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Author: Publisher: ISBN: Category : Languages : en Pages : 127
Book Description
"The main objective of this thesis is to develop numerical techniques to calculate the probability distribution of the running maximum of Lévy processes, and consider a number of specific financial applications. The other objective is to propose a numerical method to optimize the energy consumption of servers handling traffic in a communication network. The traffic itself is modeled by a random process, usually an on-off process with random on- and off-times. In this thesis, a numerical technique based on the Wiener-Hopf factorization is developed to evaluate the probability distribution of the running maximum (or minimum) of a general Lévy process. This method can be employed for pricing many options which depend on the maximum and/or minimum attained by the underlying Lévy process, for instance lookback option. The second technique which is presented in this book is importance sampling. This technique is essentially used to reduce the variance of the simulation-based estimator. Straightforward simulation for estimating rare event probabilities being inefficient and inaccurate, the idea of importance sampling is to generate simulation paths under an alternative measure such that the event is not rare anymore. Energy-aware processors are intended to operate efficiently by adapting the speed of the server CPU to the processing load and the service level requirement. In this thesis, we consider a performance objective which is a linear combination of energy usage, queuing cost (reflected by delay) and speed switching cost for a multi-core processor. We discuss several schemes that lead to energy consumption reduction."--Samenvatting auteur.
Author: Publisher: ISBN: Category : Languages : en Pages : 127
Book Description
"The main objective of this thesis is to develop numerical techniques to calculate the probability distribution of the running maximum of Lévy processes, and consider a number of specific financial applications. The other objective is to propose a numerical method to optimize the energy consumption of servers handling traffic in a communication network. The traffic itself is modeled by a random process, usually an on-off process with random on- and off-times. In this thesis, a numerical technique based on the Wiener-Hopf factorization is developed to evaluate the probability distribution of the running maximum (or minimum) of a general Lévy process. This method can be employed for pricing many options which depend on the maximum and/or minimum attained by the underlying Lévy process, for instance lookback option. The second technique which is presented in this book is importance sampling. This technique is essentially used to reduce the variance of the simulation-based estimator. Straightforward simulation for estimating rare event probabilities being inefficient and inaccurate, the idea of importance sampling is to generate simulation paths under an alternative measure such that the event is not rare anymore. Energy-aware processors are intended to operate efficiently by adapting the speed of the server CPU to the processing load and the service level requirement. In this thesis, we consider a performance objective which is a linear combination of energy usage, queuing cost (reflected by delay) and speed switching cost for a multi-core processor. We discuss several schemes that lead to energy consumption reduction."--Samenvatting auteur.
Author: Jewgeni H. Dshalalow Publisher: CRC Press ISBN: 1000949931 Category : Business & Economics Languages : en Pages : 530
Book Description
The progress of science and technology has placed Queueing Theory among the most popular disciplines in applied mathematics, operations research, and engineering. Although queueing has been on the scientific market since the beginning of this century, it is still rapidly expanding by capturing new areas in technology. Advances in Queueing provides a comprehensive overview of problems in this enormous area of science and focuses on the most significant methods recently developed. Written by a team of 24 eminent scientists, the book examines stochastic, analytic, and generic methods such as approximations, estimates and bounds, and simulation. The first chapter presents an overview of classical queueing methods from the birth of queues to the seventies. It also contains the most comprehensive bibliography of books on queueing and telecommunications to date. Each of the following chapters surveys recent methods applied to classes of queueing systems and networks followed by a discussion of open problems and future research directions. Advances in Queueing is a practical reference that allows the reader quick access to the latest methods.
Author: Krzysztof Dębicki Publisher: ISBN: 9783319206943 Category : Languages : en Pages :
Book Description
The book provides an extensive introduction to queueing models driven by Lévy-processes as well as a systematic account of the literature on Lévy-driven queues. The objective is to make the reader familiar with the wide set of probabilistic techniques that have been developed over the past decades, including transform-based techniques, martingales, rate-conservation arguments, change-of-measure, importance sampling, and large deviations. On the application side, it demonstrates how Lévy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance. Queues and Lévy Fluctuation Theory will appeal to graduate/postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.
Author: Joti Lal Jain Publisher: CRC Press ISBN: 1420011464 Category : Business & Economics Languages : en Pages : 461
Book Description
The application of engineering principles in divergent fields such as management science and communications as well as the advancement of several approaches in theory and computation have led to growing interest in queueing models, creating the need for a comprehensive text. Emphasizing Markovian structures and the techniques that occur in differen
Author: Natarajan Gautam Publisher: CRC Press ISBN: 1439806586 Category : Business & Economics Languages : en Pages : 804
Book Description
Written with students and professors in mind, Analysis of Queues: Methods and Applications combines coverage of classical queueing theory with recent advances in studying stochastic networks. Exploring a broad range of applications, the book contains plenty of solved problems, exercises, case studies, paradoxes, and numerical examples. In addition to the standard single-station and single class discrete queues, the book discusses models for multi-class queues and queueing networks as well as methods based on fluid scaling, stochastic fluid flows, continuous parameter Markov processes, and quasi-birth-and-death processes, to name a few. It describes a variety of applications including computer-communication networks, information systems, production operations, transportation, and service systems such as healthcare, call centers and restaurants.
