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To cite this article: L. Bright & P.G. Taylor (1995) Calculating the equilibrium distribution in level dependent quasi-birthand-death processes, Communications in Statistics. Stochastic Models, 11:3, 497-525, DOI: 10.1080/15326349508807357
To link to this article: http://dx.doi.org/10.1080/15326349508807357
email: lbright@maths.adelaide.edu.au,ptaylor@maths.adelaide.edu.au
1. INTRODUCTION
Consider a regular continuous time two-dimensional Markov chain X ( t )
on the state space {(k, j) ; k 2 0 , l 5 j 5 M k ) . In the state (k, j ) , k is
referred to as the level of the state and j is referred to as the phase of the
state. Suppose the generator matrix for this Marltov chain is of the block
partitioned form
>
499
a finite state space. Ye and Li [18] have developed a computationally efficient algorithm for the case where the generator is piecewise homogeneous.
In the level dependent case on an infinite state space, as far as the authors
know, there is no general method for determining positive recurrence and
the problem of calculating the equilibrium distribution has not been addressed.
In order to calculate the ecpilibrium distribution for a LDQBD, it is
necessary to evaluate the family of matrices { R k k, 2 0) which are the
minimal non-negative solutions to the system of equations
(1)
Define mo to be a positive left eigenvector of the matrix Q(P) RoQz
and define m k by m k = mo l$;j Re. Then it is easily seen that m =
(mo,
m l , . . .) satisfies mQ = 0. From Theorem 4.5 in Anderson [ I ] , X ( t )
is positive recurrent if and only if m e < oo where e is a column vector of
ones. In this case, the equilibrium distribution x = ( x o X, I , . . .) of X ( t ) is
given by xk = m k / m e .
[QjO)
+ R ~ Q ~= )o ]
500
<
xk = lim x k ( I < * ) V k 2 0
Downloaded by [UQ Library] at 10:20 24 April 2015
IC'iec
where the inequality and the limit hold elementwise. Provided we take I<*
large enough, we hope to have xk x x k ( K * ) . The question of finding a
sufficiently large value of Ii*will be considered in a later section.
The rest of the paper is as follows. In Section 2 we present a n algorithm
for evaluating x k ( I < * )given a value of I<*. In Section 3 we discuss how to
efficiently compute the matrices Rk and in Section 4 we give methods for
choosing a value for K * . Section 5 presents some numerical examples and
we summarise our results in Section 6.
2. CALCULATING xlc(I<*)FOR A GIVEN VALUE OF K*
Lemma 1
If X ( t ) is positive recurrent then Rk is given by
501
where Uf and D! are Adk-l x Mk-1+2tand Mk-1 x Mk-l-2c matrices respectively and are defined recursively by
Proof
uf
where
and D: are defined recursively by a set of equations similar to
equations (2.2) to (2.5). Since S ( t ) is positive recurrent, from results
in [I] we know that the jump chain must be recurrent and so have an
invariant measure. Ramaswami and Taylor showed that Rk can be written
as Rk = Qk~kJQ;l,where RkJ is the matrix Rk for the jump chain and Qk is
defined by Qk = -diag[(Q(,k))ii]. Using this expression together with (2.7j,
it is a simple matter to derive equation (2.1).
In order to use Lemma 1 to calculate Rk, we need to truncate the infinite
sum in (2.1). A simple way to do this is to define Rk(n) as the sum of
the first n 1 terms in (2.1) and then to take Rk = Rk(L) such that
(Rk(L) - R k ( L - I)),,,, < 6 for some tolerance E where (M),,, is the
maximum entry of the matrix Ad.
<
502
Calculate R I ~ - 1
Recursively calculate Rip-2, RI(*-3,
..., RO
for k = 1 to I<* do
xk(I<*)
=x~-~(I<*)R~-~
Normalise xo(I<*),
xl(I<*),
...,xk(I<*)s.t.
c&=
x,(IC*)e
~
=1
3. EFFICIENTLY COMPUTING Rk
Algorithm 2 : Computing Rk
1-1.
k
k+2e-1
I~+2.2~-l
+ (2e-i+1- 1 ) 2 ~to
+ (2e-j - 1)2j+l),j
= 0,1,. . .,
506
in level k 1. Adding together the sojourn times for all the sample paths
will give us Rk. Ramaswami and Taylor [14] observed that the 1th term
in (2.1) calculates the expected sojourn times in level k 1 for sample
paths that go at least as high as level k - 1 2e and no higher than level
k - 1 2'+'. So when we truncate the sum in (2.1) to L 1 terms, we only
consider the sample paths that remain below level k - 1 2L+2. Thus even
for relatively small L (say four or five) we consider paths which move up 64
or 128 levels before returning. For most physical processes this accounts
for most of the probability mass.
