5 Lecture 5: Fluid Models

• Stability of fluid and stochastic processing networks

• Stability analysis of some fluid models

• Optimization of fluid networks.

• Separated continuous linear programming

5.1 Stability of fluid and stochastic processing networks

The approach developed by Jim Dai and others (Harrison, Williams, Bramson, Rybko, Stolyar,
Kumar, Meyn, Foss, Malyshev, Dumas) consists of the following steps:

Primitives: Topology given by buffers k = 1, . . . , K, nodes i = 1, . . . , I and partition into

constituencies Ci , with constituency matrix C. Streams of external arrivals, services,
and switches, E(t), S(t), Ψ(j1 , . . . , jK ), with SLLN rates, and more specifically with i.i.d.
intervals.

Policy All policies are work conserving and HL. specific ones include FIFO, SBP, GHLPS,
GHLPPS.

Traffic equations

λ = α + P
λ
ρ = C(λ · m) < e

Queeuing network equations The standard queue balance equations, expected immediate
workload and idle time process equations, and work conservation and head of the line con-
ditions. In addition special equations for the policy. The Queeuing network equations and
the initial state determine the Queueing network process X = (A(t), D(t), T (t), Y (t), W (t), Q(t))

Markov Process Additional information is necessary to obtain a Markovian state. e.g. for
FIFO the information needs to include the class indices of the ordered customers at each
node. The state space is a finite dimensional normed vector space.

Fluid limits Use fluid scaling by parameter r of both time and space for X, with either
fixed or r parametrized initial conditions. This yields (for bounded initial conditions as
r → ∞) a precompact family, which will have one or more Fluid Limits.

Fluid model equations Under fluid scaling all the primitives have unique determitistic, con-
tinuous, linear fluid limits. Substituting these in the Queueing network equations gives
the fluid model equations. The formal set of equations defines the fluid limit model. All
its solution are called fluid model solutions. The main feature is that each fluid limit
must be a fluid model solution.

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Fluid model stability There are 4 major definitions:

Stable will drive any |Q(0)| < 1 to Q(t) = 0 for t > δ.

Weakly stable will keep Q(t) = 0 for t > 0 if |Q(0)| = 0.
Unstable is not stable, at least one solution is = 0 at a sequance of times tn → ∞.
Weakly unstable starting at |Q(0)| = 0 every solution will pop up to Q(δ) = 0.

UnStable

WeaklyStable

Stable
WeaklyUnstable

Figure 1: Stability or Instability of Fluid Models

Theorems Stability or instability of the fluid model implies stability or instability of the
original queueing network process as follows:

Blow-Up If the fluid model is weakly unstable then the queueing network process will
have |Q(t)| → ∞ almost surely as t → ∞.
Rate Stability Is defined by limt→∞ Dk (t)/t = λk almost surely (note: this does not
exclude |Q(t)| → ∞).
• The queueing network process is rate stable if and only if the unique fluid limit
for fixed initial data has Q̄(t) = 0.
• If the fluid model is weakly stable, the queueing network process is rate stable.
• If the fluid model is weakly un-stable, the queueing network process is not rate
stable.
Positive Harris recurrence If the fluid model is stable and the exogenous input inter-
vals are unbounded and spread out, then the queueing network process is positive
Harris recurrent.

5.2 Stability analysis of some fluid models

For all fluid models, if s > t, Tk (s) − Tk (t) < s − t, hence all the components of X are Lipschitz
continuous, hence absolutely continuous, hence are integrals of their derivatives which exist
almost everywhere. We call t regular if derivatives exist.

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Lemma 5.1 Let f : R+ → R+ be absolutely conitnuous and > 0. If at every regular point t,
f (t) > 0 implies f˙(t) < − , then f (t) = 0 for all t > f (0)/ .

Proposition 5.2 (i) Qk (t) = 0 implies Ȧk (t) = Ḋk (t). (ii) Wi (t) > 0 implies k∈Ci mk Ḋk (t) =
1 (iii) Ȧ(t) = α + P
Ḋ(t).

