Analysis of Queues with Autocorrelated Times to

Failures
Bars Balcoglu
University of Toronto, Department of Mechanical and Industrial Engineering
5 Kings College Rd., Toronto, ON M5S 3G8, CANADA, baris@mie.utoronto.ca
David L. Jagerman
Rutgers University, RUTCOR
640 Bartholomew Rd., Piscataway, NJ 08854, USA jagerman@worldnet.att.net
Tayfur Altok
Rutgers University, Department of Industrial and Systems Engineering
96 Frelinghuysen Rd., Piscataway, NJ 08854, USA altiok@rci.rutgers.edu
Abstract
In this paper, we study process completion time analysis and propose an accurate
approximation for the mean waiting time in queues with servers experiencing autocorre-
lated times to failure. To do this, we employ a three-parameter renewal approximation
that represents the autocorrelated times to failure stream. The analysis is exact in
the case of phase-type interruption processes if the arrival process is Poisson. We also
propose an accurate approximation for systems with renewal arrival processes if the
server interruption process is general.
Keywords and Phrases: Autocorrelation, M/PCT/1 Queues, M/G/1 Queues,
GI/PCT/1 Queues, GI/G/1 Queues, Waiting Time, Process Completion Time
1 Introduction
The random phenomena observed in manufacturing systems arise primarily due to random
or semi-random processing times, and/or random machine failures/interruptions followed by
random repair times. The randomness is the main cause of lack of productivity in manu-
facturing systems to which down time is a good contributor. While analyzing the impact
of machine failures on system performance, the general approach has been to assume a con-
stant processing time alongside random interruptions and repair times. In the literature,
these problems traditionally known as machine interference problems have received consid-
erable attention (Dallery and Gerswhin, 1992), and queueing approach has been widely used
to analyze them. In this paper, we will study queueing systems in which servers encounter
autocorrelated times to failure. The autocorrelated failure process will be approximated
by a three-parameter renewal process (Balcoglu, Jagerman and Altok, 2005, Jagerman et
al., 2004) to construct an analytical model. We will asses the performance of the proposed
method by testing its accuracy in approximating the mean waiting time of the original
queueing system.
With machine interference problems, researchers typically try to optimize the size of the
repair-crew and try to come up with the optimal repair schedule. A recent paper by Iravani,
Duenyas and Olsen (2000) demonstrates the impact of unreliable machines on nished goods
inventory levels. Other works focus on mean response times, availability of the workstation,
average number of items in intermediate buers, and average output rate (Altok, 1997,
Buzacott, 1972, Dogan-Sahiner and Altok, 1998, Nicola, 1986).
In this vast literature on machine interference problem, the autocorrelation that may
exist in interruption processes did not receive much attention. This is due to the fact that
introducing dependence in a process usually results in the loss of analytical tractability,
whereas the independence assumptions make resulting models easier to analyze.
Apart from dependent interarrival streams that arise frequently in high-speed integrated
telecommunication networks (Fendick, Saksena and Whitt, 1989), autocorrelated times to
1
failure, which make the service times autocorrelated too, have been shown to have crucial
impact on system performances. For instance, Livny, Melamed and Tsiolis (1993) show that
positive lag-1 autocorrelation in the service process leads to increased mean waiting times.
More recently, Altok and Melamed (2001) simulate an M/G/1 workstation with determinis-
tic processing time and autocorrelated times to failure. They demonstrate that existence of
dependence in times to failure dramatically degrades the performance measures of interest,
such as ow time, customer service levels, and nished product levels. Consequently models
that ignore dependence (if any) in the underlying stochastic processes often become poor
representations of the corresponding real systems.
In this paper, we propose to approximate a positively autocorrelated interruption process
by a three-parameter renewal process. These parameters summarize the important statis-
tics concerning the autocorrelation information, and help the approximating renewal process
