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Matrix-analytic solution of infinite, finite and level-dependent second-order fluid models

Author

Listed:
  • Gábor Horváth

    (Budapest University of Technology and Economics)

  • Miklós Telek

    (MTA-BME Information Systems Research Group)

Abstract

This paper presents a matrix-analytic solution for second-order Markov fluid models (also known as Markov-modulated Brownian motion) with level-dependent behavior. A set of thresholds is given that divide the fluid buffer into homogeneous regimes. The generator matrix of the background Markov chain, the fluid rates (drifts) and the variances can be regime dependent. The model allows the mixing of second-order states (with positive variance) and first-order states (with zero variance) and states with zero drift. The behavior at the upper and lower boundary can be reflecting, absorbing, or a combination of them. In every regime, the solution is expressed as a matrix-exponential combination, whose matrix parameters are given by the minimal nonnegative solution of matrix quadratic equations that can be obtained by any of the well-known solution methods available for quasi birth death processes. The probability masses and the initial vectors of the matrix-exponential terms are the solutions of a set of linear equations. However, to have the necessary number of equations, new relations are required for the level boundary behavior, relations that were not needed in first-order level dependent and in homogeneous (non-level-dependent) second-order fluid models. The method presented can solve systems with hundreds of states and hundreds of thresholds without numerical issues.

Suggested Citation

  • Gábor Horváth & Miklós Telek, 2017. "Matrix-analytic solution of infinite, finite and level-dependent second-order fluid models," Queueing Systems: Theory and Applications, Springer, vol. 87(3), pages 325-343, December.
    • Handle: RePEc:spr:queues:v:87:y:2017:i:3:d:10.1007_s11134-017-9544-z
    DOI: 10.1007/s11134-017-9544-z
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    References listed on IDEAS

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    1. Silva Soares, Ana da & Latouche, Guy, 2009. "Fluid queues with level dependent evolution," European Journal of Operational Research, Elsevier, vol. 196(3), pages 1041-1048, August.
    2. Nigel Bean & Małgorzata O’Reilly, 2008. "Performance measures of a multi-layer Markovian fluid model," Annals of Operations Research, Springer, vol. 160(1), pages 99-120, April.
    3. Rajeeva L. Karandikar & Vidyadhar G. Kulkarni, 1995. "Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment," Operations Research, INFORMS, vol. 43(1), pages 77-88, February.
    4. M. Gribaudo & D. Manini & B. Sericola & M. Telek, 2008. "Second order fluid models with general boundary behaviour," Annals of Operations Research, Springer, vol. 160(1), pages 69-82, April.
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    Cited by:

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    2. Nguyen, Giang T. & Peralta, Oscar, 2020. "An explicit solution to the Skorokhod embedding problem for double exponential increments," Statistics & Probability Letters, Elsevier, vol. 165(C).

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