Author: Vladimir Anisimov Publisher: John Wiley & Sons ISBN: 1119755212 Category : Mathematics Languages : en Pages : 336
Book Description
The aim of this book is to reflect the current cutting-edge thinking and established practices in the investigation of queueing systems and networks. This second volume includes eight chapters written by experts wellknown in their areas. The book conducts a stability analysis of certain types of multiserver regenerative queueing systems; a transient evaluation of Markovian queueing systems, focusing on closed-form distributions and numerical techniques; analysis of queueing models in service sectors using analytical and simulation approaches; plus an investigation of probability distributions in queueing models and their use in economics, industry, demography and environmental studies. This book also considers techniques for the control of information in queueing systems and their impact on strategic customer behavior, social welfare and the revenue of monopolists. In addition, applications of maximum entropy methods of inference for the analysis of a stable M/G/1 queue with heavy tails, and inventory models with positive service time - including perishable items and stock supplied using various algorithmic control policies ((s; S); (r;Q), etc.).
Author: Krzysztof Dębicki Publisher: Springer ISBN: 3319206931 Category : Mathematics Languages : en Pages : 256
Book Description
The book provides an extensive introduction to queueing models driven by Lévy-processes as well as a systematic account of the literature on Lévy-driven queues. The objective is to make the reader familiar with the wide set of probabilistic techniques that have been developed over the past decades, including transform-based techniques, martingales, rate-conservation arguments, change-of-measure, importance sampling, and large deviations. On the application side, it demonstrates how Lévy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance. Queues and Lévy Fluctuation Theory will appeal to postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.
Author: John Daigle Publisher: Springer Science & Business Media ISBN: 0387228594 Category : Technology & Engineering Languages : en Pages : 326
Book Description
Queueing Theory with Applications to Packet Telecommunication is an efficient introduction to fundamental concepts and principles underlying the behavior of queueing systems and its application to the design of packet-oriented electrical communication systems. In addition to techniques and approaches found in earlier works, the author presents a thoroughly modern computational approach based on Schur decomposition. This approach facilitates solution of broad classes of problems wherein a number of practical modeling issues may be explored. Key features of communication systems, such as correlation in packet arrival processes at IP switches and variability in service rates due to fading wireless links are introduced. Numerous exercises embedded within the text and problems at the end of certain chapters that integrate lessons learned across multiple sections are also included. In all cases, including systems having priority, developments lead to procedures or formulae that yield numerical results from which sensitivity of queueing behavior to parameter variation can be explored. In several cases multiple approaches to computing distributions are presented. Queueing Theory with Applications to Packet Telecommunication is intended both for self study and for use as a primary text in graduate courses in queueing theory in electrical engineering, computer science, operations research, and mathematics. Professionals will also find this work invaluable because the author discusses applications such as statistical multiplexing, IP switch design, and wireless communication systems. In addition, numerous modeling issues, such as the suitability of Erlang-k and Pade approximations are addressed.
Author: John Daigle Publisher: Springer ISBN: 9780387502045 Category : Technology & Engineering Languages : en Pages : 0
Book Description
Queueing Theory with Applications to Packet Telecommunication is an efficient introduction to fundamental concepts and principles underlying the behavior of queueing systems and its application to the design of packet-oriented electrical communication systems. In addition to techniques and approaches found in earlier works, the author presents a thoroughly modern computational approach based on Schur decomposition. This approach facilitates solution of broad classes of problems wherein a number of practical modeling issues may be explored. Key features of communication systems, such as correlation in packet arrival processes at IP switches and variability in service rates due to fading wireless links are introduced. Numerous exercises embedded within the text and problems at the end of certain chapters that integrate lessons learned across multiple sections are also included. In all cases, including systems having priority, developments lead to procedures or formulae that yield numerical results from which sensitivity of queueing behavior to parameter variation can be explored. In several cases multiple approaches to computing distributions are presented. Queueing Theory with Applications to Packet Telecommunication is intended both for self study and for use as a primary text in graduate courses in queueing theory in electrical engineering, computer science, operations research, and mathematics. Professionals will also find this work invaluable because the author discusses applications such as statistical multiplexing, IP switch design, and wireless communication systems. In addition, numerous modeling issues, such as the suitability of Erlang-k and Pade approximations are addressed.
Author: 
Author: 
Author: Jewgeni H. Dshalalow
Author: Krzysztof Dębicki
Author: Joti Lal Jain
Author: Natarajan Gautam
Author: Vladimir Anisimov
Author: Krzysztof Dębicki
Author: John Daigle
Author: Onno Boxma
Author: John Daigle