Prove2Me
Navigate
DiscoverCollectionsFormalpediaBlogsUsersMomentumMy Missions+
Prove2Me
⌕
Log in
← Collections

Queueing and Stochastic Networks

Single-server queues, Jackson and loss networks, heavy-traffic limits, fluid stability, and the control of queueing systems.

60 open missions

Missions

1–20 of 60
OpenCompletedAll
Markov ChainOperations ResearchProbability+1·Captain: mikedeng1

Open, Closed, and Mixed Networks of Queues with Different Classes of Customers: The Product-Form Equilibrium DistributionResearch Paper

Motivation

Networks of queues model computer systems, communication networks and manufacturing lines: customers (jobs, packets, parts) move between service centers, wait, receive service and move on. Their equilibrium behaviour determines throughputs, utilizations and response times, and for most networks it can only be computed by solving the full balance equations of a continuous-time Markov chain whose state space grows combinatorially with the number of centers and customers. A product-form network is one whose equilibrium distribution factorizes over the centers; for such networks performance measures can be computed exactly by efficient algorithms (convolution, mean value analysis), and this is the basis of much of classical computer-performance modelling.

Timeline of the main product-form results:

  • 1957–1963, Jackson (Oper. Res. 5, 1957; Manag. Sci. 10, 1963): open networks of exponential FCFS queues, one customer class, Poisson arrivals.
  • 1967, Gordon and Newell (Oper. Res. 15): the closed single-class exponential case.
  • 1975, Baskett, Chandy, Muntz and Palacios (J. ACM 22): several customer classes with class switching, four service disciplines (FCFS, processor sharing, infinite server, preemptive-resume LCFS), service times with rational Laplace transforms at the last three, and open, closed or mixed networks with state-dependent Poisson arrivals. This is the BCMP theorem, the subject of this mission.
  • 1975–1979, Kelly (J. Appl. Prob. 12, 1975; Reversibility and Stochastic Networks, Wiley 1979): symmetric queues and quasi-reversibility, a general framework containing the BCMP disciplines.

Setting

A network has NNN service centers and RRR customer classes. A class-rrr customer finishing service at center iii next requires center jjj in class sss with probability pi,r;j,sp_{i,r;j,s}pi,r;j,s​ and leaves the network with probability 1−∑j,spi,r;j,s1-\sum_{j,s}p_{i,r;j,s}1−∑j,s​pi,r;j,s​. The pairs (i,r)(i,r)(i,r) are partitioned into subchains E1,…,EmE_1,\dots,E_mE1​,…,Em​ that routing never leaves. Each center has one of four types:

  1. FCFS, with an exponential service time of rate μi\mu_iμi​ common to all classes;
  2. a single processor-sharing server (each of nnn customers is served at rate 1/n1/n1/n);
  3. an infinite-server center;
  4. a single preemptive-resume LCFS server.

At types 2–4 the class-rrr service time is Coxian: uir≥1u_{ir}\ge1uir​≥1 exponential stages of rates μirl\mu_{irl}μirl​, and after stage lll the customer continues with probability airla_{irl}airl​ or finishes with probability birl=1−airlb_{irl}=1-a_{irl}birl​=1−airl​. The state S=(x1,…,xN)S=(x_1,\dots,x_N)S=(x1​,…,xN​) records the FCFS order of classes at type 1, the number mirlm_{irl}mirl​ of class-rrr customers in stage lll at types 2 and 3, and the LCFS order of (class, stage) pairs at type 4. External arrivals are Poisson, either with rate λ(M(S))\lambda(M(S))λ(M(S)) depending on the total population M(S)M(S)M(S) (process A) or with one stream per subchain of rate λk(M(S/Ek))\lambda_k(M(S/E_k))λk​(M(S/Ek​)) (process B); an arrival joins center jjj in class sss with probability qjsq_{js}qjs​. A subchain with q≡0q\equiv0q≡0 is closed and keeps a fixed population KkK_kKk​.

With relative arrival rates eir≥0e_{ir}\ge0eir​≥0 solving the traffic equations ∑(i,r)eirpi,r;j,s+qjs=ejs\sum_{(i,r)}e_{ir}p_{i,r;j,s}+q_{js}=e_{js}∑(i,r)​eir​pi,r;j,s​+qjs​=ejs​ and Airl=∏j<lairjA_{irl}=\prod_{j<l}a_{irj}Airl​=∏j<l​airj​ (the probability of reaching stage lll, stages numbered from 0), the paper defines fi(xi)f_i(x_i)fi​(xi​) per center type and a factor d(S)d(S)d(S) from the arrival rates.

Formalization targets

Goal: the BCMP theorem (§3.2, pp. 253–254)

π(S)=d(S) f1(x1) f2(x2)⋯fN(xN)\pi(S)=d(S)\,f_1(x_1)\,f_2(x_2)\cdots f_N(x_N)π(S)=d(S)f1​(x1​)f2​(x2​)⋯fN​(xN​)

satisfies the global balance equations of the network, and, under the paper's assumption that the equilibrium distribution is unique, every equilibrium distribution equals π/Z\pi/Zπ/Z whenever Z=∑Sπ(S)Z=\sum_S\pi(S)Z=∑S​π(S) is finite and positive. The goal covers all four center types, open, closed and mixed networks, and both arrival processes.

Milestones

  • §3.1 (p. 252): independent balance implies global balance.
  • §3.2 (p. 254): the product form satisfies the independent balance equations.
  • §4.1 (p. 254): the aggregate-state probabilities are C d(S) g1(y1)⋯gN(yN)C\,d(S)\,g_1(y_1)\cdots g_N(y_N)Cd(S)g1​(y1​)⋯gN​(yN​).

A further supporting item, also from §4.1 (p. 254), states that summing fif_ifi​ over local states with fixed class counts gives gig_igi​. So gig_igi​ depends on the service times only through their means 1/μir=∑lAirl/μirl1/\mu_{ir}=\sum_lA_{irl}/\mu_{irl}1/μir​=∑l​Airl​/μirl​.

Significance

The theorem places the four disciplines, class switching and mixed open/closed populations under one formula. Its corollary in §4.1, that aggregate probabilities depend on service time distributions only through their means (insensitivity), is what makes the model usable with measured mean service times, and it underlies the convolution and mean value analysis algorithms for normalizing constants.

The result is classical and proved on paper. As far as the platform's catalogue shows, it is not formalized: the platform has Kelly's single-class migration process with exponential service, a special case. A machine-checked BCMP theorem would provide a verified multiclass queueing-network model (states, event-driven transition rates, balance equations) on which later results can build: mean value analysis, the state-dependent rates of §5, and the open-network marginals of §4.2.

