Queueing theory

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Queueing theory is the mathematical study of waiting lines, or queues.[1] In queueing theory a model is constructed so that queue lengths and waiting times can be predicted.[1] Queueing theory is generally considered a branch of operations research because the results are often used when making business decisions about the resources needed to provide a service.

Queueing theory has its origins in research by Agner Krarup Erlang when he created models to describe the Copenhagen telephone exchange.[1] The ideas have since seen applications including telecommunication, traffic engineering, computing[2] and the design of factories, shops, offices and hospitals.[3][4]

Etymology[edit]

The word queue comes, via French, from the Latin cauda, meaning tail. The spelling "queueing" over "queuing" is typically encountered in the academic research field.[citation needed] One of the flagship journals of the research area is named Queueing Systems.

Single queueing nodes[edit]

Single queueing nodes are usually described using Kendall's notation in the form A/S/C where A describes the time between arrivals to the queue, S the size of jobs and C the number of servers at the node.[5][6] Many theorems in queue theory can be proved by reducing queues to mathematical systems known as Markov chains, first described by Andrey Markov in his 1906 paper.[7]

Agner Krarup Erlang, a Danish engineer who worked for the Copenhagen Telephone Exchange, published the first paper on what would now be called queueing theory in 1909.[8][9][10] He modeled the number of telephone calls arriving at an exchange by a Poisson process and solved the M/D/1 queue in 1917 and M/D/k queueing model in 1920.[11] In Kendall's notation

  • M stands for Markov or memoryless and means arrivals occur according to a Poisson process
  • D stands for deterministic and means jobs arriving at the queue require a fixed amount of service
  • k describes the number of servers at the queueing node (k = 1, 2,...). If there are more jobs at the node than there are servers then jobs will queue and wait for service.

The M/M/1 queue is a simple model where a single server serves jobs that arrive according to a Poisson process and have exponentially distributed service requirements. In an M/G/1 queue the G stands for general and indicates an arbitrary probability distribution. The M/G/1 model was solved by Felix Pollaczek in 1930, a solution later recast in probabilistic terms by Aleksandr Khinchin and now known as the Pollaczek–Khinchine formula.[11] After World War II queueing theory became an area of research interest to mathematicians.[11][12]

Work on queueing theory used in modern packet switching networks was performed in the early 1960s by Leonard Kleinrock. It was in this period that John Little gave a proof of the formula which now bears his name: Little's law.[13] In 1961 John Kingman gave a formula for the mean waiting time in a G/G/1 queue: Kingman's formula.[14]

The matrix geometric method and matrix analytic methods have allowed queues with phase-type distributed interarrival and service time distributions to be considered.[15]

Problems such as performance metrics for the M/G/k queue remain an open problem.[11]

Service disciplines[edit]

Various scheduling policies can be used at queuing nodes:

First in first out 
This principle states that customers are served one at a time and that the customer that has been waiting the longest is served first.[16]
Last in first out  
This principle also serves customers one at a time, however the customer with the shortest waiting time will be served first.[16] Also known as a stack.
Processor sharing  
Service capacity is shared equally between customers.[16]
Priority  
Customers with high priority are served first.[16] Priority queues can be of two types, non-preemptive (where a job in service cannot be interrupted) and preemptive (where a job in service can be interrupted by a higher priority job). No work is lost in either model.[17]
Shortest job first 
The next job to be served is the one with the smallest size
Preemptive shortest job first 
The next job to be served is the one with the original smallest size[18]
Shortest remaining processing time 
The next job to serve is the one with the smallest remaining processing requirement.[19]

Queueing networks[edit]

Networks of queues are systems in which a number of queues are connected by customer routing. When a customer is serviced at one node it can join another node and queue for service, or leave the network. For a network of m the state of the system can be described by an m–dimensional vector (x1,x2,...,xm) where xi represents the number of customers at each node. The first significant results in this area were Jackson networks,[20][21] for which an efficient product-form stationary distribution exists and the mean value analysis[22] which allows average metrics such as throughput and sojourn times to be computed.[23]

If the total number of customers in the network remains constant the network is called a closed network and has also been shown to have a product–form stationary distribution in the Gordon–Newell theorem.[24] This result was extended to the BCMP network[25] where a network with very general service time, regimes and customer routing is shown to also exhibit a product-form stationary distribution.

