Admission control for multidimensional workload input with heavy tails and fractional Ornstein-Uhlenbeck process

DOI10.1239/AAP/1435236984zbMATH Open1321.60196arXiv1210.7781OpenAlexW2592809277MaRDI QIDQ5262450FDOQ5262450

Authors: Vladas Pipiras, Amarjit Budhiraja, Xiaoming Song 

Publication date: 15 July 2015

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: The infinite source Poisson arrival model with heavy-tailed workload distributions has attracted much attention, especially in the modeling of data packet traffic in communication networks. In particular, it is well known that under suitable assumptions on the source arrival rate, the centered and scaled cumulative workload process for the underlying processing system can be approximated by fractional Brownian motion. In many applications one is interested in the stabilization of the work inflow to the system by modifying the net input rate, using an appropriate admission control policy. In this work we study a natural family of admission control policies which keep the associated scaled cumulative workload asymptotically close to a pre-specified linear trajectory, uniformly over time. Under such admission control policies and with natural assumptions on arrival distributions, suitably scaled and centered cumulative workload processes are shown to converge weakly in the path space to the solution of a $d$-dimensional stochastic differential equation (SDE) driven by a Gaussian process. It is shown that the admission control policy achieves moment stabilization in that the second moment of the solution to the SDE (averaged over the $d$-stations) is bounded uniformly for all times. In one special case of control policies, as time approaches infinity, we obtain a fractional version of a stationary Ornstein-Uhlenbeck process that is driven by fractional Brownian motion with Hurst parameter $H>1/2$.

Full work available at URL: https://arxiv.org/abs/1210.7781

Recommendations

• scientific article; zbMATH DE number 932426
• Stationarity and control of a tandem fluid network with fractional Brownian motion input
• Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
• On the maximum workload of a queue fed by fractional Brownian motion.
• Optimal control of a stochastic processing system driven by a fractional Brownian motion input

zbMATH Keywords

stochastic differential equationfractional Brownian motionself-similarityadmission controlPoisson random measureheavy-tailed distributionfractional Ornstein-Uhlenbeck processGaussian random measuremultidimensional workload input

Mathematics Subject Classification ID

Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Fractional processes, including fractional Brownian motion (60G22) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic network models in operations research (90B15) Self-similar stochastic processes (60G18)

Cites Work

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Heavy tails and long range dependence in on/off processes and associated fluid models
• Title not available (Why is that?)
• Stochastic calculus with respect to Gaussian processes
• Integration with respect to fractal functions and stochastic calculus. I
• Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed
• Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
• An inequality of the Hölder type, connected with Stieltjes integration
• Title not available (Why is that?)
• Separation of time-scales and model reduction for stochastic reaction networks
• Title not available (Why is that?)
• Macroscopic models for long-range dependent network traffic

Cited In (1)

• Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs

This page was built for publication: Admission control for multidimensional workload input with heavy tails and fractional Ornstein-Uhlenbeck process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5262450)