µ

π

(n)

a

Applying PASTA we obtain

E[W] =

∞

n=0

n + 1

µ

π

n

=

∞

n=0

n + 1

µ

(1 −ρ)ρ

n

=

1/µ

1 −ρ

Throughput, Utilization and Traﬃc Intensity

The throughput of the M/M/1 queue is equal to the arrival rate, X = λ. The utilization

in equal to the traﬃc intensity and is given by:

U =

λ

µ

18

Politecnico di Torino Formulary ver. 1.1

1.3 Finite-Capacity System - The M/M/1/N Queue

In an M/M/1/N queue customers arrive according to a Poisson process at rate λ and

receive service that is exponentially distributed with a mean service time of 1/µ from

a single server. The diﬀerence from the M/M/1 queue is that at most N customers

are allowed into the system. A customer that arrives and ﬁnd the system full it is

discarded, and then lost. To analyze the M/M/1/N queue, we use a birth-death model

and choose the parameter so that the Poisson arrivals stop as soon as N customers

are present. Figure 1.3 shows the system. The parameters of the exponential service

distribution are unchanged. Then

λ

n

=

_

λ n < N

0 n ≥ N

µ

n

= µ for n = 1 , 2 , · · · , N

We can now write the ﬂow balance equations:

0 1 2 N −2 · · · N −1 N

λ

µ

λ

µ

λ

µ

λ

µ

Figure 1.3: State transition diagram of an M/M/1/N queue

λπ

0

= µπ

1

λπ

1

= µπ

2

λπ

i

= µπ

i+1

i ≤ N

π

i

= ρ

i

π

0

ρ =

λ

µ

The system is ergodic so we impose

N

i=0

π

i

= 1

therefore by substituting π

i

= ρ

i

π

0

N

i=0

ρ

i

π

0

= 1

π

0

=

1

N

i=0

ρ

i

19

Politecnico di Torino Formulary ver. 1.1

Recall that

N

i=0

ρ

i

=

1 −ρ

N+1

1 −ρ

We can write:

π

0

=

1 −ρ

1 −ρ

N+1

And then we can obtain the value of π

i

π

i

= ρ

i

·

1 −ρ

1 −ρ

N+1

i ≤ N + 1

Now we try to ﬁnd some important parameter of this type of queue:

- The loss probability is P

loss

= π

(N+1)

a

In this case we can apply PASTA, because the arrival process is Poisson, and

we’ll ﬁnd:

P

loss

= π

(N+1)

a

= π

N+1

=

ρ

N+1

(1 −ρ)

1 −ρ

N+2

For ρ < 1 and N → ∞ the loss probability tends to 0 while, considering ρ > 1

and N →∞ the loss probability is:

P

loss

=

ρ −1

ρ

N+2

ρ

N+1

−

1

ρ

N+1

=

ρ −1

ρ

≈ 1 −

1

ρ

- The throughput is the number of customers that arrive in a unit of time; in this

case the formula for the throughput in input is:

T

in

= λ

= λ(1 −P

loss

) = λ(1 −π

N+1

)

and the formula for the throughput in output is:

T

out

= µ

= µ(1 −π

0

) = µ

_

1 −

1 −ρ

1 −ρ

N+2

_

If λ < µ and N →∞ : µ

< λ

If λ > µ and N →∞ : µ

= µ

If N = 0

T

out

= µ

_

1 −

1 −ρ

1 −ρ

2

_

= µ

_

−ρ

2

+ρ

1 −ρ

2

_

= µρ

1 −ρ

(1 +ρ)(1 −ρ)

=

µρ

1 +ρ

=

λ

1 +ρ

20

Politecnico di Torino Formulary ver. 1.1

- Delay: for the calculation of the delay we use the Little’s Theorem

E[N] = E[λ] · E[D]

E[D] =

E[N]

λ(1 +π

N+1

)

E[N] =

N+1

i=0

iπ

i

=

ρ[1 −(N + 2)ρ

N+1

+ (N + 1)ρ

N+2

]

1 −ρ

2

·

1 −ρ

1 −ρ

N+2

E[D] =

ρ[1 −(N + 2)ρ

N+1

+ (N + 1)ρ

N+2

]

(1 −ρ)(1 −ρ

N+2

)

λ

_

1 −

ρ

N+1

(1 −ρ)

1 −ρ

N+2

_

If ρ < 1 and N →∞:

E[D] =

ρ

λ(1 −ρ)

=

1/µ

1 −ρ

If N = 0:

E[D] =

1

µ

1.4 Multiservers Systems - The M/M/c Queue

The M/M/c queue consists of c identical servers. In this queue customers arrive ac-

cording to a Poisson process with rate λ

n

= λ for all n and are served in ﬁst-come

ﬁrst-served order by any available server. Each of the c servers provides independent

and identically distributed exponential service rate µ. When the number of customers

is greater or equal to c, n ≥ c, then all the servers are busy and the eﬀective service

rate is equal to cµ. If the number of customer is less than c, then only n out of c servers

are busy and the eﬀective service rate is equal to nµ. The term load dependent service

center is used to designate a service center in which the customers departure rate is a

function of the number of customers present. With c identical servers, each providing

service at rate µ, and a total of n customers present, the load dependent service rate

is equal to

µ(n) = min{n, c} · µ

The state transition diagram of an M/M/c queue is represented in ﬁgure 1.4. It

follows that the arrival rate and the service rate to deﬁne the M/M/c queue are given

by

λ

n

= λ ∀n

µ

n

=

_

nµ 1 ≤ n ≤ c

cµ n ≥ c

21

Politecnico di Torino Formulary ver. 1.1

0 1

c −2 · · · c −1 c c + 1 · · ·

λ

µ

λ

(c −1)µ

λ

cµ

λ

cµ

Figure 1.4: State transition diagram of an M/M/c queue

The condition for ergodicity is λ < cµ.

The ﬂow balance equation are:

λπ

0

= µπ

1

λπ

1

= 2 µπ

2

For a generic i we obtain:

λπ

i

= (i + 1)µπ

i+1

i < c

λπ

i

= cµπ

i+1

i ≥ c

And from these equations we ﬁnd:

1. for i < c

π

i+1

=

λ

(i + 1)µ

π

i

π

i

=

_

λ

iµ

_

·

_

λ

(i −1)µ

_

·

_

λ

(i −2)µ

_

· . . . ·

_

λ

µ

· π

0

_

π

i

=

_

λ

µ

_

i

1

i!

π

0

2. for i ≥ c

π

i+1

=

λ

cµ

π

i

π

i

=

_

λ

cµ

_

·

_

λ

cµ

_

·

_

λ

cµ

_

· . . . · π

c

π

i

=

_

λ

cµ

_

i−c

π

c

The system is ergodic only when

∞

i=0

π

i

< ∞

22

Politecnico di Torino Formulary ver. 1.1

Since this is an ergodic sum with radix λ/cµ, the ergodic condition is

λ

cµ

< 1

If we normalize by requiring

∞

i=o

π

i

= 1

we obtain:

c

i=0

1

i!

_

λ

µ

_

i

π

0

+

∞

i=c+1

_

λ

cµ

_

i−c

1

c!

_

λ

µ

_

c

π

0

= 1

π

0

=

1

c

i=0

1

i!

_

λ

µ

_

i

+

∞

i=c+1

_

λ

cµ

_

i−c

1

c!

_

λ

µ

_

c

=

1

c

i=0

1

i!

_

λ

µ

_

i

+

1

c!

_

λ

µ

_

c

λ/cµ

1 −λ/cµ

From this formula we can ﬁnd information on the delay:

E[N] =

∞

i=0

i · π

i

E[D] =

E[N]

λ

1.5 Multiservers Systems - The M/M/c/0 Queue

This kind of queue is characterized by the fact of not having the waiting line. It is still

a Markov chain because it has both the arrival process, that is Poisson, and the service

time distributed as an exponential.

This is the state transition diagram of an M/M/c /0 queue (ﬁgure 1.5).

0 1 2

c −2 · · · c −1 c

λ

µ

λ

2µ

λ

(c −1)µ

λ

cµ

Figure 1.5: State transition diagram of an M/M/c/0 queue

This system is an irreducible Markov chain.

23

Politecnico di Torino Formulary ver. 1.1

Now we write the ﬂow balance equation:

λπ

0

= µπ

1

λπ

1

= 2µπ

2

λπ

i

= (i + 1)µπ

i+1

i ≤ c −1

π

i+1

=

λ

(i + 1)µ

π

i

i ≤ c −1

π

i

=

1

i!

_

λ

µ

_

i

π

0

If we impose

∞

i=0

π

i

= 1

we can ﬁnd π

0

as follows

c

i=0

1

i!

_

λ

µ

_

i

π

0

= 1

π

0

=

1

c

i=0

1

i!

_

λ

µ

_

i

π

i

=

1

i!

_

λ

µ

_

i

c

j=0

1

j!

_

λ

µ

_

j

For the loss probability, that is the fraction of customer that are loss over the customers

that arrived, we can consider that we have a loss when a customer arrives and ﬁnd c

customers already in service. In this way we can deﬁne the loss probability as:

P

loss

= π

c

=

1

c!

_

λ

µ

_

c

c

j=0

1

j!

_

λ

µ

_

j

= B(ρ, c)

Where B(ρ, c) is the Erlang B formula. This formula is valid for the system M/G/c/0

and for this system the loss probability is:

P

loss

=

1

c!

(λ · E[S])

c

c

i=0

1

j!

(λ · E[S])

j

The delay of an M/G/c/0 is

E[D] =

ρ

1 −ρ

24

Politecnico di Torino Formulary ver. 1.1

1.6 Multiservers Systems - The M/M/∞ Queue

This is an inﬁnite server queue and the arrival and service rates are:

λ

n

= λ ∀n (1.1)

µ

n

= nµ ∀n (1.2)

Since no customer will evere wait in an M/M/∞ queue, the mean time spent in the

system must be equal to the mean service time 1/µ and so the mean number of cus-

tomers present must be equal to λ times this, λ/µ.

This is the state transition diagram of an M/M/c queue (ﬁgure 1.6).

0 1 2 · · · n −1 · · · n n + 1 · · ·

λ

µ

λ

2µ

λ

nµ

λ

(n + 1)µ

Figure 1.6: State transition diagram of an M/M/∞ queue

The ﬂow balance equations are:

λπ

n

= (n + 1)µπ

n+1

π

N+1

=

λ

(n + 1)µ

π

n

π

n

=

1

n!

_

λ

µ

_

n

π

0

We impose that

∞

n=0

π

n

= 1

obtaining

π

0

∞

n=0

1

n!

_

λ

µ

_

n

= 1

π

0

· e

ρ

= 1

π

0

= e

−ρ

The average delay and the average number of customers are:

E[D] =

1

µ

E[N] =

λ

µ

= ρ

25

Politecnico di Torino Formulary ver. 1.1

1.7 Finite-Source Systems - The M/M/1/N-1/N Queue

In this type of queue there is a total of N customers and a customers is either in the

system, or else outside the system and is in an idle state. When a customer is in the

idle condition, then the time it takes for that particular customer to arrive is a random

variable with exponential distribution whose means is 1/λ. This is the mean time spent

per customer in the idle condition. All customers act indipendently of each other so

that if there are k customers in the idle condition, the total average arrival rate is kλ.

The arrival process in this case is not a Poisson process and we cannot apply PASTA.

The ﬂow balance equations are:

Nλπ

0

= µπ

1

(N −i)λπ

i

= µπ

i+1

0 ≤ i ≤ N −1

From these equation we can ﬁnd the relationship between π

i

and π

0

π

i+1

=

(N −i)λ

µ

π

i

π

i

=

(N −i + 1)λ

µ

(N −i + 2)λ

µ

· · · =

_

_

i

j=1

(n −i +j)

_

_

λ

i

µ

π

0

To ﬁnd π

0

we have to impose

N

i=0

π

i

= 1 and in this way we ﬁnd the steady state

solution.

π

0

=

1

N

i=0

_

i

j=1

(n −i +j)

_

λ

i

µ

Now we try to ﬁnd the average of this type of queue applying Little’s Theorem:

E[N] =

N

i=0

iπ

i

E[λ] =

N

i=o

λ

i

π

i

=

N

i=0

(N −i)λπ

i

E[T] =

E[N]

E[λ]

1.8 Finite-Source Systems - The M/M/k/0/N Queue

This queue is represented by k identical servers (where k < N), no waiting line and

the population is a maximum of N. This kind of system is typical of the telephone

communications.

The state transition diagram of an M/M/k/0/N queue is represented in ﬁgure 1.7.

This system is always ergodic and we can ﬁnd π

i

solving the ﬂow balance equations.

26

Politecnico di Torino Formulary ver. 1.1

0 1 2 k −2 · · · k −1 k

Nλ

µ

(N −1)λ

2µ

(N −k + 2)λ

(k −1)µ

(N −k + 1)λ

kµ

Figure 1.7: State transition diagram of an M/M/k/0/N queue

For the loss probability we have to refer to the blocking probability; where P

block

< π

k

.