Lyapunov functions: Let g : R+ K → R be locally Lipschitz (Lipschitz on each compact

+
set), and g(x) = 0 only when x = 0. Let f (t) = g(Q(t)). If for all regular t such that Q(t) = 0,
f˙(t) < − , then the fluid model is stable. g is called a Lyapunov function.

Proposition 5.3 A reentrant line with ρi < 1 is stable under LBFS


Proof. Use f (t) = g(Q(t)) = k Qk (t). Let k be last non-empty buffer, then
 ρσ(k) − 1 1 − ρi
f˙(t) = α1 − Ḋk (t) = α1 − 1/ ml ≤ α1 ≤ −α1 min
ρσ(k) i ρi
l∈Cσ(k) , l≥k

Proposition 5.4 For a general fluid model, let λ be the solutions to the traffic equations,
> 0. If (for regular t) Qk (t) > 0 implies Ḋk (t) > λk + , then the fluid model is stable.

Proof. Use f (t) = e
(I − P
)−1 Q(t). This the sum over all buffers of the total amount of
fluid anywhere in the system which needs to flow through each buffer. It satisfies: f (t) =
f (0) + e
λt − e
D(t).
Let k be the buffers for which Qk (t) = 0, and for which therefore Q̇k (t) = Ȧk (t)− Ḋk (t) = 0.
Let kc be the buffers for which Qk (t) > 0, and for which therefore, by assumption, Ḋkc (t) >
λkc . We get:
 


Ḋk (t) = (I − Pk,k )−1 αk + Pk,k

c Ḋkc (t)

 
≥ (I − Pk,k )−1 αk + Pk,k


c λkc (t)

= λk

and therefore
 
f˙(t) = (λk − Ḋk (t)) + (λk − Ḋk (t))
k∈k k∈kc
≤ − |kc |
≤ −

Corollary 5.5 For single class queueing networks (generalized Jackson networks), if ρi < 1
the queuing network is positive Harris recurrent.

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Proof. Take = min(µk − λk ).
Corollary 5.6 Multi class queueing networks with ρi < 1, under the GHLPS policy with
weights βk = λk mk , are positive Harris recurrent.
Proof. For GHLPS fluid model one has for Qk (t) > 0:
 
βk 
Ṫk (t) =  1 − Ȧl (t) ml 
l∈Cσ(k) , Ql (t)=0 βl l∈Cσ(k) , Ql (t)=0

but in addition one also has for every fluid limit that
βk
Ṫk (t) ≥  .
l∈Cσ(k) βl

For βk = λk mk this implies that if Qk (t) > 0 then Ḋk (t) = λk /ρσ(k) .

Proposition 5.7 If for a subset of buffers B there are weights yk such that k∈B yk λk mk > 1

and at the same time k∈B yk Ṫk (t) ≤ 1. Then the fluid model is weakly unstable.
Corollary 5.8 For single class queueing networks (generalized Jackson networks), if ρi > 1
the fluid model is weakly unstable. Hence the queuing network workload diverges almost surely.
Proof. Take B = Ci , yk = 1, i ∈ Ci .
Corollary 5.9 The Lu-Kumar network (machines i = 1, 2; K = 4, re-entrant path moves
1 → 2 → 2 → 1 →out, under SBP policy with high priority to k = 2, 4, is unstable if
α1 (m2 + m4 ) > 1.
Proof. It can be shown that for the Lu Kumar queueing network, under the said SBP policy,
if Q(0) = 0, then at all subsequent regular times t, Ṫ2 (t) + Ṫ4 (t) ≤ 1. This implies that the
same holds for every fluid limit. Hence we can add this equation to the fluid model equations.

Stability regions
Stability region of a fluid model (under a given policy) is the region of system parameters
(α, m > 0) for which the fluid model is stable.
Global stability region is the region of system parameters (α, m > 0) for which the fluid
model is stable under all work conserving head of the line policies.
Theorem 5.10 (Bramson 96) Kelly queueing networks with ρj < 1 under FIFO policy are
stable.
The proof uses an entropy of the whole path Lyapunov function
  t+Wσ(k) (t)
f (t) = λk h(Ḋk (s)/λk )ds
k t

where h(x) = x log x is the entropy function.