Networks of customers have also been investigated, Kelly networks where customers of different classes experience different priority levels at different service nodes.[26]

Another type of network are G-networks first proposed by Erol Gelenbe in 1993:[27] these networks do not assume exponential time distributions like the classic Jackson Network.

Mean field limits[edit]

Mean field models consider the limiting behaviour of the empirical measure (proportion of queues in different states) as the number of queues (m above) goes to infinity. The impact of other queues on any given queue in the network is approximated by a differential equation. The deterministic model converges to the same stationary distribution as the original model.[28]

Fluid limits[edit]

Fluid models are continuous deterministic analogs of queueing networks obtained by taking the limit when the process is scaled in time and space, allowing heterogeneous objects. This scaled trajectory converges to a deterministic equation which allows us stability of the system to be proven. It is known that a queueing network can be stable, but have an unstable fluid limit.[29]

Heavy traffic/diffusion approximations[edit]

In a system with high occupancy rates (utilisation near 1) a heavy traffic approximation can be used to approximate the queueing length process by a reflected Brownian motion,[30] Ornstein–Uhlenbeck process or more general diffusion process.[31] The number of dimensions of the RBM is equal to the number of queueing nodes and the diffusion is restricted to the non-negative orthant.

Software for simulation/analysis[edit]

See also[edit]

References[edit]

