Queuing Networks: Burkes

Theorem, Kleinrocks
Approximation, and Jacksons
Theorem
Wade Trappe

Lecture Overview
Network of Queues Introduction
Queues in Tandem
Product Form Solutions
Burkes Theorem
What is reversibility?
Kleinrocks Approximation
Quick Jackson Theorem
In many networking scenarios, a customer or packet must receive
service from many servers before its final task is completed.
Hence, departures from a queue might become arrivals at another
queue.
All that discussion we did in M/G/1 queues becomes very
important for networks of queues!
Consider two queues in tandem:
Departures from first queue become arrivals at second queue
First queues arrival process is Poisson with rate and
service time is exponential with rate
Service time at the second queue is exponential with rate
and independent of first servers service time
How do we model these two queues together?
Whats the state and state diagram?
Network of Queues: Setup
>
2
>
1

Two Queues in Tandem

Queue2
We need to keep track of N
1
(t) and N
2
(t) to describe the
state of the system!
Queue1
1

2
Two Queues in Tandem: State Diagram
Our state diagram must keep track of both N
1
(t) and N
2
(t),
and the many transitions that are possible
n
1
=0 1 2 3
n
2
=0
1
2
3

2
2

1
1
Define (N
1
(t), N
2
(t)) to be the state vector for the two queues in
tandem
Notice, now, that we have a Markov Process in terms of the state
vector
Recall the global balance equations for M/M/1 queues:


What this means is: At steady state, the amount entering a state is
equal to the amount leaving the state.
We similarly may find the global balance equations for this two
queue system

Global Balance Equations for 2 Queues, pg 1
( ) ,... 2 , 1 j , p p p
p p
1 j 1 j j
1 0
= + = +
=
+
Global Balance Equations for 2 Queues, pg 2
Global Balance Equations: Case 1

Case 2: n>0, m=0

Case 3: m>0, n=0

Case 4: n>0, m>0
( ) ( ) 1 N , 0 N P 0 N , 0 N P
2 1 2 2 1
= = = = =
( ) ( ) ( ) ( ) 0 N , 1 n N P 1 N , n N P 0 N , n N P
2 1 2 1 2 2 1 1
= = + = = = = = +
( ) ( ) ( ) ( ) 1 m N , 1 N P 1 m N , 0 N P m N , 0 N P
2 1 1 2 1 2 2 1 2
= = + + = = = = = +
( ) ( ) ( )
( )
( ) m N , 1 n N P
1 m N , 1 n N P
1 m N , n N P m N , n N P
2 1
2 1 1
2 1 2 2 1 2 1
= = +
= + = +
+ = = = = = + +
Steady State PMFs for Two M/M/1 Queues
We may show that the following joint probability mass function
satisfies the global balance equations

where
i
=/
i

So, how do we get P(N
1
=n)?
Easy, its just an M/M/1!
So P(N
1
=n) = (1-
1
)
1
n
for n=0,1,2
How do we get P(N
2
=m)?
Answer: Its a marginal. Integrate out the joint pmf!
Sum over all n to get:

( ) ( )
m
2 2 2
1 m N P = =
( ) ( ) ( )
m
2 2
n
1 1 2 1
1 1 m N , n N P = = =
Check
This!
Steady State PMFs for Two Queues, pg 2
This looks interesting

means

Thus, the number of customers at queue 1 and the number at
queue 2 at a particular time are independent random variables!
The steady state at queue 2 is the same as for an M/M/1 queue
with Poisson arrival rate and exponential service time
2
.
Definition: A network of queues is said to have a product-form
solution when the joint pmf of the number of customers at each
queue is the product of the marginal pmfs of the number of
customers at each queue.

( ) ( ) ( )
m
2 2
n
1 1 2 1
1 1 m N , n N P = = =
( ) ( ) ( ) m N P n N P m N , n N P
2 1 2 1
= = = = =
Burkes Theorem
Burkes Theorem is the fundamental result describing product form
solutions
Burkes Theorem: Consider an M/M/1, M/M/m, M/M/infinity queuing
system at steady state with arrival rate , then
The departure process is Poisson with rate ;
At each time t, the number of customers in the system N(t) is independent
of the sequence of departure times prior to t.
What Burkes Theorem implies:
Two queue problem follows from Burkes Thm (arrivals to queue 2 are
Poisson with rate ).
Arrivals to queue 2 prior to time t are departures from queue 1 prior to
time t, thus Burkes theorem says queue-1s departures (queue-2s
arrivals) are independent of N
1
(t).
N
2
(t) is determined by the sequence of arrivals from queue-1 prior to time
t and independent of service times, then N
1
(t) and N
2
(t) are independent
as random variables.
Note: N
1
(t) and N
2
(t) are not independent as processes!

