Continuous-Time

Queueing Systems
Professor Izhak Rubin
Electrical Engineering Department
UCLA
rubin@ee.ucla.edu
2014-2015 by Izhak Rubin

M/M/1 Queueing System

For M/M/1 queueing system:
1. Messages arrive in accordance with a Poisson process with intensity [mess / sec]
Interarrival time distribution: A t 1 e t u t
2. Message service time is exponentially distributed with rate ;
mean service time = 1/ [sec/mess].
Message service time distribution: B t 1 e t u t
3. A single service channel is provided.
4. Unlimited storage (buffer) capacity.

Server

Prof. Izhak Rubin

System Size Process

For M/M/1 queueing system:
The system size process, X { X t , t 0}, S {0,1, 2,...}
is a continuous time birth-and-death Markov chain, with:
i , i 0,

i ,

i 1.

The traffic intensity is

= total offered arrival rate / total service rate.

Prof. Izhak Rubin

M/M/1 Queueing System: System Size

0,

lim P X t j
t
P j ,

a
i 0

a
i 0

From the CTBD analysis: P j a j

a
i 0

0 1... j 1
We have a0 1, a j
j, j 0 .
12 ... j
j

a
i 0

a
i 0

1 .

i 0

1 .

1
0,
lim P X t j
j 0.
j
t
1 , 1
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M/M/1 Queueing System: Average

Message Waiting and Delay Times
For 1, the steady-state mean queue size is:
EX

, 1.

The steady-state mean message delay and waiting time

\(using Little's Formula, noting that D = for 1) are given as:
E D 1E X

1
, 1
1

E W E D 1

, 1.

Prof. Izhak Rubin

M/M/1 Queueing System: Waiting

Time Distribution
Steady-state waiting time distribution:
W t lim P(Wn t ), t 0.
n

We set:
( j ) = P{an arriving message finds j messages ahead of itself in the queue}.
We obtain

( j ) P( j ) (1 ) j ,

j 0,
by using a result that states that Poisson Arrivals See Time Averages (PASTA).
To calculate the waiting time distribution, we assume a FCFS service policy.
An arriving message that finds upon arrival that there are j messages ahead of itself, j 1, will have to wait
until these messages are served before it is admitted into service. The services times of these j messages
are statistically independent and identically distributed; this is also true for the message that is
in the midst of its service when the message for which the wait time is computed arrives into the
system. Clearly, the distribution of the sum of j independent service times (actually, the sum of the residual
service time of the message in service plus the service times of the waiting j-1 messages) is equal to the j-th order
convolution of the service time distribution. When j=0, the arriving message enters service without having to wait.

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M/M/1 Queueing System: Waiting

Time Distribution (Cont.)
Hence, we write:

W t (0) 1 ( j ) (1 e
j 1

*j

)u (t ) , t 0.

We obtain:

W t 1 e

1 t

u(t ),

Prof. Izhak Rubin

t 0 , <1.

Example 1: M/M/1 System

Model
Consider a transmission processor operating on messages queued at the output
buffer of a router to transmit messages that are served in accordance with a FIFO policy
across the single output channel to which it is attached at a rate of R=1 Mbps. Assume
messages to arrive at this output buffer in accordance with a Poisson process at a rate of
800 Kbps. Assume messages to be of random lengths so that the transmission time of
each message is exponentially distributed. The average message length is equal to 50 Kbits.
Then:
This system is modeled as an M/M/1 queueing system with the following parameters:
800 Kbps
mess
Arrival rate = =
16 [
]
50 Kbits/mess
sec
1 Mbps
mess
Service rate = =
20 [
].
50 Kbits/mess
sec
Also:
1 50 Kbits/mess
Mean message service time = average message transmission time =
50m sec,

1 Mbps
1
mess
confirming that =
20 [
].
50m sec
sec
Hence:
Traffic intensity = =

0.8 1,

so that the system is stable and reaches as it evolves steady state behavior.

Prof. Izhak Rubin

Example 1 (Cont.)
The steady-state mean queue size is:

0.8
EX

4 [messages].
1 1 0.8
The steady-state mean message delay and waiting times are computed as:
1
4
E D 1E X

0.25sec 250m sec

1 16
E W E D 1

250m sec 50m sec 200m sec.