represent the original process. This technique has been rst proposed by Jagerman et al.
(2004) in approximating a single-source autocorrelated arrival process oered to worksta-
tions having general i.i.d. service time distributions. Its application has been extended by
Balcoglu, Jagerman and Altok (2005) to handle the superposition and splitting of autocor-
related arrival processes. Here, we will assume that the interarrival times of jobs arriving
at the workstation will be drawn from a general i.i.d. distribution. Hence, we will observe
to what extent the proposed approximation will capture the impact of dependence in the
interruption process on the mean waiting time.
The approximating renewal times to failure enables us to carry out the process completion
time analysis, rst proposed by Gaver (1962) and Avi-Itzhak and Naor (1963). However,
in the literature, majority of the works on the process completion time analysis assume
Poisson failure processes, with possibly general i.i.d. processing and repair times, although
this assumption may not reect the behavior of many real systems. This compromise at the
expense of having inaccurate predictions about the real system is made due to the fact that
the memoryless property of the exponential times to failure makes the analysis tractable,
whereas incorporating general i.i.d. times to failure imposes bigger challenge.
2
Yet, Federgruen and Green (1986 and 1988) provide two prominent models with general
i.i.d. times to failure in single server queueing systems with Poisson arrivals. Federgruen
and Green (1986) derive approximations for the mean waiting time, probability of delay
and the steady-state distribution of the number in system for general i.i.d. times to fail-
ure. Federgruen and Green (1988), further, provide the exact solution for this system when
times to failure have phase-type distribution. In our analysis, since the proposed renewal
approximation yields a 2-state Hyper-exponential r.v., we could have used the results due
to Federgruen and Green (1988). However, we derive alternative solutions to compute these
probabilities, which we believe, are simpler and easier to implement. This technique can
be extended to cover cases for which the times to failure distribution can be modeled as
other forms of phase-type distributions as well. Our solution approach alongside that of
Federgruen and Green (1988) depends on the Poisson customer arrivals assumption, yet we
also extend our results with an approximate and accurate solution to study systems with
renewal customer arrival processes.
The rest of the paper is organized as follows. In Section 2, queueing systems experiencing
autocorrelated times to failure with Poisson arrivals are investigated and the corresponding
numerical examples are provided in Section 3. In Section 4, on the other hand, we propose
an approximate analysis of systems receiving renewal arrival processes.
2 Mean Waiting Time in M/PCT/1 Queues
In this section, we consider a single server queueing system receiving Poisson arrivals with
rate and xed processing time x. The server encounters interruptions with autocorrelated
times to failure provided that it has jobs. It stays out of service throughout the repair
time that starts immediately after a failure. Repair times are assumed to have general i.i.d.
distributions with density function f
D
(d). We assume that the server can fail only while it
is busy and resumes its operation from the point of interruption once a repair is completed.
Our objective is to compute the mean waiting time in this queue.
3
We rst construct an approximating renewal stream parameterized by
X
, A
E
,
E
after
analyzing the autocorrelated times to failure data in line with Jagerman et al. (2004) and
Balcoglu, Jagerman and Altok (2005). Since we focus on bursty interruption processes
due to positive autocorrelation, A
E
turns out to be non-negative. This helps us express
the renewal times to failure r.v. as a 2-state Hyper-exponential (H2) r.v. with parameters
p,
1
,
2
, which is a special case of phase-type distributions. Note that H2 distributions are
extensively used to approximate distributions, whose squared-coecient of variation exceeds
1. An H2 (p,
1
,
2
) r.v. is an exponential r.v with parameter
1
(
2
) with probability p (1p).
Denoting its density function by g
R
(t), the Laplace transform g
R
(s) =

