An Algorithm for Estimating the Expected Number of Customers for a Class of Markovian Queueing Systems ()
1. Preliminaries
Consider a Markovian queueing system in which the customer arrival and departure process is described by a finite, irreducible, and aperiodic Markov Chain
whose
transition matrix is given by
, where
.
It is well known that for a finite, irreducible, aperiodic Markov chain, there exists a unique stationary probability vector
such that
[1].
Let L = Expected number of customers in the steady state system. The expected number of customers is frequently used as a measure of effectiveness to describe the behavior of the system or to optimize its design or control [2] [3] [4], and [5]. Now define the following
Theorem 1 For any positive integer z,
1)
2)
Proof.
1)
since
then,
Similarly, since
we have,
thus
and
It follows that
2) Let
, where
is the
row of
. Since we are concerned with finite, irreducible, aperiodic Markov chains, we have
For all i. It follows that
For all i. Let
be the sequence formed by combining the N sequences
according to the ascendant order of z. Clearly,
Since
and
are both subsequence of
, it is clear that
It therefore follows that
2. Algorithm for Estimating the Expected Number of Customers
The relationship between
and L as stated in Theorem 1 can be used to develop an iterative algorithm for estimating the expected number of customers from the system’s transition matrix.
Definition 1
The absolute error of an estimation is the absolute value of the difference between the estimation and the true value. When the true value is unknown, the largest absolute error that may occur is called the maximal absolute error.
Definition 2
The relative error of an estimation is the ratio of the absolute error of the estimation to the true value. When the true value is unknown, the largest relative error that may occur is called the maximal relative error.
The algorithm can now be stated as follows:
Step 1. Determine the allowable maximal absolute error a.
Step 2. Set
and
.
Step 3. Compute
.
Step 4. If
, go to step 5; otherwise, increase z by 1 then go to step 3.
Step 5. The desired accuracy has been reached. Let
. Terminate
Theorem 2 Let
be the estimation of the expected number of customers obtained from the Algorithm above. Using an allowable maximal absolute error of a, we then have that
1) The maximal absolute error of
is a,
2) The maximal relative of
is
Proof. 1) Step 4 of the algorithm implies
. Thus, by Theorem 1,
. Hence, the maximal absolute error of
is a.
2) The maximal relative error occurs when
. Thus, the maximal relative error
The allowable error associated with the algorithm above is specified in terms of the maximal absolute error, and is thus independent of the magnitude of the expected number of customers. If one needs to associate the error of the estimation with the magnitude of the expected number of customers, then the algorithm may be modified as follows:
Step 1. Determine the allowable maximal relative error r.
Step 2. Set
and
Step 3. Compute
Step 4. If
, go to step 5; otherwise, increase z by 1 then go to step 3.
Step 5. The desired accuracy has been reached. Let
. Terminate.
Theorem 3 let
be the estimation of the expected number of customers obtained from the modified algorithm above, using an allowable maximal relative error of r, then
1) The maximal absolute error of the
is
2) The maximal relative error of
is r
Proof. 1) Step 4 of the modified algorithm 2 implies
.
Thus, by Theorem 1,
. Hence the maximal absolute error of
is
.
2) The maximal relative error occurs when
. Thus the maximal relative error
Thus, the initial algorithm will have a maximal absolute error of a, and a maximal relative error of
. The modified algorithm will have a maximal absolute error of
and a maximal relative error of r.
3. Numerical Example (Table 1)
Consider the M/M/c/c queueing system with finite waiting space. Assume that customers arrive according to a Poisson process with rate λ, and that service times are exponential with mean 1/µ. Although the process that describe the number of customers in the system at time is a process that take place in continues time, several relevant Markov chains may be defined for this system in discrete time. For example, consider the Markov chain whose transition is given by
where λ and μ have been scaled such that A is a legitimate transition matrix, a is set at 0.01, and L is computed using the following formulas for the M/M/c/c (Erlang B) system [6].
Let
where
and let
then
and
where
is the expected number in the queue.
These computations were made on a 64-bit IntelÒ CoreTM m3-6Y30 CPU @ 0.90 GHZ laptop computer.