Evaluation of the Erlang-B formula

Ondřej Hudousek
Department of Telecommunication engineering
Czech Technical University in Prague, Faculty of Electrical Engineering
Technická 2
166 27 Praha 6 - Dejvice
E-mail: hudouso@feld.cvut.cz

Abstract 2 Evaluation of E1,N (A) for in-

This article sums up the methods of evaluation of teger number of circuits
the Erlang-B formula. In addition to known appro-
Direct evaluation of E1,N (A) according to the
aches, some improvements of the evaluation leading
definition would be time consuming. Therefore, a
to its acceleration are introduced.
recurrent form of the formula is used widely:
A · BN
E1,N +1 (A) = BN +1 = , B0 = 1.
1 Introduction N + 1 + A · BN
(3)
Erlang-B is probably the most important formula
used for dimensioning of the loss systems classified Concerning a real implementation it is better to
M/M/N/0 according to Kendall’s classification. Its evaluate the reciprocal value of E1,N (A):
aim is to determine the probability of loss based 1 N
on the offered traffic and the number of circuits. It IN (A) = = 1 + IN −1 , I0 = 1. (4)
E1,N (A) A
is often necessary to evaluate it with a prescribed
accuracy. As it is used repeatedly in some appli- Due to constant offered traffic A during the eva-
cations, the speed of the evaluation might be signi- luation it is possible to multiply by the recipro-
ficant. cal value 1/A instead of dividing by the value A.
The basic form of the Erlang-B formula for an This accelerates the evaluation considerably as it is
integer number of circuits is: shown in the table1 . It is also possible to substitute
the incrementation of a temporary variable with
AN 1/A for multiplication N (1/A), which also results
E1,N (A) = BN = PNN ! Ai
, (1) in faster evaluation.
i=0 i! n 30 60 90 120 480 1890
td [µs] 2.1 4.1 6.2 8.2 32.6 128.2
where B is loss probability,
to [µs] 0.8 1.4 2.0 2.7 10.4 40.9
A offered traffic,
N number of circuits. Table 1: Time of evaluation of the Erlang-B2
1 Duration of the evaluation was measured using RDTSC

instruction (see [6]). Due to a wide variety of available

processors and other impacts,the character of the above-
A generalized version of the formula is available for
mentioned values is only informative. The measuring was
a non-integer number of circuits: performed on Intel Pentium III running at 800 MHz, using
MS Windows 2000 and time critical priority of the process.
Ax e−A 2 t – time of evaluation for direct implementation of the
d
E1,x (A) = R ∞ x −t . (2) recurrent formula, to – optimized version, N stays for num-
A t e dt ber of circuits. Loss probability is B = 0.01.
 Another approach to fastening the evaluation is The approximating function is directly used in the
via the approximation according to [1]. It can be interval x ∈ h0..1i. For x > 1 a fractional part of
shown that: the loss probability is determined. The final value
of the approximation is evaluated using equation
I0 = 1, (5) (3) which is also valid for N ∈ R.
1
I1 = 1+ , (6)
A 3.2 Szybicky’s approximation
Another approximation was developed by Ed-
2 1 2 1·2
I2 = 1+ 1+ = 1 + + 2 , (7) mund Szybicky [4]. It is intended to be used on in-
A A A A terval x ∈ h0..2i and it equals to E1,x (A) in points
···
N N (N − 1) N! x = 0, 1, 2.
IN = 1+ + 2
+ · · · + N (8)
A A A (2 − x) · A + A2
N E1,x (A) ≈ . (14)
X 1 N! x + 2A + A2
= 1+ i (N − i)!
. (9)
A
i=1 For x > 2 it is again possible to use the approxi-
mation in conjunction with the recurrent formula
It is not necessary for large A and N to count in all
(3).
terms of the sum in the equation (9). The difficulty
of this approach lies in finding out the appropri-
ate number of terms to achieve a desired accuracy. 3.3 Expansion of incomplete gamma
It is possible to accelerate the algorithm partially function into continued fraction
even by checking whether the value IN is not higher
G.Lévy-Soussan suggested in [2] using expan-
than the predefined value 1/E1,N . This approach is
sion of incomplete gamma function into continued
suitable for very large values of the offered traffic.
fraction.