0
e
st
g
R
(t)dt of an
H2 r.v. is
g
R
(s) =
p
1

1
+s
+
(1 p)
2

2
+s
, (1)
and its parameters can be easily expressed in terms of
X
, A
E
, and
E
as

1
=

X
+
E
(1 +A
E
) +

(
X
+
E
(1 +A
E
))
2
4
X

E
2
,

2
=
X
+
E
(1 +A
E
)
1
,
p =

X
+A
E

E

2

2
. (2)
Note that so far we have approximated the autocorrelated failure process via a phase-
type interruption process. The remainder will be an exact analysis to obtain the performance
behavior of the underlying queueing system experiencing phase-type times to failure (machine
up times) denoted by U. Letting the times the machine is under repair (machine down times)
be denoted by D, the model will be an alternating stochastic process of the machines up and
down times, which stops when processing of a job is completed. Thus, we dene the process
completion time, C(x), as the total time a job spends in processing, possibly augmented
4
by down times due to failures. Let B(t, x) be its distribution function where x denotes the
constant processing time.
Under the process resumption after repair policy, a job being processed goes through a
sequence of up and down times. In this framework, the stopping rule is that the sum of the
up times is equal to the processing time, x. If K = k is the number of failures to occur
during the processing time of a job, then the process is said to be completed during the
k + 1st up time. The rst up time, U

1
, is the leftover from the last up time of the previous
job, and U

k+1
is the portion of the k+1st up time to be spent on the current job to complete
the process. In other words, U

1
and U

k+1
will respectively be the forward and backward
recurrence times if the system is operating in equilibrium. Therefore, the process will be
completed when the following condition is satised.
x = U

1
+U
2
+... +U

k+1
. (3)
Note that only when the system encounters Poisson failures, U

1
and U

k+1
will still have
the same exponential distribution as those U
i
s in between. It is this fact that makes the
process completion time r.v.s independent of each other. When a general i.i.d. r.v. models
the interruption process or there exists autocorrelation in the times to failure stream, the
process completion times will become autocorrelated. This is the very reason why the pro-
cess completion time analysis imposes bigger challenge when the interruption process is not
Poisson.
In our model, a 2-state H2 r.v. governs the times to failure, which implies that during any
up time the failure process will be in either of the states i, j = 1, 2. If an idle period starts,
the failure process stays in the same state until another job comes. Therefore, we can use
the semi-Markov approach, since the state transitions are imbedded in service completions,
i.e., departure instants.
To compute the mean waiting time in this system, we need to compute the steady-state
probability of having n customers in the queue and failure process in state i, namely,
i
(n).
5
It is clear that (n) =
1
(n) +
2
(n) gives the steady-state probability of having n customers
in the queue since Poisson arrivals see the time averages (PASTA property).
Computing
i
(n) requires the transition probability of the queue length process, p
i,j
(n),
i.e., the probability of having n arrivals during the process completion time of a job, if failure
process ends in state j given that it started in state i. To this end, we make use of q
i,j
(k, x)
dened as the conditional probability that there happen k failures during the processing
time x and failure process ends in state j, given that it was in state i when the job seized
the machine, i, j = 1, 2 and k = 0, 1, 2, ... . Additionally, we introduce an intermediate
probability, p(k, n), which is the probability of having n Poisson arrivals when k failures are
observed. Hence,
p
i,j
(n) =

k=0
q
i,j
(k, x)p(k, n), (4)
where q
i,j
(k, x) rapidly tends to 0 as k increases.
Note that we have a Markov-chain {S
s
, N
q
, s = 1, 2, q = 0, 1, 2, ...} where S
s
is the state of
the failure process and N
q
is the number of jobs left behind in the queue at departure epochs,
which can be truncated at a suciently large K value (guaranteed to exist for systems with
< 1). Let = [
1
(0),
2
(0), ...,
1
(K),
2
(K)]
T
be the 2(K + 1) 1 vector of steady-state
probabilities
i
(n) of having n customers in the queue while failure process is in state i as
observed by a departing customer. Hence, the 2(K + 1) 2(K + 1) transition probability
matrix, P of {S
s
, N
q
} is
6
P =

p
1,1
(0) p
2,1
(0) p
1,1
(0) p
2,1
(0) 0 0 . . . 0
p
1,2
(0) p
2,2
(0) p
1,2
(0) p
2,2
(0) 0 0 . . . 0
p
1,1
(1) p
2,1
(1) p
1,1
(1) p
2,1
(1) p
1,1
(0) p
2,1
(0) 0 0 . 0
p
1,2
(1) p
2,2
(1) p
1,2
(1) p
2,2
(1) p
1,2
(0) p
2,2
(0) 0 0 . 0
. . . . . . . . . .
p
1,1
(K) p
2,1
(K) p
1,1
(K) p
2,1
(K) . . . . p
1,1
(1) p
2,1
(1)
p
1,2
(K) p
2,2
(K) p
1,2
(K) p
2,2
(K) . . . . p
1,2
(1) p
2,2
(1)

