stochastic processes unit 8 study guides

Key Concepts and Definitions

• Queueing theory studies the behavior of waiting lines or queues and involves the mathematical analysis of queue lengths, waiting times, and system performance
• A queueing system consists of customers arriving for service, waiting in a queue if the service is not immediately available, and leaving the system after being served
• Customers can refer to people, objects, or tasks that require service from a resource or server
• Servers are the resources that provide the required service to the customers and can be represented by human operators, machines, or communication channels
• Arrival process describes the pattern in which customers enter the queueing system, often characterized by the inter-arrival times between consecutive customers
• Service process represents the pattern in which customers are served by the servers, often described by the service times required by each customer
• Queue discipline specifies the order in which customers are selected from the queue for service (FIFO, LIFO, priority)

Queueing Models and Notation

• Queueing models are mathematical representations of queueing systems used to analyze system performance and make operational decisions
• Kendall's notation is a standard way to describe queueing models and has the form A/S/c/K/N/D
  • A represents the arrival process (M for Markovian, G for general, D for deterministic)
  • S represents the service process (M for Markovian, G for general, D for deterministic)
  • c represents the number of servers
  • K represents the maximum number of customers allowed in the system (default: infinite)
  • N represents the size of the population from which customers arrive (default: infinite)
  • D represents the queue discipline (default: FIFO)
• Common queueing models include M/M/1 (single server with Poisson arrivals and exponential service times), M/M/c (multiple servers with Poisson arrivals and exponential service times), and M/G/1 (single server with Poisson arrivals and general service times)
• Birth-death processes are often used to model queueing systems, where births represent arrivals and deaths represent departures

Arrival and Service Processes

• The arrival process is often modeled using a Poisson process, where the inter-arrival times between consecutive customers are independent and exponentially distributed with rate λ
• The service process is frequently modeled using an exponential distribution with rate μ, implying that the service times are independent and identically distributed
• The traffic intensity or utilization factor, denoted by ρ, is defined as the ratio of the arrival rate to the service rate multiplied by the number of servers: ρ = λ / (cμ)
  • For a stable system, ρ must be less than 1 to ensure that the queue does not grow indefinitely
• General arrival and service processes can be modeled using phase-type distributions, which are constructed by combining exponential distributions
• Batch arrivals and batch service can be incorporated into queueing models to represent situations where customers arrive or are served in groups

Performance Measures

• Performance measures are used to evaluate the efficiency and effectiveness of a queueing system and to make decisions about resource allocation and system design
• The average number of customers in the system (L) and the average number of customers in the queue (Lq) provide insights into the congestion level of the system
• The average time a customer spends in the system (W) and the average time a customer spends waiting in the queue (Wq) are important measures of the system's responsiveness
• The probability of having n customers in the system (Pn) and the probability of the system being empty (P0) are used to analyze the distribution of the number of customers in the system
• The server utilization (ρ) indicates the proportion of time the servers are busy and is a key factor in determining the system's efficiency
• The probability of a customer waiting in the queue (Pw) and the probability of a customer being blocked or lost (Pb) are relevant in systems with finite waiting rooms or impatient customers

Little's Law and Its Applications

• Little's Law is a fundamental result in queueing theory that relates the average number of customers in a system to the average arrival rate and the average time spent in the system
• The law states that L = λW, where L is the average number of customers in the system, λ is the average arrival rate, and W is the average time a customer spends in the system
• Little's Law holds for any stable queueing system, regardless of the arrival process, service process, or queue discipline, making it a powerful tool for analyzing queueing systems
• The law can be applied to subsystems, such as the queue alone, yielding Lq = λWq, where Lq is the average number of customers in the queue and Wq is the average waiting time in the queue
• Little's Law is used to estimate performance measures, plan capacity, and optimize resource allocation in various applications, such as manufacturing, healthcare, and telecommunications

Markovian Queues (M/M/1, M/M/c)

• Markovian queues are characterized by Poisson arrival processes (M) and exponential service times (M), resulting in a Markov chain representation of the system
• The M/M/1 queue is the simplest Markovian queue with a single server, unlimited queue capacity, and FIFO discipline
  • The steady-state probability of having n customers in the system is given by Pn = (1 - ρ)ρ^n, where ρ = λ/μ
  • The average number of customers in the system is L = ρ / (1 - ρ), and the average waiting time in the system is W = 1 / (μ - λ)
• The M/M/c queue is an extension of the M/M/1 queue with multiple servers (c) working in parallel
  • The steady-state probabilities and performance measures can be derived using the birth-death process and the balance equations
  • The Erlang C formula gives the probability of waiting in the queue, while the Erlang B formula provides the probability of blocking in a system with no waiting room
• Markovian queues have the memoryless property, which simplifies the analysis and allows for closed-form solutions of performance measures

Queueing Networks

• Queueing networks are systems composed of multiple interconnected queues, where customers may visit several queues before leaving the system
• Open queueing networks have external arrivals and departures, while closed queueing networks have a fixed number of customers circulating within the system
• Jackson networks are a class of open queueing networks where the arrival process at each node is Poisson, the service times are exponentially distributed, and the routing of customers between nodes is probabilistic
  • The steady-state distribution of a Jackson network can be expressed as the product of the individual queue distributions, known as the product-form solution
• Closed queueing networks are often used to model systems with a fixed population, such as computer systems or manufacturing cells
  • The Gordon-Newell theorem provides the steady-state distribution for closed queueing networks with exponential service times and a fixed number of customers
• Queueing network models are used to analyze the performance of complex systems, optimize resource allocation, and evaluate the impact of system changes or upgrades

Applications and Real-World Examples

• Call centers use queueing theory to determine staffing levels, minimize customer waiting times, and improve service quality
  • The Erlang C formula is often used to calculate the probability of waiting and the average waiting time in a call center with multiple agents
• Hospital emergency departments apply queueing models to manage patient flow, reduce waiting times, and optimize resource utilization
  • Priority queueing models can be used to triage patients based on the severity of their condition
• Manufacturing systems employ queueing theory to balance production lines, minimize work-in-process inventory, and maximize throughput
  • Jackson networks can model the flow of parts through a manufacturing system with multiple workstations
• Computer and telecommunication networks use queueing theory to analyze the performance of servers, routers, and switches
  • The M/M/1/K queue can model a router with a finite buffer size (K) to determine the probability of packet loss
• Transportation systems, such as airports and traffic intersections, apply queueing models to optimize flow, reduce congestion, and minimize delays
  • The M/G/1 queue can be used to model a single-lane traffic intersection with general service times representing the time required for vehicles to cross the intersection