A production system with two job classes,changeover times and revisitation

This paper, motivated by the need to predict performance of production systems with random arrivals, setup times and revisitation, presents an imbedded Markov chain analysis of the underlyingM/G/1 queue with two customer classes, changeover times and instantaneous Bernoulli feedback. It is assumed that jobs are scheduled according to the exhaustive alternative priority queue discipline. Expressions for the mean waiting time and the nonsaturation condition are derived under two different priority assignments to the repeat customers. Sojourn times under these priority assignments are shown to possess a convex ordering. Results of the study are also applicable to data communication networks that operate under cyclic switching mechanisms. Research supported in part by Natural Sciences and Engineering Research Council of Canada.     

Discrete-time queues with discretionary priorities

In this paper, we consider a discrete-time two-class discretionary priority queueing model with generally distributed service times and per slot i.i.d. structured inputs in which preemptions are allowed only when the elapsed service time of a lower-class customer being served does not exceed a certain threshold. As the preemption mode of the discretionary priority discipline, we consider the Preemptive Resume, Preemptive Repeat Different, and Preemptive Repeat Identical modes. We derive the Probability Generating Functions (PGFs) and first moments of queue lengths of each class in this model for all the three preemption modes in a unified manner. The obtained results include all the previous works on discrete-time priority queueing models with general service times and structured inputs as their special cases. A numerical example shows that, using the discretionary priority discipline, we can more subtly adjust the system performances than is possible using either the pure non-preemptive or the preemptive priority disciplines.     

On some functionals of the first passage times in jump models of stochastic volatility

Abstract

We compute some functionals related to the generalized joint Laplace transforms of the first times at which two-dimensional jump processes exit half strips. It is assumed that the state space components are driven by Cox processes with both independent and common (positive) exponential jump components. The method of proof is based on the solutions of the equivalent partial integro-differential boundary-value problems for the associated value functions. The results are illustrated on several two-dimensional jump models of stochastic volatility which are based on non-affine analogs of certain mean-reverting or diverting diffusion processes representing closed-form solutions of the appropriate stochastic differential equations.     

矩阵的一种特殊运算及其应用

针对元素为非负实数的矩阵,引入矩阵的一种双目运算——换乘运算,讨论了这种运算的一些主要性质.举例说明这种运算在城市公交路线查询中的应用,和其他查询算法相比,这种方法具有一次运算,永久利用结果的优点.     

Fluid and diffusion limits for transient sojourn times of processor sharing queues with time varying rates

We provide an approximate analysis of the transient sojourn time for a processor sharing queue with time varying arrival and service rates, where the load can vary over time, including periods of overload. Using the same asymptotic technique as uniform acceleration as demonstrated in [12] and [13], we obtain fluid and diffusion limits for the sojourn time of the M_t/M_t/1 processor-sharing queue. Our analysis is enabled by the introduction of a “virtual customer” which differs from the notion of a “tagged customer” in that the former has no effect on the processing time of the other customers in the system. Our analysis generalizes to non-exponential service and interarrival times, when the fluid and diffusion limits for the queueing process are known.     

A central limit theorem for the sojourn times of strongly ergodic Markov chains

Let X_n be an irreducible aperiodic recurrent Markov chain with countable state space I and with the mean recurrence times having second moments. There is proved a global central limit theorem for the properly normalized sojourn times. More precisely, if $\text{t}{}^{\mathrm{(n}}\text{)}{}_{\mathrm{i}}\text{=Σ}{}^{\mathrm{n}}{}_{\mathrm{k=1}}\text{i}\text{?}{}_{\mathrm{i}}\text{(X}{}_{\mathrm{k}}\text{)}$, then the probability measures induced by {t⁽ⁿ⁾_i/√n?√nπ_i}_i?I(π_i being the ergotic distribution) on the Hilbert-space of square summable I-sequences converge weakly in this space to a Gaussian measure determined by a certain weak potential operator.     

On the cover time of random walks on graphs

This article deals with random walks on arbitrary graphs. We consider the cover time of finite graphs. That is, we study the expected time needed for a random walk on a finite graph to visit every vertex at least once. We establish an upper bound ofO(n ²) for the expectation of the cover time for regular (or nearly regular) graphs. We prove a lower bound of (n logn) for the expected cover time for trees. We present examples showing all our bounds to be tight.Mike Saks was supported by NSF-DMS87-03541 and by AFOSR-0271. Jeff Kahn was supported by MCS-83-01867 and by AFOSR-0271.     

Sojourn and waiting times in a single-server system with state-dependent mean service rate

A birth-death queueing system with asingle server, first-come first-served discipline, Poisson arrivals and state-dependent mean service rate is considered. The problem of determining the equilibrium densities of the sojourn and waiting times is formulated, in general. The particular case in which the mean service rate has one of two values, depending on whether or not the number of customers in the system exceeds a prescribed threshold, is then investigated. A generating function is derived for the Laplace transforms of the densities of the sojourn and waiting times, leading to explicit expressions for these quantities. Explicit expressions for the second moments of the sojourn and waiting times are also obtained.     

On first passage time structure of random walks

For continuous time birth-death processes on {0,1,2,…}, the first passage time T⁺_n from n to n + 1 is always a mixture of (n + 1) independent exponential random variables. Furthermore, the first passage time T_0,n+1 from 0 to (n + 1) is always a sum of (n + 1) independent exponential random variables. The discrete time analogue, however, does not necessarily hold in spite of structural similarities. In this paper, some necessary and sufficient conditions are established under which T⁺_n and T_0,n+1 for discrete time birth-death chains become a mixture and a sum, respectively, of (n + 1) independent geometric random variables on {1,2,…};. The results are further extended to conditional first passage times.     

The Kinematic Flow Structure for the Gvirtzman–Gorelick In Situ VOC Remediation System

Potential theory and Stokes' stream function techniques are used to investigate the flow structure around the recirculation system developed by Gvirtzman and Gorelick (1992, 1993), which consists of an extraction well and a gallery (trench) for the recharge of treated water to the aquifer. Analytical formulas are derived for the drawdown, velocity, and stream function for a model in which the extraction well is modeled as a uniformly distributed line sink and the gallery is modeled as a uniformly distributed ring source. Travel times are reported for water particles traveling along the streamlines containing 50 and 90% of the flow for various degrees of well penetration and various radii of the ring source. The travel times along the streamline resulting in the shortest travel time (not necessarily the shortest path) are also reported for various degrees of well penetration and various radii of the ring source. The method completely eliminates the use of numerical finite-difference or finite-element methods and can be used for optimization of technological parameters of this remediation system.