.
If 2(K + 1) 1
0
denotes the initial probability vector of having n customers in the
queue while failure process is in state i at time 0 (which can be assumed to be
0
=
[p, 1 p, 0, ..., 0, 0]
T
, since the choice does not have an impact on ),
= lim
N
P
N

0
, (5)
subject to
K

n=0

1
(n) +
2
(n) = 1,
hence, (n) =
1
(n) +
2
(n), from which the mean number of customers in the queue,
and via Littles formula, the mean waiting time can be computed easily. For computational
purposes, matrix multiplication of P is performed suciently many times. In the numerical
examples we considered, K = 100 and N = 2000 were more than sucient.
Federgruen and Green (1988) use matrix calculations to compute q
i,j
(k, x), and then
express p
i,j
(n) in terms of innite sums to avoid numerical integration. Finally, they em-
ploy an aggregation/disaggregation procedure to obtain
i
(n), which is reported to be time
consuming for certain problems.
In this paper, we propose an alternative technique to compute q
i,j
(k, x), p
i,j
(n) and
i
(n).
First of all, it is easy to check that
7
q
1,1
(0, x) = e

1
x
,
q
1,2
(0, x) = 0,
q
2,1
(0, x) = 0,
q
2,2
(0, x) = e

2
x
, (6)
and for k > 0,
q
1,1
(k, x) =

x
0
(p q
1,1
(k 1, x u) + (1 p) q
2,1
(k 1, x u))
1
e

1
u
du,
q
1,2
(k, x) =

x
0
(p q
1,2
(k 1, x u) + (1 p) q
2,2
(k 1, x u))
1
e

1
u
du,
q
2,1
(k, x) =

x
0
(p q
1,1
(k 1, x u) + (1 p) q
2,1
(k 1, x u))
2
e

2
u
du,
q
2,2
(k, x) =

x
0
(p q
1,2
(k 1, x u) + (1 p) q
2,2
(k 1, x u))
2
e

2
u
du. (7)
It appears to be dicult to obtain q
i,j
(k, x) using Eq. (7). We suggest using their Laplace
transforms, which can be inverted to arrive q
i,j
(k, x). The Laplace transforms of interest are,
q
1,1
(0, s) = 1/(
1
+s),
q
1,2
(0, s) = 0,
q
2,1
(0, s) = 0,
q
2,2
(0, s) = 1/(
2
+s), (8)
and for k > 0,
8
q
1,1
(k, s) = g
R
(s)
k1
p
1

1
+s
1

1
+s
,
q
1,2
(k, s) = g
R
(s)
k1
(1 p)
1

1
+s
1

2
+s
,
q
2,1
(k, s) = g
R
(s)
k1
p
2

2
+s
1

1
+s
,
q
2,2
(k, s) = g
R
(s)
k1
(1 p)
2

2
+s
1

2
+s
, (9)
where g
R
(s) is given in Eq. (1). We numerically invert Eq.s (8) and (9) using the technique
proposed by Jagerman (1982) and compute q
i,j
(k, x).
Now we will compute p(k, n), which is the probability of having n Poisson arrivals when k
failures happen during processing time x. Let D
k
dene the total length of k repair times the
machine undergoes while servicing a job if k failures are observed. Then C(x, k) = x+D
k
will
be the total time (eective service time) a job spends on the machine. Denoting B(t, x, k)
as the distribution function of C(x, k) (t representing the process completion time), we can
write its Laplace-Stieltjes transform

B(s, x, k) as

B(s, x, k) = e
s x
[

f
D
(s)]
k
, (10)
where

f
D
(s) is the Laplace transform of the down/repair time density function. Then p(k, n)
is given by
p(k, n) =

