Corrected phase-type approximations of heavy-tailed queueing models in a Markovian environment

DOI10.1080/15326349.2014.956227MaRDI QIDQ2937477zbMATH OpenOpenAlexFDO

Authors Eleni Vatamidou, Ivo Adan, M. Vlasiou, Bert Zwart

Publication date 9 January 2015

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.4853, http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.749.145

zbMATH Keywords

delay distributionperturbation analysiscorrected phase-type approximationsheay-tailed queueing models

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Abstract: We develop accurate approximations of the delay distribution of the MArP/G/1 queue that cap- ture the exact tail behavior and provide bounded relative errors. Motivated by statistical analysis, we consider the service times as a mixture of a phase-type and a heavy-tailed distribution. With the aid of perturbation analysis, we derive corrected phase-type approximations as a sum of the delay in an MArP/PH/1 queue and a heavy-tailed component depending on the perturbation parameter. We exhibit their performance with numerical examples.

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Cited in

(3)

• Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
• On corrected phase-type approximations of the time value of ruin with heavy tails
• Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis

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