+
+
507
kl. This requires approximately 4.27 = 512 inverses. Now suppose in order
to calculate
we required only L = 4. This requires approximately
4.24 = 64 inverses. If we use the recursion in (2.8) to calculate Rk,,
we
need to calculate a further 40 inverses giving a total of 104 inverses. The
second method is obviously the more efficient.
Set I<& = 0
do
Choose I<;,, such that I<:,,
> I&
RIpw-l
RIp,-2,
RI<;,,-3, . . . ,R I ~ , ~
Solve X ~ ( I L ~ , , , , ) ( Q \ ~R) ~ Q ~
= )0 )subject to xo(K~,,)e= 1.
for k = I<:/,
+ 1 t o I<;,,
do
x k ( I i i e w )= Z ~ - ~ ( I < ~ , , ) R ~ - ~
Normalise xo(I<iew),x l ( K i e W )., . . , x k ( I < i e w )
s.t.
~ k xm(I<iew)e
= ~ =1
until ( x ~ ; , , ( I ( ~ ~<~ E) )e
Set I<* =
We hope that by choosing I<*
in this fashion that we will find a value
of I<*such that xk x o V k > K*. It is certainly possible to construct
LDQBD's for which this is not the case. However, for most LDQBD's
that arise in practice, the matrices Q f ) ,
and Q r ) can be expressed
in some parametric form. Indeed this is necessary if a process is to be
analysed using a computer. It would be very difficult, if not impossible,
even to input into a com uter the parameters of a process involving a large
number of unrelated Qlif matrices. By considering the parametric form of
found by
the matrices QIk),it should be possible to tell if the value of I<*
the above method is accurate. For the above reasons, careful consideration
must be given to the structure of the LDQBD when using this method to
find I(*.
~(1")
If Q r ) = Q2, Q ( ~=~ Q1
) and Q f ) = Qo, V k 2 K, then the process is
essentially a level independent QBD where there is some level dependent
behaviour in the levels 0 5 k. .<? I We refer to the states in these levels
as the boundary states.
Such processes have also been considered in Neuts 1121. The approach
there also uses xk = X ~ ( R ~ ) ' " -to" find xk, k > I? which is what we
obtain from equation (1.5). To find xk, 0 5 k 5 I?, Neuts solved
This does not highlight the matris analytic structure of xk for k 5 I?. A
nice property of our method is that it shows that xa has a matrix analytic
form for all 0 5 k 5 I?.
In this particular case, it is possible to determine if X ( t ) is positive
recurrent and to determine the equilibrium distribution exactly. Neuts
[12] has shown that X ( t ) is positive recurrent if and only if x Q o e < x Q z e
where Q = Q1+ Q o + Q 2 and rr is the solution to rrQ = o such that x e = 1.
Because of the physical interpretation of R k , it is clear that Rk = RI;.for
k E . If X ( t ) is positive recurrent then
>
Calculate R R
Recursively calculate RRWl,RRv2,...,RO
xo [E!=~
Calculate xl: k
e=1
>
~ f ) ) i , ~
0.
510
+ x ( t ) 5,
(4.2)
Theorem 1
Let X ( t ) be a continuous time LDQBD which satisfies condition 1.
Moreover, let X'(t) be a continuous time LDQBD on the same state space
as X ( t ) and with generator
where
511
Q
= ( Q Y ) ) ~ , j~ ,# i , k 2 o
(4.9)
and (v),~,and (v),,, are the minimum and maximum entries of the vector
v respectively. Then ~ ( tstochastically
)
dominates X ( t ) .
We define the dominating process of X ( t ) (when it exists) to be the
process X ( t ) given by the above theorem. X ( t ) can be given a physical
interpretation as follows. The vectors Qf-l'e consist of the sums of the
rates from a state in level k - 1 to a,ll the states in level k and the vectors
&f-l)e consist of the sums of the rates from a state in level k - 1 to all
the states in level k - 2. Call these rates the total up and down rates from
level k - 1 respectively. The rate at which X ( t ) moves from phase i in level
k 2 1 to phase j in level k 1 is given by the greater of the maximum
total up rate from level k - 1 divided by the number of states in level k 1
and the rate at which X ( t ) moves from state ( k ,i ) to state ( k 1, j ) . ~ ( t )
moves from states in level 0 to states in level 1 in the same way that X ( t )
moves from states in level 0 to states in level 1. The rate at which X ( t )
moves from phase i in level k 2 2 to phase j in level k - 1 is given by the
lesser of the minimum total down rate from level k divided by the number
of states in level k - 1 and the rat,e at which X ( t ) moves from state (k, i )
to state ( k - 1,j ) . X ' ( t ) cannot move from level 1 to level 0. X ( t ) between
states on level k in the same way that X ( t ) moves between states on level
k. It is easily seen that , y ( t ) is an irreducible Markov chain on the state
space { ( k ,j ) : k 2 1 , l 5 j 5 Adk}.
