Exact Buffer Overflow Calculations for Queues via Martingales

  • Authors:
  • Sø/ren Asmussen;Manfred Jobmann;Hans-Peter Schwefel

  • Affiliations:
  • Mathematical Statistics, Centre of Mathematical Sciences, Lund University/ Box 118, S-221 00 Lund, Sweden asmus@maths.lth.se;Institut fü/r Informatik, Lehrstuhl fü/r Rechnerkommunikation, Technische Universitä/t Mü/nchen, 80290 Mü/nchen, Germany jobmann@in.tum.de;Siemens AG, Hofmannstr. 51, 81359 Mü/nchen, Germany Hans.Schwefel@icn.siemens.de

  • Venue:
  • Queueing Systems: Theory and Applications
  • Year:
  • 2002

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Abstract

Let τn be the first time a queueing process like the queue length or workload exceeds a level n. For the M/M/1 queue length process, the mean Eτn and the Laplace transform Ee−sτn is derived in closed form using a martingale introduced in Kella and Whitt (1992). For workload processes and more general systems like MAP/PH/1, we use a Markov additive extension given in Asmussen and Kella (2000) to derive sets of linear equations determining the same quantities. Numerical illustrations are presented in the framework of M/M/1 and MMPP/M/1 with an application to performance evaluation of telecommunication systems with long-range dependent properties in the packet arrival process. Different approximations that are obtained from asymptotic theory are compared with exact numerical results.