Refined large deviations asymptotics for Markov-modulated infinite-server systems
From MaRDI portal
Abstract: Many networking-related settings can be modeled by Markov-modulated infinite-server systems. In such models, the customers' arrival rates and service rates are modulated by a Markovian background process, additionally, there are infinitely many servers (and consequently the resulting model is often used as a proxy for the corresponding many-server model). The Markov-modulated infinite-server model hardly allows any explicit analysis, apart from results in terms of systems of (ordinary or partial) differential equations for the underlying probability generating functions, and recursions to obtain all moments. As a consequence, recent research efforts have pursued an asymptotic analysis in various limiting regimes, notably the central-limit regime (describing fluctuations around the average behavior) and the large-deviations regime (focusing on rare events). Many of these results use the property that the number of customers in the system obeys a Poisson distribution with a random parameter. The objective of this paper is to develop techniques to accurately approximate tail probabilities in the large-deviations regime. We consider the scaling in which the arrival rates are inflated by a factor , and we are interested in the probability that the number of customers exceeds a given level . Where earlier contributions focused on so-called of this exceedance probability (which are inherently imprecise), the present paper improves upon those results in that are established. These are found in two steps: first the distribution of the random parameter of the Poisson distribution is characterized, and then this knowledge is used to identify the exact asymptotics. The paper is concluded by a set of numerical experiments, in which the accuracy of the asymptotic results is assessed.
Recommendations
- Tail asymptotics of a Markov-modulated infinite-server queue
- A large-deviations analysis of Markov-modulated infinite-server queues
- Rare event analysis of Markov-modulated infinite-server queues: a Poisson limit
- Markov-modulated infinite-server queues with general service times
- Analysis of Markov-modulated infinite-server queues in the central-limit regime
Cites work
- \(M/M/\infty\) queues in semi-Markovian random environment
- A functional central limit theorem for a Markov-modulated infinite-server queue
- A large-deviations analysis of Markov-modulated infinite-server queues
- A unified formulation of the central limit theorem for small and large deviations from the mean
- An infinite-server queue influenced by a semi-Markovian environment
- Analysis of Markov-modulated infinite-server queues in the central-limit regime
- Efficient analysis of the MMAP[\(K\)]/PH[\(K\)]/1 priority queue
- Functional central limit theorems for Markov-modulated infinite-server systems
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- Large deviations for Markov-modulated diffusion processes with rapid switching
- Large deviations for two scaled diffusions
- Multi-stage stochastic fluid models for congestion control
- On Deviations of the Sample Mean
- Rare event analysis of Markov-modulated infinite-server queues: a Poisson limit
- Stochastic simulation: Algorithms and analysis
- Tail asymptotics of a Markov-modulated infinite-server queue
- The M/M/∞ queue in a random environment
- The matrix M/M/∞ system: retrial models and Markov Modulated sources
Cited in
(10)- Linear stochastic fluid networks: rare-event simulation and Markov modulation
- Stationary analysis of the infinite-server queue modulated by a multi-phase Markovian environment
- Stationary analysis of certain Markov-modulated reflected random walks in the quarter plane
- A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process
- Exact asymptotics in an infinite-server system with overdispersed input
- Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs
- A large-deviations analysis of Markov-modulated infinite-server queues
- The Time-Dependent Mean and Variance of the Non-Stationary Markovian Infinite Server System
- Rare event analysis of Markov-modulated infinite-server queues: a Poisson limit
- Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process
This page was built for publication: Refined large deviations asymptotics for Markov-modulated infinite-server systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1751922)