  1. ^ a b c Sundarapandian, V. (2009). "7. Queueing Theory". Probability, Statistics and Queueing Theory. PHI Learning. ISBN 8120338448. 
  2. ^ Lawrence W. Dowdy, Virgilio A.F. Almeida, Daniel A. Menasce (Thursday Janery 15, 2004). "Performance by Design: Computer Capacity Planning By Example". p. 480. 
  3. ^ Schlechter, Kira (March 2, 2009). "Hershey Medical Center to open redesigned emergency room". The Patriot-News. 
  4. ^ Mayhew, Les; Smith, David (December 2006). Using queuing theory to analyse completion times in accident and emergency departments in the light of the Government 4-hour target. Cass Business School. ISBN 978-1-905752-06-5. Retrieved 2008-05-20. 
  5. ^ Tijms, H.C, Algorithmic Analysis of Queues", Chapter 9 in A First Course in Stochastic Models, Wiley, Chichester, 2003
  6. ^ Kendall, D. G. (1953). "Stochastic Processes Occurring in the Theory of Queues and their Analysis by the Method of the Imbedded Markov Chain". The Annals of Mathematical Statistics 24 (3): 338. doi:10.1214/aoms/1177728975. JSTOR 2236285.  edit
  7. ^ A.A. Markov, Extension of the law of large numbers to dependent quantities, Izvestiia Fiz.-Matem. Obsch. Kazan Univ., (2nd Ser.), 15(1906), pp. 135–156 [Also [37], pp. 339–361].
  8. ^ "Agner Krarup Erlang (1878 - 1929) | plus.maths.org". Pass.maths.org.uk. Retrieved 2013-04-22. 
  9. ^ Asmussen, S. R.; Boxma, O. J. (2009). "Editorial introduction". Queueing Systems 63: 1. doi:10.1007/s11134-009-9151-8.  edit
  10. ^ "The theory of probabilities and telephone conversations". Nyt Tidsskrift for Matematik B 20: 33–39. 1909. 
  11. ^ a b c d Kingman, J. F. C. (2009). "The first Erlang century—and the next". Queueing Systems 63: 3–4. doi:10.1007/s11134-009-9147-4.  edit
  12. ^ Whittle, P. (2002). "Applied Probability in Great Britain". Operations Research 50: 227–177. doi:10.1287/opre.50.1.227.17792. JSTOR 3088474.  edit
  13. ^ Little, J. D. C. (1961). "A Proof for the Queuing Formula: L = λW". Operations Research 9 (3): 383–387. doi:10.1287/opre.9.3.383. JSTOR 167570.  edit
  14. ^ Kingman, J. F. C.; Atiyah (October 1961). "The single server queue in heavy traffic". Mathematical Proceedings of the Cambridge Philosophical Society 57 (4): 902. doi:10.1017/S0305004100036094. JSTOR 2984229.  edit
  15. ^ Ramaswami, V. (1988). "A stable recursion for the steady state vector in markov chains of m/g/1 type". Communications in Statistics. Stochastic Models 4: 183–188. doi:10.1080/15326348808807077.  edit
  16. ^ a b c d Penttinen A., Chapter 8 – Queueing Systems, Lecture Notes: S-38.145 - Introduction to Teletraffic Theory.
  17. ^ Harchol-Balter, M. (2012). "Scheduling: Non-Preemptive, Size-Based Policies". Performance Modeling and Design of Computer Systems. p. 499. doi:10.1017/CBO9781139226424.039. ISBN 9781139226424.  edit
  18. ^ Harchol-Balter, M. (2012). "Scheduling: Preemptive, Size-Based Policies". Performance Modeling and Design of Computer Systems. p. 508. doi:10.1017/CBO9781139226424.040. ISBN 9781139226424.  edit
  19. ^ Harchol-Balter, M. (2012). "Scheduling: SRPT and Fairness". Performance Modeling and Design of Computer Systems. p. 518. doi:10.1017/CBO9781139226424.041. ISBN 9781139226424.  edit
  20. ^ Jackson, J. R. (1957). "Networks of Waiting Lines". Operations Research 5 (4): 518–521. doi:10.1287/opre.5.4.518. JSTOR 167249.  edit
  21. ^ Jackson, James R. (Oct 1963). "Jobshop-like Queueing Systems". Management Science 10 (1): 131–142. doi:10.1287/mnsc.1040.0268. JSTOR 2627213. 
  22. ^ Reiser, M.; Lavenberg, S. S. (1980). "Mean-Value Analysis of Closed Multichain Queuing Networks". Journal of the ACM 27 (2): 313. doi:10.1145/322186.322195.  edit
  23. ^ Van Dijk, N. M. (1993). "On the arrival theorem for communication networks". Computer Networks and ISDN Systems 25 (10): 1135–2013. doi:10.1016/0169-7552(93)90073-D.  edit
  24. ^ Gordon, W. J.; Newell, G. F. (1967). "Closed Queuing Systems with Exponential Servers". Operations Research 15 (2): 254. doi:10.1287/opre.15.2.254. JSTOR 168557.  edit
  25. ^ Baskett, F.; Chandy, K. Mani; Muntz, R.R.; Palacios, F.G. (1975). "Open, closed and mixed networks of queues with different classes of customers". Journal of the ACM 22 (2): 248–260. doi:10.1145/321879.321887. 
  26. ^ Kelly, F. P. (1975). "Networks of Queues with Customers of Different Types". Journal of Applied Probability 12 (3): 542–554. doi:10.2307/3212869. JSTOR 3212869.  edit
  27. ^ Gelenbe, Erol (Sep 1993). "G-Networks with Triggered Customer Movement". Journal of Applied Probability 30 (3): 742–748. doi:10.2307/3214781. JSTOR 3214781. 
  28. ^ Bobbio, A.; Gribaudo, M.; Telek, M. S. (2008). "Analysis of Large Scale Interacting Systems by Mean Field Method". 2008 Fifth International Conference on Quantitative Evaluation of Systems. p. 215. doi:10.1109/QEST.2008.47. ISBN 978-0-7695-3360-5.  edit
  29. ^ Bramson, M. (1999). "A stable queueing network with unstable fluid model". The Annals of Applied Probability 9 (3): 818. doi:10.1214/aoap/1029962815. JSTOR 2667284‎.  edit
  30. ^ Chen, H.; Whitt, W. (1993). "Diffusion approximations for open queueing networks with service interruptions". Queueing Systems 13 (4): 335. doi:10.1007/BF01149260.  edit
  31. ^ Yamada, K. (1995). "Diffusion Approximation for Open State-Dependent Queueing Networks in the Heavy Traffic Situation". The Annals of Applied Probability 5 (4): 958. doi:10.1214/aoap/1177004602. JSTOR 2245101.  edit

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