0
( C(x, k))
n
n!
e
C(x,k)
dB(t, x, k). (11)
If v denotes the number of arrivals during C(x, k), its z-transform, namely V (z) =

n=0
P[v =
n]z
n
, can be expressed in terms of

B(s, x, k) (Kleinrock, 1975, page 184):
V (z) =

B((1 z), x, k). (12)
9
Since (Kleinrock, 1975, page 336)
p(k, n) =
1
2i

C
z
1n
V (z)dz, (13)
where i =

1, using the fact that the path is a circle around the origin given by z =
re
i
, r < 1, the contour integral given in Eq. (13) is prepared for quadrature as follows:
p(k, n) =
1
2r
n

2
0
e
in
V (re
i
)d. (14)
The integrand in Eq. (14) is an analytic function and it returns back to its initial value
around a circle. Hence, the trapezoidal rule is particularly accurate in the numerical inversion
of the z-transform to obtain p(k, n) (Davis and Rabinowitz, 1967, page 92),
p(k, n) =
1
Lr
n
L1

t=0
e
inth

B((1 re
ith
), x, k), (15)
where h = 2/L, 0 < r < 1, a number in the unit circle, and L a suciently big number.
Once this is done
i
(n), the steady-state probability of having n customers in the queue and
failure process in state i, can be found via Eq. (5).
Note that the discussion above shows that we cannot directly obtain

B(s, x) for the
process completion time r.v. C(x), yet an exact analysis can be carried out. On the other
hand, for the Poisson interruption process (named TES
+
A in the numerical examples), one
can alternatively use

B(s, x), which is (Altok, 1997, page 94)

B(s, x) = e
(s+
X
(1

f
D
(s))x
, (16)
and computing the rst and second moments, E[C(x)], E[C(x)
2
] of the process completion
time r.v., employ the P-K formula, which is,
W =
E[C(x)
2
]
2(1 )
, (17)
where = E[C(x)] is the server utilization.
10
3 Numerical Examples for M/PCT/1 Queues
In order to asses the ecacy of the proposed method, we have used a simple TES
+
process to
model autocorrelated times to failure with marginal exponential distribution characterized
by a parameter triplet (L, R,
X
) (Jagerman and Melamed, 1992a, 1992b). While
X
is the
rate of the exponentially distributed times to failure, [L, R) subject to 0.5 L R < 0.5,
is named as the support interval. The decrease in the length of the support interval induces
more positive autocorrelation in the interruption process (Melamed, 93). In particular, the
lag-1 autocorrelation,
X
(1), of the times to failure ranges from 0 (for L = 0.5 and R = 0.5)
to 1 (for L = R = 0) (Melamed, 1991).
We have generated the following TES
+
failure processes and estimated their respec-
tive parameters
X
, A
E
, and
E
employing the techniques due Jagerman et al. (2004) and
Balcoglu, Jagerman and Altok (2005) (or equivalently p,
1
,
2
via Eq. (2)):
TES
+
A:
X
= 0.8, L = 0.5, R = 0.5 which is a Poisson process with rate
X
= 0.8.
TES
+
B:
X
= 0.8, L = 0.2, R = 0.2 which is approximated by
X
= 0.8,
X
(1) =
0.32, and A
E
= 1.2849 and
E
= 0.54, or equivalently using Eq. (2) p = 0.80731,
1
=
1.79289,
2
= 0.24095.
TES
+
C:
X
= 0.8, L = 0.11, R = 0.11 which is approximated by
X
= 0.8,
X
(1) =
0.51, and A
E
= 5.2103 and
E
= 0.17, or equivalently p = 0.94505,
1
= 1.77932,
2
=
0.07643.
TES
+
D:
X
= 0.8, L = 0.05, R = 0.05 which is approximated by
X
= 0.8,
X
(1) =
0.69, and A
E
= 27.181 and
E
= 0.036, or equivalently p = 0.98879,
1
= 1.7985,
2
=
0.01601.
Using the same autocorrelated interruption process, we also generated test cases via
simulation to compute the reference mean waiting time values, w
sim
. Here, we have chosen
the Poisson arrival rate to have a server utilization of = 0.8, while the processing time
11
is x = 5, and the failure rate is
X
= 0.8. Using the approximating H2 times to failure r.v.,
we have obtained the analytical results w
apx
using Eq.(5) and compared with its reference
counterpart, w
sim
, by computing the error metric
( w
apx
, w
sim
) =
w
apx
w
sim
w
sim
100. (18)
In Tables 1 - 3, the rst column displays the TES
+
process used as the autocorrelated
interruption process. In column 2, we present the lag-1 autocorrelation function of the
process completion time r.v.,
C(x)
(1), also found from simulation. Column 3 lists the mean
waiting times estimated from simulation with their 95% condence intervals given beneath
each. Finally, in the last column we present our analytical approach with its approximation
error computed using Eq. (18). A comparison of the approximation method to the reference
values obtained by simulation reveals the following facts.
Higher positive autocorrelation levels in the times to failure process induces more
positive autocorrelation in the process completion time r.v.
Table 1 displays the results where repair times are drawn from a Uniform(0.5,1) dis-
tribution yielding an overall 30% system down time probability. This table shows
the impact of positive autocorrelation most dramatically. The mean waiting time in-
creases by 125% from the i.i.d Poisson failures case (TES
+
A) to the most positively
autocorrelated case (TES
+
D). The renewal approximation performs consistently well
in predicting the mean waiting times of the original problem.
Table 2 displays the results where repair times are drawn from a Uniform(0.34,0.5)
distribution yielding an overall 20% system down time probability. The mean waiting
time increases by 54% from the i.i.d Poisson failures case (TES
+
A) to the most posi-
tively autocorrelated case (TES
+
D). The renewal approximation performs consistently
well in predicting the mean waiting times of the original problem.
Table 3 displays the results where repair times are drawn from a Uniform(0.1,0.26)
distribution yielding an overall 10% system down time probability. This table shows
12
the cases where the impact of autocorrelation is mitigated. Yet, the mean waiting time
increases by 13% from the i.i.d Poisson failures case (TES
+
A) to the most positivey
autocorrelated case (TES
+
D). The renewal approximation performs consistently well
in predicting the mean waiting times of the original problem.
The results indicate that if the repair times are lengthy, the existence of positive auto-
correlation in the interruption process increases the mean waiting time tremendously.
13
Simulation Analytical
TES
+

