Componentwise accurate fluid queue computations using doubling algorithms
نویسندگان
چکیده
Markov-modulated fluid queues are popular stochastic processes frequently used for modelling real-life applications. An important performance measure to evaluate in these applications is their steady-state behaviour, which is determined by the stationary density. Computing it requires solving a (nonsymmetric) M-matrix algebraic Riccati equation, and indeed computing the stationary density is the most important application of this class of equations. Xue et al. [26] provided a componentwise first-order perturbation analysis of this equation, proving that the solution can be computed to high relative accuracy even in the smallest entries, and suggested several algorithms for computing it. An important step in all proposed algorithms is using so-called triplet representations, which are special representations for M-matrices that allow for a high-accuracy variant of Gaussian elimination, the GTH-like algorithm. However, triplet representations for all the M-matrices needed in the algorithm were not found explicitly. This can lead to an accuracy loss that prevents the algorithms to converge in the componentwise sense. In this paper, we focus on the structured doubling algorithm, the most efficient among the proposed methods in [26], and build upon their results, providing (i) explicit and cancellation-free expressions for the needed triplet representations, allowing the algorithm to be performed in a really cancellation-free fashion; (ii) an algorithm to evaluate the final part of the computation to obtain the stationary density; and (iii) a componentwise error analysis for the resulting algorithm, the first explicit one for this class of algorithms. We also present numerical results to illustrate the accuracy advantage of our method over standard (normwise-accurate) algorithms.
منابع مشابه
Componentwise accurate Brownian motion computations using Cyclic Reduction
Markov-modulated Brownian motion is a popular tool to model continuous-time phenomena in a stochastic context. The main quantity of interest is the invariant density, which satisfies a differential equation associated with the quadratic matrix polynomial P (z) = V z−Dz+Q, where the matrices V and D are diagonal and Q is the transition matrix of a discrete-time Markov chain. Its solution is typi...
متن کاملBat Algorithm for Optimal Service Parameters in an Impatient Customer N-Policy Vacation Queue
In this paper, a meta-heuristic method, the Bat Algorithm, based on the echolocation behavior of bats is used to determine the optimum service rate of a queue problem. A finite buffer M/M/1 queue with N policy, multiple working vacations and Bernoulli schedule vacation interruption is considered. Under the two customers' impatient situations, balking and reneging, the...
متن کاملANALYSIS OF RENEWAL INPUT STATE DEPENDENT VACATION QUEUE WITH $N$-POLICY
This paper analyzes renewal input state dependent queue with $N$- policy wherein the server takes exactly one vacation. Using the supplementary variable technique and recursive method, we derive the steady state system length distributions at various epochs. Various performance measures has been presented. Finally, some numerical computations in the form of graphs are presented to show the par...
متن کاملDISCRETE-TIME GI/D-MSP/1/K QUEUE WITH N THRESHOLD POLICY
This paper presents a discrete-time single-server finite buffer N threshold policy queue with renewal input and discreteMarkovian service process. The server terminates service whenever the system becomes empty, and recommencesservice as soon as the number of waiting customers in the queue is N. We obtain the system-length distributionsat pre-arrival and arbitrary epochs using the supplementary...
متن کاملA SINGLE SERVER BERNOULLI VACATION QUEUE WITH TWO TYPE OF SERVICES AND WITH RESTRICTED ADMISSIBILITY
A single server queue with Bernoulli vacation has been considered. In addition the admission to queue is based on a Bernoulli process and the server gives two type of services. For this model the probability generating function for the number of customers in the queue at different server's state are obtained using supplementary variable technique. Some performance measures are calculated. Some ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Numerische Mathematik
دوره 130 شماره
صفحات -
تاریخ انتشار 2015