The printed statement contains an error. The paper defines Airl=∏j=1lairjA_{irl}=\prod_{j=1}^{l}a_{irj}Airl​=∏j=1l​airj​ (p. 253). With the branching of its Figs. 1 and 3, this product includes the branch out of stage lll. For exponential service (uir=1u_{ir}=1uir​=1) it gives Air1=air1=0A_{ir1}=a_{ir1}=0Air1​=air1​=0, so every fif_ifi​ of a type 2–4 center with a customer present vanishes, and a closed network of such centers would have no normalizable solution. The mission states the corrected theorem with Airl=∏j<lairjA_{irl}=\prod_{j<l}a_{irj}Airl​=∏j<l​airj​, which the mean-service-time identity of §4.1 also requires. The type-2 factor 1/mikl!1/m_{ikl}!1/mikl​! is read as 1/mirl!1/m_{irl}!1/mirl​!.

Difficulty

The algebra of the paper's proof is local: each independent balance equation reduces to the traffic equations. The difficulty is in making that statement precise for a real state space. The independent balance equations need a consistent labelling of each moving customer by the "stage" it leaves and enters. That labelling has to cover FCFS centers, where per-class labels are inconsistent (p. 253), the outside world of each open subchain, and LCFS preemption. Every in-flow into a state is a sum over predecessor states, and those states differ by list operations (appending at an FCFS tail, pushing on an LCFS head) or by stage-count updates. The factorials in the processor-sharing and infinite-server factors, and the telescoping identity ∑lAirlbirl=1\sum_lA_{irl}b_{irl}=1∑l​Airl​birl​=1 for departures, must line up exactly with the rates. The obvious shortcut is to check global balance directly for a single class with exponential service. That covers neither class switching, nor Coxian stages, nor mixed networks.

Formalization scope

Centers are Fin N, classes Fin R and subchains Fin m. The class-rrr stages at center iii are Fin (u i r) with u i r : ℕ+, numbered from 0. A local state is an inductive type with three shapes (FCFS list, stage-count array, LCFS list of (class, stage) pairs). The state space is the subtype of configurations whose shapes match the center types and whose closed subchains hold their fixed populations. Transition rates are the sums of the rates of explicit events (arrivals, FCFS completions, stage moves and completions, LCFS moves and completions). Global balance uses tsum; every state has finitely many successors and predecessors with nonzero rate, so these sums are finite. The standing assumptions (substochastic routing closed on subchains, closed subchains with no arrivals and no departures, positive rates, continuation probabilities in [0,1][0,1][0,1] vanishing at the last stage) are collected in Network.IsValid. Irreducibility of subchains is not assumed, and any nonnegative solution of the traffic equations is allowed. Under process B the product in d(S)d(S)d(S) runs over open subchains only. Uniqueness of the equilibrium is a hypothesis, as in the paper. The type-1 rate is constant, and the state-dependent rates of Condition 1 and §5 are not covered.

The following formalizations would trivialize the mission and are ruled out: stating only global balance of π\piπ (satisfied by π≡0\pi\equiv0π≡0), quantifying over arbitrary rate functions instead of the rates built from the network data, and restricting the goal to exponential service or to a single class.

Needed infrastructure: finite-support tsum manipulations, multinomial identities for the §4.1 sums over orderings and stage assignments, and bookkeeping for list and array updates. The model and the balance-equation layer can be reused for later queueing missions. Contributions are welcome on each milestone, on the per-center-type pieces of the independent balance check, and on helper lemmas about the event system.

Selected references

  • F. Baskett, K. M. Chandy, R. R. Muntz, F. G. Palacios, Open, Closed, and Mixed Networks of Queues with Different Classes of Customers, J. ACM 22(2):248–260, 1975. https://doi.org/10.1145/321879.321887
  • J. R. Jackson, Networks of Waiting Lines, Operations Research 5(4):518–521, 1957. https://doi.org/10.1287/opre.5.4.518
  • J. R. Jackson, Jobshop-like Queueing Systems, Management Science 10(1):131–142, 1963. https://doi.org/10.1287/mnsc.10.1.131
  • W. J. Gordon, G. F. Newell, Closed Queuing Systems with Exponential Servers, Operations Research 15(2):254–265, 1967. https://doi.org/10.1287/opre.15.2.254
  • F. P. Kelly, Reversibility and Stochastic Networks, Wiley, 1979. http://www.statslab.cam.ac.uk/~frank/rsn.html
  • D. R. Cox, A Use of Complex Probabilities in the Theory of Stochastic Processes, Proc. Cambridge Phil. Soc. 51:313–319, 1955. https://doi.org/10.1017/S0305004100030231
9 thms2 active usersReviewed
Markov ChainOperations ResearchStochastic Systems·Captain: mikedeng1

Jobshop-Like Queueing Systems: The Equilibrium Distribution with State-Dependent Arrival and Service RatesResearch Paper

Motivation

A jobshop is a factory in which each job visits a sequence of machine groups, the sequence differing from job to job. J. R. Jackson's 1963 paper Jobshop-Like Queueing Systems (Management Science 10(1), 131–142) models such a shop as a network of queues and computes its long-run distribution of queue lengths in closed form. It generalizes his 1957 paper Networks of Waiting Lines (Operations Research 5(4)), which treated Poisson arrivals and multi-server centers, to arrival rates that depend on the total number of customers present and service rates that depend arbitrarily on the local queue length. The resulting product-form equilibrium is the starting point of queueing-network theory, which is used in performance analysis of manufacturing systems, computer systems and communication networks.

Timeline:

  • 1957: Jackson, Networks of Waiting Lines, constant external Poisson arrivals and multi-channel exponential servers; product-form equilibrium.
  • 1963: Jackson, this paper: state-dependent total arrival rate λ(S(kˉ))\lambda(S(\bar k))λ(S(kˉ)), queue-length-dependent service rates μ(n,k)\mu(n, k)μ(n,k), routings with self-loops and empty routings; Theorem (4.5).
  • 1967: Gordon and Newell, Closed Queuing Systems with Exponential Servers, the closed-network analogue.
  • 1979: Kelly, Reversibility and Stochastic Networks, the general theory of migration processes and partial balance.

