CS457 - System Performance Evaluation - Winter 2010

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Lecture 29 - Examples of Birth & Death Processes

Birth & Death Processes

Derivation

• See previous lecture.
• See pdf

Basic Result

dp_j(t) / dt = \lambda_j-1 p_j-1(t) + \mu_j+1 p_j+1(t) - (\lambda_j + \mu_j) p_j(t)

Steady State Solutions

Reminder. Transient and steady states are different. We are interest in the steady state. The steady state is defined as having stationary (not time-dependent) probabilities.

That is: dp_j(t) / dt = 0.

Then

• \lambda_j-1 p_j-1(t) + \mu_j+1 p_j+1(t) - (\lambda_j + \mu_j) p_j(t) = 0

Solve this iteratively

1. l0 p0 = m1 p1 => p1 = (l0/m1) p0
2. (l1 + m1) p1 = l0 p0 + m2 p2 => (l1 + m1) (l0/m1) p0 = l0 p0 + m2 p2 => p2 = p0 (l1*l0 / m1*m0)
3. ...
4. pn = p0 (l_n-1*...*l1*l0 / m_n-1 *...*m1*m0)
5. Set p0 by the condition sum_n pn = 1.

This looks like you could solve it further, but you can't. How could you possibly solve the differential equation above, in that case?

What do we do? Try simplified examples.

The Simplest Example M/M/1

First M: Markovian (Exponential) birth (interarrival) times

Second M: Markovian (Exponential) life/death (service) times

1: one server

Assumptions:

1. \lambda_j = \lambda
2. \mu_j = \mu
3. Define r = \lambda / \mu

Then

1. pn = r^n p0
2. p0 = 1 / (1 + r + r^2 + ...) = 1 - r.
3. pn = (1 - r) * r^n.

Useful tricks.

1. S = 1 + r + r^2 + r^3 + ... = 1 + r * ( 1 + r + r^2 + r^3 + ... ) = 1 + r * S
   Therefore, S * (1-r) = 1and S = 1 / (1 - r)
2. dS/dr = 1 + 2r + 3r^2 + 4r^3 + ... = (1 + r + r^2 + ...) + ( r + 2r^2 + 3r^3 +... ) = S + r ( 1 + 2r + 3r^2 + ... ) = S + r dS/dr

   Therefore, dS/dr = S + r dS/dr and dS/dr = S / (1 - r) = 1 / (1 - r)^2

   But E(N) = sum_n n*p_n = (1 - r) (r + 2 r^2 + 3 r^3 + ... ) = (1 - r ) (dS/dr - S) = (1 - r ) (1 / (1 - r)^2 - 1 / (1 - r) ) = 1 / (1 - r) - 1 = r / (1 - r)

Results

The mean number of jobs in the system is E[N] = sum_n n * (1 - r ) * r^n = r / (1 - r)

• Goes to infinity as r -> 1. Why?

Little's law

• Mean response time: E(R) = (1/\lambda) * E(N) = 1 / (\mu - \lambda)
• Goes to infinity as \lambda -> \mu from below. Why?
• What happens when \lambda > \mu?

Mean waiting time E[W]

1. Mean service time is 1/\mu
2. Mean waiting time is E[W] = E[R] - 1/\mu = r / ( \mu (1-r) ) = r / (\mu - \lambda)
3. Mean waiting time goes to infinity as \lambda -> \mu from below. Why?

Mean number of jobs in the queue E[Nq]

1. Little's law applied to the queue: \lambda*E[w] = E[Eq]
2. E[nq] = r^2 / (1-r)

Utilization

U = 1 - p0 = 1 - (1-r) = r = \lambda / \mu

Note that you can only get utilization at 1 by having the response time go to infinity. Why?

Example 2: Finite Queue

Let the maximum size of the queue be m.

• What happens to requests that arrive when the queue is full?