The blocking probability is the fraction between the rate at which calls are blocked and

the rate at which calls arrive:

P

block

=

(N −k)λπ

k

k

i=0

(N −i)λπ

i

=

(N −k)π

k

k

i=0

(N −i)π

i

<

π

k

k

i=0

π

i

= π

k

N −i ≥ N −k

27

Chapter 2

Queues with Phase-Type Laws

In a single server queue the only probability law used to model the interarrival or service

time distributions is the exponential distribution. This type of queue are collectively

referred to as birth-death processes. In these systems, transitions from any state are ad-

jacent states only. But sometimes the exponential distribution is simply not adequate.

Phese-type distributions allows us to consider more general situations. Queueing sys-

tem with phase-type arrival or service mechanisms are referred to be almost-birth-death

processes.

2.1 The Erlang-r Service Model - The M/E

r

/1 Queue

Consider a single server system for which the arrival process is Poisson with rate λ

and service time, having an Erlang-r distribution, is represented as a sequence of r

exponential services each with rate rµ. There cannot be more than one customer

receiving service at any time - the single server provides each customer taken into service

with r consecutive service phases and then ejects that customer from the system.

The density functions of the arrival and service processes are given by

a(t) = λe

−λt

, t ≥ 0

b(x) =

rµ(rµx)

r−1

e

−rµx

(r −1)!

, x ≥ 0

Our ﬁrst task is to formulate a state descriptor for this queueing system. In an M/E

r

/1

queue, we must record both the number of customers present and the current phase

of service of the customer in service, if any. Because of the exponential nature of the

distribution of both the times between arrivals and the services times at each of the r

phases, a knowledge of the number of customers in the system and the current phase of

service is suﬃcient to capture all the relevant past history of this system.It follows that

a state of the system can be completely described by the pair (k, i), where k (k ≥ 0) is

the number of customers in the system, including the one in service, and i (1≤ i ≤ k)

denotes the current phase of service. If k = 0, then the value of i is irrelevant. If

28

Politecnico di Torino Formulary ver. 1.1

k > 0, then k − i+1 denotes the number of phases of service yet to be completed by

the customer in service. The future evolution of the system is a function only of the

current state (k, i) and consequently a Markovian analysis may be carried out.

1,S

1

2,S

1

3,S

1

1,S

2

2,S

2

3,S

2

0 1,S

3

2,S

3

3,S

3

· · · · · · · · ·

1,S

r

2,S

r

3,S

r

λ

rµ

λ

r

µ

rµ

λ

r

µ

rµ rµ

λ

rµ

λ

rµ rµ

λ

rµ

λ

rµ rµ

λ λ

Figure 2.1: State transition diagram of an M/E

r

/1 queue

The state transition diagram is represented in ﬁgure 2.1, where the states are arranged

into levels according to the number of customer present. The states that have exactly

k customers are said to constitute the level k.

If we consider Y as an Erlang process of order r we can write:

Y = X

1

+X

2

+· · · +X

r

Where X

i

with i < k is IID and it is a random variable distributed exponentially.

We can also calculate the mean of Y :

E[Y ] =

1

µ

with Y = X

1

+ X

2

+· · · + X

r

The second moment of Y is:

E

_

Y

2

¸

= E

_

(X

1

+X

2

+· · · +X

r

)

2

¸

=

k

i=1

E

_

X

2

i

¸

+

k

i=1

k

j=1

E[X

i

X

j

]

= k

2

(kµ)

2

+k(k −1)

1

(kµ)

2

=

k

2

+k

(kµ)

2

=

1

µ

+

1

kµ

2

The coeﬃcient of variation, how variant is the random variable is describe by this

formula

C

v

=

_

Var [X]

E[X]

29

Politecnico di Torino Formulary ver. 1.1

for the exponential this value is

C

v exp

= 1

The variance of an M/E

r

/1 queue comes from the second moment

Var [Y ] = E

_

Y

2

¸

−E[Y ]

2

=

1

µ

2

+

1

kµ

2

−

1

µ

2

=

1

kµ

2

And the coeﬃcient of variation for an Erlang-r distribution is:

C

v Er

r

=

1

√

kµ

1

µ

=

1

√

k

2.2 The Erlang-r Arrival Model - The E

r

/M/1 Queue

We now introduce the case of a single server queue for which the arrival process is

Erlang-r and the service time is exponential with rate µ.

The density function of the arrival and service processes are given by

a(t) =

rλ(rλt)

r−1

(r −1)!

t ≥ 0

b(x) = µe

−µx

x ≥ 0

Before actually appearing in the proper queue, an arriving customer must pass through

r exponential phases each one distributed with parameter rλ. When a customer com-

pletes the arrival process another immediately begins. We assume to have an inﬁnite

pool of available customers waiting to enter the arrival mechanism. The instant that

one customer completes the arrival process, a second customer simultaneously begins

the process.

The state descriptor for the E

r

/M/1 queue must specify the number of customers in

the system, k, and the phase at which the arriving customer has to be found, i. In this

way, the state diagram is set up on a two-dimensional grid (k,i), arranged into levels

according to the number of customers present, similar to the M/E

r

/1 system. The

state transition of E

r

/M/1 queue is represented in ﬁgure 2.2.

30

Politecnico di Torino Formulary ver. 1.1

(0,1) (0,2) (0,3) · · · (0,r)

(1,1) (1,2) (1,3) · · · (1,r)

(2,1) (2,2) (2,3) · · · (2,r)

· · · · · · · · · · · · · · ·

(k,1) (k,2) (k,3) · · · (k,r)

rλ

µ

rλ

µ

rλ

µ

rλ

rλ

µ

rλ

µ

rλ

µ

rλ

µ

rλ

rλ

µ

rλ

µ

rλ

µ

rλ

µ

rλ

rλ

µ

rλ

µ

rλ

µ

rλ

µ

rλ

rλ

µ

rλ rλ rλ rλ

Figure 2.2: State transition diagram of an E

r

/M/1 queue

31

Politecnico di Torino Formulary ver. 1.1

2.3 The M/H

2

/1 and H

2

/M/1 Queues

In this section we take into account single-server queues with either hyperexponential

service or arrival distributions. We consider ﬁrst the M/H

2

/1 queue, in this case the

arrivals are generated according to a Poisson process with rate λ, while the service is

represented by a two-hyperexponential distribution. With probability α a customer

entering service receives service at rate µ

1

, while with probability 1 −α this customer

receives service at rate µ

2

. Also in this case the state of the system is represented by

the pair (n,i ) where n is the total number present and i is the current service phase.

The transition diagram is shown in ﬁgure 2.3. Increasing the number of phases from 2

to r has the eﬀect of incorporating additional columns into this ﬁgure. With r possible

service choices, a departure from any state (n,i ), n > 1 can bring the system to any of

the states (n-1, i ) at rate α

i

µ

i

, where α

i

is the probability that an arriving customer

enters service phase i, for i =1,2,..,r.

(0,0)

(1,1) (1,2)

(2,1) (2,2)

· · · · · ·

(k,1) (k,2)

(1 −α)λ

αλ

µ

1

µ

2

λ

αµ

1

α

µ

2

λ

(

1

−

α

)

µ

1

(1 −α)µ

2

λ

αµ

1

α

µ

2

λ

(

1

−

α

)

µ

1

(1 −α)µ

2

λ

αµ

1

α

µ

2

λ

(

1

−

α

)

µ

1

(1 −α)µ

2

Figure 2.3: State transition diagram of an M/H

2

/1 queue

Now we look at the H

2

/M/1 queue. In the instant at which a customer enters in the

queue properly, a new customer immediately initiates its arrival process. The time of

32

Politecnico di Torino Formulary ver. 1.1

the moment at which it actually arrives in the queue is exponentially distributed. With

probability α this exponential distribution has rate λ

1

, while probability 1-α it has rate

λ

2

.

The transition diagram is represented in ﬁgure 2.4.

(0,1) (0,2)

(1,1) (1,2)

(2,1) (2,2)

· · · · · ·

(k,1) (k,2)

(

1

−

α

)

λ

1

αλ

1

µ

α

λ

2

(1 −α)λ

2

µ

(

1

−

α

)

λ

1

αλ

1

µ

α

λ

2

(1 −α)λ

2

µ

(

1

−

α

)

λ

1

αλ

1

µ

α

λ

2

(1 −α)λ

2

µ

(

1

−

α

)

λ

1

αλ

1

µ

α

λ

2

(1 −α)λ

2

µ

Figure 2.4: State transition diagram of an H

2

/M/1 queue

33

Chapter 3

The M/G/1 and the G/M/1

Queues

3.1 Introduction in the M/G/1 Queue

The M/G/1 queue is a single-server queue, the arrival process is Poisson with rate λ

and its distribution function is:

A(t) = 1 −e

−λt

t ≥ 0

The service times are independent and identically distributed and obey a general distri-

bution function. In particular, the remaining service time may no longer be independent

of the service already received. The mean service rate is denoted by µ. The service

time distribution function is:

B(x) = P (S ≤ x)

where S is the random variable service time, and the density function is:

b(x)dx = P (x ≤ S ≤ x +dx)

For the M/G/1 queue, the stochastic process N(t), t ≥ 0 is not a Markov process since,

when N(t) ≥ 1, a customer is in service and the time already spent by that customer in

service must be take into account. Consider the conditional probability that the service

ﬁnishes before x +dx knowing that its duration is greater than x

C(x) = P (S ≤ x +dx| S > x) =

P (x ≤ S ≤ x +dx)

P (S > x)

=

b(x)dx

1 −B(x)

In general C(x) depends on x. However, when B(x) is the exponential distribution,

B(x) = 1 −e

−µx

, b(x) = µe

−µx

and

C(x) =

µe

−µx

dx

1 −1 + e

−µx

34

Politecnico di Torino Formulary ver. 1.1

which is independent of x.

For the M/G/1 queue, where C(x) depends on x, the process N(t), t ≥ 0 is not Marko-

vian and if we start to observe the process at an arbitrary time x, the probability that

the service completes on the interval (x, x +dx], which implies a transition of the pro-

cess N(t), is not independent of x, the time already spent in service for the customer

currently in service. If at some time t we want to summarize the complete relevent

past history of an M/G/1 queue, we must specify both:

1. N(t), number of customers present at time t

2. S

0

(t), the service time already spent by the customer in service at time t

While N(t) is not Markovian, [N(t), S

0

(t)] is a Markovian process, since it provides all

the past history necessary for describing the future evolution of an M/G/1 queue.

3.2 Solving the M/G/1 Queue

To solve the M/G/1 queue with Markov chain theory we need a trick. If we consider the

process N(t

n

) the process sampled in discrete time is better. We can sample the time

at arrival time or at departure time. If we sample at arrival time, the residual service

time is still dependent on S

0

(t) and in this case is not possible to say that Markovian

property is ensured (the next arrival is related to S

0

(t)). Else, when we sample at

departure time, if the queue is not empty the interval between two departures depends

only on service time; if the queue is empty this interval is the sum of one arrival time

and one departure time.

We recognize that N(t

n

) = q

n

is a discrete time Markov chain (DTMC), where q

n

is

the number of customers at departure time. If we write

q

n+1

= F(q

n

)

is equivalent to say that Markov property holds because all the system depends on n.

F is a function that contains stochasticity but does not depend on the past.

q

n+1

= q

n

+ arrivals − departures

If q

n

> 0 ”departures” are deterministically equal to 1.

We deﬁne θ

n

as the number of arrivals in (t

n

, t

n+1

] and we can check that θ

n

does not

depend on the past. We can write

q

n+1

= (θ

n

−1) +p

n

If we deﬁne t

n

and t

n+1

the service time of customer in n and n +1, we can rewrite θ

n

as the number of arrivals in S

n+1

and for stacasticity θ

n

is in S

n+1

is independent of

another θ

n

in another S

n

time.

Now we deﬁne θ

n

is the arrivals in S

n+1

we can write

q

n+1

= θ

n

+q

n

35

Politecnico di Torino Formulary ver. 1.1

∆q =

_

1 q

n

> 0

0 q

n

= 0

The M/G/1 works as

q

n+1

= q

n

−∆q

n

+θ

n

Now we draw the graph of M/G/1(3.1)

0 1 2 3 4 5

p

0

p

1

p

2

p

3

p

4

p

5

Figure 3.1: Graph of an M/G/1 queue

θ

n

can take any value from 0 to ∞. The probability to having k customers does not

depend on n:

p

k

= p

n

(θ = k)

If we consider that G = D, so we have an M/D/1 queue, all S

n

have the same value

p

n

(θ = k) =

e

−λx

(λx)

k

k!

Now we deﬁne N(t) as the number of customers after the departure of the n-th customer.

Service time are IID so customers that arrive are independent from the number of

customers in another service time. This can be write as

P (θ

n

= k) = P (θ = k)

Customers arrive in random window so

_

∞

0

P (θ = k | S

n+1

= x) S(x) dx =

_

∞

0

e

−λx

(λx)

k

k!

S(x) dx

However, this solution is too complex to do, so we try in another way.