Setting

There are N≥1N \ge 1N≥1 service centers, Center 1,…,N1, \dots, N1,…,N. A state vector kˉ=(k1,…,kN)\bar k = (k_1, \dots, k_N)kˉ=(k1​,…,kN​) has non-negative integer components, knk_nkn​ being the number of customers at Center nnn, and S(kˉ)=k1+⋯+kNS(\bar k) = k_1 + \dots + k_NS(kˉ)=k1​+⋯+kN​. The system (N,L,M,R)(N, L, M, R)(N,L,M,R) is given by:

  1. arrival rates λ(K)\lambda(K)λ(K), K=0,1,2,…K = 0, 1, 2, \dotsK=0,1,2,…: in state kˉ\bar kkˉ a customer arrives at rate λ(S(kˉ))\lambda(S(\bar k))λ(S(kˉ));
  2. service rates μ(n,k)\mu(n, k)μ(n,k): a service at Center nnn completes at rate μ(n,kn)\mu(n, k_n)μ(n,kn​);
  3. routing probabilities r(m,n)r(m, n)r(m,n), m∈[0,N]m \in [0, N]m∈[0,N], n∈[1,N+1]n \in [1, N+1]n∈[1,N+1]: an arriving customer's first center is nnn with probability r(0,n)r(0, n)r(0,n), its routing is empty with probability r(0,N+1)r(0, N+1)r(0,N+1); after service at Center mmm it moves to Center nnn with probability r(m,n)r(m, n)r(m,n) (possibly n=mn = mn=m) or leaves with probability r(m,N+1)r(m, N+1)r(m,N+1).

The paper's standing Assumptions (2.1)–(2.4): (2.1) either all λ(K)>0\lambda(K) > 0λ(K)>0, or λ(K)>0\lambda(K) > 0λ(K)>0 exactly for K≤K0K \le K_0K≤K0​; (2.2) μ(n,0)=0\mu(n, 0) = 0μ(n,0)=0 and μ(n,k)>0\mu(n, k) > 0μ(n,k)>0 for k≥1k \ge 1k≥1; (2.3) each row {r(m,n)}n∈[1,N+1]\{r(m, n)\}_{n \in [1, N+1]}{r(m,n)}n∈[1,N+1]​ is a probability distribution; (2.4) the traffic equations

e(n)=r(0,n)+∑m=1Ne(m) r(m,n),n∈[1,N],(2.5)e(n) = r(0, n) + \sum_{m=1}^N e(m)\, r(m, n), \qquad n \in [1, N], \tag{2.5}e(n)=r(0,n)+m=1∑N​e(m)r(m,n),n∈[1,N],(2.5)

have a unique solution, and it is non-negative.

The process is defined by its transition probabilities over a short interval (p. 134), from which the paper derives the balance equations (3.1) for P(kˉ,t)P(\bar k, t)P(kˉ,t). An equilibrium state probability distribution is a probability distribution ppp on state vectors such that P(kˉ,t)≡p(kˉ)P(\bar k, t) \equiv p(\bar k)P(kˉ,t)≡p(kˉ) solves (3.1). With

W(K)=∏i=0K−1λ(i),w(kˉ)=∏n=1N∏i=1kne(n)μ(n,i),T(K)=∑S(kˉ)=Kw(kˉ),W(K) = \prod_{i=0}^{K-1}\lambda(i), \quad w(\bar k) = \prod_{n=1}^N\prod_{i=1}^{k_n}\frac{e(n)}{\mu(n, i)}, \quad T(K) = \sum_{S(\bar k) = K} w(\bar k),W(K)=i=0∏K−1​λ(i),w(kˉ)=n=1∏N​i=1∏kn​​μ(n,i)e(n)​,T(K)=S(kˉ)=K∑​w(kˉ),

the constant π\piπ is {∑K≥0W(K)T(K)}−1\{\sum_{K \ge 0} W(K) T(K)\}^{-1}{∑K≥0​W(K)T(K)}−1 when the series converges and 000 otherwise.

Formalization targets

Goal: Theorem (4.5)

If π>0\pi > 0π>0, then

p(kˉ)=π w(kˉ) W(S(kˉ))(4.6)p(\bar k) = \pi\, w(\bar k)\, W(S(\bar k)) \tag{4.6}p(kˉ)=πw(kˉ)W(S(kˉ))(4.6)

is an equilibrium state probability distribution; and if the arrival rates are bounded, it is the only one. The goal fixes no constants; the condition π>0\pi > 0π>0 is the paper's.

Milestones

  1. The series in (4.4) converges to a positive number or diverges to +∞+\infty+∞ (§4, p. 136).
  2. If π>0\pi > 0π>0, (4.6) is a probability distribution (first claim of the proof sentence, p. 136).
  3. (4.6) satisfies equations (3.1) at every state (second claim, p. 136).
  4. Under bounded arrival rates, an equilibrium distribution is unique (§4, p. 135).

Companion

Theorem (6.3) in its case K∗=0K^* = 0K∗=0, kn∗=+∞k_n^* = +\inftykn∗​=+∞: with constant arrival rate λ(K)≡λ(0)\lambda(K) \equiv \lambda(0)λ(K)≡λ(0) and pn(0)>0p_n(0) > 0pn​(0)>0 for every nnn, the equilibrium is p(kˉ)=∏npn(kn)p(\bar k) = \prod_n p_n(k_n)p(kˉ)=∏n​pn​(kn​), pnp_npn​ being the normalized wn(k)=∏i=1kλ(0)e(n)/μ(n,i)w_n(k) = \prod_{i=1}^k \lambda(0)e(n)/\mu(n, i)wn​(k)=∏i=1k​λ(0)e(n)/μ(n,i).

Significance

Theorem (4.5) states that the queue lengths of a whole network have an explicit stationary law, determined by the routing only through the visit ratios e(n)e(n)e(n), and that conditionally on the total S(kˉ)=KS(\bar k) = KS(kˉ)=K it does not depend on the arrival process. With constant arrival rate it factorizes into independent one-center laws (Theorem (6.3)), each that of a single queue fed at rate λ(0)e(n)\lambda(0)e(n)λ(0)e(n); this is the form in which Jackson networks enter textbooks. State-dependent arrivals cover systems with balking or finite capacity: taking λ(K)=0\lambda(K) = 0λ(K)=0 for K>K0K > K_0K>K0​ caps the population.

The result is classical and proved; it has no machine-checked proof on this platform. The platform has Kelly–Yudovina's open migration process (KellyStochasticNetworks.open_migration_equilibrium): constant external arrivals, no self-loops, a full-balance conclusion without uniqueness. It is the companion (6.3) in substance but not the general theorem: arrival rates depending on the total population are not in it. This mission contributes the state-dependent model, a stationary form of Jackson's own equations (3.1), and a uniqueness statement.

Difficulty

The balance equations are an infinite system in Z≥0N\mathbb{Z}_{\ge 0}^NZ≥0N​. Substituting (4.6) gives terms with shifted states, guarded by non-negativity of components, a double sum over ordered pairs of distinct centers, self-loops appearing only in the outflow factor 1−r(n,n)1 - r(n, n)1−r(n,n), and centers with e(n)=0e(n) = 0e(n)=0, where www vanishes. Checking each state term by term against the traffic equations requires the diagonal of (2.5), excluded in (3.1), to be handled exactly. Summing (4.6) to one requires regrouping a series over Z≥0N\mathbb{Z}_{\ge 0}^NZ≥0N​ by the finite fibres of SSS.