3 Evaluation of E1,x (A) for 3.3.1 Continued fraction

non-integer number of cir- According to Lévy-Soussan the expansion into
continued fraction is function f (x0 , x1 , . . . , xn ) in
cuits the following form:
Instead of direct evaluation of E1,x (A) for x ∈ R, a1
x ≥ 0 various approximations are often used. The f (x0 , x1 , . . .) = b0 + , (15)
most popular is probably the following one. a2
b1 +
a3
b2 +
3.1 Rapp’s approximation ...
which is sometimes written as
Y.Rapp published in [3] approximation based on
the equality of E1,x (A) and its first derivative with a1 a a
the approximating function and its first derivative f (x0 , x1 , . . .) = b0 ++ 2 +...+ n +...,
b1 b2 bn
in the points x = 0 and x = 1: (16)
where ai and bi are functions of the real or com-
E1,x (A) ≈ C0 + C1 x + C2 x2 , (10) plex variable xi . Limited expansion into the conti-
nued fraction with n terms is function
C0 = 1, (11) a1 a a
A+2 fn (x0 , x1 , . . . , xp ) = b0 ++ 2 +...+ n .
b1 b2 bn
C1 = − , (12)
(1 + A)2 + A (17)
1 It is possible to evaluate fn directly from the end of
C2 = . (13) the continued fraction. Unfortunately, this method
(1 + A)[(1 + A)2 + A]
is suitable only when the number of the expansion number of terms of the expansion rather than direct
terms is already known. Otherwise a recurrent for- expansion of Fn (A, x). According to Lévy-Soussane
mula suggested by J.Wallis in 1655 could be used:  
 1 1 
pn E1,x (A) = lim   ∼ . (23)
fn = , (18) n→∞ Pn (A, x) In (A, x) 
qn
It is possible to derive
pn = bn pn−1 + an pn−2 , (19) A x
qn = bn qn−1 + an qn−2 , Pn (A, x) = + + (24)
A−x A−x+2
p−1 = 1, p0 = b0 , q−1 = 0, q0 = 1. 2(x − 1) (n − 1)(x − n + 2)
+ +···+ ,
A−x+4 A − x + 2n − 2
3.3.2 Expansion of incomplete gamma
function x x−1
In (A, x) = 1 + + + (25)
A−x+1 A−x+3
Incomplete gamma function is defined by the
equation 2(x − 2) (n − 1)(x − n + 1)
+ +···+ .
Z ∞ A−x+5 A − x + 2n − 1
Γ(a, x) = e−t ta−1 dt, (20)
x 3.3.3 Evaluation of In (A, x) and Pn (A, x)
where Re(a) > 0 and Re(x) > 0. It is possible to In [2] Lévy-Sousanne is only concerned with the
express E1,x (A) as evaluation of continued fraction backwards from
the term bn . He comments on the usage of the
Ax e−A equation (19): „. . . stability is not guaranteed and
E1,x (A) = . (21)
Γ(1 + x, A) the result obtained is the ratio of two almost-equal
large numbers, which is not acceptable in numeri-
Incomplete gamma function could be expanded into
cal analysisÿ. As it has been stated above, it is ne-
continued fraction:
cessary to repeat the evaluation from the n–th term
Γ(1 + x, A) = (22) for increasing n until reaching the desired accuracy.
Obviously, this is a rather tedious procedure which
 1 −x 1 1−x 2  compensates the advantage of rapid convergence of
= e−A Ax + + + + + . . . , the functions I a P . However, the algorithm (19)
1 A 1 A 1 n n
was improved into the form of the modified Lentz’s
where
method [5]. Instead of using pn and qn temporary
a = −x + n − 1, b = A, variables un and vn are used
2n 2n
a2n+1 = n, b2n+1 = 1, pn qn−1
un = , vn = (26)
a1 = 1, b0 = 0. pn−1 qn

