Refined large deviations asymptotics for Markov-modulated infinite-server systems

Joke Blom, Koen de Turck, Michel Mandjes

Research output: Contribution to journalArticleAcademicpeer-review

7 Citations (Scopus)

Abstract

Many networking-related settings can be modeled by Markov-modulated infinite-server systems. In such models, the customers’ arrival rates and service rates are modulated by a Markovian background process; additionally, there are infinitely many servers (and consequently the resulting model is often used as a proxy for the corresponding many-server model). The Markov-modulated infinite-server model hardly allows any explicit analysis, apart from results in terms of systems of (ordinary or partial) differential equations for the underlying probability generating functions, and recursions to obtain all moments. As a consequence, recent research efforts have pursued an asymptotic analysis in various limiting regimes, notably the central-limit regime (describing fluctuations around the average behavior) and the large-deviations regime (focusing on rare events). Many of these results use the property that the number of customers in the system obeys a Poisson distribution with a random parameter. The objective of this paper is to develop techniques to accurately approximate tail probabilities in the large-deviations regime. We consider the scaling in which the arrival rates are inflated by a factor N, and we are interested in the probability that the number of customers exceeds a given level Na. Where earlier contributions focused on so-called logarithmic asymptotics of this exceedance probability (which are inherently imprecise), the present paper improves upon those results in that exact asymptotics are established. These are found in two steps: first the distribution of the random parameter of the Poisson distribution is characterized, and then this knowledge is used to identify the exact asymptotics. The paper is concluded by a set of numerical experiments, in which the accuracy of the asymptotic results is assessed.

Original languageEnglish
Pages (from-to)1036-1044
Number of pages9
JournalEuropean Journal of Operational Research
Volume259
Issue number3
DOIs
Publication statusPublished - 16 Jun 2017
Externally publishedYes

Keywords

  • Communication networks
  • Large deviations
  • Markov-modulation
  • Queueing
  • Rare events

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