Uniqueness is the hard part. The paper gives no proof: footnote 5 refers to a limit theorem for Markov processes and to the communication structure of non-transient states. A solution of the algebraic balance equations need not be the stationary law of the process when the process can explode, and the model allows explosion with π>0\pi > 0π>0 (e.g. N=1N = 1N=1, λ(K)=4K\lambda(K) = 4^Kλ(K)=4K, μ(1,k)=2⋅4k−1\mu(1,k) = 2\cdot 4^{k-1}μ(1,k)=2⋅4k−1). Uniqueness therefore depends on non-explosion as well as on the communication structure of the states, and neither is addressed on the page.

Formalization scope

Centers are Fin N with N>0N > 0N>0; states are Fin N → ℕ; rates are real. The routing is one function r : Option (Fin N) → Option (Fin N) → ℝ, where none is the index 000 in the first argument and N+1N + 1N+1 in the second. A structure JobshopSystem N bundles λ,μ,r,e\lambda, \mu, r, eλ,μ,r,e with Assumptions (2.1)–(2.4) as fields; eee is a parameter satisfying (2.5), uniqueness and non-negativity, not a formula. Balance sys q k is the stationary equation (3.1) at k for an arbitrary q, and IsEquilibrium sys q is q≥0q \ge 0q≥0, HasSum q 1, and Balance at every state. π\piπ is defined with an explicit if Summable … then … else 0.

Explicit choices, each stated in the item where it applies:

  • Correction of (3.1). The paper prints the arrival outflow as λ(S(kˉ))\lambda(S(\bar k))λ(S(kˉ)):

    dP(kˉ,t)dt=−[λ(S(kˉ))+∑nμ(n,kn)(1−r(n,n))]P(kˉ,t)+…\dfrac{dP(\bar k, t)}{dt} = -[\lambda(S(\bar k)) + \sum_n \mu(n, k_n)(1 - r(n, n))]P(\bar k, t) + \dotsdtdP(kˉ,t)​=−[λ(S(kˉ))+∑n​μ(n,kn​)(1−r(n,n))]P(kˉ,t)+…

    Its transition probabilities (p. 134) give λ(S(kˉ))∑n=1Nr(0,n)\lambda(S(\bar k))\sum_{n=1}^N r(0, n)λ(S(kˉ))∑n=1N​r(0,n), since an arrival with an empty routing leaves the state unchanged. The two agree only when r(0,N+1)=0r(0, N+1) = 0r(0,N+1)=0, and with the printed coefficient Theorem (4.5) is false (N=1N = 1N=1, r(0,1)=r(0,2)=1/2r(0,1) = r(0,2) = 1/2r(0,1)=r(0,2)=1/2, r(1,2)=1r(1,2) = 1r(1,2)=1, constant rates, at kˉ=0\bar k = 0kˉ=0). The formalization uses the coefficient the transition probabilities give. It does not assume r(0,N+1)=0r(0, N+1) = 0r(0,N+1)=0: the paper allows empty routings.

  • Uniqueness under bounded arrival rates. Uniqueness (milestone 4 and the goal's second conjunct) assumes ∃Λ, ∀K, λ(K)≤Λ\exists \Lambda,\ \forall K,\ \lambda(K) \le \Lambda∃Λ, ∀K, λ(K)≤Λ. The paper asserts uniqueness without proof, citing a limit theorem for regular processes; bounded arrival rates make the process regular and hold for every example in the paper. Existence and the formula carry no added hypothesis.

  • Companion (6.3). System (N,L,M,R)∗(N, L, M, R)^*(N,L,M,R)∗ of §5 is not formalized in the paper and not here; only its case K∗=0K^* = 0K∗=0, kn∗=+∞k_n^* = +\inftykn∗​=+∞ is stated.

A trivializing formalization is ruled out: Balance and IsEquilibrium are stated for an arbitrary function on states and never mention www, WWW or π\piπ, and equilibrium is neither defined as (4.6) nor as detailed or partial balance.

Useful infrastructure: summation over Fin N → ℕ grouped by total (Finset.Nat.antidiagonalTuple), and a non-explosion and uniqueness theory for countable-state continuous-time chains, which is reusable beyond this mission. Not included: the limit lim⁡t→∞P(kˉ,t)=p(kˉ)\lim_{t\to\infty} P(\bar k, t) = p(\bar k)limt→∞​P(kˉ,t)=p(kˉ), which needs a construction of the process; the equivalence of (2.4) with finiteness of routings; Theorem (5.5) and (5.7)–(5.9).

Selected references

  • J. R. Jackson, Jobshop-Like Queueing Systems, Management Science 10(1), 131–142, 1963. https://doi.org/10.1287/mnsc.10.1.131
  • J. R. Jackson, Networks of Waiting Lines, Operations Research 5(4), 518–521, 1957. https://doi.org/10.1287/opre.5.4.518
  • W. J. Gordon and G. F. Newell, Closed Queuing Systems with Exponential Servers, Operations Research 15(2), 254–265, 1967. https://doi.org/10.1287/opre.15.2.254
  • F. P. Kelly, Reversibility and Stochastic Networks, Wiley, 1979. https://www.statslab.cam.ac.uk/~frank/BOOKS/book/whole.pdf
  • A. T. Bharucha-Reid, Elements of the Theory of Markov Processes and Their Applications, McGraw-Hill, 1960 (Theorem 2.9, p. 102, cited in footnote 5).
6 thms2 active usersReviewed
Operations ResearchProbabilityStochastic Systems·Captain: Shuze Chen

Processing Networks I: The Equivalence of SPN StabilityTextbook

Motivation

A stochastic processing network (SPN) is the general model behind manufacturing lines, call centers, computer systems, communication networks and hospital wards: a collection of buffers holding waiting work, a collection of activities (servers) that consume items from buffers and produce items into others, and stochastic primitives — arrival processes and service requirements — that drive the whole system forward in continuous time. Before any control policy can be designed, evaluated, or proved to work, the modeler needs a single, unambiguous, checkable notion of what it means for such a system to be stable: to settle into statistical equilibrium rather than pile up work without bound.

The difficulty is that "stability" has several natural, superficially different candidate definitions — positive recurrence of the underlying Markov chain, existence of a unique stationary distribution, convergence in distribution of queue lengths — each convenient for a different purpose (positive recurrence for verifying via drift criteria, a stationary distribution for computing long-run averages, distributional convergence for interpreting simulation output). J. G. Dai and J. Michael Harrison's Processing Networks: Fluid Models and Stability (Cambridge University Press, forthcoming; cited here from the authors' own pre-publication draft, 2020-4-2, http://spnbook.org) opens its technical development by proving these candidates coincide, so that the rest of the book — and, in practice, most stability results for queueing networks published since Rybko and Stolyar's and Dai's foundational work in the 1990s — can speak of "SPN stability" as one well-posed property.