C(x)
(1) W W
A 0.00 16.15 16.58
(+/- 0.62) (2.68%)
B 0.24 17.86 17.93
(+/- 0.1) (0.38%)
C 0.45 21.17 21.46
(+/- 0.13) (1.38%)
D 0.62 36.72 36.91
(+/- 0.78) (0.76%)
Table 1: Mean waiting times in M/G/1 Systems with = 0.1, TES
+
times to failure process
and f
D
(d) = Uniform(0.5,1), with d
1
= 0.75, d
2
= 0.5833, and 30% down time
14
Simulation Analytical
TES
+

C(x)
(1) W W
A 0.00 13.576 13.58
(+/- 0.393) (-0.01%)
B 0.24 14.12 14.08
(+/- 0.03) (-0.27%)
C 0.45 15.25 15.39
(+/- 0.08) (0.92%)
D 0.62 20.48 20.71
(+/- 0.11) (1.12%)
Table 2: Mean waiting times in M/G/1 Systems with = 0.11976, TES
+
times to failure
process and f
D
(d) = Uniform(0.34,0.5), with d
1
= 0.42, d
2
= 0.17854, and 20% down time
15
Simulation Analytical
TES
+

C(x)
(1) W W
A 0.00 11.378 11.493
(+/- 0.284) (1.01%)
B 0.24 11.58 11.61
(+/- 0.06) (0.27%)
C 0.44 11.83 11.89
(+/- 0.04) (0.52%)
D 0.61 12.82 12.94
(+/- 0.06) (0.92%)
Table 3: Mean waiting times in M/G/1 Systems with = 0.1399, TES
+
times to failure
process and f
D
(d) = Uniform(0.1,0.26), with d
1
= 0.18, d
2
= 0.03454, and 10% down time
16
4 Approximations for the GI/PCT/1 Queues
The exact analysis presented in Section 2 for systems experiencing H2 times to failure de-
pends on the assumption of Poisson customer/job arrivals. The main diculty is our inability
of expressing

