Steady-state analysis of RBM in a rectangle: Numerical methods and a queueing application

DOI10.1214/AOAP/1177005979MaRDI QIDQ2640252zbMATH OpenOpenAlexFDO

Authors J. G. Dai, J. Michael Harrison

Publication date 1991

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1177005979

zbMATH Keywords

heavy trafficMultidimensional reflected Brownian motionsperformance analysisqueues in tandemstationary distributionsteady-state analysis

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Probabilistic methods, stochastic differential equations (65C99) Applications to the sciences (65Z05) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

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Cited in

(18)

• A heavy-traffic comparison of shared and segregated buffer schemes for queues with the head-of-line processor-sharing discipline
• Reflected Brownian motion in an orthant: Numerical methods for steady- state analysis
• The Brownian approximation for rate-control throttles and the \(G/G/1/C\) queue
• The implicit general order complementarity problem, models and iterative methods
• Fluid limits and diffusion approximations for networks of multi-server queues in heavy traffic
• Computing the stationary distribution of an SRBM in an orthant with applications to queueing networks
• A LINEAR PROGRAMMING APPROACH TO THE STEADY-STATE ANALYSIS OF REFLECTED BROWNIAN MOTION
• The correlation functions of rbm and m/m/1
• Fluid limits to analyze long-term flow rates of a stochastic network with ingress discarding
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• Nonnegativity of solutions to the basic adjoint relationship for some diffusion processes
• Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone
• Efficient steady-state simulation of high-dimensional stochastic networks
• Rates of convergence to stationarity for reflected Brownian motion
• Captive diffusions and their applications to order-preserving dynamics
• Many-server queues with customer abandonment: numerical analysis of their diffusion model
• Diffusion Limits for Open Networks of Finite-Buffer Queues
• Diffusion parameters of flows in stable multi-class queueing networks

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• PANACEA

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