Consider the network of queues:





Here Queue 1 is driven by a Poisson process with rate
1,
, and
the departures are randomly routed to queues 2 and 3.
Queue 3 has an additional, independent Poisson arrival process
with rate
2
.

Example Application of Burkes Thm

3
1/2
1/2

2
Example Application of Burkes Thm, pg 2
Burkes Theorem says:
N
1
(t) and N
2
(t) are independent
N
1
(t) and N
3
(t) are independent
Recall that the random split of a Poisson process yields
independent Poisson processes
Hence inputs to Queue 2 and Queue 3 are independent
Input to Queue 2 is Poisson with rate
1
/2
Input to Queue 3 is Poisson with rate
1
/2 +
2
Thus

where
1
=
1
/
1
,
2
=
1
/2
2
,

3
=(
1
/2 +
2
)/
3
. All queues are
assumed to be stable.

( ) ( ) ( ) ( )
n
3 3
m
2 2
k
1 1 3 2 1
1 1 1 n ) t ( N , m ) t ( N , k ) t ( N P = = = =
Reversible Markov Processes
In order to prove Burkes theorem, we need the concept of the
reversibility of a Markov process.
A stationary Markov process X(t), with a countable state space (i.e. a
Markov chain will do), is reversible if X(t) and Y(t)=X(-t) have the
same joint distribution at arbitrarily chosen instants {t
1
, t
2
, , t
N
}.
A necessary and sufficient condition for reversibility is

where {p
i
} and {p
ij
} are the stationary probabilities and transition
probabilities of X(t)
This condition can be easily shown for M/M/1 queuesbut we will
show it in more general form
In fact, it holds for any birth-death process, and N(-t) is statistically
identical to N(t)
i , j j j , i i
p p p p =
Reversible Markov Processes, pg 2
Time-Reversal Theorem: Let {X(t): t>=0} be a stationary
Markov process with (infinitesimal) generator P=[p
ij
], and
with initial distribution equal to stationary distribution. Then
for all T>0, the time-reversed process

is equivalent to a stationary Markov process with
(infinitesimal) generator given by:


for all state pairs (i,j)
{ } T t 0 : ) t T ( X s s
i
j i j
ij
p
p p
p
~
=
ij
P
~
Reversible Markov Processes, pg 3
Proof: Let Q(t)=[q
ij
(t)] denote the transition probabilities of
X(t),

We need to show X(T-t) is a Markov process with transition
probabilities

Then we obtain the necessary and sufficient condition by
differentiating this and setting t=0. (Its an infinitesimal
generator)
| | i ) 0 ( X | j ) t ( X P ) t ( q
ij
= = =
i
j i j
ij
p
) t ( q p
) t ( q
~
) t ( Q
~
=
Reversible Markov Processes, pg 4
Consider the interval (0,t+s] and divide it into (0,t] and
(t,t+s], i.e. set T=t+s.
The joint probability of the three random variables

is


Similarly we have


) 0 ( X ) s t ( X
~
) s ( X ) t ( X
~
) s t ( X ) 0 ( X
~
= + = + =
( )
( )
) t ( q ) s ( q p
i ) s t ( X , i ) s ( X , i ) 0 ( X P
i ) s t ( X
~
, i ) t ( X
~
, i ) 0 ( X
~
P
0 1 1 2 2
i , i i , i i
0 1 2
2 1 0
=
= + = = =
= + = =
( ) ( )
) t ( q p
i ) t s ( X , i ) s ( X P i ) t ( X
~
, i ) 0 ( X
~
P
0 1 1
i , i i
0 1 1 0
=
= + = = = =
Reversible Markov Processes, pg 5
The conditional probability





Hence, we have shown that is a Markov process with
generator (after differentiation).