B(s, x) explicitly. To investigate the GI/PCT/1 queues, there are two alter-
natives. One can directly collect the autocorrelated process completion time samples, and
analyzing the data, can approximate it with an appropriate renewal r.v. in line with the
techniques proposed by Jagerman et al. (2004) and Balcoglu, Jagerman and Altok (2005).
However, this approach does not leave space to conduct sensitivity analysis in which dier-
ent down time distributions can be assumed. For each dierent down time density function
f
D
(d), one will have to collect dierent process completion time data sets, which may not
even exist. On the other hand, if the interruption process is assumed to stay the same, since
q
i,j
(k, x) is computed independent of the down time distribution, the process completion
time analysis provides a better alternative.
To extend the analysis presented in Section 2, we will rst construct an approximating
M/G/1 queue with i.i.d. service time r.v. with a Laplace transform of

b(s) approximating
the M/PCT/1 queue with autocorrelated service time due to H2 times to failure. Note that
the Poisson customer arrival rate of the approximated M/PCT/1 will be equal to the renewal
customer arrival rate in the GI/PCT/1 queue. In the approximating M/G/1 queue, the P-K
transform equation (Kleinrock, 1975, page 194) would hold:
Q(z) =

b((1 z))
(1 )(1 z)

b((1 z)) z
, (19)
which can be re-written as

b(z) =
z

Q(
z

)
Q(
z

) (1 )(1
z

)
, (20)
17
where Q(z) =

n=0
(n) z
n
is the z-transform of the queue length process, which will
be equal to that of the M/PCT/1 queue with H2 failure process. Then after a change of
variable, one can express

b(s) in terms of Q(s) as

b(s) =

n=0
(
s

)
n+1
(n)

n=0
(
s

)
n
(n)
(1)s

, (21)
where (n) is found via Eq. (5).
It is clear that the GI/G/1 queue that uses the same

b(s) will approximate the GI/PCT/1
queue with H2 times to failure. This will be an additional error source with respect to the
GI/PCT/1 queue with autocorrelated times to failure. For numerical computations, Eq.
(21) is not easy to use, either. However, one can compute the moments of

b(s) and choose
phase-type (PH) r.v.s that match the rst two moments exactly, and the third moment with
the least error. The rationale behind incorporating the third moment is due to Balcoglu,
Jagerman and Altok (2005), who demonstrate that two-moment matching techniques could
incur big errors. Denitely, this will be the third source of approximation error with respect
to the GI/PCT/1 queue with autocorrelated times to failure. However, if the overall error is
small, the approximation can be considered ecient and accurate. Accordingly, if

b(s) yields
a squared-coecient of variation, c
2
< 1, we choose a Generalized-Erlang r.v., GE(, p, k),
which has the following Laplace transform:

b(s) = (1 p)