The waiting time distribution is give as:

W t 1 e 1 t u (t ), so that at steady state the probability that the waiting time is longer than t
is expressed by: P{W > t}= e 1 t , t 0. Hence, the probability that the message wait time is longer
than 1 sec is computed to be:
P{W > 1}= e 1 0.8e 4 0.0146.
Thus, 1.46% of the messages are experiencing waiting times that are longer than 1 sec., noting that
the average message waiting time in the queue is equal to 0.2 sec.
Prof. Izhak Rubin

M/M/m Queueing System

For M/M/m queueing system:
1. Messages arrive in accordance with a Poisson process with intensity [ mess / sec]
2. The message service time is exponentially distributed with rate
3. The number of service channels is m, m 1.
4. Unlimited storage(buffer, waiting room) capacity.
The system size process X { X t , t 0}, S {0,1, 2,...},
is a continuous time birth-and-death Markov chain, with
i , i 0,

i min i, m , i 1

The offered traffic load is f

and the traffic intensity is

Server 1
Server 2

[ Erlangs],
m

Server m

Prof. Izhak Rubin

10

M/M/m System-Size: Steady-State

0,

lim P X t j
t
P j ,

a
i 0

a
i 0

From the CTBD analysis: P j a j

We have a0

a
i 0

, j 0.

j
fj

,
0 jm

j
j!
j !
1, a j
j
fj

, j m 1
m !m j m j m !m j m

To reach steady state:

a
j 0

1.

j 0

1
0,
lim P X t j
t
P j , 1.
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11

M/M/m Queueing System: Steady State

Behavior
For 1, the queue size steady-state distribution exists and is given by:
P j P 0 a j ,

j0
1

where P 0 a j
j 0
The steady-state mean queue size is:

j P j ,
X j 0
,

1
1.

1
,
Departing message rate [mess/sec] = D
m , 1
f , 1

Departing load [Erlangs] = f D D

m, 1
Noting that f D ,max = m, D ,max = m , the normalized throughput rate is given by:

D ,max

fD
f D ,max

, 1

1, 1.
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12

M/M/m Queueing System: Waiting

Time Analysis
Using Little's Formula, for 1, D = , so that we have:
X D D 1 X
W D 1
Steady-state waiting time distribution: W t lim P(Wn t ), t 0.
n

Under a FCFS policy, a message that finds upon arrival j messages in the system,
will not have to wait if j < m. In turn, if j m, the message will have to wait until the number of
messages ahead of itself in the system falls down to m-1 (so that a server becomes available
to admit it into service); in this case, its waiting time is equal to the sum of j-(m-1)=j+1-m time intervals between
message departures. But the departure process during this period is a Poisson
process with departure rate equal to m , so that each inter-departure time interval is exponentially distributed
with mean interdeparture time equal to 1/m . Hence, we write:
m 1

j 0

j m

W t ( j ) ( j ) (1 e m t )u (t )

* j 1 m

Noting that ( j ) P( j ), we have for 1:

m 1

j 0

j m

W t P( j ) P( j ) e

m y
j m !

j m

m y

m dy.
Prof. Izhak Rubin

13

M/M/m/N Queueing System

M/M/m/N queuing system:
1. Messages arrive in accordance with a Poisson process with intensity [ mess / sec]
2. Message service time is exponentially distributed with rate [sec/mess].
3. The number of service channel is m, m 1.
4. System message storage (buffering, waiting room) capacity (including both
messages waiting in the queue and messages in service) is limited to N messages, N m.
The system size process, X { X t , t 0}, S {0,1, 2,..., N },
is a continuous time birth-and-death (CTBD) Markov chain, with
, 0 i N 1
0, i N

Server 1
Server 2

i min i, m , i 1.
Server m

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14

M/M/m/N Queueing System

Since the process is irreducible and finite, steady-state distribution always exists:

fj
,
0 jm
P 0
j!

P j
fj
P 0
m !m j m , m j N
1

m 1 f j N
fj
where:
P 0

,
j m
j
!
m
!
m
j m
j 0

The call blocking probability is given by:

f / .

fN
PB N P N P 0
m !m N m
The message departure rate (message throughout) is:

D 1 PB 1 P N [mess/sec]
The throughput load (Erlangs) is:
f D D 1 1 PB 1 1 PB f

[Erlangs].

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15

M/M/m/N Queueing System: Waiting Time

Analysis
The steady-state probability that an arriving message that is admitted into the system
(and thus not blocked) finds j messages in the system is given by:

A j

j
1 PB

P j
, 0 j N 1
1 PB

The message steady-state waiting time distribution W t lim P Wn t is given by :

n

m 1

N 1

W t A i A i 1 e m t u t
i 0
im
Since A i

P i
P i

,
1 PB 1 P N

P j 1,
j 0

0 i N 1

N 1

where

* i m 1

and

j 1 , we have:
j 0

N 1
* i m 1
m 1
1
m t

W t
P i P i 1 e
, t 0.