Incremental solution

• p_n = p_0 r^n
• 1 = \sum_n p_n = p_0 \sum_n r^n = p_0 ( 1 - r^(m+1) ) / ( 1 - r )
• p_n = { (1-r) r^n } / (1 - r^(m+1))

What's the story

• The system is guaranteed to be stable because no more than m requests can be in the system at once.
• Thus, the solution is valid for all values of r
• As r -> 1 use l'Hopital's rule 1 = p_0 (m+1) and p_n = 1 / (m+1)
• For r < 1 the probability is skewed toward low numbers of requests.
• At r = 0 the probability is uniform
• for r > 1 the probability is skewed towards high numbers of requests
• As r -> infinity p_m -> 1

Results

Number of Requests

• E[N] = {r / (1-r)} { (1 - (m-1)r^m - mr^(m+1)) / (1 - r^(m+1) ) }
• This looks singular, which should not be true.
  • It is not obvious, but the denominator of the second part has the factor (1-r)^2.
  • It is not obvious, but the numerator of the second part has the factor (1-r)
• Denominator: (1 - r^(m+1) ) = (1-r) (1 + r + r^2 + ... + r^m)
• Numerator: (1 - (m-1)r^m - mr^(m+1)) = (1-r)^2 (1 + 2r + 3r^2 + ... + mr^(m-1))
• Thus, E[N] = {r + 2r^2 + 3r^3 + ... + mr^m}) / {1 + r + r^2 + ... + r^m}
• r -> 0: E[N] = r
• r = 1: E[N] = m/2
• r -> infinity: E[N] -> m

Response Time

• E[R] = E[N] / \lambda = {1/\mu} {1 + 2r + 3r^2 + ... + mr^(m-1)} / {1 + r + r^2 + ... + r^m}
• r -> 0: E[R] = 1 / \mu
• r = 1: E[R] = m / (2\mu)
• r -> infinity: E[R] -> m / \mu, which is just m times the service time

Utilization

• U = 1 - p_0 = 1 - (1-r) / (1-r^(m+1)) = ( r - r^(m+1) ) / ( 1 - r^(m+1) )
• r -> 0: U = r
• r = 1: U = 1 - (1/(m+1)) = m / (m+1)
• r -> infinity: U -> 1

Example 3: Two Servers versus One Server Twice as Powerful

One Server Twice as Powerful

Service rate and time:

• service rate: \nu = 2 \mu
• service time 1 / \nu = 1 / (2\nu)
• s = r / 2

Number of requests

• E[N] = s / (1-s) = r / (2-r)
• This is not quite as good as half as many. Why?

Response Time

• R[N] = 1 / (\nu - \lambda) = 1 / {\nu (1 - s)} = 1 / {2 \mu (1-r/2)} = 1 / {\mu (2-r)}
• This is not quite as good as twice as fast.

Utilization

• U = s = r/2
• Utilization is exactly one half, as we expect.

Two Servers with One Queue

Incremental Solution

• j = 0: \mu p_1 = \lambda p_0 ==> p_1 = p_0 * r, where r = \lambda / (\mu)
• j = 1: 2 \mu p_2 = ((\lambda + \mu) p_1 - \lambda p_0 ) / (2 \mu) ==> p_2 = p_0 * (1/2 r^2
• j = 2: 2 \mu p_3 = ((\lambda + \mu) p_2 - \lambda p_1 ) / (2 \mu) ==> p_3 = p_0 * (1/4) r^3
• ...
• j = n-1: 2 \mu p_n = ((\lambda + \mu) p_n-1 - \lambda p_n-2 ) / (2 \mu) ==> p_n = p_0 * (1/2)^(n-1) r^n

Now normalize,

• 1 = \sum_n p_n = p_0( 1 + 2 \sum_(n=1) (r/2)^n ) = p_0 ( 2 \sum_(n=0) (r/2)^n - 1 ) = p_0 ( 2 / (1-(r/2)) - 1 ) = p_0 ( 2 + r ) / ( 2 - r )
• p_0 = (2-r) / (2+r) = (2 \mu + \lambda) / (2 \mu - \lambda)

Thus, p_n = (2-r) r^n / (2+r)

Results

The mean number of jobs in the system is

• E[N] = sum_n n * (2 - r ) * r^n / (2+r) = {(2-r) / (2+r) } \sum_n n*(r/2)^n = 2*r / {(2-r)(2+r)} = r / {(2-r)(1+(r/2))}
• Compare this to E[N] = r / (2-r), the result for the twice as powerful server.
• We see the queue shrink by a factor of 1/(1 + (r/2))

Little's law

• Mean response time: E(R) = (1/\lambda) * E(N) = 1/ { \mu*(2-r)*(1+r/2) }
• Compare this to E[R] = 1 / {\mu (2-r) }
• We see the same response speed up by the same factor: 1/(1 + (r/2))

Utilization

• U = 1 - p_0 - 1/2 p_1= 1 - (2-r) / 2+r - (r/2) (2-r) / (2+r) = r / 2.
• Utilization does not change, as we expect.

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