0 1 2

p

0

p

1

p

2

p

1

p

2

p

0

n −1 n n + 1 n +j

p

1

p

2

p

0

p

j+1

36

Politecnico di Torino Formulary ver. 1.1

We now look at the ﬂow balance equation for state 0 is:

π

1

p

0

= π

0

(1 −p

0

)

The ﬂow balance equation for state n is:

π

n

(1 −p

1

) = π

n+1

p

0

+π

n−1

p

2

+· · · +π

1

p

n−1

+π

0

p

n

The loops are count twice or are not count at all.

Average

To calculate the average we start from this equation

q

n+1

= q

n

−∆q

n

+θ

n

Under ergodic condition we can write

lim

n→∞

E[q

n

] = E[q]

And we ﬁnd

E[q

n+1

] = E[q

n

] −E[∆q

n

] +E[θ

n

]

Now we take the limit of this expression

E[q] = E[q] − lim

n→∞

E[∆q

n

] +E[θ

n

]

E[θ

n

] this is a constant with respect to n, because of θ

n

does not depend on n.

−P (q > 0) +E[θ

n

] = 0 ⇒P (q > 0) = E[θ

n

]

E[θ] = λE[S]

for λE[S] > 1 the system is not ergodic. Now, if we take q

n+1

= q

n

−∆q

n

+θ

n

and we

do the square and after we take the limit for n →∞ we obtain something like this

E[q] =

E

_

θ

2

¸

+E[θ] −2E[θ]

2

2(1 −E[θ])

This formula is known as Pollack and Klimchine formula.

E[θ] = λE[S]

E

_

θ

2

¸

= λ

2

E[S]

2

+λE[S]

It can be proved that the distribution if the queue size at departure time is equal to

the steady state distribution at any time.

E[q] =

λ

2

E[S]

2

+λE[S] +λE[S] + 2λ

2

E[S]

2

2(1 −λE[S])

=

λ

2

E[S]

2

+ 2λE[S] + 2λ

2

E[S]

2

2(1 −λE[S])

37

Politecnico di Torino Formulary ver. 1.1

If we put ρ = λE[S]

E[q] =

λ

2

E[S]

2

+ 2ρ −2ρ

2

2(1 −ρ)

=

λ

2

E[S]

2

+ 2ρ(1 −ρ)

2(1 −ρ)

=

λ

2

E[S]

2

2(1 −ρ)

+ρ

We apply Little’s Theorem and we obtain

E[D] =

λE

_

S

2

¸

2(1 −ρ)

+E[S]

E[W] =

λE

_

S

2

¸

2(1 −ρ)

This is the average waiting time and we can see that it depends directly to the second

moment of the service time.

3.3 Average in other type of queue

• M/M/1

c

v

= 1 V ar(S) =

1

µ

2

E[S] =

1

µ

E

_

S

2

¸

=

2

µ

2

= 2E[S]

2

E[W] =

λE

_

S

2

¸

2(1 −ρ)

=

2λE[S]

2

2(1 −ρ)

=

λE[S]

2

1 −ρ

=

λ2/µ

2

1 −rho

= E[S]

ρ

1 −ρ

• M/D/1

c

v

= 0 E[S] =

1

µ

E

_

S

2

¸

= E[S]

2

= S

2

E[W] = E[S]

ρ

2(1 −ρ)

• M/G/1

c

2

v

= 10 E

_

S

2

¸

= E[S]

2

+V ar(S) = 11E[S]

2

E[W] = E[S] 11

ρ

2(1 −ρ)

38

Chapter 4

Queueing Networks

4.1 Introduction

4.1.1 Basic Deﬁnitions

In this part we consider a ”multi-node” system in which a customer requires service

at more than one node. This kind of system can be viewed as a network of nodes,

in which each node is a service center having storage room for queues to form and

perhaps with multiple servers to handle customers requests. In queueing networks we

are faced with situation in which customers departing from one service center may mix

with customers leaving a second center and the combined ﬂow may be destined to enter

a third service center. Thus there is an interaction among the queues in the network

and this ultimately may have a complicating eﬀect on the arrival at downstream service

center. Customer arrival times can become correlated with customer service times once

customers proceed past their point of entry into the network and this correlation can

make the mathematical analysis of these queues diﬃcult.

4.1.2 The Departure Process - Burke’s Theorem

If we know the various properties of the variables that are associated with the service

centers, the number of servers, their service time distribution, the scheduling disci-

pline and so on, then the only item missing is the stochastic process that describes the

arrivals. This linked to the departure processes from nodes that feed the particular

service center as well as the ﬂow of customers directly from the exterior into the center.

Consider an M/G/1 system and let A

∗

(s), B

∗

(s) and D

∗

(s) denote the Laplace trans-

form of the PDFs describing the interarrival times, the service times, and the interde-

parture times, respectively. Let us calculate D

∗

(s). When a customer depart from the

server, either another customer is available in the queue and ready to be taken into

service immediately, or the queue is empty. In the ﬁrst case, the time until the next

customer departs from the server will be distributed exactly as a service time and we

have

D

∗

(s)|

server nonempty

= B

∗

(s)

39

Politecnico di Torino Formulary ver. 1.1

On the other hand, if the ﬁst customer leaves an empty system behind, we must wait

for the sum of two intervals: (a) the time until the next customer arrives and (b) the

service time of this next customer. Since these intervals are independently distributed,

the transform of the sum PDF is the product of the transforms of the individual PDFs,

and we have

D

∗

(s)|

server empty

= A

∗

(s)B

∗

(s) =

λ

s +λ

B

∗

(s)

We know that the probability of a departure leaving behind an empty queue is the

same as the stationary probability of an empty system, 1 −ρ. In this way we can write

the unconditional transform for the interdeparture PDF as

D

∗

(s) = ρB

∗

(s) + (1 −ρ)

λ

s +λ

B

∗

(s)

For the case of an M/M/1 queue, the Laplace transform is given by

B

∗

(s) =

µ

s +µ

where µ is the service rate. Substituting in D

∗

(s) we obtain

D

∗

(s) =

λ

µ

µ

s +µ

+

_

1 −

λ

µ

_

λ

s +λ

µ

s +µ

=

λ

s +µ

+

λ

s +λ

µ

s +µ

−

λ

µ

λ

s +λ

µ

s +µ

=

λ(s +λ)

(s +µ)(s +λ)

+

λµ −λ

2

(s +λ)(s +µ)

=

λ(s +µ)

(s +µ)(s +λ)

=

λ

s +λ

and so the interdeparture time distribution is given by

D(t) = 1 −e

−λt

t ≥ 0

We can conclude that the interdeparture times are exponentially distributed with the

same parameters as the interarrival times. This result can be written more generally

ad Burke’s theorem:

”Consider an M/M/1, M/M/c or M/M/∞ system with arrival rate λ. Suppose that

the system is in steady state. Then the following hold true:

1. the departure process is Poisson with rate λ

2. at each time t, the number of customers in the system is independent of the

sequence of departure time prior to t ”

We know that the systems, such as M/M/1, M/M/c or M/M/∞, are the only such

FCFS queues with this property. In other words, if the departure process of and

M/G/1 or G/M/1 system is Poisson, then G=M.

40

Politecnico di Torino Formulary ver. 1.1

4.1.3 Two M/M/1 Queues in Tandem

Consider a queueing system network with Poisson arrivals and two nodes in tandem.

We assume that the service times of a customer at the ﬁrst and second nodes are

mutually independent as well as independent if arrival process. We now show that , as

a result of this assumption and Burke’s theorem, the distribution of customers in the

two nodes is the same as if they were isolated independent M/M/1 queues.

The rate of Poisson arrival process is λ and the mean service times at servers 1 and 2

be 1/µ

1

and 1/µ

2

, respectively. We introduce ρ

1

=

λ

µ

1

and ρ

2

=

λ

µ

2

as the utilization

factors and we assume that ρ

1

< 1 and ρ

2

< 1. Notice that node 1 is an M/M/1 queue,

and by the Burke’s theorem, its departure process (and hence the arrival process of

node 2) is Poisson. By assumption, the service time at node 2 is independent of node

1. But node 2 behaves like an M/M/1 queue, and can analyzed independently of node

1. From our result we know:

P (n at node 1) = ρ

n

1

(1 −ρ

1

)

P (m at node 2) = ρ

m

2

(1 −ρ

2

)

From the Burke’s theorem, it follows that the number of customers present in node 1

is independent of the sequence of earlier arrivals at node 2. Consequently, it must be

independent of the number of customer present in node 2. This implies that

P (n at node 1 ANDm at node 2) = P (n at node 1)· P (m at node 2) = ρ

n

1

(1−ρ

1

)· ρ

m

2

(1−ρ

2

)

Thus, under steady state conditions, the number of customers at node 1 and node 2 at any

given time are independent and joint distribution of customers in the tandem queueing system

has a product form solution.

4.2 Open Queueing Networks

4.2.1 Feedforward Networks

We have a feedforward network when the input to each node in the network is Poisson. Indeed,

since the aggregation of mutually independent Poisson processes is a Poisson process, the input

of the nodes that are fed by combined output of other nodes in Poisson. Likewise, since the

decomposition of a Poisson process yields multiple Poisson processes, a single node can provide

Poisson input to multiple downstream nodes. Feedforward networks do not permit feedback

paths since this may destroy Poisson nature of the feedback stream.

4.2.2 Jackson Networks

The work of Jackson shows that, even in presence of feedback loops, the individual nodes

behaves as if they were fed by Poisson arrivals, when in fact they are not. We consider now

the Jackson network. Take an open network consisting of M nodes, where there is at least one

node to which customers arrive from external source and there is at least one node from which

customers depart from the system. This network is a Jackson network if the following are true

for i, j = 1, 2, · · · , M:

41

Politecnico di Torino Formulary ver. 1.1

• node i consists of an inﬁnite FCFS queue and c

i

exponential servers, each with parameter

µ

i

• external arrivals to node i are Poisson with rate γ

i

• after completing service at node i, a customer will proceed to node j with probability r

ij

independent of past history or will depart from the system, never to return again, with

probability 1 −

M

j=1

r

ij

The service centers in this network may be load dependent, meaning that the rate at which

customers depart from service can be a function of the number of customers present in the

node. The total average arrival rate of customers to service center is i by λ

i

; this is given by

the sum of the arrivals from outside the system plus arrivals from all internal service centers.

And we obtains the following equation:

λ

i

= γ

i

+

M

j=1

λ

i

r

ij

i = 1, 2, · · · , M

In steady state we also have a traﬃc equation for the network as a whole:

M

i=1

γ

i

= γ =

M

i=1

λ

i

_

_

1 −

M

j=1

r

ij

_

_

This states that, at equilibrium, the total rate at which customers arrive into the queueing

network from the outside γ must be equal to the rate which the leave the network.

A Jackson network may be viewed as a continuous-time Markov chain with state descriptor

vector k = (k

1

, k

2

, · · · , k

M

) in which k

i

denotes the number of customers at service center i. At

a given state k, the possible successor states correspond to a single customer arrival from the

exterior, a departure from the network or a movement of a customer from one node to another.

The transition from state k to state k(i

+

) = (k

1

, · · · , k

i−1

, k

i

+ 1, k

i+1

, · · · , k

M

) correspond to

an external arrival to node i and has transition rate γ

i

. The transition from state k to state

k(i

−

) = (k

1

, · · · , k

i−1

, k

i

− 1, k

i+1

, · · · , k

M

) corresponds to a departure from center i to the

exterior and has transition rate µ

i

(k

i

)(1 −

M

j=1

r

ij

). Finally, the transition from state k to

state k(i

+

, j

−

) = (k

1

, · · · , k

i−1

, k

i

+ 1, k

i+1

, · · · , k

j−1

, k

j

− 1, k

j+1

, · · · , k

M

) corresponds to a

customer moving from node j to node i and has transition rate µ

j

(k

j

)r

ij

. Let

P(k) = P(k

1

, k

2

, · · · , k

M

)

denote the stationary distribution of the Markov chain (P(k) is the equilibrium probability

associated with state k). We denote the marginal distribution of ﬁnding k

i

customers in node

i by P

i

(k

i

).

Jackson’s theorem provide the steady state joint distribution for the states of the network.

Jackson Theorem: ”For a Jackson network with eﬀective arrival rate λ

i

to node i, and assuming

that λ

i

< c

i

µ

i

for all i, the following are true in steady state:

1. node i behaves stochastically as if it were subjected to Poisson arrival with rate λ

i

2. the number of customers at any node is independently of the number of customers at

every other node ”

Jackson’s theorem shows that the joint distribution for all nodes factors into the product of

the marginal distribution, that is P(k) = P

1

(k

1

)P

2

(k

2

) · · · P

M

(k

M

), where P

i

(k

i

) is given as a

42

Politecnico di Torino Formulary ver. 1.1

solution to the classical M/M/1-type queue. It is an example of a product-form solution. In

special case when all the service centers contain a single exponential server, the expression of

P(k) becomes:

P(k) =

M

i=1

(1 −ρ

i

)ρ

k

i

i

ρ

i

=

λ

i

µ

i

The stability condition for a Jackson network is

ρ

i

=

λ

i

c

i

µ

i

< 1 i = 1, 2, · · · , M

To solve a Jackson network we need to solve the traﬃc equations to obtain the eﬀective arrival

rate at each node. Each node is then solved in isolation and the global solution formed from

the product of the individual solutions.