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Piecewise linear Lyapunov functions
Let L(t) = (I − P
)−1 Q(t), it is the K-vector of total fluid anywhere in the system at time
t, which needs to flow through each buffer. It satisfies: Lk (t) = Lk (0) + λk t − µk Tk (t), k =
1, . . . , K. Let yk > 0 be some positive weights,
 and for queue length (fluid levels) vector q let

−1
h(y, q) = Cdiag(y)(I −P ) q. Let fi (t) = k∈Ci yk Lk (t) = hi (y, Q(t)), the weighted potential
workload of machine i. Take f (t) = maxi fi (t) as the Lyapunov function.

Proposition 5.11 Suppose that for some > 0 there exist weights yk such that: (i) Wi (t) > 0
implies f˙i (t) ≤ − (ii) while f (t) > 0 there exists fi (t) = f (t) for which Wi (t) > 0 (note, Wi (t)
is immediate work, while fi (t) is (weighted) potential work, hence Wi (t) = 0 does not imply
fi (t) = 0). Then: Q(t) = 0 for t ≥ f (0)/ .

These piecewise linear Lyapunov functions can be used to give a complete characterization
of the global stability region for a two station multitype (multiclass with deterministic routing)
fluid model.
The following is a result leading to this characterization:

Theorem 5.12 A two station fluid model is globally stable under ρ1 , ρ2 < 1 if the parameters
allow us to solve the following LP with objective value 1 (here ek is the kth unit vectoer):

max

s.t. λl yl ≤ yk µk , k = 1, . . . , K
l∈Cσ(k)

h1 (y, ek ) ≤ h2 (y, ek ), k ∈ C2
h2 (y, ek ) ≤ h1 (y, ek ), k ∈ C1
yk ≥ 0, k = 1, . . . , K
0 ≤ ≤ 1.

Stabiliztion
We saw that GHLPS with βk = λk mk is stable (when all ρi < 1). The policy of GRR,
generalized round robin, where each machine serves it buffers cyclically, performing βk serivces
at buffer
 k in each cycle (skipping to next buffer if buffer is empty before βk ), is stable for
βk / l∈Cσ(k) βl > mk λk . Bramson has also shown that GHLPPS is stable.
Another stabilizing mechanism is Leaky Bucket: Add K single class stations, one each in
front of each buffer k of the original network, with service rate µ
k = 1+ρ2λk
. The resulting
σ(k)
modified network is globally stable (when all ρi < 1). 
Proof. The input load into station i of the original network is now ρ̂i = k∈Ci µ
k mk =
 2ρi
k∈Ci λk mk 1+ρi = 1+ρi < 1. One can then check that Wi (t) > 0 implies that Ẇi (t) = ρ̂i − 1.
2

So all the original stations will empty, and the leaky bucket stations will empty not long
afterward, as they are single class stations with ρ < 1.

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5.3 Optimization of fluid networks
Consider the queue balance equations,
Q(t) = Q(0) + A(t) − D(t)
= Q(0) + E(t) − S(B(t)) + R
(S
(B(t)))1
which for the fluid we write as
Q(t) = Q(0) + A(t) − D(t)
= Q(0) + αt − (I − P
)D(t)
 t


= Q(0) + αt − (I − P ) u(s)ds
0
We shall switch notation, calling the fluid buffer levels x(t), and we let x(0) = Q(0) = a.
Note also that u(s), the flow rates, are constrained by the processing capacities of the network.
 t


(I − P ) u(s)ds + x(t) = a + αt
0
M u(s) ≤ 1

Single class fluid networks

Here we have: x, u, a, α, m, µ are all I vectors, P is a substochastic I × I matrix with spectral
radius less than 1, and we have:
 t