+s
+p(

+s
)
k
. (22)
In case c
2
> 1, we will choose an H2 r.v., H2(p,
1
,
2
), whose Laplace transform is presented
in Eq. (1). For the Poisson interruption process (TES
+
A) the analysis is still exact since
we have Eq. (16).
In the numerical examples presented in Tables 5 and 6, the down times are uniformly
18
distributed over (0.5,1), since this is the case in which the impact of positively autocorrelated
interruption process is felt most dramatically. Here, independent of which TES
+
process is
used, the rst moment of the process completion time is E[C(x)] = 8, since autocorrelation
does not reveal its impact on this statistics. The rst column in Table 4 lists the TES
+
interruption processes used, which change the second and third moments of the process
completion r.v. that are displayed in columns 2 and 3, respectively. The distributions given
in column 4 match the rst two moments, exactly, and approach the third moment with the
possible minimum error. Their third moments are listed in the last column.
TES
+
E[C(x)
2
] E[C(x)
3
] PH-Distribution E[C(x)
3
PH
]
B 71.71 730.5 GE( = 1.115, p = 0.99, k = 9) 707.6
C 85.9 1325.5 GE( = 0.372, p = 0.987, k = 3) 1154
D 148.15 6478.7 H2(
1
= 0.13113,
2
= 0.0286, p = 0.9863) 6125.37
Table 4: Phase-type Distributions approximating PCT in the G/PCT/1 queue
Tables 5 and 6 have the same structure as Tables 1 - 3. The analytical solution presented
in the last column is found via the exact mean waiting time computation in the GI/GI/1
queue (we refer the interested reader to Riordan (1962) pages 50-52 for the details).
A comparison of the approximation methods to the reference values obtained by simula-
tion reveals the following facts.
Table 5 displays the results where the job/customer arrival process is a smooth process
with GE(0.2,1,2) interarrival times (see Eq. 22). Although the mean waiting times are
shorter than the ones presented in Table 1, this measure increases by 249% from the
i.i.d Poisson failures case (TES
+
A) to the most positively autocorrelated case (TES
+
D). The GI/G/1 approximation performs consistently well, however for the cases with
TES
+
B and TES
+
D, the error is bigger than their corresponding cases in Table 1. The
two additional error sources on top of the renewal approximation become inuential
19
when the job/customer arrival process has a squared-coecient of variation less than
1.
Table 6 displays the results where the job/customer arrival process is a bursty process
with interarrival times following H2 with parameters (0.88889, 0.2, 0.02) (see Eq. 1),
with a squared coecient of variation equal to 5. The mean waiting time increases by
31% from the i.i.d Poisson failures case (TES
+
A) to the most positively autocorrelated
case (TES
+
D). In these cases, the high variability in the job/customer arrival process
becomes the more dominant factor on the mean waiting time.
Although it has two additional sources of error, the results indicate that, the GI/G/1
approximation can be used to analyze the GI/PCT/1 queues with autocorrelated times
to failure.
20
Simulation Analytical
TES
+

C(x)
(1) W W
A 0.00 7.68 7.78
(+/- 0.18) (1.25%)
B 0.24 8.70 9.05
(+/- 0.24) (4.07%)
C 0.45 12.37 12.47
(+/- 0.56) (0.8%)
D 0.62 26.82 27.78
(+/- 2.38) (3.58%)
Table 5: Mean waiting times in GI/G/1 Systems with GE(0.2,1,2) interarrival times, TES
+
times to failure and and f
D
(d) = Uniform(0.5,1), with d
1
= 0.75, d
2
= 0.5833, and 30% down
time
21
Simulation Analytical
TES
+

C(x)
(1) W W
A 0.00 78.854 78.63
(+/- 0.84) (-0.28%)
B 0.24 80.958 80.25
(+/- 1.59) (-0.88%)
C 0.45 83.172 84.43
(+/- 1.97) (1.51%)
D 0.62 103.24 101.79
(+/- 3.59) (-1.4%)
Table 6: Mean waiting times in GI/G/1 Systems with H2(0.88889,0.2,0.02) interarrival
times, TES
+
times to failure and f
D
(d) = Uniform(0.5,1), with d
1
= 0.75, d
2
= 0.5833, and
30% down time
22
5 Conclusions
In this paper, we have developed a process completion time (PCT) analysis for a workstation
that encounters autocorrelated times to failure with i.i.d. repair times. To do this, we
employed a three-parameter renewal approximation. The approximating times to failure r.v.
is of 2-state Hyper-exponential (H2) type. When the customer arrival process is Poisson,
an exact computation of the mean waiting time in a single server queue with H2 times to
failure is achieved as shown in Section 2. In the case of renewal arrivals, an approximate yet
accurate approach is proposed in Section 4. This approximation works on the principle of
computing the mean waiting time in a GI/G/1 queue by making use of an M/G/1 queue
that has the same service time distribution function as that of the former.
Numerical examples demonstrate that the autocorrelation in times to failure should be
incorporated in the analysis. Especially, in queues receiving smooth arrivals, i.e., with an
interarrival time squared-coecient of variation less than 1, increased levels of positive au-
tocorrelation degrade system performance sharply. In all the cases considered, the three-
parameter renewal approximation proved to be accurate in capturing the behavior of the
autocorrelated interruption processes.
Acknowledgements
This work was supported in part by NSF Grants DMI-9812858 and DMI-0085659.
23
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