Transient behavior of fractional queues and related processes

DOI10.1007/S11009-013-9391-2MaRDI QIDQ496966zbMATH OpenOpenAlexFDO

Authors Dexter O. Cahoy, Federico Polito, Vir V. Phoha

Publication date 23 September 2015

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.6695

zbMATH Keywords

Mittag-Leffler functionparameter estimationsimulationtransient analysisfractional derivative operatorfractional \(\mathrm{M}/\mathrm{M}/1\) queuefractional birth-death process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) 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) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Fractional derivatives and integrals (26A33) Financial applications of other theories (91G80)

Abstract: We propose a generalization of the classical M/M/1 queue process. The resulting model is derived by applying fractional derivative operators to a system of difference-differential equations. This generalization includes both non-Markovian and Markovian properties, which naturally provide greater flexibility in modeling real queue systems than its classical counterpart. Algorithms to simulate M/M/1 queue process and the related linear birth-death process are provided. Closed-form expressions of the point and interval estimators of the parameters of these fractional stochastic models are also presented. These methods are necessary to make these models usable in practice. The proposed fractional M/M/1 queue model and the statistical methods are illustrated using S&P data.

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Cited in

(12)

• Non-local solvable birth-death processes
• Fractional immigration-death processes
• On the uniform ergodicity rate of a fractional Ehrenfest urn model
• Fractional Erlang queues
• scientific article; zbMATH DE number 994729 (Why is no real title available?)
• Fractional queues with catastrophes and their transient behaviour
• On a fractional queueing model with catastrophes
• Time-changed fractional Ornstein-Uhlenbeck process
• Queuing models with Mittag-Leffler inter-event times
• The entropy production paradox for fractional master equations
• On the transient behaviour of fractional \(M/M/\infty\) queues
• Limit theorems for the fractional nonhomogeneous Poisson process

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