P
~
( )
( )
j , i
1 2
i
i , i i
0 1 2
q
~
i ) t ( X
~
| i ) s t ( X
~
P
p
) t ( q p
i ) 0 ( X
~
, i ) t ( X
~
| i ) s t ( X
~
P
1
1 2 2
=
= = + =
=
= = = +
( ) t X
~
B-D Processes are Reversible
It is now easy to show the following
Time Reversibility of B-D Processes: The stationary B-D process N(t)
with generator P and steady state probabilities p is a time-reversible
Markov process. Thus, the time-reversal of the death process is a birth
process.
Burkes Theorem follows from this:
Interdeparture times of the forward-time system are the interarrival
times of the time-reversed system... Hence we have Poisson with
rate coming out of the system.
Fix a time t, then the departures before time t from the forward
system are arrivals after time t in the reverse system.
Arrivals in reverse system are Poisson, and thus arrivals in reverse
system after time t do not depend on N(t)
Consequently, departures after time t in forward system do not
depend on N(t)


What we derived held true because the first queue was M/M/1
and implicitly we assumed it had achieved steady state and
independent service times between queues!
The problem is more complicated when we have more general
networks of queues.
Again, consider two transmission lines in sequence.
The arrivals to the first are Poisson of rate , but all customers
(packets) have deterministic and equal service times, i.e. we
have an M/D/1 queue.



Average packet delay for first queue is given by Pollaczek-
Khinchine formula.
Step back to Network of Queues
Queue2 Queue1



Network of Queues, M/D/1 first queue
The interarrival times of the second queue must be at least 1/
Why?
Now, each packet arriving at either queue takes 1/ time to
process.
The first packet being finished by first queue is immediately
sent to second server
It takes at least another 1/ amount of time for first queue to
get and finish the next packet/customer.
So, first packet will be finished by second server at or before
the next packet arrives to second server.
Result: No queue (waiting) at second system!
Two Queues, correlated service times
Earlier we considered the service times independent of each other
and independent of the arrival times.
Reality: A big packet at the first system is probably still a big
packet at the second system!
Interarrival times at the second queue are strongly correlated
with packet lengths!
Long packets at first system will typically find the queue at the
second server more empty
Shorter packets from the first system will typically find the queue
at the second server more busy because the second server is
processing some prior big packet
It is tough to find an analytical solution for joint pmf under
dependence assumptions!
The Kleinrock Independence Approximation
We have argued that in practice there is dependence upon the
interarrival times and service times.
Independence is lost after the first system!
Reality hurt us, but reality provides us one more gift
Reality: Real networks typically involve more than one stream of
packets merging at a node The combination of multiple
streams helps restore independence in many cases!
This observation is due to Kleinrock.
Kleinrocks Approximation: It is often appropriate to use
M/M/1 queues for each communication link when the arrivals at
entry points are Poisson, packet lengths are roughly exponentially
distributed, network is dense and traffic is heavy.
Quick Look at Jacksons Theorem
Many queuing networks, a packet/customer may visit a queue
more than once.
Burkes theorem does not apply!
Typical example: Queue with feedback





If the arrival rate is much less than departure rate, then net
arrival process has a few, isolated external arrivals followed by
a burst of feedback arrivals (dependent on packet length).

o

p
1-p
Jacksons Theorem, (Open) pg 1.
Consider a queuing network consisting of M separate service stations,
each with its own queue.
Define the vector process:

In an open queuing network, customers may arrive from an external
source and eventually may leave the network (as depicted in previous
slide).
A closed network has no arrivals or departures from the system (total
customers is fixed just they may move around)
Assumptions:
The rate of the source (birth process) is , and a customer goes to
station i with probability q
si
.
Service time at station k is exponential with rate
k
.
Customers are routed according to a Markov chain: Probability
that a customer departing station i goes to station j is q
ij
.


( ) | | ) t ( N , ), t ( N ), t ( N t N
M 2 1
=
Jacksons Theorem, (Open) pg 2.
Jacksons Decomposition Theorem: For an open queue as
described, the joint distribution of the queue vector n(t) is
given by:


where P(N
k
=n
k
) is the steady state pmf of an M/M/1 system
with arrival rate
k
and service rate
k
, i.e.

Where
k
describes the utilization factor of system k.


( ) ( ) ( ) ( )
K K 2 2 1 1
n N P n N P n N P n P = = = =
( ) ( )
k
n
k k k
1 n N P
k
= =