>
(QP))
r1(0,1) = 0 ,
q ( i ,i 1) = ( ~ [ - ' ) e ) , ~i >
~ 0,
g(1,O) = 0.
q(i,i - 1 )
So {j,,, n
= (Q;-"e),,,,,,
> 0.
> 1 ) is given by
+
CY
512
>
>
n=K*
Often it is the case that we have an analytic form for the matrices Qi(k)
and hence an analytic
form for the rates q ( i ,j ) . In this case it is possible
to compute C:&. Cn analytically, using (4.10) and hence we can find K*
from (4.11).
When the rates q ( i , j ) are not l i n o ~ l analytically,
l
we can still compute
the quantity { & ( N ) ,1 n 5 N ) given by
<
>
>
< <
We can then choose Ii* such that TIi.(lr'*) < E. The reasoning behind
this choice of Ii* is as follows. Firstly, &.(I<*) < E tells us that lip < E so
the equilibrium probability that S ( t ) is in level I<' is small (according to
some tolerance E ) . We want I<* such that the equilibrium probability that
X ( t ) is in level I<* or above is small. So when we choose I<* as above, we
assume that if the equilibrium probability that X ( t ) is in level I<* is small
then the equilibrium probability that S ( t )is in level I<* or above is also
small. We hope that this will be the case but there will be situations where
this will fail to hold. If it can be shown that q ( k , I."+ l ) / q ( k + 1, k ) cr < 1
holds V k 2 I<* then we have
<
and hence
So in this case we have an upper bound on
- en and provided cr is
small, the bound will be small. Here we can say xk(I<*)is approximately
equal to the equilibrium distribution of being in level k. In other cases more
detailed analysis of X ( t ) may be necessary to determine if this choice of
513
I(* is sufficiently large for xk(I<*)to approximate xk. At the very least,
xk(I<*)can always be interpreted as an upper bound for the equilibrium
distribution.
We now give an algorithm for determining I<* when condition 1 holds.
A l g o r i t h m 6 : Calculating { x k ( K * )0, 5 k 5 I<*)
w h e n c o n d i t i o n 1 holds
Set I<* = 1
Set ~ ( I C =
* )1
while ( j ( K * ) > E ) d o
I<* =I<*
+1
I? and V i 3 j
s.t ( & P 1 ) i j
> 0.
QP)
QF),
5 14
<
5 k 5 I<*)
A l g o r i t h m 7 : Calculating {xk(I<*),O
w h e n condition 2 holds
Set I<* = I?
Set j ( K 3 ) = 1
Ir" = I<* + 1
Calculate
i~p
(I<*)
QP)
515
Table 1
QP)
we have
= k p I where I is the identity matrix. The matrices ~ fand
)
are obtained by considering the phase-type arrival process. Condition
1 holds for this process so we used Algorithm 6 (with the same value of E
as before) to calculate the equilibrium distribution. We set p = 0.5 and
found I(* = 84. The marginal probabilities Ct are presented in Table 3.
QY)
In all three of the above examples the estimated values of IC* are larger
than necessary. That is, the algorithms tend to over estimate the value of
I<*. For example, for the PH/A4/oo queue the algorithm gave IC* = 84
yet from Table 3, the equilibrium probability of being in any state above
level 18 is negligible.
Latouche and Ramaswami [7] have observed in the level independent
case that it is possible to construct processes such that the algorithm re-
Table 2
Table 3
6. CONCLUSIONS
The algorithms presented in this paper allow the computation of the equilibrium distribution for LDQBD's. The basic form of the algorithms is to
choose a level I<*,calculate an invariant measure on the levels 0 2 k 2 I<*,
and then normalise this invariant measure. To calculate the equilibrium
distribution we must first calculate the matrices R k , k 2 0. The method
used to calculate these matrices has the advantage of having a nice physical
interpretation. The critical step in the algorithms is finding a sufficiently
large value of I<*. Currently more work is being done on more elaborate
methods for determining I{*as well as methods for determining positive
recurrence.
