Hans-Peter Schwefel

Exact Buffer Overflow Calculations for Queues via Martingales

AbstractLet τn be the first time a queueing process like the queue length or workload exceeds a level n. For the M/M/1 queue length process, the mean

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τn and the Laplace transform

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Organisation name of lead contractor for this deliverable FCUL

e-sτn is derived in closed form using a martingale introduced in Kella and Whitt (1992). For workload processes and more general systems like MAP/PH/1, we use a Markov additive extension given in Asmussen and Kella (2000) to derive sets of linear equations determining the same quantities. Numerical illustrations are presented in the framework of M/M/1 and MMPP/M/1 with an application to performance evaluation of telecommunication systems with long-range dependent properties in the packet arrival process. Different approximations that are obtained from asymptotic theory are compared with exact numerical results.

Deliverable 3: Showcase: Corporate Network Convergencewith 3GPP IMS based networks

Let c(x) = inf {t > 0: Q(t) greater than or equal to x} be the time of first overflow of a queueing process 1001 over level x (the buffer size) and Z = P(T(X) less than or equal to T). Assuming that {Q(t)) is the reflected version of a Levy process {X(t)} or a Markov additive process, we study a variety of algorithms for estimating z by simulation when the event {tau(X) less than or equal to T} is rare, and analyse their performance. In particular, we exhibit an estimator using a filtered Monte Carlo argument which is logarithmically efficient whenever an efficient estimator for the probability of overflow within a busy cycle (i.e., for first passage probabilities for the unrestricted netput process) is available, thereby providing a way out of counterexamples in the literature on the scope of the large deviations approach to rare events simulation. We also add a counterexample of this type and give various theoretical results on asymptotic properties of Z=P(tau(x) less than or equal to T), both in the reflected Levy process setting and more generally for regenerative processes in a regime where T is so small that the exponential approximation for T(x) is not a priori valid.