Setting

An SPN has III buffers, indexed 1,…,I1, \dots, I1,…,I, and JJJ activities (service types), indexed 1,…,J1, \dots, J1,…,J. External work arrives into buffer iii according to a counting process Ei(t)E_i(t)Ei​(t); activity jjj, whenever engaged, requires a service time and produces an output vector into the buffers on completion. The baseline stochastic assumptions (Assumption 2.1) specify these primitives precisely: the III external arrival processes are independent Poisson processes with rates λ1,…,λI≥0\lambda_1, \dots, \lambda_I \ge 0λ1​,…,λI​≥0 (no arrivals into a buffer with rate 000); for each activity jjj, the matched pairs of processing variables — service time and output vector, (vj(ℓ),φj(ℓ))ℓ≥1(v_j(\ell), \varphi_j(\ell))_{\ell \ge 1}(vj​(ℓ),φj​(ℓ))ℓ≥1​ — form an i.i.d. sequence with finite means mj=E[vj(1)]>0m_j = \mathbb{E}[v_j(1)] > 0mj​=E[vj​(1)]>0 and Γj=E[φj(1)]≥0\Gamma_j = \mathbb{E}[\varphi_j(1)] \ge 0Γj​=E[φj​(1)]≥0; each such pair has a joint phase-type distribution (realized as the absorption time and terminal mark of a finite-state continuous-time Markov chain, per Appendix D.9); and the initial processing variables, the arrival process, and the JJJ processing-variable sequences are, collectively, mutually independent.

Under a fixed control policy, the SPN generates two continuous-time processes: the service-count process N(t)∈Z+JN(t) \in \mathbb{Z}_+^JN(t)∈Z+J​ and the buffer-contents process Z(t)∈Z+IZ(t) \in \mathbb{Z}_+^IZ(t)∈Z+I​. Assumption 3.1 (Markov representation) requires these to be embeddable in a richer, irreducible Markov chain X={X(t),t≥0}X = \{X(t), t \ge 0\}X={X(t),t≥0} on a countable state space X\mathcal{X}X: a function f:X→Z+J×Z+If : \mathcal{X} \to \mathbb{Z}_+^J \times \mathbb{Z}_+^If:X→Z+J​×Z+I​ with (N(t),Z(t))=f(X(t))(N(t), Z(t)) = f(X(t))(N(t),Z(t))=f(X(t)) on every sample path, whose level sets B(z)={x:f(x)=(n,z) for some n}B(z) = \{x : f(x) = (n,z)\ \text{for some } n\}B(z)={x:f(x)=(n,z) for some n} are finite for every buffer-content vector zzz, and which has at least one empty state x∗x^\astx∗ with f(x∗)=(0,0)f(x^\ast) = (0,0)f(x∗)=(0,0).

Formalization targets

Goal: Proposition 3.5 — equivalent definitions of stability

X positive recurrent  ⟺  X has a unique stationary distribution π  ⟺  Z(t) converges in distribution to a non-defective limit,X \text{ positive recurrent} \iff X \text{ has a unique stationary distribution } \pi \iff Z(t) \text{ converges in distribution to a non-defective limit},X positive recurrent⟺X has a unique stationary distribution π⟺Z(t) converges in distribution to a non-defective limit,

and, when these hold, for every bounded h:X→Rh : \mathcal{X} \to \mathbb{R}h:X→R and every initial distribution of X(0)X(0)X(0),

Pr⁡{lim⁡t→∞1t∫0th(X(s)) ds=hˉ}=1,hˉ:=∑x∈Xπ(x) h(x).\Pr\left\{ \lim_{t \to \infty} \frac{1}{t} \int_0^t h(X(s))\, ds = \bar h \right\} = 1, \qquad \bar h := \sum_{x \in \mathcal{X}} \pi(x)\, h(x).Pr{t→∞lim​t1​∫0t​h(X(s))ds=hˉ}=1,hˉ:=x∈X∑​π(x)h(x).

Definition 3.6 then names an SPN stable exactly when these equivalent conditions hold — the weakest possible target, since it commits to no particular one of the three characterizations, only to their joint truth or falsity.

Supporting milestones

Two strong laws of large numbers for the primitive stochastic elements (Propositions 2.2 and 2.3) — the arrival counts Ei(t)/t→λiE_i(t)/t \to \lambda_iEi​(t)/t→λi​ and the processing-variable sample means 1n∑ℓ≤nvj(ℓ)→mj\frac{1}{n}\sum_{\ell \le n} v_j(\ell) \to m_jn1​∑ℓ≤n​vj​(ℓ)→mj​, 1n∑ℓ≤nφj(ℓ)→Γj\frac{1}{n}\sum_{\ell \le n} \varphi_j(\ell) \to \Gamma_jn1​∑ℓ≤n​φj​(ℓ)→Γj​ — and two structural results about the ambient chain: Lemma 3.7, a drift-type sufficient condition for positive recurrence that foreshadows the fluid-model methodology of later chapters, and Proposition 3.9, a sufficient condition (reachability of the empty state) for the irreducibility that Assumption 3.1 itself demands.

Significance

The result itself. Proposition 3.5 is what turns "is this queueing network stable?" into a single question rather than three potentially different ones, and it licenses every later chapter of the book (and a large fraction of the queueing-theory literature going back to the 1990s fluid-limit program of Rybko–Stolyar, Dai, and others) to prove stability via whichever characterization is most convenient — typically positive recurrence via a Lyapunov drift argument — while concluding all three, including the practically important long-run-average SLLN. Every one of the thirteen other missions in this series builds directly on Definition 3.6: their goal theorems all conclude "the SPN is stable," meaning exactly the three-way equivalence established here.

Formalizing it. No result in this mission or its milestones has a prior formal counterpart on Prove2Me: a search for "positive recurrent," "stationary distribution Markov chain," and "irreducible Markov chain" surfaced only MarkovMixing's PositiveRecurrent predicate, defined for a countable-state discrete-time chain — a different object from Assumption 3.1's continuous-time ambient chain, reused here only conceptually (as the pattern for a mean-return-time definition), not as a Lean dependency. This mission is a from-scratch formalization of the model (baseline stochastic assumptions, Markov representation) and of positive recurrence, stationary-distribution uniqueness, and distributional convergence for it.

