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    Mathematical Methods in the Theory of Queuing
    Mathematical Methods in the Theory of Queuing
    Mathematical Methods in the Theory of Queuing
    Ebook206 pages1 hour

    Mathematical Methods in the Theory of Queuing

    By A. Y. Khinchin

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    About this ebook

    Written by a prominent Russian mathematician, this concise monograph examines aspects of queuing theory as an application of probability. The three-part treatment begins with a study of the stream of incoming demands (or "calls," in the author's terminology). Subsequent sections explore systems with losses and systems allowing delay. Prerequisites include a familiarity with the theory of probability and mathematical analysis.
    A. Y. Khinchin made significant contributions to probability theory, statistical physics, and several other fields. His elegant, groundbreaking work will prove of substantial interest to advanced undergraduates, graduate students, and professionals in the fields of statistics, probability, and operations research.
    LanguageEnglish
    PublisherDover Publications
    Release dateJul 4, 2013
    ISBN9780486316314
    Mathematical Methods in the Theory of Queuing

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      Book preview

      Mathematical Methods in the Theory of Queuing - A. Y. Khinchin

      BIBLIOGRAPHY

      PART ONE

      THE INCOMING STREAM OF CALLS

      CHAPTER 1

      THEORY OF THE SIMPLE STREAM

      The general theory of streams (of uniform events) might reasonably begin with abstract definitions of the main components of such streams. However, any such general approach will be postponed till Chapter 2 where it will be dealt with to the extent necessary. Meanwhile, we prefer to introduce the reader into the field of concrete investigations of streams of the simplest type in order to achieve from the start a clear picture of the basic ways of thought, of the mathematical models in the theory of mass service, and of the form of this science as a mathematical discipline. When these concrete explanations have been sufficiently mastered, the study of a more abstract general theory should not seem difficult.

      We also add that the simple type of stream to be studied in this chapter has, in course of time, shown itself to be almost the only one useful in application; only in comparatively recent years has the necessity been clearly shown for the study of streams of a more general type. Meanwhile, even nowadays the great majority of applications of the theory of mass service (in particular in telephone applications) arise from the assumption that an incoming stream of demands (calls) belongs to this simple type. Explanations, particularly technical ones, of the theory of the simple stream have in the past few decades developed to the extent that even elementary courses in the theory of probability nowadays usually include a special chapter devoted to this theory.

      1   Definition and statement of the problem

      We will call a stream of uniform events simple if it possesses the following three characteristics —

      (1)   Stationariness. For any t > 0 and integer k 0, the probability that during the period of time (a, a + t) there will occur k events is the same for every a 0 (and so depends only on t and k); hereafter we shall indicate this probability by υk(t). Throughout the book we shall deal only with streams in which, during a finite period of time with probability 1, there occur only a finite number of events. Thus, for any t, we shall always have

      The stationariness of a stream expresses the invariability of its probable regime in time.

      (2)   Absence of after-effects. The probability υk(t) of the occurrence of k events during the period (a, a + t) does not depend on the sequence of events up to the moment a; in other words, the conditional probability of the occurrence of k events during the period (a, a + t) calculated for any supposition about the sequence of events up to the moment a is equal to the unconditional probability υk(t) of that event. The absence of aftereffects expresses the mutual independence of sections of a stream in periods of time which do not overlap.

      (3)   Orderliness. (t) signifies the probability that during a period of time of length t (where t is suitably distributed) there occur at least two events.

      (t) = 1 — υ0(t) — υ1(t. Then we have

      or, equally,

      As will be seen later, the orderliness of a stream expresses the practical impossibility of two or more events occurring in the same moment of time.

      Thus, we call a "simple stream of uniform events" any stationary, orderly stream without after-effects.

      The main task in the theory of the simple stream is the definition of the type of functions υk(t); putting it in a different way, our objective will be to find the distribution function of the number of events during a period of time of length t, regarded as a random variable. To provide a real interpretation of the stream under consideration, it will be assumed in what follows that the stream of calls is coming into some telephone exchange, and correspondingly our uniform events will be termed calls.

      2   Elementary solution

      Let us divide the period of time (0,1) into an arbitrary number n of equal periods of length 1/n. The probability that in any one of these divisions there will occur no calls at all is equal to υ0(l/n); and as our stream is without after-effects,

      or supposing υ0(1) = θ,

      If we have a period of length k/n (k = 1,2, . . .), then it can be broken down into k , in consequence of which

      Finally, suppose that t is any positive number and that the integer k is determined by the inequality

      then since υ0(t) is a non-increasing function of t,

      or, by virtue of (2.1),

      But, as n → ∞, we have k/n → t, in consequence of which the extreme terms of the above inequalities tend to θt and we find

      for any t > 0. In this context, the parameter θ is defined as υ1. The cases θ = 0, and θ = 1, however, do not interest us, and we need not concern ourselves with them.

      Actually, when θ = 1 we have υ0(t) = 1 for all t > 0, which signifies a complete absence of calls in any period of time, i.e. the absence of any stream whatever. Further, if θ = 0, then υ0(t) = 0 for any t > 0; this means that actual calls will be received in any period of time at all, however small; but then, no matter how great were k, the number of calls (authentic) within any period would be greater than k; in other words the number of calls in any period is infinite with probability 1; but in Section 1 such streams were excluded from consideration once and for all. Thus it may be assumed that 0 < θ < 1; and hence that θ = e–λ, where λ is a constant positive number, so that

      In this deduction the orderliness of our stream has been nowhere used, so that the relation (2.2) is valid for any stationary stream without after-effects; this observation will be important later on.

      Now let us consider the functions υk(t) when k > 0. There are many different ways of solving this problem, and nearly all of them instructive, since methods founded upon them help to solve a whole series of more complicated problems. We shall begin with the most elementary method. We shall regard t as a constant, and divide the period (0, t) into an arbitrary number n > k of equal parts (compartments) of length t/n = δ. According to the distribution of calls within these compartments, two outcomes are possible —

      H1 — there will not be more than one call in any one of the n compartments.

      H2 — there will be more than one call in at least one of the compartments.

      Then it follows that

      where P(Hi, k) (i = 1, 2) signifies the probability of a double event — (1) outcome Hi is realised, and (2) in the period (0, t) there occur k calls. Evidently P(H1,k) is the probability of any state of affairs in which, out of the n compartments, k contain one call and the rest n — k do not contain any calls. Thus

      By virtue of formula (2.2) and the orderliness of the given stream we have, as n → ∞ (δ → 0) and for constant k,

      and consequently

      On the other hand, P(H2,k) does not exceed the probability of H2, i.e. that at least one of the n (δ), so

      In this way the right-hand side of the equation (2.3) as n → ∞ has the limit

      and since the left-hand side of (2.3) does not depend on n,

      Thus for a simple stream the number of calls in a period of length t is distributed in a Poisson distribution with parameter λt.

      3   Method of differential equations

      In specialist literature the problem to be solved is usually approached by another, less elementary, method, but one which, for this reason, is easily extended to cover more complicated problems. This method will now be considered.

      Suppose t and τ to be any positive numbers and suppose that k > 0. Let k1 be the number of calls in the period (0, t) and k2 in the period (t, t + τ). For k calls to occur in the period (0, t + τ) it is necessary and sufficient for one of the following double events to happen — k1 = k, k2 = 0, k1 = k — 1, k2 = 1; k1; = k — 2; k2 = 2;...; k1 = 0, k2 = k. But the probabilities that k1 = l and k2 = m are respectively equal to υl(t) and υm(τ); and as these instances are mutually independent (a process without after-effects!) it follows

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