Mean Number of Customers

The mean number of customer in node i, E[N

i

], is that of an isolated M/M/1 queue with arrival

rate λ

i

; this is given by:

E[N

i

] =

ρ

i

1 −ρ

i

i = 1, 2, · · · , M

It follows that the total mean number of customers in the network is given by:

E[N] =

M

i=1

ρ

i

1 −ρ

i

Mean Time Spent in Network

The average waiting time is related to the average time that a customer spends in the network,

and this can be found by applying Little’s Theorem:

E[W] =

E[N]

γ

γ =

M

i=1

γ

i

γ is the total arrival rate. The average time that a customer spends at node i, during each visit

to node i, is given by:

E[W

i

] =

E[N

i

]

λ

i

=

1

µ

i

(1 −ρ

i

)

In this case we have that W = W

1

+W

2

+· · · +W

M

. The average time that a customer spends

queueing prior to service on a visit to node i is:

E

_

W

Q

i

_

= E[W

i

] −

1

µ

i

=

ρ

i

µ

i

(1 −ρ

i

)

Throughput

The throughput of a singe node is the rate al which customers leave that node. The throughput

od node i is:

X

i

=

∞

k=1

P

i

(k)µ

i

(k)

43

Politecnico di Torino Formulary ver. 1.1

where µ

i

(k) is the load-dependent service rate.The throughput of the entire open queueing

network is the rate ant which customers leave the network. If customers are not lost to the

network, nor combined nor split in any way, then at steady state, the throughput of the network

is equal to the rate at which customers enter the network.

4.3 Closed Queueing Networks

If Jackson network is a closed queueing network it is called Gordon and Newell network.

Consider a closed single-class queueing network composed of M nodes. Let n

i

be the number of

customers at node i. Then the total customer population is given by N = n

1

+n

2

+· · · +n

M

.

A state of the network is deﬁned as n = (n

1

, n

2

, · · · , n

M

) with n

i

≥ 0 and

M

i=1

n

i

= N. The

queueing discipline at each node is FCFS and the service the distributions are exponential. Let

µ

i

be the mean service rate at node i. When the service rate is load dependent, we shall denote

the service rate by µ

i

(k). Let p

ij

be the fraction of departures from node i that go next to

node j and let λ

i

be the overall arrival rate to node i. Since the rate if departure is equal to

the rate of arrival, when the network is in steady state, we can write

λ

i

=

M

j=1

λ

j

p

ij

i = 1, 2, · · · , M

Now we introduce the visit ratio at node i, ν

i

. This gives the mean number of visits to node

i relative to a speciﬁed node, in our case we consider the node 1. So, ν

1

= 1 and ν

i

is the

mean number of visits to node i between two consecutive visits to node 1. Notice that ν

i

may

be greater (or smaller) than 1. If X

i

(N) is the throughput of node i in a closed network with

N customers, then we must have ν

i

= X

i

(N)/X

1

(N). At steady state the rate of arrival to a

node is equal to the rate of departure so that ν

i

= λ

i

/λ

1

which means that ν

i

uniquely satisfy

the system equation

ν

1

= 1 and ν

i

=

M

j=1

ν

j

p

ij

i = 1, 2, · · · , M

The major result for this closed network is that the equilibrium distribution is given by the

product form

P (n) = P (n

1

, n

2

, . . . , n

M

) =

1

G(N)

M

i=1

f

i

(n

i

)

where

f

i

(n

i

) =

ν

n

i

i

n

i

k=1

µ

i

(k)

if the node i is load dependent

f

i

(n

i

) =

_

ν

i

µ

i

_

n

i

= Y

n

i

i

if node i is load dependent

The constant G(N) is called the normalization constant. It ensures that the sum of the prob-

abilities is equal to one.

44

Part II

Exercises

45

Chapter 5

Preliminary Exercises

Exercise 1

Text

Compute the probability density function for the smallest among κ independent random vari-

ables, all distributed accordingly to a exponential probability density function with the same

parameter λ.

Solution

X

i

∼ Exp(λ) ∀ i = 1, . . . , κ

Moreover, X

i

are IID. The minimum will be given by:

Y = min{X

i

}

Therefore the probability density function f

y

(y) is the objective of the problem.

F

y

(y) = P (Y ≤ y) = P (min{X

i

} ≤ y)

But it is more easy to compute:

F

y

(y) = 1 −F

y

(y) = 1 −P (Y ≤ y) = P (Y ≥ y)

Indeed:

P (Y ≥ y) = P (min{X

i

} ≥ y) = P (X

1

> y , X

2

> y , . . . , X

κ

> y)

since they are all IID, it is possible write:

P (X

1

> y) · P (X

2

> y) · . . . · P (X

κ

> y) = [P (X > y)]

κ

= [e

−λy

]

κ

= e

−λκy

Now, given that F

y

(y) is obtained, to compute f

y

(y) it is possible use:

f

y

(y) =

dF

y

(y)

dy

f

y

(y) = −

dF

y

(y)

dy

Therefore:

f

y

(y) = −[−λκ · e

−λκy

] = λκ · e

−λκy

46

Politecnico di Torino Formulary ver. 1.1

It is simply f

x

(x) = λe

−λx

where λ = λκ, in conclusion:

Y ∼ Exp(λκ)

Exercise 2

Text

A barber opens his shop at time t

0

= 0. Customers arrive at shop randomly, accordingly to a

Poisson process, i.e., the probability density function of the time between two customers arrive

is:

a(t) = λe

−λt

· u(t)

Each air cut requires X seconds, where such X is a random variable.

Find the probability, P, that the second arrive customer does not have to wait and his

average waiting time W in the following cases:

. X is a constant: X = c;

. X is uniformly distributed among 0 and 2c: X ∼ U(0 , 2c).

Solution

Case 1: the customer does not wait - X = c

Consider:

t

t

0

t

a

1

t

d

1

X

where:

. t

a

1

is the arrival time of the ﬁrst customer;

. t

d

1

is the departure time of the ﬁrst customer;

. the orange line represent possible arrival times for the second customer.

Therefore:

P

_

2

◦

customer does not have to wait

_

= P (t

a

2

> t

d

1

)

and:

t

d

1

= t

a

1

+X =⇒ t

d

1

= t

a

1

+c

In conclusion:

P (t

a

2

> t

d

1

) = P (t

a

2

> t

a

1

+c) = P (t

a

2

−t

a

1

> c)

but:

t

a

2

−t

a

1

∼ Exp(λ) =⇒ P (t

a

2

−t

a

1

> c) = e

−λc

47

Politecnico di Torino Formulary ver. 1.1

Case 2: the customer has to wait - X = c

Consider W the waiting time of the second customer; the average is:

E[W] =

_

0 t

a

2

> t

d

1

t

a

2

−t

d

1

otherwise

Since:

t

a

2

−t

d

1

=⇒ t

a

2

−t

a

1

+c =⇒ c −(t

a

2

−t

a

1

) if t

a

2

−t

a

1

< c

and t

a

2

−t

a

1

∼ Exp(λ). Thus:

E[W] =

_

0 t

a

2

> t

d

1

c −(t

a

2

−t

a

1

) otherwise

Let y = (t

a

2

−t

a

1

):

E[W] =

_

0 t

a

2

> t

d

1

c −y otherwise

The average waiting time of the second customer is:

E[c −y | y < c]

this can be computed as:

_

c

0

(c −y)f

y

(y) dy =

_

c

0

(c −y)λe

−λy

dy

‡

By solving this integral:

c ·

_

c

0

λe

−λy

dy −

_

c

0

y · λe

−λy

dy =

c ·

_

−e

−λy

¸

¸

c

0

_

−

_

−y · e

−λy

¸

¸

c

0

+

_

c

0

e

−λy

dy

_

=

c · (1 −e

−λc

) −

_

−c · e

−λc

+

e

−λy

−λ

¸

¸

¸

¸

c

0

_

=

c · (1 −e

−λc

) +c · e

−λc

+

e

−λy

λ

−

1

λ

= c +

e

−λy

λ

−

1

λ

Case 3: the customer does not wait - X ∼ U(0 , 2c)

In this case:

t

d

1

= t

a

1

+X

and:

P

_

2

◦

customer does not have to wait

_

= P (t

a

2

> t

d

1

) = P (t

a

2

> t

a

1

+X)

It can be written as:

_

2c

0

P (t

a

2

−t

a

1

> X) · f

x

(x) dx =

_

2c

0

e

−λx

·

1

2c

dx

‡

This is solved by parts, where f = y and g

= λe

−λy

48

Politecnico di Torino Formulary ver. 1.1

This integral is solvable in such a way:

1

2c

·

_

2c

0

e

−λx

dx =

1

2c

·

e

−λx

−λ

¸

¸

¸

¸

2c

0

=

1

2c

·

e

−2λc

−1

−λ

= −

1

2λc

· e

−2λc

Case 4: the customer has to wait - X ∼ U(0 , 2c)

In this case we have not to compute:

E[c −y | y < c]

but, since:

t

a

2

−t

d

1

=⇒ t

a

2

−t

a

1

+X =⇒ t

a

2

< t

a

1

+X

therefore:

E[W] = E[X −Y | Y < x] = E[E[X −Y | Y < X , X = x]]

x

that can be solved by:

_

2c

0

__

x

0

(X −Y )f

y

(y) dy

_

· f

x

(x) dx =

_

2c

0

_

x +

e

−λx

λ

−

1

λ

_

·

1

2c

dx =

=

1

2c

·

_

4c

2

2

−

e

−2λc

λ

2

−

2c

λ

+

1

λ

2

_

Exercise 3

Text

Passengers arrive randomly at the bus stop. The random process describing passengers arrivals

is Poisson with rate λ = 1 arrival per minute. Also departures follows a Poisson random process,

independent from the customer arrival process, with rate µ = 2 buses per hour.

Assuming that passengers take always the ﬁrst stopping bus and buses can carry an arbitrary

number of passengers, compute:

1. the average number of passengers that take the same bus;

2. the average number of passengers on the ﬁrst bus departing after 9 am.

Solution

Task 1

Let N be the number of passengers in the same bus; the problem requests E[N]. Let X be

inter arrival time of buses:

X ∼ Exp(µ)

The process that counts the number of passengers arriving during X is N(x) and it is a Poisson

process with rate λ · X:

N(x) ∼ Poisson(λX)

49

Politecnico di Torino Formulary ver. 1.1

Therefore:

E[N] = E[E[N(x) | X]] = E[λX] = λ · E[X] = λ ·

1

µ

Since λ describe arrivals per minute, it is equivalent say:

1 arrival per minute = 60 arrivals per hour

In conclusion:

E[N] = 60 ·

1

2

= 30

Task 2

The situation to take care is:

t

0 bus 9 bus

x

2

x

1

where each random variable is exponentially distributed:

x

1

∼ Exp(µ)

x

2

∼ Exp(µ)

The average number of passengers that take the bus after 9, thanks to memoryless property, is

given by:

E[N] = E[E[N(x

1

) | x

1

]] +E[E[N(x

2

) | x

2

]] = 2 · E[E[N(x) | x]] = 2 ·

λ

µ

= 60

50

Chapter 6

Exercises on Queues

Exercise 1

Text

In a M/M/m system, arrivals are distributed according to a Poisson process and service time

are exponentially distributed with rate µ. The queue is served in FIFO and, at time t

0

= 0,

customer A arrives ﬁnding m people into the m servers and n people in the queue. After t

0

nobody arrives more.

Find:

1. the average time in which A starts being in service (waiting time);

2. the time in which the system will be empty.

3. Let X be κ if A is the κ-th customer leaving the system after t

0

. Find P (X = κ).

4. the probability that A ends his service before his predecessor B.

5. Let ˜ ω be the amount of time spent by A waiting to be in service. Find P (˜ ω > x).

Solution

Task 1

The average waiting time is:

E[W

A

]

It happen after n + 1 departures of customer in the queue. Since there are m servers, the

inter departure time is distributed accorded to Exp(mµ) because all of them are distributed

as Exp(µ). Therefore, the waiting time of A is the sum of inter departure times (T

d

) of n + 1

customers.

E[W

A

] =

n+1

i=1

E[T

d

i

]

Since all T

d

i

are IID:

E[W

A

] = (n + 1) · E[T

d

i

] = (n + 1) ·

1

mµ

=

n + 1

mµ

51

Politecnico di Torino Formulary ver. 1.1

Task 2

The time in which the system is empty is the time in which n + 1 + m departures will take

place. The distribution is not, as before, Exp(mµ) because, in some moments, it is possible

that not all servers are busy. Representing the situation with a Markov Chain:

0 1 2

m · · · m+ 1 m+ 2

λ

µ

λ

2µ

λ

mµ

λ

mµ

Therefore:

E[T

empty

] =

n + 1

mµ

+

1

mµ

+

1

(m−1)µ

+

1

(m−2)µ

+· · · +

1

µ

=

=

n + 1

mµ

+

m−1

i=0

1

(m−i)µ

Task 3

If κ = 1, A is the ﬁrst customer leaving the system: it could not be possible since the discipline

is FIFO. Therefore:

P (X = 1) = 0

At least, A could leave the system after n + 1 customers: it means that people in the queue is

all in service into the m servers and A is the one that has the service time smaller.

