American Institute of Mathematical Sciences

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October  2012, 8(4): 877-894. doi: 10.3934/jimo.2012.8.877

Networks with cascading overloads

Jesse Collingwood 1, , Robert D. Foley 2, and  David R. McDonald 1,

1. 

Department of Mathematics and Statistics, University of Ottawa, 585 King Edward Avenue, Ottawa, Ontario K1N 6M8, Canada, Canada
2. 

Industrial and Systems Engineering, Georgia Institute of Technology, Groseclose Building, Room 428, Atlanta GA 30332-0205, United States

Received  September 2011 Revised  July 2012 Published  September 2012

Here we study large deviations in networks that are more likely to result from the accumulation of many slightly unusual events. We are particularly interested in analyzing large deviations where the most probable path changes direction. These deviations arise when a large deviation in one part of the system cascades across the network to produce a large deviation in another part of the network. Our technique involves the construction of an approximate time reversal. We also use this approximate time reversal to do rare event simulation.
Keywords: Markov chains., approximate time reversal, change of measure, Rare events, exact asymptotics, large deviations, importance sampling.
Mathematics Subject Classification: Primary: 60J20, 60K2.
Citation: Jesse Collingwood, Robert D. Foley, David R. McDonald. Networks with cascading overloads. Journal of Industrial & Management Optimization, 2012, 8 (4) : 877-894. doi: 10.3934/jimo.2012.8.877
References:
[1]

I. Adan, R. D. Foley and D. R. McDonald, Exact asymptotics for the stationary distribution of a Markov chain: A production model,, Queueing Syst., 62 (2009), 311.  doi: 10.1007/s11134-009-9140-y.  Google Scholar

[2]

V. Anantharam, P. Heidelberger and P. Tsoucas, Analysis of rare events in continuous time Markov chains via time reversal and fluid approximation,, Research Report, (1628).   Google Scholar

[3]

F. Baccelli and P. Bremaud, "Elements of Queueing Theory,", Springer Verlag, (2003).   Google Scholar

[4]

F. Baccelli and D. McDonald, Rare events for stationary processes,, Stochastic Processes and their Applications, 89 (1997), 141.  doi: 10.1016/S0304-4149(00)00018-1.  Google Scholar

[5]

A. A. Borovkov and A. A. Mogul'skii, Limit theorems in the boundary hitting problem for a multidimensional random walk,, Siberian Mathematical Journal, 4 (2001), 245.  doi: 10.1023/A:1004832928857.  Google Scholar

[6]

R. Foley and D. McDonald, Join the shortest queue: stability and exact asymptotics,, Annals of Applied Probability, 11 (2001), 569.   Google Scholar

[7]

R. D. Foley and D. R. McDonald, Large deviations of amodified jackson network: Stability and rough asymptotics,, Ann. Appl. Probab., 15 (2004), 519.  doi: 10.1214/105051604000000666.  Google Scholar

[8]

R. D. Foley and D. R. McDonald, Bridges and networks: Exact asymptotics,, Annals of Applied Probability, 15 (2005).  doi: 10.1214/105051604000000675.  Google Scholar

[9]

R. D. Foley and D. R. McDonald, Constructing a harmonic function for an irreducible non-negative matrix with convergence parameter $R > 1$,, Accepted subject to revisions London Mathematical Society., ().   Google Scholar

[10]

I. Ignatiouk-Robert and C. Loree, Martin boundary of a killed random walk on a quadrant,, Ann. Probab, 38 (2010), 1106.  doi: 10.1214/09-AOP506.  Google Scholar

[11]

T. G. Kurtz, Strong approximation theorems for density dependent Markov chains,, Stoch. Proc. Appl., 6 (1978), 223.  doi: 10.1016/0304-4149(78)90020-0.  Google Scholar

[12]

K. Majewski and K. Ramanan, How large queue lengths build up in a Jackson network,, preprint. 2008., (2008).   Google Scholar

[13]

S. P. Meyn and R. L. Tweedie, "Markov Chains and Stochastic Stability,", Springer-Verlag, (1993).   Google Scholar

[14]

M. Miyazawa and Y. Q. Zhao, The stationary tail asymptotics in the GI/G/1-type queue with countably many background states,, Advances in Applied Probability, 36 (2004), 1231.  doi: 10.1239/aap/1103662965.  Google Scholar

[15]

V. Nicola and T. Zaburnenko, Efficient importance sampling heuristics for the simulation of population overflow in jackson networks,, ACM Transactions on Modeling and Computer Simulation, 17 (2007).   Google Scholar

show all references

References:
[1]

I. Adan, R. D. Foley and D. R. McDonald, Exact asymptotics for the stationary distribution of a Markov chain: A production model,, Queueing Syst., 62 (2009), 311.  doi: 10.1007/s11134-009-9140-y.  Google Scholar

[2]

V. Anantharam, P. Heidelberger and P. Tsoucas, Analysis of rare events in continuous time Markov chains via time reversal and fluid approximation,, Research Report, (1628).   Google Scholar

[3]

F. Baccelli and P. Bremaud, "Elements of Queueing Theory,", Springer Verlag, (2003).   Google Scholar

[4]

F. Baccelli and D. McDonald, Rare events for stationary processes,, Stochastic Processes and their Applications, 89 (1997), 141.  doi: 10.1016/S0304-4149(00)00018-1.  Google Scholar

[5]

A. A. Borovkov and A. A. Mogul'skii, Limit theorems in the boundary hitting problem for a multidimensional random walk,, Siberian Mathematical Journal, 4 (2001), 245.  doi: 10.1023/A:1004832928857.  Google Scholar

[6]

R. Foley and D. McDonald, Join the shortest queue: stability and exact asymptotics,, Annals of Applied Probability, 11 (2001), 569.   Google Scholar

[7]

R. D. Foley and D. R. McDonald, Large deviations of amodified jackson network: Stability and rough asymptotics,, Ann. Appl. Probab., 15 (2004), 519.  doi: 10.1214/105051604000000666.  Google Scholar

[8]

R. D. Foley and D. R. McDonald, Bridges and networks: Exact asymptotics,, Annals of Applied Probability, 15 (2005).  doi: 10.1214/105051604000000675.  Google Scholar

[9]

R. D. Foley and D. R. McDonald, Constructing a harmonic function for an irreducible non-negative matrix with convergence parameter $R > 1$,, Accepted subject to revisions London Mathematical Society., ().   Google Scholar

[10]

I. Ignatiouk-Robert and C. Loree, Martin boundary of a killed random walk on a quadrant,, Ann. Probab, 38 (2010), 1106.  doi: 10.1214/09-AOP506.  Google Scholar

[11]

T. G. Kurtz, Strong approximation theorems for density dependent Markov chains,, Stoch. Proc. Appl., 6 (1978), 223.  doi: 10.1016/0304-4149(78)90020-0.  Google Scholar

[12]

K. Majewski and K. Ramanan, How large queue lengths build up in a Jackson network,, preprint. 2008., (2008).   Google Scholar

[13]

S. P. Meyn and R. L. Tweedie, "Markov Chains and Stochastic Stability,", Springer-Verlag, (1993).   Google Scholar

[14]

M. Miyazawa and Y. Q. Zhao, The stationary tail asymptotics in the GI/G/1-type queue with countably many background states,, Advances in Applied Probability, 36 (2004), 1231.  doi: 10.1239/aap/1103662965.  Google Scholar

[15]

V. Nicola and T. Zaburnenko, Efficient importance sampling heuristics for the simulation of population overflow in jackson networks,, ACM Transactions on Modeling and Computer Simulation, 17 (2007).   Google Scholar

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