(I − P ) u(s)ds + x(t) = a + αt
0
diag(m) u(s) ≤ 1
Here we let u(t) be an arbitrary control vector, the flow rates. For work conserving policies,
we need to have ui (t) = µi = 1/mi as long as xi (t) > 0.
Consider the problem of emptying the fluid network in minimal time. If the network is
empty by time t, then:  t
(I − P
) u(s)ds = a + αt
0
Or:  t
diag(m)(I − P
)−1 (a + αt) = diag(m) u(s)ds ≤ 1t
0
Adding and subtracting
 
diag(m)(I − P
)−1 a ≤ 1 − diag(m)(I − P
)−1 α t
 
We consider this component by component. Assume first that 1 − diag(m)(I − P
)−1 α i > 0
(of course this is ρi < 1). Then
 
∗
diag(m)(I − P
)−1 a i
t ≥ T = max Ti ≥ Ti =
i (1 − diag(m)(I − P
)−1 α)i

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Lemma 5.13 Consider
 t
Gu(s)ds + x(t) = a + αt,
0
Hu(s) ≤ 1,
x, u ≥ 0

If x(t), u(t) are feasible trajectories t between (t1 , t2 ) with boundary states x(t1 ), x(t2 ), then the
constant control ū = (t2 − t1 )−1 t12 u(t)dt will give a new trajectory, ū(t) = ū, x̄(t) which is
feasible, with x̄(t1 ) = x(t1 ), x̄(t2 ) = x(t2 ).

We can empty the fluid network at time T ∗ , by using constant flow rates: ui (t) = (Ti /T ∗ )µi .
Consider now the following trajectory: Start with all flows ui (t) = µi , and continue until
a buffer empties. For any buffer that is empty, keep the buffer empty, and reduce the value of
ui . Continue until the next buffer empties, etc. The solution uses constant flow rates in the
interval 0 = t0 ≤ t1 ≤ · · · ≤ tI = T ∗ .
This solution has the following characterizations:

The trajectory is unique fluid solution for a work conserving policy.

The trajectory is the oblique reflection of the (infeasible) trajectoty a + αt + (I − P
)µt

(Harrison-Reiman).

The trajectory solves the dynamic complementarity problem (Mandelbaum).

The trajectory can be obtained by oblique projection of a + αt + (I − P
)µt to the positive

orthant (Dupuis-Ramanan)

The total fluid in the system is pathwise minimal for all feasible controls (Meyn).

This trajectory is the solution of an SCLP (Weiss).

If for some i ρi ≥ 1, we can define

 
∗
diag(m)(I − P
)−1 a i
t ≥ T = max Ti ≥ Ti =
i:ρi <1 (1 − diag(m)(I − P
)−1 α)i

In that case all the non-bottleneck nodes can be emptied at (but not before) time T ∗ , and the
flows out of all the remaining non-empty nodes is at rates µi .
Furthermore, if we construct the solution as before, we get piecewise constant flows in the
intervals 0 = t0 ≤ t1 ≤ · · · ≤ tl = T ∗ , and this solution has all the above properties.

Single class fluid networks with multiple outflows

Consider a single class queueing network in which at each node there are several servers avail-
able. List all these servers j = 1, . . . , J, Server j will serve buffer i at node i, at a rate µj , and
upon completion of serivce by server j, customers from buffer i will move to l with probability

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Pj,l . We now have a new matrix G to replace I − P
, so that the jth column of G consists of
δi,l − Pi,l , l = 1, . . . , I.
The constraints on state and control are, with mj = 1/µj :
 t
Gu(s)ds + x(t) = a + αt
0
diag(m) u(s) ≤ 1
x(t), u(t) ≥ 0, t ≥ 0.

To empty the system in minimum time, one has the linear program:

min t
GU = a + αt
diag(m) U ≤ 1t
U ≥ 0.

Once this is solved, U are constant levels of flow which will empty the system at the
minimum time T ∗ . Pursue the following policy: For Uj = 0 do not use server j. For all other
j, use uj (t) = µj as long as buffer i which j is serving is non-empty. You can now think of
the various
 servers which you choose to utilize as being  pooled to a single server with rate
µ̃i = j:j serves i µj and switching probabilities are P̃i,l = j:j serves i µj Pj,l /µ̃i .
It can be shown that this policy minimizes the total fluid in the system path wise. The
solution also has all the other properties above.