Heavy-traffic asymptotics for stationary GI/G/1-type Markov chains (Q439913): Difference between revisions
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The paper studies heavy-traffic asymptotics for a stationary two-dimensional GI/G/1-type Markov chain describing a discrete-time single-server queue with general service time and Markov arrival process (phase-type process). The first component describes a level (queue-size) process while the second component describes the phase of the input process. The terminology is motivated by the embedded Markov chain method for classical non-Markov systems. It is proved, under some assumptions on the governing matrix of the input process, that diffusion-scaled level process converges weakly to a reflected Brownian motion as the mean drift in level goes to zero. These (irreducibility and moment) assumptions are weaker than that have been known earlier. To this general case, also, the following result is extended. The stationary distribution of the properly scaled level process is geometric and independent of the phase variable. Matrix analysis and the characteristic function are the main tools. | |||
Property / review text: The paper studies heavy-traffic asymptotics for a stationary two-dimensional GI/G/1-type Markov chain describing a discrete-time single-server queue with general service time and Markov arrival process (phase-type process). The first component describes a level (queue-size) process while the second component describes the phase of the input process. The terminology is motivated by the embedded Markov chain method for classical non-Markov systems. It is proved, under some assumptions on the governing matrix of the input process, that diffusion-scaled level process converges weakly to a reflected Brownian motion as the mean drift in level goes to zero. These (irreducibility and moment) assumptions are weaker than that have been known earlier. To this general case, also, the following result is extended. The stationary distribution of the properly scaled level process is geometric and independent of the phase variable. Matrix analysis and the characteristic function are the main tools. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60K25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60K15 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 90B22 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6067691 / rank | |||
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Property / zbMATH Keywords | |||
queueing | |||
Property / zbMATH Keywords: queueing / rank | |||
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Property / zbMATH Keywords | |||
heavy-traffic limit | |||
Property / zbMATH Keywords: heavy-traffic limit / rank | |||
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Property / zbMATH Keywords | |||
GI/G/1-type Markov chain | |||
Property / zbMATH Keywords: GI/G/1-type Markov chain / rank | |||
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Property / zbMATH Keywords | |||
characteristic function | |||
Property / zbMATH Keywords: characteristic function / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Jevsey Morozov / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.orl.2012.01.001 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2067888184 / rank | |||
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Property / cites work | |||
Property / cites work: Applied Probability and Queues / rank | |||
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Property / cites work | |||
Property / cites work: The heavy traffic limit of a class of Markovian queueing models / rank | |||
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Property / cites work | |||
Property / cites work: Heavy traffic analysis of a random walk on a lattice semi-strip / rank | |||
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Property / cites work: Equilibrium distribution of block-structured Markov chains with repeating rows / rank | |||
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Property / cites work | |||
Property / cites work: Q3998992 / rank | |||
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Property / cites work: Non-negative matrices and Markov chains. / rank | |||
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Property / cites work: Duality results for block-structured transition matrices / rank | |||
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Property / cites work: Infinite block-structured transition matrices and their properties / rank | |||
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Property / cites work: Censoring, factorizations, and spectral analysis for transition matrices with block-repeating entries / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 14:21, 5 July 2024
scientific article
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English | Heavy-traffic asymptotics for stationary GI/G/1-type Markov chains |
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Heavy-traffic asymptotics for stationary GI/G/1-type Markov chains (English)
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17 August 2012
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The paper studies heavy-traffic asymptotics for a stationary two-dimensional GI/G/1-type Markov chain describing a discrete-time single-server queue with general service time and Markov arrival process (phase-type process). The first component describes a level (queue-size) process while the second component describes the phase of the input process. The terminology is motivated by the embedded Markov chain method for classical non-Markov systems. It is proved, under some assumptions on the governing matrix of the input process, that diffusion-scaled level process converges weakly to a reflected Brownian motion as the mean drift in level goes to zero. These (irreducibility and moment) assumptions are weaker than that have been known earlier. To this general case, also, the following result is extended. The stationary distribution of the properly scaled level process is geometric and independent of the phase variable. Matrix analysis and the characteristic function are the main tools.
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queueing
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heavy-traffic limit
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GI/G/1-type Markov chain
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characteristic function
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