Above mentioned expansion into continued fraction and the resulting function is
is converging for all A > 0 and x > 0 (both condi-
fn = fn−1 un vn , (27)
tions are valid for the real systems). Nevertheless,
the convergence for x > A is slow, and therefore, it where
is often time-consuming to obtain a result with an
appropriate accuracy. In these cases, it is advisa- f0 = b0 , u0 = f0 = b0 , v0 = 0. (28)
ble to evaluate E1,A−1+θ (A), where θ is fractional
part of x. The final value of the loss probability is pn pn−2 an
un = = bn + an = bn + , (29)
evaluated with the recurrent equation (3) or (4). pn−1 pn−1 un−1
To achieve a desired accuracy it is advisable to  an−2 −1
evaluate separately expansion for even and odd vn = bn + a n = (bn + an vn−1 )−1 . (30)
an−1
A problem may occur if the denominator in the
evaluation of un or vn equals to zero. Thompson
and Barnett suggested a slight modification of the
algorithm to address this issue. If un−1 = 0 or
bn + an vn−1 = 0 during the evaluation, it is substi-
tuted for a small constant, e.g. 10−30 . Lentz’s algo-
rithm could be symbolically written for the desired
accuracy  as follows:
1 tiny ← 10−30 ,
2 f0 ← b0 ,
3 if b0 = 0, then f0 ← tiny,
4 u0 ← f 0 ,
5 v0 ← 0,
6 ∆j ← ,
7 while |∆j − 1| < , do:
8 vj ← bj + aj vj−1 ,
9 if vj = 0, then vj ← tiny,
10 uj ← bj + aj /uj−1 ,
11 if uj = 0, then uj ← tiny,
12 vj ← 1/vj ,
13 ∆ j ← uj vj ,
14 fj ← fj−1 ∆j .
From the practical point of view, it is advisable
to evaluate Pn (A, x) and In (A, x) simultaneously,
as it is possible to exploit the similarity of the ex-
pansion terms, (see (24),(25)) and thus accelerate
the algorithm.
3.4 Comparison of the evaluation
time
To discover the practical suitability of the algo-
rithms, their speed has been examined. Table 2
shows the results for both Rapp’s approximation
(tr and tropt ) and the expansion of incomplete ga-
mma function into continued fraction (tc and tcopt ,
accuracy 1.10−5 , B=0.01) both for direct and opti-
mized implementation:
4 Conclusion
The aim of this article is to sum up the me-
thods of evaluation of the Erlang-B formula. In ad-
dition to known approaches, usage of Lentz’s algori-
thm for evaluation of the expansion into continued
fraction was suggested. The usage of the expansion
of incomplete-gamma function brings, in contrast
to the Rapp approximation, feasibility to meet the
predefined accuracy. This advantage is compensa-
ted by higher complexity of the algorithm, which
results in slower evaluation for small numbers of
circuits, as it was proved by testing on real imple-
mentations. On the testing system , the optimized
version of Rapp’s approximation was faster than
evaluation of the expansion of incomplete gamma
function up to approx. 1500 circuits (B=0.01). The-
refore, Rapp’s approximation is probably the most
suitable for common cases, as far as the evaluation
time. Apart from that, some improvements leading
to fastening the evaluation of the recurrent formula
(3) have been suggested.
Reference
[1] ITC; ITU-D SG2. Teletraffic en-
gineering handbook. Available at
<http://www.tele.dtu.dk/teletraffic>.
[2] Lévy-Soussan, Guy. Numerical Evaluation of
the Erlang Function through a Continued-
Fraction Algorithm. Electrical Communi-
cation, 1968, vol.43, no.2, p.163–168.
[3] Rapp, Yngve. Planning of Junction Network in
a Multi–exchange Area. II Extensions of the
Principles and Applications. Ericsson Tech-
nics, 1965, no.2, p.187–240.
[4] Szybicky, Edmund.Some Numerical Methods
Used for Telephone Traffic Theory Applicati-
ons. Ericsson Technics, 1964, no.2, p.203-229.

n 30 60 90 120 480 1890 [5] Numerical Recipes in C: The Art of Scientific

tr [µs] 4.6 8.8 13.0 17.2 67.9 266.3 Computing, Cambridge University Press, 1992.
tropt [µs] 0.6 0.9 1.2 1.5 5.2 19.5 Available at <http://www.nr.com>.
tc [µs] 5.4 7.0 7.9 8.5 12.4 16.3 [6] Using the RDTSC Instrucion for Per-
tcopt [µs] 3.3 4.1 5.2 5.8 11.6 28.8 formance Monitoring, Intel Corporation,
Table 2: Comparison of the times spent on 1997. Available at <http://cedar.intel.com/
evaluation of the Erlang-B formula using various software/idap/media/pdf/rdtscpm1.pdf>.
implementations.