Difficulty

The obvious first attempt — define XXX as an arbitrary countable-state Markov chain and directly import a Mathlib theorem relating its recurrence, its stationary distribution, and long-run convergence — fails because Mathlib currently has no general countable-state continuous-time Markov chain theory of the kind Appendix D of the book develops (its own finite-state CTMC stationary-distribution result is unproven substrate, not applicable to a countably infinite state space). The formalization instead works at the level of the chain's embedded discrete-time jump chain, which is where Lean's PMF-based machinery is available, and states the three equivalent conditions and the SLLN conclusion directly as hypotheses to be discharged, rather than inheriting them from a pre-existing continuous-time framework. A second difficulty is Assumption 2.1(d)'s independence clause, which is a genuine three-way mutual independence of σ\sigmaσ-algebras (initial processing variables, arrival process, and the collection of all JJJ processing-variable sequences), not the pairwise independence a careless reading might substitute — a weaker hypothesis here would silently make later derivations in the series unsound.

Formalization scope

The ambient chain's state space Xstate is an arbitrary countable type ([Countable Xstate], not Fintype) — no result may assume finiteness anywhere. The chain itself is represented by its one-step jump kernel jump : Xstate → PMF Xstate (stepIter gives nnn-step iteration, Irreducible requires every state to reach every other in finitely many jump-chain steps); positive recurrence is mean return time under jump, defined via the standard first-return-time renewal decomposition. IsStable is defined as positive recurrence of the jump chain — one of the three equivalent conditions — with the goal theorem itself certifying the equivalence, so the choice carries no loss of faithfulness. Buffer contents and service counts are Fin I → ℕ and Fin J → ℕ-valued, matching the book's Z+I\mathbb{Z}_+^IZ+I​, Z+J\mathbb{Z}_+^JZ+J​. A formalization that took IsStable to mean, say, only distributional convergence of ZZZ (dropping the chain-level characterizations) would be a strictly weaker, trivializing shortcut — ruled out here by proving all three equivalent and stating the SLLN as part of the same goal theorem. The definitions in this mission (BaselineAssumptions, MarkovRepresentation, IsStable) are the shared substrate every other mission of the series is built on, and are the primary reusable contribution; contributions completing the by sorry proofs, particularly of the goal theorem (which the book proves via appeal to general CTMC theory in its Appendix D, not reproduced here), are welcome.

Selected references

  • J. G. Dai and J. Michael Harrison, Processing Networks: Fluid Models and Stability, Cambridge University Press (forthcoming), pre-publication draft 2020-4-2. http://spnbook.org
  • A. N. Rybko and A. L. Stolyar, "Ergodicity of stochastic processes describing the operation of open queueing networks," Problemy Peredachi Informatsii 28 (1992), 3–26.
  • J. G. Dai, "On positive Harris recurrence of multiclass queueing networks: a unified approach via fluid limit models," Annals of Applied Probability 5 (1995), 49–77.
11 thms2 active usersReviewed
Operations ResearchProbabilityStochastic Systems·Captain: Shuze Chen

Processing Networks III: Fluid Model Stability Implies SPN StabilityTextbook

Motivation

A stochastic processing network (SPN) — buffers holding waiting work, activities that consume items from buffers and produce items into others, driven by stochastic arrivals and service requirements — is stable, in the sense of mission I's Definition 3.6, exactly when its ambient Markov chain is positive recurrent. That definition is correct, but it is a statement about an infinite-state continuous-time Markov chain, and Markov chains of that kind almost never admit a hand-computed stationary distribution or a directly verifiable positive-recurrence criterion for anything beyond the smallest examples. What is needed is a method that turns "is this specific queueing network, under this specific control policy, stable?" into a tractable, purely deterministic question. J. G. Dai and J. Michael Harrison's Processing Networks: Fluid Models and Stability (Cambridge University Press, forthcoming; cited here from the authors' pre-publication draft, 2020-4-2, http://spnbook.org) supplies exactly this method in Chapter 6, and the theorem that licenses it — Theorem 6.2 — is introduced by the authors themselves as "the fulcrum that supports all other results developed in this book." Every stability theorem in the remaining eight chapters of the book (feedforward and generalized Jackson networks, the Rybko–Stolyar boundary, back-pressure control, proportionally fair allocation, task allocation, packet networks) is an application of this one theorem to a model-specific fluid model.

The method traces to Rybko and Stolyar's 1992 study of a single two-station network and to J. G. Dai's 1995 unification of fluid-limit stability arguments across general queueing networks (Annals of Applied Probability 5, 49–77), with independent contemporaneous work by A. Stolyar for discrete state spaces and a parallel probabilistic route through reflecting Brownian motion due to Dupuis and Williams (1994). This mission formalizes the version of the argument specific to Dai and Harrison's general SPN framework.

Setting

Under a fixed control policy, an SPN with III buffers and JJJ activities generates four continuous-time processes: the cumulative departure process D(t)∈Z+ID(t) \in \mathbb{Z}_+^ID(t)∈Z+I​, the cumulative service-completion process F(t)∈Z+JF(t) \in \mathbb{Z}_+^JF(t)∈Z+J​, the cumulative service-effort process T(t)∈R+JT(t) \in \mathbb{R}_+^JT(t)∈R+J​, and the buffer-contents process Z(t)∈Z+IZ(t) \in \mathbb{Z}_+^IZ(t)∈Z+I​. The model's first-order data — the I×JI \times JI×J material-requirement matrix BBB, the I×JI \times JI×J expected-output matrix Γ\GammaΓ, the vector mmm of mean service times, the K×JK \times JK×J capacity-consumption matrix AAA, the KKK-vector bbb of server-pool capacities, and the vector λ\lambdaλ of external arrival rates — determine six basic relationships that Chapter 2 derives directly from the SPN's construction, and that this mission packages as IsFluidModelSolution.

To study scaling limits, Section 6.3 constructs, on one common probability space, a whole family of versions of the SPN's processes, one for each initial state xxx of the ambient chain: the superscripted Dx,Fx,Tx,ZxD^x, F^x, T^x, Z^xDx,Fx,Tx,Zx. Writing ∣x∣|x|∣x∣ for the total initial buffer content, the fluid-scaled processes are

(D^x,F^x,T^x,Z^x)(t,ω):=1∣x∣(Dx,Fx,Tx,Zx)(∣x∣t,ω),t≥0.\big(\hat D^x, \hat F^x, \hat T^x, \hat Z^x\big)(t,\omega) := \tfrac{1}{|x|}\big(D^x, F^x, T^x, Z^x\big)(|x|t, \omega), \qquad t \ge 0.(D^x,F^x,T^x,Z^x)(t,ω):=∣x∣1​(Dx,Fx,Tx,Zx)(∣x∣t,ω),t≥0.

A fluid limit path (Definition 6.6) is any limit of such a family, along a sequence of initial states with ∣xn∣→∞|x_n| \to \infty∣xn​∣→∞, uniform on compact time intervals (u.o.c.). A fluid model solution is any four-tuple satisfying the six equations above, whether or not it arises as an actual limit — a purely deterministic notion.

