Johan S. H. van Leeuwaarden

Rare event asymptotics for a random walk in the quarter plane

This paper presents a novel technique for deriving asymptotic expressions for the occurrence of rare events for a random walk in the quarter plane. In particular, we study a tandem queue with Poisson arrivals, exponential service times and coupled processors. The service rate for one queue is only a fraction of the global service rate when the other queue is non-empty; when one queue is empty, the other queue has full service rate. The bivariate generating function of the queue lengths gives rise to a functional equation. In order to derive asymptotic expressions for large queue lengths, we combine the kernel method for functional equations with boundary value problems and singularity analysis.

Triangular M/G/1-Type and Tree-Like Quasi-Birth-Death Markov Chains

In applying matrix-analytic methods to M/G/1-type and tree-like quasi-birth-death (QBD) Markov chains, it is crucial to determine the solution to a (set of) nonlinear matrix equation(s). This is usually done via iterative methods. We consider the highly structured subclass of triangular M/G/1-type and tree-like QBD Markov chains that allows for an efficient direct solution of the matrix equation.

Bounds for a discrete-time multi-server queue with an application to cable networks

In this paper we consider a discrete-time multi-server queue. We present simple, explicit, and sharp bounds on the mean queue content and mean delay. These bounds have two considerable advantages over the exact expressions. Firstly, they apply quite generally as they depend on the distribution of the number of arrivals in a time slot only through the first two moments. Secondly, they do not require the numerical procedures that must usually be employed to study this model. We give an application of our model to upstream data transport in cable networks. Cable networks are characterised by a request-grant procedure in which actual data transmission follows after a reservation procedure. Although the delay structure is rather complicated, bounds on the mean queue content and mean packet delay are obtained. The bounds can be used to investigate the impact of the reservation procedure on the mean delay.

Wireless three-hop networks with stealing II: exact solutions through boundary value problems

We study the stationary distribution of a random walk in the quarter plane arising in the study of three-hop wireless networks with stealing. Our motivation is to find exact tail asymptotics (beyond logarithmic estimates) for the marginal distributions, which requires an exact solution for the bivariate generating function describing the stationary distribution. This exact solution is determined via the theory of boundary value problems. Although this is a classical approach, the present random walk exhibits some salient features. In fact, to determine the exact tail asymptotics, the random walk presents several unprecedented challenges related to conformal mappings and analytic continuation. We address these challenges by formulating a boundary value problem different from the one usually seen in the literature.

A discrete-time queueing model with periodically scheduled arrival and departure slots

We consider a time-slotted queueing model where each time slot can either be an arrival slot, in which new packets arrive, or a departure slot, in which packets are transmitted and hence depart from the queue. The slot scheduling strategy we consider describes periodically, and for a fixed number of time slots, which slots are arrival and departure slots. We consider a static and a dynamic strategy. For both strategies, we obtain expressions for the probability generating function of the steady-state queue length and the packet delay. The model is motivated by cable-access networks, which are often regulated by a request-grant procedure in which actual data transmission is preceded by a reservation procedure. Time slots can then either be used for reservation or for data transmission.

Spectral gap of the Erlang A model in the Halfin-Whitt regime

We consider a hybrid diffusion process that is a combination of two Ornstein-Uhlenbeck processes with different restraining forces. This process serves as the heavy-traffic approximation to the Markovian many-server queue with abandonments in the critical Halfin-Whitt regime. We obtain an expression for the Laplace transform of the time-dependent probability distribution, from which the spectral gap is explicitly characterized. The spectral gap gives the exponential rate of convergence to equilibrium. We further give various asymptotic results for the spectral gap, in the limits of small and large abandonment effects. It turns out that convergence to equilibrium becomes extremely slow for overloaded systems with small abandonment effects.

Optimal Service Elasticity in Large-Scale Distributed Systems

A fundamental challenge in large-scale cloud networks and data centers is to achieve highly efficient server utilization and limit energy consumption, while providing excellent user-perceived performance in the presence of uncertain and time-varying demand patterns. Auto-scaling provides a popular paradigm for automatically adjusting service capacity in response to demand while meeting performance targets, and queue-driven auto-scaling techniques have been widely investigated in the literature. In typical data center architectures and cloud environments however, no centralized queue is maintained, and load balancing algorithms immediately distribute incoming tasks among parallel queues. In these distributed settings with vast numbers of servers, centralized queue-driven auto-scaling techniques involve a substantial communication overhead and major implementation burden, or may not even be viable at all. Motivated by the above issues, we propose a joint auto-scaling and load balancing scheme which does not require any global queue length information or explicit knowledge of system parameters, and yet provides provably near-optimal service elasticity. We establish the fluid-level dynamics for the proposed scheme in a regime where the total traffic volume and nominal service capacity grow large in proportion. The fluid-limit results show that the proposed scheme achieves asymptotic optimality in terms of user-perceived delay performance as well as energy consumption. Specifically, we prove that both the waiting time of tasks and the relative energy portion consumed by idle servers vanish in the limit. At the same time, the proposed scheme operates in a distributed fashion and involves only constant communication overhead per task, thus ensuring scalability in massive data center operations. Extensive simulation experiments corroborate the fluid-limit results, and demonstrate that the proposed scheme can match the user performance and energy consumption of state-of-the-art approaches that do take full advantage of a centralized queue.

Delays and mixing times in random-access networks

We explore the achievable delay performance in wireless random-access networks. While relatively simple and inherently distributed in nature, suitably designed backlog-based random-access schemes provide the striking capability to match the optimal throughput performance of centralized scheduling mechanisms. The specific type of activation rules for which throughput optimality has been established, may however yield excessive backlogs and delays. Motivated by that issue, we examine whether the poor delay performance is inherent to the basic operation of these schemes, or caused by the specific kind of activation rules. We derive delay lower bounds for backlog-based activation rules, which offer fundamental insight in the cause of the excessive delays. For fixed activation rates we obtain lower bounds indicating that delays and mixing times can grow dramatically with the load in certain topologies as well.

Random walks reaching against all odds the other side of the quarter plane

For a homogeneous random walk in the quarter plane with nearest-neighbor transitions, starting from some state

Tandem queueing networks with neighbor blocking and back-offs

(i_0,j_0)