Therefore:

P (X = κ) =

_

0 1 ≤ κ ≤ n + 1

− n + 1 < κ ≤ n + 1 +m

Indeed that probability is diﬀerent than 0 in two cases:

. if all customers are served and A is the last one (m− 1 servers are idle and 1 busy, the

one that is serving A);

. if there are some customers in service and A is one of them (m servers, potentially, are

busy: actually they can be less than m, but surely more than 1).

In the ﬁrst case we have to compute:

P (X = n + 2)

‡

= P (A is the ﬁrst leaving) =

1

m

since all servers are independent.

In the second case, instead, the probability that have to be compute is:

P (X = n + 3) = P (Ais not the ﬁrst leaving) ·

· P (A is the second leaving | Ais not the ﬁrst) =

=

_

1 −

1

m

_

·

1

(m−1)

=

1

m

‡

The term n + 2 means that A is the ﬁrst of the remaining m customers in queue.

52

Politecnico di Torino Formulary ver. 1.1

The probability that A is the second leaving given that is not the ﬁrst, means that there

are m−1 servers to consider and each one is independent from the others. It is the same of the

previous case because servers are IID and the distribution is exponential, so the memoryless

property holds.

In conclusion:

P (X = κ) =

_

_

_

0 1 ≤ κ ≤ n + 1

1

m

n + 1 < κ ≤ n + 1 +m

Task 4

The probability that A ends his service before B given that the service time of B is greater

than the service time of A is:

P (A leaves before B| T

d

B > W

A

) =

1

2

because once they are both in service they have the same probability of end their service one

before the other.

Actually, the probability that A leaves before B is:

P (T

d

B > W

A

) · P (A leaves before B| T

d

B > W

A

)

where P (T

d

B > W

A

) is just given by the probability that m− 1 customer are still in service.

Therefore:

P (T

d

B > W

A

) =

m−1

m

Globally:

P (A leaves before B) =

1

2

·

m−1

m

Task 5

Given that ˜ ω is the waiting time of A, the probability:

P (˜ ω = x)

is simply the distribution. Therefore:

P (˜ ω = x) =

n+1

i=0

x

i

where x

i

∼ Exp(mµ). It means that:

n+1

i=0

x

i

=

n+1

i=1

e

−mµx

·

(mµx)

i

i!

This term is the Erlang(n + 1, mµ).

53

Politecnico di Torino Formulary ver. 1.1

Exercise 2

Text

Consider a M/M/1 system with arrival rate λ and departure rate µ. Knowing that customers

arrives always in pair, draw the transition diagram and write the ﬂow balance equations.

Solution

The transition diagram is:

0 1 2 3 4

λ

µ

λ

µ

λ

µ

λ

µ

For a given node i, with i ≥ 2, ﬂows balance equations are:

(π

i−2

· λ) + (π

i+1

· µ)

‡

= (µ +λ) · π

i

‡

Considering i = 1:

µ · π

2

= (λ +µ) · π

1

While, for i = 0:

µ · π

1

= λ · π

0

Globally:

_

¸

_

¸

_

µ · π

i+1

= λ · π

i

i = 0

µ · π

i+1

= (λ +µ) · π

i

i = 1

(π

i−2

· λ) + (π

i+1

· µ) = (µ +λ) · π

i

i ≥ 2

Exercise 3

Text

Consider a system in which the departure rate is µ and the arrival rate is

˜

λ, where:

˜

λ =

_

2 · λ when there are no customers in the system

λ otherwise

Find:

1. the transition diagram;

2. the balance equations, the steady state distribution and discuss the ergodicity;

3. the average number of customers in the system;

4. the average time spent by customers in the system;

5. the average waiting time spent before being served.

‡

This is the incoming ﬂow.

‡

This is the outgoing ﬂow.

54

Politecnico di Torino Formulary ver. 1.1

Solution

Task 1

The transition diagram is:

0 1 2

2 · λ

µ

λ

µ

λ

µ

Task 2

Considering i = 0:

λ · π

i

= µ · π

i+1

=⇒ π

i+1

=

λ

µ

· π

i

while for i = 0:

2λ · π

0

= µ · π

1

Therefore:

_

λ · π

i

= µ · π

i+1

i = 0

2λ · π

i

= µ · π

i+1

i = 0

where each π

i

is the stationary distribution. Replacing i + 1 with j:

π

j

=

λ

µ

· π

j−1

but it is possible substitute π

j−1

with his expression obtaining:

π

j

=

λ

µ

·

_

λ

µ

· π

j−2

_

Iterating, the last term will be:

π

j

= 2 ·

_

λ

µ

_

j

· π

0

This holds for each j. In order to be a distribution, the sum of all π

j

is forced to be equal to

one, therefore the two equations that represent the steady state distribution are:

π

j

= 2 ·

_

λ

µ

_

j

· π

0

(6.1)

n

j=0

π

j

= 1 (6.2)

Substituting (6.1) in (6.2):

n

j=0

_

λ

µ

_

j

· π

0

= 1

55

Politecnico di Torino Formulary ver. 1.1

It is possible rewrite the expression in:

n

j=1

2 ·

_

λ

µ

_

j

· π

0

+π

0

= 1

⇓

π

0

·

_

_

2 ·

n

j=1

_

λ

µ

_

j

· 1 + 1

_

_

= 1 (6.3)

Let:

ρ =

λ

µ

So the sum:

n

j=1

ρ

j

converge if ρ < 1: under this hypothesis the system is ergodic. Assuming k = j −1:

n

k=0

ρ

k+1

=⇒ ρ ·

n

k=0

ρ

k

and the last term is the geometric sum, therefore:

n

j=1

ρ

j

= ρ ·

1

1 −ρ

Substituting in (6.3):

π

0

·

_

2 · ρ ·

1

1 −ρ

+ 1

_

= 1 =⇒ π

0

=

1

2·ρ

1−ρ

+ 1

=⇒ =

1 −ρ

1 +ρ

In conclusion:

_

¸

¸

_

¸

¸

_

π

i

= 2 ·

_

λ

µ

_

i

·

1 −ρ

1 +ρ

π

0

=

1 −ρ

1 +ρ

The initial π

0

, in terms of λ and µ, is:

π

0

=

1 −ρ

1 +ρ

=

µ −λ

µ +λ

(6.4)

Task 3

The average number of customer in the system is given by:

E[N] =

∞

i=0

i · π

i

=

∞

i=1

i · π

i

56

Politecnico di Torino Formulary ver. 1.1

since the term with i = 0 is null. Substituting the value of π

i

:

E[N] =

∞

i=1

i ·

_

2 ·

_

λ

µ

_

i

·

1 −ρ

1 +ρ

_

Let:

ρ =

_

λ

µ

_

Therefore:

E[N] = 2 ·

1 −ρ

1 +ρ

·

∞

i=1

i · ρ

i

(6.5)

The sum:

∞

i=1

i · ρ

i

is the derivative of the geometric series, so:

∞

i=1

i · ρ

i

= ρ ·

∞

i=1

i · ρ

i−1

=⇒ ρ ·

_

d

dx

_

∞

i=0

i · x

i

__

x=ρ

Since:

∞

i=0

i · x

i

=

1

1 −x

the result is:

ρ ·

_

d

dx

_

1

1 −x

__

x=ρ

= ρ ·

_

d

dx

_

1

(1 −x)

2

__

x=ρ

=

ρ

(1 −ρ)

2

Substituting this value in (6.5):

E[N] = 2 ·

1 −ρ

1 +ρ

·

ρ

(1 −ρ)

2

=

2 · ρ

(1 +ρ) · (1 −ρ)

=

2ρ

(1 −ρ

2

)

Task 4

The average time spent by customers in the system is given, using the Little Theorem, by:

E[T] =

E[N]

E[λ]

The value E[N] is just the average number of customer in the system computed in task 3, while

E[λ] is the expected value of arrival rate. It can be calculated as:

E[λ] = 2λ · π

0

+

∞

i=1

λ · π

i

= 2λ · π

0

+λ ·

∞

i=1

π

i

It can be re-written, by putting the common term λ into the sum, as:

2λ · π

0

+λ ·

∞

i=1

π

i

= λ · π

0

+λ ·

∞

i=0

π

i

57

Politecnico di Torino Formulary ver. 1.1

Since the distribution is stationary:

∞

i=0

π

i

= 1

Therefore:

E[λ] = λ · π

0

+λ = λ · (π

0

+ 1)

Substituting the value of π

0

given by (6.4):

E[λ] = λ ·

_

1 −ρ

1 +ρ

+ 1

_

= λ ·

_

1 −ρ + 1 +ρ

1 +ρ

_

=

2λ

1 +ρ

Expressed in terms of λ and µ:

E[λ] =

2λ

1 +ρ

=

2λµ

µ +λ

Since:

E[T] =

E[N]

E[λ]

the result is:

E[T] =

_

2ρ

(1 −ρ

2

)

_

÷

_

2λµ

µ +λ

_

=

ρ · (µ +λ)

λµ(1 −ρ

2

)

Task 5

The average waiting time spent before being served is E[W]: it is a part of the cumulative time

spent in the system. Indeed:

E[T] = E[W +T

s

]

where T

s

is the service time. Due to independence:

E[T] = E[W +T

s

] = E[W] +E[T

s

]

Therefore:

E[W] = E[T] −E[T

s

]

Since departures are exponentially distributed:

E[T

s

] =

1

µ

In conclusion:

E[W] = E[T] −E[T

s

] =

ρ · (µ +λ)

λµ(1 −ρ

2

)

−

1

µ

Exercise 4

Text

Consider a system in which the departure rate is µ and the arrival rate is λκ, where:

λκ =

λ

κ + 1

Find:

58

Politecnico di Torino Formulary ver. 1.1

1. the transition diagram;

2. the steady state distribution and discuss the ergodicity;

3. the average number of customers in the system;

4. the average time spent by customers in the system.

Solution

Task 1

The transition diagram is:

0 1 2

λ

µ

λ/2

µ

λ/3

µ

Task 2

For a given node i, the transition diagram is:

i i + 1

λ/i + 1

µ

therefore:

λ

i + 1

· π

i

= µ · π

i+1

=⇒ π

i+1

=

1

i + 1

·

λ

µ

· π

i

Replacing the value of π

i

:

π

i+1

=

1

i + 1

·

λ

µ

· π

i

=⇒ π

i+1

=

1

i + 1

·

λ

µ

·

_

1

i

·

λ

µ

· π

i−1

_

In general:

π

i+1

=

1

(i + 1)!

·

_

λ

µ

_

i+1

· π

0

Imposing that the sum of π

i

must be equal to one:

_

¸

_

¸

_

π

i+1

=

1

(i + 1)!

·

_

λ

µ

_

i+1

· π

0

∞

i=0

π

i

= 1

Therefore:

∞

i=0

1

i!

·

_

λ

µ

_

i

· π

0

= 1

59

Politecnico di Torino Formulary ver. 1.1

where:

π

0

=

1

∞

i=0

1

i!

·

_

λ

µ

_

i

Let:

ρ =

_

λ

µ

_

The sum becomes:

∞

i=0

ρ

i

i!

· π

0

It converges always because is the exponential series: the system is ergodic ∀ρ. In conclusion:

_

¸

_

¸

_

π

i

=

1

(i)!

·

_

λ

µ

_

i

· e

−λ/µ

=

1

(i)!

· ρ

i

· e

−ρ

π

0

= e

−rho

Task 3

The average number of customer is given by:

E[N] =

∞

i=0

i · π

i

=

∞

i=0

i ·

1

(i)!

· ρ

i

· e

−ρ

It can be re-written as:

∞

i=0

i ·

1

(i)!

· ρ

i

· e

−ρ

= e

−ρ

·

∞

i=0

1

(i −1)!

· ρ

i

= e

−ρ

· ρ ·

∞

i=1

1

(i −1)!

· ρ

i−1

Imposing j = i −1:

e

−ρ

· ρ ·

∞

i=1

1

(i −1)!

· ρ

i−1

= e

−ρ

· ρ ·

∞

j=0

1

(j)!

· ρ

j

= e

−ρ

· ρ · e

ρ

= ρ

Task 4

The average time spent by customer in the system is given, applying the Little Theorem, by:

E[T] =

E[N]

E[λ]

The value of E[λ] is unknown:

E[λ] =

∞

κ=0

λ

κ + 1

· π

κ

=

∞

κ=0

λ

κ + 1

·

_

1

(κ)!

· ρ

κ

· e

−ρ

_

It becomes:

λ · e

−ρ

·

∞

κ=0

1

(κ + 1)!

· ρ

κ

= λ ·

e

−ρ

ρ

·

∞

κ=0

1

(κ + 1)!

· ρ

κ+1

60

Politecnico di Torino Formulary ver. 1.1

Imposing j = κ + 1 the sum becomes:

∞

κ=0

1

(κ + 1)!

· ρ

κ+1

=

∞

j=1

1

(j)!