Formalization targets

Goal: Theorem 6.2 — fluid limit stability implies SPN stability

fluid limit of the SPN is stable⟹ambient Markov chain X is positive recurrent,\text{fluid limit of the SPN is stable} \quad\Longrightarrow\quad \text{ambient Markov chain } X \text{ is positive recurrent},fluid limit of the SPN is stable⟹ambient Markov chain X is positive recurrent,

where "fluid limit... is stable" (Definition 6.1) means: there is γ>0\gamma > 0γ>0 such that every fluid limit path (D^,F^,T^,Z^)(\hat D, \hat F, \hat T, \hat Z)(D^,F^,T^,Z^) has Z^(t)=0\hat Z(t) = 0Z^(t)=0 for all t≥γ∣Z^(0)∣t \ge \gamma |\hat Z(0)|t≥γ∣Z^(0)∣. This is the weakest possible target: it asserts only that fluid limit paths are eventually driven to zero, with no rate or further structure attached, and it is exactly the hypothesis every later chapter's Lyapunov argument is built to establish.

Supporting milestones

Theorem 6.5 (existence of fluid limits): along any sequence of initial states with ∣xn∣→∞|x_n| \to \infty∣xn​∣→∞, the fluid-scaled processes have a u.o.c.-convergent subsequence, and every such limit is automatically a fluid model solution — the bridge from the purely equational Definition 6.3 (used by every later chapter) to the genuinely stochastic Definition 6.1 (needed by this theorem). Its proof rests on two convergence lemmas (6.7: compactness of the scaled service-effort process via an equicontinuity argument; 6.8: the scaled completion process converges exactly when the scaled effort process does) and, behind Lemma 6.8, a uniform strong law of large numbers for a "delayed" random walk (Lemma 6.9). A separate uniform-integrability result (Lemma 6.10) supplies the remaining ingredient the goal theorem's proof needs to convert an almost-sure fluid-scale limit into the expectation bound mission I's Lemma 3.7 requires.

Significance

The result itself. Theorem 6.2 converts a probabilistic stability question about an infinite-state Markov chain into a real-analysis question about a deterministic dynamical system: does every solution of a fixed, checkable system of equations reach zero in finite time, uniformly in its starting size? Every one of the book's remaining eight chapters answers a version of this question for a specific policy and concludes SPN stability via this theorem alone — none of them re-derives positive recurrence directly.

Formalizing it. No prior formalization of fluid limits, fluid models, or scaling-limit stability of any stochastic system exists on Prove2Me (q=fluid limit, q=fluid model, q=u.o.c. convergence, q=queueing network stability all return zero hits). This mission is a from-scratch formalization of the model data, the fluid equations, the per-state process family, and the two notions of fluid stability, together with the five supporting results and the goal theorem that connects them — the shared infrastructure the rest of the fourteen-mission series depends on.

Difficulty

The obvious shortcut — state Theorem 6.2 using fluid model stability (Definition 6.3, the purely equational notion) in place of fluid limit stability (Definition 6.1) — would produce a strictly easier, unfaithful theorem: fluid model solutions are not restricted to arise as actual scaling limits, so the genuine content of Theorem 6.2 (that convergence of a stochastic family forces a probabilistic conclusion) would be lost, and the theorem would reduce to a tautology once Theorem 6.5 is assumed. The two notions are visually almost identical in the book's own text ("γ∣Z^(0)∣\gamma|\hat Z(0)|γ∣Z^(0)∣-attraction to the origin," applied to two different objects) and keeping them distinct is this mission's central discipline. A second difficulty is that Mathlib has no existing theory of stochastic-process scaling limits, u.o.c. convergence, or the specific renewal/SLLN machinery (Lemma 6.9's uniform strong law for a state-dependent "delayed" random walk) the proof needs — every one of these had to be defined from the ground up rather than instantiated from a general framework.

Formalization scope

The ambient chain's state space is an arbitrary countable type, following mission 01; the per-state process family SPNProcessFamily takes Dx,Fx,Tx,ZxD^x, F^x, T^x, Z^xDx,Fx,Tx,Zx as given real-valued functions satisfying exactly the pathwise properties (Eqs. 2.31–2.32) that Section 6.4's proofs use, since Chapter 2's construction of these processes from primitive stochastic elements is that chapter's own "recap" of already-established facts, not a numbered result of Chapter 6. UOCConverges is stated by its direct ε\varepsilonε-NNN-on-every-compact-interval meaning, and Lemma 6.9's "sup⁡x\sup_xsupx​" is likewise stated by its direct ε\varepsilonε-NNN meaning rather than a Lean supremum expression, because the state space may be countably infinite and an explicit supremum over an unbounded-above family of reals would silently collapse to a junk value of zero in that case — a real risk of trivializing the statement that this formalization avoids outright. A formalization that reused FluidModelStable as the goal theorem's hypothesis, or that dropped ∣Z^(0)∣=1|\hat Z(0)|=1∣Z^(0)∣=1 from Theorem 6.5, would each be a trivializing shortcut of exactly the kind ruled out above. The five definitions (FluidEquationData, IsFluidModelSolution, SPNProcessFamily, FluidLimitPath, FluidLimitStable) are the primary reusable contribution — the shared vocabulary every later mission in the series restates in its own namespace, since drafts do not import one another. Contributions completing the six by sorry proofs are welcome.

Selected references

  • J. G. Dai and J. Michael Harrison, Processing Networks: Fluid Models and Stability, Cambridge University Press (forthcoming), pre-publication draft 2020-4-2. http://spnbook.org
  • J. G. Dai, "On positive Harris recurrence of multiclass queueing networks: a unified approach via fluid limit models," Annals of Applied Probability 5 (1995), 49–77.
  • A. N. Rybko and A. L. Stolyar, "Ergodicity of stochastic processes describing the operation of open queueing networks," Problemy Peredachi Informatsii 28 (1992), 3–26.
  • P. Dupuis and R. J. Williams, "Lyapunov functions for semimartingale reflecting Brownian motions," Annals of Probability 22 (1994), 680–702.
11 thms3 active usersReviewed
Operations ResearchProbabilityStochastic Systems·Captain: Shuze Chen

Processing Networks IV: Fluid Equations for Non-Idling, Priority and FCFS ControlTextbook

Motivation

Mission III's Theorem 6.2 — "fluid limit stability implies SPN stability" — converts a probabilistic stability question into a real-analysis question, but it only supplies the generic fluid equations (6.1)-(6.6), which hold under any control policy and therefore say nothing policy-specific: (6.1)-(6.6) alone never force a fluid path to reach zero. To actually prove a concrete queueing network stable, one must first identify the extra fluid equation a specific policy forces on every fluid limit path, and prove that this extra equation genuinely holds — a task the book calls "justifying" the equation "through the same fluid limit procedure used in the proof of Theorem 6.5." J. G. Dai and J. Michael Harrison's Processing Networks: Fluid Models and Stability (Cambridge University Press, forthcoming; cited here from the authors' pre-publication draft, 2020-4-2, http://spnbook.org) carries out this derivation for four control-policy families in Chapter 7, laying the groundwork every later stability chapter of the book (feedforward networks, the Rybko–Stolyar boundary, back-pressure, proportional fairness, task allocation) builds on.