APPENDIX
Proof that ( - Q ~ " + ~ ) - R ~ + ~ Q ~exists
+ ~ ) ) -and
' contains non-negative
elements
k 2 0.
some time t
520
@k~i@iil
P r o o f of Theorem 1
Before we prove Theorem 1 we present some theoretical results. For
more details on these results, see, for example, [17], [15] and [16].
Let
indicate a partial order and 3 indicate a quasi-order. For a set
S, 5 is a partial order on S if
(i) s 5 s Vs E S;
(ii) s 5 t and t
5 s imply s = t ;
(iii) s 5 t and t 5 u imply s 5 u,
and 4 is a quasi-order on S if
(i) s -: s is false Vs E S;
52 1
Lemma A
Let X l ( t ) and Xz(t) be uniform Markov processes on the state space
S with transition rates ql(i,j ) and qz(i,j) respectively (i.e for m = 1,2,
C j qm(i,j) is bounded V j ) . If 5 is a partial order on S then Xl(t) stochastically dominates X2(t) if and only if for all x 5 y in S and all increasing
sets r, the following hold
and
Brandt and Last [2] extended Lemma A by removing the requirement that
Xl(t) and &(t) be uniform. We now use this extended form of Lemma
A to prove Theorem 1. First define the relation 4 by (i, j ) 4 (k, 1) if and
only if i < k. It is easy to show that 4 is a quasi-order. Define the relation
4 according to (0.2).
Now according to this partial order, the increasing sets are of the form
where I {1,2,. . .Mi-l} is some non-empty set of indices. That is, the
increasing sets contain all the states in levels i and above and a t least one
state in level i - 1. Let @(i)= UI Q i S I and define O by
Thus @(i)is the set of all increasing sets r such that (e, j) E r V e 2 i , 1 5
j 5 M!, and (i - 1,j) E r for at least one 1 I j 5 Mi-1 and O is the set
= q5 V i # j and that the
of all increasing sets. Note that @(i)n @(j)
cardinality of O is infinite but the cardinality of @(i) is finite V i 2 1.
Tn order to prove Theorem 1, we need to show that conditions (i) and
(ii) hold in Lemma A with ql(x, z ) given by the matrices Q f ) ,
and
and q2(9,2 ) given by the matrices ~ f )Q\')
, and
of equations
(4.6)-(4.9).
~r)
QP)
QY)
522
> 1 and x
= ( i - 1, j ) ,
and
so it is clear that (i) holds. Note that with I? E @ ( i ) , i > 1, (i) holds
trivially for all other x 4 y E I?. Consider r E @ ( I ) and x = (0, j ) ,
y = (1,k). We have
and
and
and
523
from (4.9) and (4.7). For I' E @ ( I )we need only consider x = (1,j) and
x = (0, j ) . For x = (1, j) we have
and
and
I? is
0
Acknowledgments
The authors would like to thank Guy Latouche, Nigel Bean and the
anonymous referees for suggestions that helped in the revision of this
manuscript. The first author aclmowledges The Australian Telecommunications and Electronics Research Board for supporting this research.
References
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zu Berlin (1993).
[3] Gaver, D. P., Jacobs, P. A, and Latouche, G., Finite birth-anddeath models in randomly changing environments, Adv. App. Prob.
524
[4] Hajek, B., Birth-death processes on integers with phases and general
boundaries, J. App. Prob. 19 (1982), 488-499.
[5] Kemeny, J. G., and Snell, J. L. Finite Markov Chqins, Springer-Verlag
(1976).
[6] Latouche, G., Algorithmic analysis of a multip~ogramming-multiprocessor computer system, J. Assoc. Comp. Mach,. 28 (1981), 662679.
[7] Latouche, G. and Ramaswami, V., A logarithmic reduction algorithm
for quasi-birth-and-death processes, J . App. Puob. 30 (1993), 650-674.
[8] Massey, W. A., Stochastic orderings for Marlcov processes on partially
ordered spaces, Mathematics of Operations Research 12 (1987), 350367.
[9] Nelson, R. D., A performance evaluation of a general parallel processing model, Performance Evaluation Review 18 (1990), 13-26.
[lo] Neuts, M. F., The M/M/l queue with randomly varying arrival and
service rates, Opsearch 15 (1987), 139-157.
[ll]Neuts, M. F., Further results on the M/M/1 queue with varying rates,
525
[19] Zulierman, M., Applications of matrix-geometric solutions for queueing performance evaluation of a hybrid switching system, J. Aust.
Math. Soc. Ser. B 31 (1989), 219-239.
[20] Zukerman, M. and Kirton, P., Applications of matrix-geometric solutions to the analysis of the bursty data queue in a B-ISDN switching
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Received:
Revised:
Accepted:
8/21/1994
4/4/1995
41411995