· ρ

j

= e

ρ

−1

Therefore:

E[λ] = λ ·

e

−ρ

ρ

· [e

ρ

−1]

Exercise 5

Text

Consider a M/M/1 queue in which service times are exponentially distributed with parameter

µ and customers arrive according to a Poisson process with rate λ. The server is lazy: after

each service, the server takes a rest, during which possibly waiting customers can not be served.

Rest times are exponentially distributed with parameter α. At the end of the rest time, the

server becomes available to serve waiting customers. If no customers are waiting after the rest,

the server waits for the ﬁrst customer arrival and starts to serve him immediately upont his

arrival.

Draw the transition diagram.

Solution

To identify an arbitrary state of the chain, two descriptors are needed:

. one describing the number of customers in the line;

. one describing the state of the server:

. A if the server is active and can serve a customer;

. R if the server is taking a rest.

The diagram takes care of a population up to 2 customers:

0-A 1-A 2-A

0-R 1-R 2-R

λ

µ

α

λ

µ

α

λ λ

α

61

Politecnico di Torino Formulary ver. 1.1

Exercise 6

Text

Consider a taxi station with 5 parking positions. Taxis arrive to the station according to a

Poisson process with rate µ = 2 taxis per minute. The process describing customer arrivals to

the station is independent and Poisson with rate λ = 1 customer per minute. An arriving taxi

can carry only one customer. When no customer are waiting the arriving taxi can use one free

position, if any. If no parking position is available and no customers are waiting, the taxi leaves

the station empty.

1. Model the system with a Markov with a suitable state deﬁnition.

2. Find the probability of having n customers.

3. Find the average number of waiting customers.

4. Find the average number of waiting taxis.

Solution

Task 1

By using:

. N

t

: label describing the number of taxis available;

. N

c

: label describing the number of customers;

is possible describe the system in a reliable way. Each state is composed in such a way:

N

t

-N

c

Therefore, the resultant Markov Chain is:

62

Politecnico di Torino Formulary ver. 1.1

0-0

1-0

2-0

3-0

4-0

5-0

0-1 0-2 0-3

λ

µ

λ

µ

λ

µ

µ

λ

µ

λ

µ

λ

µ

λ

µ

λ

Notice that it is not possible have taxis and customers waiting at the same time and the number

of customers can be any value, while the number of taxis is bounded (up to 5). When a customer

arrives (rate λ) and ﬁnds a free taxi (the branch going down of the chain) is immediately served,

while if the does not ﬁnds free taxis (the branch going right of the chain) he has to wait. This

kind of queue is and M/M/1 queue, where states can be identify by a label:

κ = 5 −N

t

+N

c

This order, labels states starting from the bottom to the top.

Having in mind this:

π

κ

= (1 −ρ) · ρ

κ

ρ =

λ

µ

Using i to label customers arrives and j for taxis, an equivalent notation is:

π

0 , i

= (1 −ρ) · ρ

(i+5)

π

j , 0

= (1 −ρ) · ρ

(j−5)

Task 2

The probability of having exactly n customers in the queue happens only if all taxis are already

busy, therefore the state of the queue to be considered is:

63

Politecnico di Torino Formulary ver. 1.1

0-n

This implies:

π

0 , n

= (1 −ρ) · ρ

(n+5)

Task 3

The average number of waiting customers can be computed as:

E[N

c

] =

∞

κ=6

(κ −5) · π

κ

or, in an equivalent way:

E[N

c

] =

∞

i=0

i · π

i

Task 4

The waiting number of taxis, instead, is:

E[N

t

] =

5

κ=0

(5 −κ) · π

κ

or:

E[N

c

] =

5

j=0

j · π

j

Exercise 7

Text

Consider a doctor shop with two waiting rooms: the ﬁrst one has B − 1 seats (i.e. up to B

patients can be seated including the one being seen by the doctor), while the second can contain

any number (up to inﬁnite) of standing customers. Assume that the arrival process is Poisson

with rate λ and that service times are exponentially distributed according to rate µ. Find:

1. the transition diagram and draw it;

2. the average number of seated customers;

3. the average number of standing customers.

64

Politecnico di Torino Formulary ver. 1.1

Solution

Task 1

The transition state diagram for this exercise is very simple:

0 1 2 B −1 · · ·

B B + 2

λ

µ

λ

µ

λ

µ

λ

µ

As usual:

π

κ

= (1 −ρ) · ρ

κ

ρ =

λ

µ

λ < µ

Task 2

If there are B customers all of them are seated, while if they are more, N, B are seated and

N −B are upright.

E[N

seat

] =

B

i=1

i · π

i

+B ·

∞

i=B+1

π

i

Task 3

The average number of standing customers is:

E[N

upright

] =

∞

i=B+1

(i · B) · π

i

Exercise 8

Text

Consider the following system:

λ

µ

µ

65

Politecnico di Torino Formulary ver. 1.1

Assume that arrivals are distributed to a Poisson process of rate λ and, when they arrive, they

select the shortest line; if a customer arrives and ﬁnds the two queues with the same number

of waiting customers, he has to select his own waiting line randomly. Departures takes always

place with average 1/µ.

When a customer ends his service, other waiting customers can move from a queue to the

other one in order to improve their service. Movements occurs in zero time and are simultaneous

to departures and just customers at the end of queue can move.

The system has global capacity equal to 6.

Find:

1. the transition diagram and draw it;

2. similarities with well-known systems.

Solution

Task 1

The transition state diagram, using as descriptors the number of customers into the diﬀerent

queues, is:

0 , 0

1 , 0 0 , 1

1 , 1

2 , 1 1 , 2

2 , 2

3 , 2 2 , 3

3 , 3

λ/2

µ λ/2

µ

λ

µ

λ

µ

λ/2

µ λ/2

µ

λ

µ

λ

µ

λ/2

µ λ/2

µ

λ

µ

λ

µ

Since there are two queues the global departure rate is 2µ (therefore a customer leaves from

a single queue with rate µ), but arrival rates in the graph are diﬀerent; this diﬀerence is based

on the current state of the system:

66

Politecnico di Torino Formulary ver. 1.1

. if the number of customers is equal in both queues, a new one enters with rate λ/2

because it can choose the queue in which it will wait;

. if the number of customers in queues are diﬀerent, a new one is forced to enter in the

queue with less occupancy with rate λ.

Task 2

If there are no distinctions among queues the system behaves like a M/M/2/4 queue:

. 2 because the waiting line is composed by two servers;

. 4 because the global capacity is 6 element: since 2 can be in service, just other 4 customers

can be accommodated.

0 1 2 3 4 5 6

λ

2µ

λ

2µ

λ

2µ

λ

2µ

λ

2µ

λ

2µ

This chain has been obtained by aggregating intermediate states of the previous graph.

Exercise 9

Text

Consider a single server queuing system with service rate equal to µ customers per second with

a FIFO waiting line of limited capacity: at most 3 customers, included the one in service, can

be accepted. Customers arrive in groups and both inter arrival times and service times are

exponentially distributed. The arriving group enters in the system only if all customers can be

accepted otherwise the entire group is lost.

Find the transition diagram and the dropping probability for the following distributions of

customers:

. groups of one customers with rate 2λ;

. groups of two customers with group arrival rate λ;

. groups comprising, with the same probability, one, two or three customers; the group

arrival rate is λ.

Solution

First scenario

In the ﬁrst case customers arrive one after the others as in an M/M/1/2 system; the transition

diagram is, therefore:

0 1 2 3

2λ

µ

2λ

µ

2λ

µ

67

Politecnico di Torino Formulary ver. 1.1

Since PASTA holds, the dropping probability is that the system reaches state 3:

P (loss) = π

3

For this system is also easy to compute the average delay expected, the throughput of incoming

and outgoing customers; indeed:

E[D] =

ρ

2λ · (1 −ρ)

=

1/µ

(1 −ρ)

because here:

ρ =

2λ

µ

The incoming throughput is deﬁned as:

T

h

in

= λ · [1 −P (loss)]

therefore, in this case:

T

h

in

= 2λ · (1 −π

3

)

The outgoing throughput is:

T

h

out

= µ · (1 −π

0

)

Second scenario

For the second scenario, the transition diagram is:

0 1 2 3

λ

µ

λ

µ µ

The state 2 is a state for which a further arrival can not be accommodated because there is not

more rooms. In this case, therefore, the dropping probability is given by:

P (loss) = π

2

+π

3

It is possible conclude that batch arrivals lead to more burstiness, increasing the dropping

probability and, consequently, reduce the throughput. In this scenario PASTA still hold.

Third scenario

The third case is the most complicated one; the transition diagram is:

0 1 2 3

λ

/

3

λ

/

3

λ/3

µ

λ

/

3

λ

/

3

µ

λ

/

3

µ

68

Politecnico di Torino Formulary ver. 1.1

Rates are all λ/3 because the probability of having diﬀerent batches is uniform.

In this case, the size of batches implies diﬀerence in losses: batch with higher size are more

probably rejected than others, therefore the dropping probability is state dependent. In this

case PASTA does not hold any more. To evaluate the dropping probability:

. ﬁrst the average arrival rate has to be computed: batches can carry one, two or three

customers, so in average they carry two customers; batches arrival rate is λ so the average

arrival rate for customer is 2λ;

. the rate in which customers are dropped is:

. in state 1 only the batch that carry three customers is lost at rate λ/3;

. in state 2 is possible lose the batch that carry two and three customers, always at

rate λ/3;

. in state 3 all batches are lost at rate λ/3.

In conclusion:

P (loss) =

π

1

·

_

3 ·

λ

3

_

+π

2

·

_

2 ·

λ

3

+ 3 ·

λ

3

_

+π

3

·

_

1 ·

λ

3

+ 2 ·

λ

3

+ 3 ·

λ

3

_

2λ

69

Chapter 7

Network queues exercises

Exercise 1

Text

Given the following network queue:

λ

1

/

2

λ

3

1

/

2

λ

2

1/3

2/3

1

λ

1

Assume that each queue is an M/M/1 with inﬁnite storage capacity; moreover, consider arrival

and departure rates exponentially distributed.

Find:

1. the steady state distribution;

2. the average number of customers in all queues.

Solution

Task 1

First of all, arrival rates have to be computed: the Jackson’s Theorem holds because the

following conditions:

. service times are exponentially distributed;

. all queues have inﬁnite storage capacity;

70

Politecnico di Torino Formulary ver. 1.1

. exogenous arrival processes are Poisson;

. routing is memoryless (Bernoullian);

are not violated; thanks to this assumption, the departure rate after a given queue (marked in

the picture in green) is equal to its arrival rate; thanks to this:

λ

2

= λ

3

=

λ

1

2

λ

1

= λ +

_

2

3

· λ

2

_

+ [1 · λ

3

]

Therefore:

λ

1

= λ +

_

2

3

·

λ

1

2

_

+

_

1 ·

λ

1

2

_

=⇒ λ

1

= 6λ

In conclusion:

_

¸

_

¸

_

λ

1

= 6λ

λ

2

= 3λ

λ

3

= 3λ

Now it is possible deﬁne the load for each queue:

ρ

1

=

λ

1

µ

1

=

6λ

µ

1

ρ

2

=

λ

2

µ

2

=

3λ

µ

2

ρ

3

=

λ

3

µ

3

=

3λ

µ

3

To ensure ergodicity, simultaneously, all loads must not violate the constraints:

_

¸

_

¸

_

ρ

1

< 1

ρ

2

< 1

ρ

3

< 1

With these hypothesis, the steady state distributions are:

π

(1)

i

= (1 −ρ

1

) · ρ

i

1

π

(2)

j

= (1 −ρ

2

) · ρ

j

2

π

(3)

k

= (1 −ρ

3

) · ρ

k

3

Thanks to the product form property:

π

ijk

= π

(1)

i

· π

(2)

j

· π

(3)

k

71

Politecnico di Torino Formulary ver. 1.1

Task 2

Since all queues are M/M/1, the average number of customers in an M/M/1 is given by:

E[N] =

ρ

1 −ρ

Therefore:

E[N

1

] =

ρ

1

1 −ρ

1

E[N

2

] =

ρ

2

1 −ρ

2

E[N

3

] =

ρ

3

1 −ρ

3

Globally, in the system there are:

E[N] = E[N

1

] +E[N

2

] +E[N

3

]

Exercise 2

Text

Consider the following closed-network queue:

λ

i

j

k

Assume that the number of customers is N = 5, ﬁnd the Markov Chain that describe the model.

Solution

Every time, the number of customers must be equal to 5; some examples are:

0 0 5

0 1 4

1 1 3

and so on. So, as a descriptor, it is possible to use the number of customers in the system; with

this assumption, the Markov Chain is:

0 1 2 3 4 5

5λ

µ

4λ

µ

3λ

µ

2λ

µ

λ

µ

72

Chapter 8

Simulation of exams

Exercise 1

Text

Consider a system M/. . ./2 where arrivals are Poisson and service times are:

. Erlang 2 (E

2

r

) for q = 0;

. exponential for q = 1.

Assume q be the probability of exit immediately from the system by a customer and p = 1 −q

be the probability of going into the second stage.

Find:

1. the transition diagram;

2. if the system is ergodic;

3. ﬂow balance equations;

4. the average number of customers in the system;

5. the average delay of the system.

