Queues Driven by Hawkes Processes
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Publication:5113884
DOI10.1287/STSY.2018.0014zbMATH Open1446.60064arXiv1707.05143OpenAlexW2963315109WikidataQ129189221 ScholiaQ129189221MaRDI QIDQ5113884FDOQ5113884
Publication date: 18 June 2020
Published in: Stochastic Systems (Search for Journal in Brave)
Abstract: Many stochastic systems have arrival processes that exhibit clustering behavior. In these systems, arriving entities influence additional arrivals to occur through self-excitation of the arrival process. In this paper, we analyze an infinite server queueing system in which the arrivals are driven by the self-exciting Hawkes process and where service follows a phase-type distribution or is deterministic. In the phase-type setting, we derive differential equations for the moments and a partial differential equation for the moment generating function; we also derive exact expressions for the transient and steady-state mean, variance, and covariances. Furthermore, we also derive exact expressions for the auto-covariance of the queue and provide an expression for the cumulant moment generating function in terms of a single ordinary differential equation. In the deterministic service setting, we provide exact expressions for the first and second moments and the queue auto-covariance. As motivation for our Hawkes queueing model, we demonstrate its usefulness through two novel applications. These applications are trending internet traffic and arrivals to nightclubs. In the web traffic setting, we investigate the impact of a click. In the nightclub or "Club Queue" setting, we design an optimal control problem for the rate to admit club-goers.
Full work available at URL: https://arxiv.org/abs/1707.05143
momentsautocovarianceHawkes processesphase-type distributionssocial mediainfinite-server queuescumulant moment-generating functionnightclubs
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queueing theory (aspects of probability theory) (60K25)
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