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Computing the Stationary Distribution of an SRBM in an Orthant with Applications to Queueing Networks

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Abstract

In [15], a BNAfm (Brownian network analyzer with finite element method) algorithm was developed for computing the stationary distribution of a semimartingale reflecting Brownian motion (SRBM) in a hypercube. In this companion paper, that BNAfm algorithm is extended to computing the stationary distribution of an SRBM in an orthant, which is achieved by constructing a converging sequence of SRBMs in hypercubes. The SRBM in the orthant serves as an approximation model of queueing networks with infinite buffers. We show that the constructed sequence of SRBMs in the hypercubes converges weakly to the SRBM in the orthant as the hypercubes approach the orthant. Under the conjecture that the set of the stationary distributions of the SRBMs in the hypercubes is relatively compact, we prove that the sequence of the stationary distributions of the SRBMs in the hypercubes converges weakly to the stationary distribution of the SRBM in the orthant. A three-machine job shop example is presented to illustrate the effectiveness of the SRBM approximation model and our BNAfm algorithm. The BNAfm algorithm is shown to produce good estimates for stationary probabilities of queueing networks.

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Authors and Affiliations

  1. Cheung Kong Graduate School of Business, Oriental Plaza, Tower E3, 1 East Chang An Avenue, Bei**g, 100738, P.R. China

    Hong Chen

  2. marketRx, 1200 US Route 22 East, Bridgewater, NJ, 07060, USA

    **nyang Shen

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  1. Hong Chen
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  2. **nyang Shen
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Chen, H., Shen, X. Computing the Stationary Distribution of an SRBM in an Orthant with Applications to Queueing Networks. Queueing Systems 45, 27–45 (2003). https://doi.org/10.1023/A:1025691717137

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