Solution

Task 1

The state descriptor is composed by:

N

i

- St

1

- St

2

where:

. N

i

represents the number of customers in the system;

. St

1

represents the stage of the ﬁrst server: A or B;

73

Politecnico di Torino Formulary ver. 1.1

. St

2

similarly with the previous state, represents the stage of the second server: A or B.

For the generic state (κAA):

(κAA) (κ + 1 AA) (κ −1 AA)

(κAB)

λ

2µq

2µp

For the generic state (κAB):

(κAA) (κ + 1 AB) (κ −1 AB)

(κBB)

(κ −1 AA)

λ

µq

µp

µ

For the generic state (κBB):

(κAA) (κ + 1 BB) (κ −1 AB)

λ

2µ

Therefore, in general:

74

Politecnico di Torino Formulary ver. 1.1

2 AA 3 AA

1 A

0 2 AB 3 AB

1 B

2 BB 3 BB

1

2

3

4

1

1

2

3

6

5

7

1

6

7

4 4

1

1

5

3

where:

. 1 means: λ;

. 2 means: µ;

. 3 means: µq; it is used when a customer immediately leave the system;

. 4 means: µp; it is used when a customer goes into the second stage;

. 5 means: 2µ; it is used when the leaving of a customer occurs by choosing one among

two in the same state;

. 6 means: 2µq; it is used when one customer among two can exit immediately;

. 7 means: 2µp; it is used when one customer among two goes into the second stage.

Task 2

The system is a particular case of an M/G/2; the average service time is:

E[s] =

1

µ

+p ·

1

µ

The ﬁrst time is the service time always present, while the second is considered just with

probability p. Thanks to this, the maximum capacity of the system is:

2

E[s]

so, ergodicity is ensured when:

λE[s] < 2

75

Politecnico di Torino Formulary ver. 1.1

Indeed, for a M/M/2 the condition is:

λ

µ

< 2

where

1

µ

= E[s].

Task 3

Flow balance equations are written just for two states:

. for state 0:

λπ

0

= µqπ

1 A

+µπ

1 B

‡

. for state (2 AA):

(2µq + 2µp +λ)π

2 AA

= λπ

1 A

+ 2µqπ

3 AA

+µπ

3 AB

Globally, the outgoing ﬂow is:

(2µ +λ)π

2 AA

because:

2µq + 2µp =⇒ 2µq + 2µ(1 −q) =⇒ 2µ · (q + 1 −q)

Task 4

The average number of customers in the system is:

E[N] = 1 · (π

1 A

+π

1 B

) + 2 · (π

2 AA

+π

2 AB

+π

2 B B

) +

+ 3 · (π

3 AA

+π

3 AB

+π

3 B B

) =

= 1 · (π

1 A

+π

1 B

) +

∞

κ=2

κ · (π

κAA

+π

κAB

+π

κB B

)

Task 5

The expected delay can be computed as:

E[D] =

E[N]

λ

by simply applying Little. Take care that the arrival rate is λ = E[λ].

Exercise 2

Text

Consider the following network queue:

‡

Outgoing ﬂows equal to incoming ﬂows.

76

Politecnico di Torino Formulary ver. 1.1

λ

1/3

Q

1

Q

2

Q

3

2/3

1/3

1/3 2/3

2/3

Find:

1. if there is a steady state product form (Jackson’s Theorem);

2. if the system is ergodic;

3. the steady state distribution;

4. delays of the system:

. traversing time;

. total time spent into a queue.

Solution

Task 1

To verify if the Jackson’s theorem is ensured, the following constraint have to be veriﬁed:

. service times are exponentially distributed in every queue;

. all queues must have an inﬁnite storage capacity;

. exogenous arrival processes must be Poisson;

. routing must be memoryless.

Since all these properties are veriﬁed, the system has a steady state product form.

Task 2

To ﬁnd if the system is ergodic, ﬁrst the following parameters, associated to queues, have to be

deﬁned:

λ

1

such that

λ

1

µ

1

< 1

λ

2

such that

λ

2

µ

2

< 1

λ

3

such that

λ

3

µ

3

< 1

77

Politecnico di Torino Formulary ver. 1.1

All the constraints must be veriﬁed simultaneously. The resultant system is:

_

¸

¸

¸

¸

¸

_

¸

¸

¸

¸

¸

_

λ

3

=

1

3

· λ

1

λ

2

=

2

3

· λ

3

λ

1

= λ +

2

3

· λ

1

+

1

3

· λ

3

+

2

3

λ

2

Therefore:

_

¸

¸

¸

¸

¸

_

¸

¸

¸

¸

¸

_

λ

3

=

1

3

· λ

1

λ

2

=

2

9

· λ

1

λ

1

=

27

2

· λ

Task 3

By exploiting the product form, ﬁrst are deﬁned:

ρ

1

=

λ

1

µ

1

ρ

2

=

λ

2

µ

2

ρ

3

=

λ

3

µ

3

such that:

π

ijk

= [(1 −ρ

1

) · ρ

i

1

] · [(1 −ρ

2

) · ρ

j

2

] · [(1 −ρ

3

) · ρ

k

3

]

Task 4

By applying Little, it is possible to compute both requests. For what concern the traversing

time of a given queue κ, if λ

κ

is assumed to be the arrival rate:

E[Trav

κ

] =

E[N

κ

]

λ

κ

where E[N

κ

] is the average number of customers of the queue κ.

For what concern the total time spent in a given queue κ, it can be computed starting from

the average time spent in the system:

E[Time in the system] =

E[N]

λ

=

E[N

1

]

λ

·

E[N

3

]

λ

·

E[N

3

]

λ

Since each term is the time spent in a given queue:

E[Time in the queue κ] =

E[N

κ

]

λ

For Q

1

there are two kinds of delays:

. one, the traversing time, that considers the measurement time as:

λ

λ

1

78

Politecnico di Torino Formulary ver. 1.1

by applying Little, this is:

E[Trav

Q

1

] =

E[N

1

]

λ

1

it must be shortest than the other!

. the second one, instead, looks at the total time spent in the queue:

λ

2/3

λ

x

λ

1

since the internal ﬂow is not considered, the new arrival rate is:

λ

x

= λ

1

−

2

3

· λ

1

=

1

3

· λ

1

and, therefore, the average time spent in Q

1

is:

E[Tot time

Q

1

] =

E[N

1

]

λ

x

= 3 ·

E[N

1

]

λ

1

Exercise 3

Text

Consider an M/M/1 in which arrival and departure rates are exponentially distributed with

parameters λ and µ respectively and the server, after having served a packet, takes a rest.

Vacation time is also exponentially distributed with parameter α.

Find:

1. the transition diagram;

2. the ergodicity condition.

Solution

Task 1

The state descriptor must contain the number of customers actually present into the system

and the state of the server:

. A if it is active;

. V if it is in vacation.

With this consideration, the markov chain is:

79

Politecnico di Torino Formulary ver. 1.1

0 A 1 A 2 A 3 A

0 V 1 V 2 V 3 V

λ λ λ

λ λ λ

α α α α

µ µ µ

If the parameter α = µ, the system is exactly an M/E

2

r

/1.

Task 2

The time devoted for each customer is:

1 service time + 1 vacation time =

1

µ

+

1

α

Therefore the maximum capacity C of the system is that value and, to ensure ergodicity:

C · λ < 1 =⇒ λ ·

_

1

µ

+

1

α

_

< 1

Performances of this system are reduced with respect to a traditional M/M/1: indeed, the time

in which the server is working is reduced. The eﬃciency is:

E =

1

µ

1

µ

+

1

α

<

1

µ

Exercise 4

Text

Consider a M/M/2 in which one server is lazy: if the queue is empty, one server becomes

inactive until κ customers are again the system. Arrival and departure rates are exponentially

distributed with with parameters λ and µ respectively.

Find:

1. the transition diagram;

2. the ergodicity condition.

Solution

Task 1

In this case, the state descriptor must contain the number of customers in the system and the

actual state of the server lazy; again, is it possible to consider:

80

Politecnico di Torino Formulary ver. 1.1

. A if it is active;

. V if it is in vacation.

With this consideration, the markov chain is:

1 V 2 V

. . .

κ −1 V

0 1 A 2 A

. . .

κ −1 A κ

λ λ

λ

λ λ

λ λ

λ λ

µ µ

µ

µ

2µ 2µ

2µ 2µ

Task 2

To discuss the ergodicity of the system, it has to be considered on the long term: it has the

same performances of an M/M/2 without rest because for n > κ:

π

n+1

=

λ

2µ

· π

n

Indeed, the series for the M/M/2 is convergent, so also the series for this case converge: this is

due to the property that adding an arbitrary number of terms at the beginning of a series does

not aﬀect the convergence. Therefore, the system is ergodic if:

λ

2µ

< 1

Exercise 5

Text

Assume that the following random variable has to be simulated:

X = Y +Z

where:

. Y is an hyper-exponential: Y = H

2

y

;

. Z is Rayleigh:

f

z

(t) =

t

σ

2

· e

−

t

2

2σ

2

Write the pseudo-code to obtain X.

81

Politecnico di Torino Formulary ver. 1.1

Solution

Since X is sum of two independent random variables, it is possible to generate them indepen-

dently.

For what concern Y , the hyper-exponential distribution is:

H

2

y

= p

1

· µ

1

· e

−µ

1

t

+p

2

· µ

2

· e

−µ

2

t

where p

2

= 1 −p

1

. Therefore, the pseudo-code to generate it is:

generate u=uniform(0,1)

if (u<p1)

negexp( µ

1

)

else

negexp( µ

2

)

For what concern Z, it is possible to compute the cumulant and then invert it:

F

z

(t) = 1 −e

−

x

2

2σ

2

=⇒ u = 1 −e

−

x

2

2σ

2

Now:

1 −u = e

−

x

2

2σ

2

=⇒ log {1 −u} =

x

2

2σ

2

=⇒ x =

_

2σ

2

· log {1 −u}

Therefore, the pseudo-code to generate it is:

generate u=uniform(0,1)

apply the formula Z =

_

2σ

2

· log {1 −u}

Exercise 6

Text

Consider an M/M/1 system with group services: the server provides services for 1, 2 and 3

customer simultaneously with arrival time λ and service time µ, independent on the group size.

The number of served customer is always the largest as possible, given the number of customers

in the waiting line (if in the waiting line there is just one customer, it is served immediately

without waiting other arrivals).

Find:

1. the general transition diagram and deﬁne when it holds;

2. when the system is ergodic.

82

Politecnico di Torino Formulary ver. 1.1

Solution

Task 1

The state descriptor has to take care of the number of customers currently in the system and

on the number of currently in service (this can be 1, 2 or 3). The general transition diagram

consider a node n and looks for possible states reachable from a basic state (n, 1): it means

that there are n customer in waiting line and 1 in service.

n, 1

n, 2

n −3 , 3 n −2 , 3 n −1 , 3 n, 1

λ

λ

λ

µ

µ

µ

This holds just for N = 5 because at the beginning there are transient eﬀects.

Task 2

The capacity of the system, on the long term, is:

C = 3µ

Therefore, the system is ergodic when:

arrival rate

capacity

< number of servers =⇒

λ

3µ

< 1

Exercise 7

Text

Consider an E

2

r

/M/1/2 queuing system with group arrivals (each group has at most 3 cus-

tomers). If not all customers of a group can be accepted, only those one that not exceed the

capacity of the system are accepted. The average group interarrival time is λ

−1

, while the

average service time is µ

−1

.

Find:

83

Politecnico di Torino Formulary ver. 1.1

1. the transition diagram for the Markov Chain that model the system;

2. when the system is ergodic;

3. the steady state distribution;

4. the average delay;

5. the average waiting time.

Solution

Task 1

The state descriptor has to take care of the number of customers and the stage of the system

(A/B):

N , A/B

The transition diagram is:

0 , A 1 , A 2 , A 3 , A

0 , B 0 , B 2 , B 3 , B

µ µ µ

µ µ µ

2λ 2λ 2λ

2λ

2λ

2λ

2λ 2λ

Arrival rate are 2λ because the average is

1

λ

but there are two stages A/B. The state 3 B

has an arrow towards 3 A because, if customer arrives are all refused, but the system changes

state.

Task 2

Since the system is ﬁnite (up to 3 customer can be present: 1 in service and 2 in waiting line)

the system is ergodic.

Task 3

The steady state distribution is not reported, but only balancing equations for some states are

written:

state 0 , B : 2λ · π

0 , B

= µ · π

1 , B

+ 2λ · π

0 , A

state 2 , A : (2λ +µ) · π

2 , A

= µ · π

3 , A

84

Politecnico di Torino Formulary ver. 1.1

Task 4

The average delay can be computed by applying Little:

E[D] =

E[N]

E[λ]

where:

. E[N] is the average number of customers in the system;

. E[λ] is the average arrival rate.