1 P N i 0
im

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16

Special Case: M/M/1/N

Queueing System
We have: i ,0 i N ; i , N i 1. Hence, for f= = / :
(1 ) j
P j P 0 =
, 0 j N , for 1;
N 1
1
1
=
, for 1.
N+1
The call blocking probability is given by:
j

PB N P N .
The message departure rate (message throughout) is:

D 1 PB 1 P N [mess/sec]
The throughput Erlang load rate is:
f D D 1 1 PB 1 1 PB f

[Erlangs].

Mean message delay (system time) = E(D)=

E(X)

Prof. Izhak Rubin

.
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Example 2: M/M/1/N System

Model
Consider the same transmisison processor modeled by Example 1, except that
it is now assumed that the total storage capacity of the processor (including the
message in service and waiting messages) is equal to N messages.
Then:
This system is modeled as an M/M/1/N queueing system with the following parameters:
800 Kbps
mess
Arrival rate = =
16 [
]
50 Kbits/mess
sec
1 Mbps
mess
Service rate = =
20 [
].
50 Kbits/mess
sec
Traffic intensity = =

0.8 1.

Since the system's storage capacity N is finite, the system is stable and reaches as it
evolves steady state behavior.

Prof. Izhak Rubin

18

Example 2: M/M/1/N System

Model (Cont.)
The message blocking probability is given by:
(1 ) N
PB N P N =
, for 1.
1 N 1
Hence we compute the following results.
For N = 4 messages, we obtain the message blocking probability (blocking ratio) to be
equal to 0.1218, so that 12.18% of arriving messages are blocked (not admitted into the buffer).
Then, the message departure rate (throughput) is equal to:

D 1 PB 1 P N =16(1-0.1218)= 14.05 [mess/sec] = 702.5 Kbps.

In turn, if we double the stirage capacity level, so that we set N=8,
we obtain the message blocking probability (blocking ratio) to be
equal to 0.0387, so that only 3.87% of arriving messages are blocked (not admitted into the buffer).
Then, the message departure rate (throughput) is equal to:

D 1 PB 1 P N =16(1-0.0387)= 15.38 [mess/sec] = 769 Kbps..

Prof. Izhak Rubin

19

M/M/m/m Queueing System

For the M/M/m/m QS, no queueing space is provided.
An arriving call (message) is blocked and discarded if it finds upon arrival that
all m service channels are busy, serving other messages.
System Size Process = X = CTBD process; S = {0,1,2,...N} with N = m.
i for N i 0; i i , for N i 1. Hence:

i
fi
ai
, i 0;
i
i !
i!

[Erlangs].

The steady state system-size distribution P={P(j), j S} always exists

and is given as follows:
P j aj

a
k 0

Server 2

j!
m

k 0

Server 1

, 0 j m.

k!

Server m
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Erlangs Loss Formula

Erlang's Loss Formula: (for the call blocking probability):
fm
PB P m
m!

k 0

fk
.
k!

where: m = number of service channels;

f = offered load rate =

[Erlangs].

Note: This blocking probability formula also holds for the M/G/m/m system model.
Messages incur no waiting time, W = 0.
Message mean delay time (as confirmed by using Little's
Little's formula) is thus equal to the message mean service time:
X
1
D
.
1 PB
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21

Example 3: M/M/N/N System

Model
Consider a central exchange switch in a telephone system of a small organization
that does not provide queueing facility for storing waiting calls. Arriving
calls that find the system to the busy are blocked and assumed lost. Assume the switch to
be served by N=m service channels (transmission trunks).
Assume the switching system to be loaded by calls that arrive in accordance with a
calls
Poisson process at a rate of = 12 [
]. Assume the duration of each call to be
hour
an exponentially distributed random variable whose average value is equal to
1
4 minutes.

This system is modeled as an M/M/m/m queueing system with the following

parameters (noting the message to now be represented as a call):
calls
Arrival rate = = 0.2 [
]
min
calls
Service rate = = 0.25 [
].
min
Traffic intensity and traffic loading is = = f =

0.8 [ Erlangs].

Prof. Izhak Rubin

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Example 3: M/M/N/N System

Model (Cont.)
Using Erlang's Loss Formula: (for the call blocking probability), we have:
fm m fk
PB P m
,
m! k 0 k !
where: m = number of service channels;
f = offered load rate =

[Erlangs]= 0.8 Erlangs.

Hence,we obtain the following results for the blocking probabilities for different values of
selected system storage levels:
For N=m= 1, we obtain: PB 44.44%, so that 44.44% of arriving calls are blocked;
For N=m= 2, we obtain: PB 15.09%, so that 15.09% of arriving calls are blocked;
For N=m= 3, we obtain: PB 3.86%, so that only 3.86% of arriving calls are blocked, while
the remainder 96.64% of arriving messages are admitted into the system and are
immediately served without incurring any waiting time.
Prof. Izhak Rubin

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