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Steady State Analysis and Heavy Traffic Limits for Regulated Markov Chains

Author

Listed:
  • William A. Massey

    (Princeton University)

  • Raj Srinivasan

    (University of Saskatchewan)

Abstract

Consider a continuous time finite state irreducible Markov chain whose jump transitions are partitioned into one group that is regulated and the other group that is not. The regulated transitions are only allowed to occur if there is a token available. We collect the tokens in a buer and allow a regulated transition to occur simultaneously with the removal of a token from the buffer. New tokens are added to the buer at a constant Poisson rate but the regulated transitions will be blocked if they occur too quickly. We will apply matrix analysis to the joint distribution for the state of the Markov chain and the number of tokens in the buffer. We will give a simple stability condition for the joint process and show that its steady state distribution will have a matrix geometric distribution. Moreover, we obtain from our analysis a heavy traffic limit for this joint steady state distribution which has a product form structure. This Markov chain model and steady state analysis generalizes the work of many earlier papers on specific queueing systems such as Konheim and Reiser or Latouche and Neuts, but most significantly the work of Kogan and Puhalskii.

Suggested Citation

  • William A. Massey & Raj Srinivasan, 2002. "Steady State Analysis and Heavy Traffic Limits for Regulated Markov Chains," RePAd Working Paper Series lrsp-TRS374, Département des sciences administratives, UQO.
  • Handle: RePEc:pqs:wpaper:0112005
    as

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    File URL: http://www.repad.org/ca/on/lrsp/TRS374.pdf
    File Function: First version, 2002
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    References listed on IDEAS

    as
    1. J. A. Buzacott & J. G. Shanthikumar, 1985. "On Approximate Queueing Models of Dynamic Job Shops," Management Science, INFORMS, vol. 31(7), pages 870-887, July.
    2. Dubois, Didier, 1983. "A mathematical model of a flexible manufacturing system with limited in-process inventory," European Journal of Operational Research, Elsevier, vol. 14(1), pages 66-78, September.
    3. James R. Jackson, 1963. "Jobshop-Like Queueing Systems," Management Science, INFORMS, vol. 10(1), pages 131-142, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Markov Chains; Matrix-Geometric Solution; Heavy-Traffic Limits; Product Form Solution; Tensor and Kronecker Products.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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