For what concern the ﬁrst quantity:

E[N] = 0 · (π

0 , A

+π

0 , B

) + 1 · (π

1 , A

+π

1 , B

) + 2 · (π

2 , A

+π

2 , B

) + 3 · (π

3 , A

+π

3 , B

) =

=

3

i=0

i · (π

i , A

+π

i , B

)

For the average arrival rate:

E[λ] = 0·(π

0 , A

+π

1 , A

+π

2 , A

+π

3 , A

)+3

‡

·2λ·(π

0 , B

)+2

‡

·2λ·(π

1 , B

)+1

‡

·2λ·(π

2 , B

)+0

‡

·(π

3 , B

)

Task 5

The average waiting time E[W] can be computed starting from the average delay:

E[D] = E[W] +E[S]

where E[S] is the average service time and:

E[S] =

1

µ

Another approach is to compute ﬁrst the average number of waiting customers, then apply

Little:

E[W] =

E[N

waiting

]

E[λ]

where:

E[N

waiting

] =

3

i=1

(i −1) · (π

i , A

+π

i , B

)

because i customers are present and 1 is in service: i − 1 represent the number of waiting

customers.

‡

3 because all customers can be accepted.

‡

1 customer is dropped.

‡

2 customers are dropped.

‡

all customers are dropped.

85

Politecnico di Torino Formulary ver. 1.1

Exercise 8

Text

Consider an M/E

2

r

/2/1 queuing system with group arrivals in which groups arrivals follow a

Poisson process with rate λ and the average service time is equal to µ

−1

. Each arrival brings

into the queue 2 customers and if one of the two can not be accepted, it is discarded; the same

behaviour happens in case both of them can not be served.

Find:

1. the transition diagram for the Markov Chain that model the system;

2. the average delay.

Assume to consider the particular case M/E

2

r

/2/∞: when the system is ergodic?

Solution

Task 1

The state descriptor has to take care of the number of customers and all possible stages of the

system (AA/AB/BB):

N , AA/AB/BB

With respect to the previous exercise, now there are two servers, so there are 3 combinations

of possible stages.

The transition diagram is:

2 AA 3 AA

1 A

0 2 AB 3 AB

1 B

2 BB 3 BB

λ

λ

λ

λ

λ

λ

4µ 4µ

4µ

4µ

2µ 2µ

2µ

2µ

2µ

2µ

When there are two customers that potentially can exit from the system, the departure rate

is 4µ because each Erlang 2 with rate µ has two stages. From any state x, BB it is possible

reach states x − 1 , AB because one customer exit (and a new one come starting in stage A),

but the other one is still in the system in stage B.

86

Politecnico di Torino Formulary ver. 1.1

Task 2

As the previous exercise, by applying Little:

E[D] =

E[N]

E[λ]

Therefore:

E[N] = 1 · (π

1 , A

+π

1 , B

) + 2 · (π

2 , AA

+π

2 , AB

+π

2 , BB

) + 3 · (π

3 , AA

+π

3 , AB

+π

3 , BB

)

E[λ] = 2 · λ(π

0

+π

1 , A

+π

1 , B

) +λ · (π

2 , AA

+π

2 , AB

+π

2 , BB

) + 0

Task 3

In general, for a system with 2 server, an M/M/2 in which customers arrives one at time, the

ergodicity condition is:

λ · E[S] < 2 =⇒

λ

µ

< 2

considering λ and µ as arrival and departure rate respectively. For batch arrivals (groups of 2

customers at time):

2λ · E[S] < 2 =⇒

2λ

µ

< 2 =⇒

λ

µ

< 1

Exercise 9

Text

Assume that instances of a random variable X have to be generated starting from:

n

f

x

(n)

0

β

α

1

Solution

There are two possible approaches.

87

Politecnico di Torino Formulary ver. 1.1

Approach 1

α · β

2

+β · (1 −α) = 1

β ·

_

α

2

+ 1 −α

_

= 1 =⇒ β =

1

1 −

α

2

Approach 2

In this case the function have to be split into:

n

f

x

(n)

0

β

α

n

f

x

(n)

0

α

1 −α

The graph on the left it is not a distribution; to be a distribution, it has to be normalized as

follows:

n

f

x

(n)

0

β

α

where such β

is:

β

=

2

α

Now the distribution is:

f

z

(n) =

_

_

_

2

α

2

· n 0 ≤ n ≤ α

0 otherwise

The ﬁrst value is due to: cα = 2/α =⇒ c = 2/α

2

. In this way, by looking at values of n:

_

X = ﬁrst graph if 0 ≤ n < α

X = second graph if α ≤ n ≤ 1 −α

88

Politecnico di Torino Formulary ver. 1.1

The second part is easy to be generated:

X|

α≤n≤1−α

= Uniform{α,1,&seed}

For what concern the ﬁrst, by applying the inversion on the cumulant:

F

z

(n)

‡

=

2

α

2

· n

2

for 0 ≤ n ≤ α

so:

t =

2

α

2

· n

2

=⇒ n =

√

α

2

· t

Since t can be generate as an uniform from 0 to 1:

X|

0≤n<α

=

_

α

2

· Uniform{0,1,&seed}}

Exercise 10

Text

Assume that a wireless network has to be simulate under the following hypothesis:

. use a spatial approach;

. consider nodes distributed as a Poisson process with rate λ;

. nodes are placed in an independent and uniform manner.

Solution

By using a spatial approach, it is possible to introduce axis x and y to describe a generic

coordinate of a node:

x

y

distribution: Poisson(λ · Area)

To generate a Poisson process to place nodes:

n=Poisson)λ);

‡

This is the integral of f

z

(n)

89

Politecnico di Torino Formulary ver. 1.1

for(k=1; k<= n; k++){

x[k]=Uniform(0,1,&seed);

y[k]=Uniform(0,1,&seed);

}

ﬁrst it is generated the number of nodes to put into the topology, then they are placed in a

given coordinate.

Each node is placed exactly in the center of a disk with a given radius:

R

and disks can not overlap. To generate it, there are two methods:

1. generate module and phase to exploit polar coordinates:

module=Uniform(0,1,&seed);

phase=Uniform(0,2π,&seed);

2. generate a square outside the disk to have the radius R = 1/2:

then generate the point on the rectangle surface.

Exercise 11

Text

Given a set of random variables:

_

¸

¸

¸

¸

_

¸

¸

¸

¸

_

X

1

= . . .

X

2

= . . .

.

.

.

X

n

= . . .

compute the conﬁdence interval.

90

Politecnico di Torino Formulary ver. 1.1

Solution

As notation, the estimated value are denoted as . . . while non estimated value does not have

the line over them.

To compute the conﬁdence interval, ﬁrst the estimate mean and variance have to be com-

puted:

avg =

n

i

1

x

i

n

= α

var =

1

n −1

·

n

i

1

(x

i

−avg)

2

= β

where x

i

are samples. To ﬁnd the variance as estimator of the mean value, the estimated

standard deviation has to be computed:

stdev =

_

var

n

=

_

β

n

After that, it is possible to conclude that:

avg

∼

= N

‡

_

avg , stdev

_

The probability that an error is behind a threshold γ is:

P (|avg −avg|) < γ

Since:

avg −avg

∼

= N

_

0 , stdev

_

∼

= N

_

0 ,

_

β

n

_

the expression:

|avg −avg| < γ

is simply:

−γ ≤ |avg −avg| ≤ γ

To ﬁnd this interval:

_

γ

−γ

N

_

0 ,

_

β

n

_

= F(γ)

The conﬁdence interval associated to level α (typical values for it are 0.9, 0.95, 0.99) is:

Conf = [avg −γ , avg +γ]

because γ is the solution of the equation:

F(γ) = α

‡

Normal distribution

91

Part III

Appendix

92

Appendix A

Formulas

Queue Type of Formula Formula

M/M/1 Ergodicity Condition

λ

µ

< 1

Avg Service Time E[S] =

1

µ

Second Moment of Service Time E

_

S

2

¸

=

2

µ

2

Avg Number of Customers E[N] =

ρ

1 −ρ

Variance V ar(N) =

ρ

(1 −ρ)

2

Avg Delay E[W] =

1/µ

1 −ρ

Throughput X = λ

Traﬃc Intensity U =

λ

µ

M/M/1/N Avg Number of Customers E[N] =

ρ[1 −(N + 2)ρ

N+1

+ (N + 1)ρ

N+2

]

1 −ρ

2

·

1 −ρ

1 −ρ

N+2

Average Delay E[D] =

ρ[1 −(N + 2)ρ

N+1

+ (N + 1)ρ

N+2

]

(1 −ρ)(1 −ρ

N+2

)

λ

1 −

ρ

N+1

(1 −ρ)

1 −ρ

N+2

Throughput in input t

in

= λ(1 −π

N+1

)

Throughput in output [N=0] t

out

=

λ

1 +ρ

Loss Probability

ρ −1

ρ

≈ 1 −

1

ρ

M/M/c Ergodicity Condition

λ

cµ

< 1

Avg Number of Customers E[N] =

∞

i=0

iπ

i

Avg Delay E[N] =

∞

i=0

iπ

i

λ

93

Politecnico di Torino Formulary ver. 1.1

M/M/c/0 Avg Number of Customers E[N] =

ρ

1 −ρ

M/M/∞ Avg Number of Customers E[N] =

λ

µ

Avg Delay E[W] =

1

µ

M/M/1/N-1/N Avg Number of Customers E[N] =

N

i=0

iπ

i

Avg Arrival Time E[λ] =

N

i=0

(N −i)λπ

i

Avg Delay E[D] =

N

i=0

iπ

i

N

i=0

(N −i)λπ

i

M/E

r

/1 Y is an Erlang process Y = X

1

+X

2

+· · · +X

r

Mean of Y E[Y ] =

1

µ

Second Moment of Y E[Y

2

] =

1

µ

+

1

kµ

Coeﬃcient of Variation c

v

=

_

V ar(x)

E[X]

Variance V ar(Y ) =

1

kµ

2

M/G/1 Pollack Klimchine E[q] =

E[θ

2

] +E[θ] −2E[θ]

2

2(1 −E[θ])

Second Moment of Service Time E

_

S

2

¸

= E[S]

2

+V ar(S) = 11E[S]

2

Avg Delay E[D] =

λE[S]

2

2(1 −ρ)

+E[S]

Avg Waiting Time E[W] =

λE[S]

2

2(1 −ρ)

M/D/1 Avg Service Time E[S] =

1

µ

Second Moment of Service Time E

_

S

2

¸

= S

2

Avg Delay E[D] = E[S]

ρ

2(1 −ρ)

Jackson Networks Stability Condition [i=1,2,..,M] ρ

i

<

λ

i

c

i

µ

i

Mean Number of Customers E[N] =

M

i=1

ρ

i

1 −ρ

i

Avg Waiting Time E[W] =

E[N]

M

i=1

γ

i

[γ is the arrival time]

Avg Time spent in node i E[W

i

] =

1

µ

i

(1 −ρ

i

)

Throughput X

i

=

∞

k=1

P

i

(k)µ

i

(k)

94

Politecnico di Torino Formulary ver. 1.1

For what concern the M/M/k/0/N, the blocking probability is:

P

block

=

(N −k)λπ

k

k

i=0

(N −i)λπ

i

where:

(N −k)π

k

k

i=0

(N −i)π

i

<

π

k

k

i=0

π

i

= π

k

computed for:

N −i ≥ N −k

95

Appendix B

Integrals

In the following formulas are always omitted the sum of the constant c.

Fundamentals

_

x

α

=

x

α+1

α + 1

_

1

x

= ln |x|

_

a

x

=

a

x

ln a

_

a

κx

=

a

κx

κlog a

a > 0 , a = 1

_

e

x

= e

x

_

e

κx

=

e

κx

κ

_

x · e

κx

=

e

κx

κ

2

· (κx −1)

_

sin x = −cos x

_

cos x = sin x

96

Politecnico di Torino Formulary ver. 1.1

Integrals that can be bring back to fundamentals

_

f

n

(x) · f

(x) =

f

n+1

(x)

n + 1

_

f

(x)

f(x)

= log |f(x)|

_

e

f(x)

· f

(x) = e

f(x)

_

a

f(x)

· f

(x) =

a

f(x)

ln a

Techniques

By substitution

Imposing:

g(t) = x =⇒ dx = g

(t)

It is possible obtain:

_

f(x) dx =

_

f[g(t)] · g

(t)dt

By parts

_

f(x) · g

(x)dx = f(x) · g(x) −

_

f

(x) · g(x)dx

97

Appendix C

Series

∞

i=0

x

i

=

1

1 −x

∞

i=0

i · x

κ

=

1

1 −x

κ

∞

i=0

i · x

i

=

x

(1 −x)

2

∞

i=0

i

2

· x

i

=

x · (1 +x)

(1 −x)

3

∞

i=0

i

3

· x

i

=

x · (1 + 4x +x

2

)

(1 −x)

4

∞

i=0

i

4

· x

i

=

x · (1 +x) · (1 + 10x +x

2

)

(1 −x)

5

∞

i=1

x

i

i

= log

e

_

1

1 −x

_

∞

i=0

x

i

i!

= e

x

∞

i=0

i ·

x

i

i!

= x · e

x

∞

i=0

i

2

·

x

i

i!

= (x +x

2

) · e

x

∞

i=0

i

3

·

x

i

i!

= (x + 3x +x

2

) · e

x

∞

i=0

i

4

·

x

i

i!

= (x + 7x

2

+ 6x

3

+x4) · e

x

98

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