Queueing Systems

The M/M/1 system

In Kendall’s notation, an M/M/1 system has exponential arrivals (M/M/1), a single server (M/M/1) with exponential service time (M/M/1) and an inifinite queue (implicit M/M/1/\(\infty\)). For instance, people arriving at an ATM at rate \(\lambda\), waiting their turn in the street and withdrawing money at rate \(\mu\).

Let us remember the basic parameters of this system:

\[\begin{aligned} \rho &= \frac{\lambda}{\mu} &&\equiv \mbox{Server utilization} \\ N &= \frac{\rho}{1-\rho} &&\equiv \mbox{Average number of customers in the system (queue + server)} \\ T &= \frac{N}{\lambda} &&\equiv \mbox{Average time in the system (queue + server) [Little's law]} \\ \end{aligned}\]

Whenever \(\rho < 1\). If that is not true, it means that the system is unstable: there are more arrivals than the server is capable of handling, and the queue will grow indefinitely.

The simulation of an M/M/1 system is quite simple using simmer:

lambda <- 2
mu <- 4
rho <- lambda/mu # = 2/4

mm1.trajectory <- create_trajectory() %>%
  seize("resource", amount=1) %>%
  timeout(function() rexp(1, mu)) %>%
  release("resource", amount=1)

mm1.env <- simmer() %>%
  add_resource("resource", capacity=1, queue_size=Inf) %>%
  add_generator("arrival", mm1.trajectory, function() rexp(1, lambda)) %>% 
  run(until=2000)

Our package provides convenience plotting functions to quickly visualise the usage of a resource over time, for instance. Down below, we can see how the simulation converges to the theoretical average number of customers in the system.

# Evolution of the average number of customers in the system
graph <- plot_resource_usage(mm1.env, "resource", items="system")

# Theoretical value
mm1.N <- rho/(1-rho)
graph + geom_hline(yintercept=mm1.N)

It is possible also to visualise, for instance, the instantaneous usage of individual elements by playing with the parameters items and steps.

plot_resource_usage(mm1.env, "resource", items=c("queue", "server"), steps=TRUE) +
  xlim(0, 20) + ylim(0, 4)
#> Warning: Removed 16112 rows containing missing values (geom_path).

#> Warning: Removed 16112 rows containing missing values (geom_path).

#> Warning: Removed 16112 rows containing missing values (geom_path).

Experimentally, we obtain the time spent by each customer in the system and we compare the average with the theoretical expression.

mm1.arrivals <- get_mon_arrivals(mm1.env)
mm1.t_system <- mm1.arrivals$end_time - mm1.arrivals$start_time

mm1.T <- mm1.N / lambda
mm1.T ; mean(mm1.t_system)
#> [1] 0.5
#> [1] 0.5012594

It seems that it matches the theoretical value pretty well. But of course we are picky, so let’s take a closer look, just to be sure. Replication can be done with standard R tools:

envs <- mclapply(1:100, function(i) {
  simmer() %>%
    add_resource("resource", capacity=1, queue_size=Inf) %>%
    add_generator("arrival", mm1.trajectory, function() rexp(100, lambda)) %>%
    run(1000/lambda) %>%
    wrap()
}, mc.set.seed=FALSE)

Parallelizing has the shortcoming that we lose the underlying C++ objects when each thread finishes, but the wrap function does all the magic for us retrieving the monitored data. Let’s perform a simple test:

t_system <- get_mon_arrivals(envs) %>%
  mutate(t_system = end_time - start_time) %>%
  group_by(replication) %>%
  summarise(mean = mean(t_system))

t.test(t_system$mean)
#> 
#>  One Sample t-test
#> 
#> data:  t_system$mean
#> t = 112.35, df = 99, p-value < 2.2e-16
#> alternative hypothesis: true mean is not equal to 0
#> 95 percent confidence interval:
#>  0.4883420 0.5059016
#> sample estimates:
#> mean of x 
#> 0.4971218 

Finally, the inverse of the mean difference between arrivals is the effective rate, which matches (approx.) the real lambda because there are no rejections.

lambda; 1/mean(diff(subset(mm1.arrivals, finished==TRUE)$start_time))
#> [1] 2
#> [1] 2.034654

Moreover, an M/M/1 satisfies that the distribution of the time spent in the system is, in turn, an exponential random variable with average \(T\).

qqplot(mm1.t_system, rexp(1000, 1/mm1.T))
abline(0, 1, lty=2, col="red")

M/M/c/k systems

An M/M/c/k system keeps exponential arrivals and service times, but has more than one server in general and a finite queue, which often is more realistic. For instance, a router may have several processor to handle packets, and the in/out queues are necessarily finite.

This is the simulation of an M/M/2/3 system (2 server, 1 position in queue). Note that the trajectory is identical to the M/M/1 case.

lambda <- 2
mu <- 4

mm23.trajectory <- create_trajectory() %>%
  seize("server", amount=1) %>%
  timeout(function() rexp(1, mu)) %>%
  release("server", amount=1)

mm23.env <- simmer() %>%
  add_resource("server", capacity=2, queue_size=1) %>%
  add_generator("arrival", mm23.trajectory, function() rexp(1, lambda)) %>%
  run(until=2000)

In this case, there are rejections when the queue is full.

mm23.arrivals <- get_mon_arrivals(mm23.env)
mm23.arrivals %>%
  summarise(rejection_rate = sum(!finished)/length(finished))
#>   rejection_rate
#> 1     0.02309358

Despite this, the time spent in the system still follows an exponential random variable, as in the M/M/1 case, but the average has dropped.

mm23.t_system <- mm23.arrivals$end_time - mm23.arrivals$start_time
# Comparison with M/M/1 times
qqplot(mm1.t_system, mm23.t_system)
abline(0, 1, lty=2, col="red")

Queueing networks

in progress…