The first-come-first-served (FCFS) analysis traces to Rybko and Stolyar's 1992 fluid-scaling argument and was first stated in closed form as Eq. (2.6) of M. Bramson's 1996 paper on FCFS queueing networks; Bramson also showed by example (1994) that FCFS networks can be unstable even under the standard load condition, motivating the need for a precise fluid-equation characterization rather than an informal one.

Setting

A queueing network (Section 2.6) is an SPN with one activity per buffer: buffer/class iii is served by a unique pool p(i)p(i)p(i), and on completion a class-iii job becomes class jjj with probability PijP_{ij}Pij​ (the routing matrix). I(k)I(k)I(k) denotes the set of classes served by pool kkk. The fluid equations (6.1)-(6.6) specialize accordingly: consumption is the identity (D^=F^\hat D = \hat FD^=F^) and the output matrix is Γij=Pji\Gamma_{ij} = P_{ji}Γij​=Pji​.

Three control-policy families are studied. A policy is non-idling if no server sits idle while a job waits in one of its buffers. A static buffer priority (SBP) policy is non-idling and additionally orders same-pool classes by a fixed priority permutation σ\sigmaσ, always serving the highest-priority non-empty class first; it is non-preemptive if a job's service, once begun, is never interrupted by a later higher-priority arrival. Under FCFS, jobs at a pool are served strictly in arrival order — the workload-based analysis of Section 7.3. Section 7.4 studies a fourth, more general family: a unitary network (one service type per class) under a relaxed control policy β=h(z^)\beta = h(\hat z)β=h(z^), where z^\hat zz^ is the updated job-count vector and hhh is any capacity-respecting, degree-zero-homogeneous function (Assumption 7.6) — a family general enough to include non-idling and SBP policies as special cases, and to anticipate the proportionally fair allocation studied in Chapters 9-10.

Formalization targets

Goal: Theorem 7.5 — the FCFS fluid equation

For a queueing network under FCFS control, every fluid limit path (D^,F^,T^,Z^)(\hat D, \hat F, \hat T, \hat Z)(D^,F^,T^,Z^) satisfies (6.1)-(6.6) and

D^i(t+W^k(t))=G^i(t),t≥0, i∈I(k), k∈K,\hat D_i\big(t + \hat W_k(t)\big) = \hat G_i(t), \qquad t \ge 0,\ i \in I(k),\ k \in K,D^i​(t+W^k​(t))=G^i​(t),t≥0, i∈I(k), k∈K,

where G^i(t)=λit+∑jPjiD^j(t)\hat G_i(t) = \lambda_i t + \sum_j P_{ji}\hat D_j(t)G^i​(t)=λi​t+∑j​Pji​D^j​(t) is the fluid arrival rate into class iii and W^k(t)=∑i∈I(k)miZ^i(t)\hat W_k(t) = \sum_{i \in I(k)} m_i \hat Z_i(t)W^k​(t)=∑i∈I(k)​mi​Z^i​(t) is pool kkk's fluid-scaled immediate workload. This is the weakest natural target: an identity that pins down exactly the time-shift FCFS imposes, without asserting anything about how quickly or whether the fluid model reaches zero (that is left to the Lyapunov arguments of later chapters, once this equation is in hand).

Supporting milestones

Theorem 7.2 (non-idling): ∑i∈I(k)Z^i(t)>0\sum_{i\in I(k)} \hat Z_i(t) > 0∑i∈I(k)​Z^i​(t)>0 forces pool kkk's aggregate service rate to run at full capacity bkb_kbk​. Theorem 7.3 (non-preemptive SBP): the same conclusion with I(k)I(k)I(k) sharpened to the priority set H(j)H(j)H(j) (Eq. 7.5), for every buffer jjj. Theorem 7.8 (general relaxed control): under Assumption 7.6, Z^i(t)>0\hat Z_i(t) > 0Z^i​(t)>0 forces T^i\hat T_iT^i​'s derivative to equal hi(Z^(t))h_i(\hat Z(t))hi​(Z^(t)) exactly — the common generalization from which the non-idling and SBP fluid equations both follow as special cases of a suitable hhh.

Significance

The result itself. Theorem 7.5 is the precise bridge that lets FCFS-specific stability questions be attacked by the Lyapunov-function method Theorem 6.2 licenses: without a closed-form fluid equation, "does an FCFS network satisfy the standard load condition stably?" has no tractable deterministic reformulation. Bramson's 1994 example (an FCFS network unstable despite satisfying the standard load condition) shows the equation's content is not vacuous — FCFS fluid limits genuinely can misbehave, and this equation is precisely what any subsequent stability or instability argument for FCFS networks must reason about.

Formalizing it. No result about FCFS, non-idling, static-buffer-priority, or general relaxed control policies exists on Prove2Me (q=first-come-first-served, q=FCFS, q=priority policy all return zero hits, consistent with triage.json's record that none of this book's Chapters 6-14 machinery is on the platform). This mission is a from-scratch formalization of queueing networks, their three named control-policy families, and the four policy-specific fluid equations Chapter 7 derives for them.

Difficulty

The obvious shortcut for Theorem 7.3 — reuse Theorem 7.2's hypothesis and conclusion verbatim with I(k)I(k)I(k) replaced by H(j)H(j)H(j) — conflates the preemptive and non-preemptive SBP policies: Remark 7.4 explicitly notes the underlying pathwise identity (7.4) (used directly by Theorem 7.2) holds unconditionally under preemption but only asymptotically, via a vanishing-remainder argument bounding the leftover processing time of interrupted-but-continuing jobs, under non-preemption — the theorem actually being formalized is about the harder, non-preemptive case. For Theorem 7.5, the central difficulty is that FCFS's defining property is a genuinely time-shifted identity (departures at t+W^k(t)t + \hat W_k(t)t+W^k​(t) match arrivals at ttt), not a same-instant conditional statement like the non-idling and SBP equations — an approach that tried to state FCFS as a same-instant condition on T^\hat TT^ or D^\hat DD^ alone, without introducing the auxiliary workload process W^\hat WW^, could not express the theorem's actual content. A further subtlety Theorem 7.8's proof flags directly (Remark 7.9) is that the tempting converse — "Z^i(t)=0\hat Z_i(t) = 0Z^i​(t)=0 implies zero service rate" — is false in general (a corrected version appears only later, as Lemma 8.9); this mission's goal and milestone statements are careful to assert only the one-directional implication the book actually proves.

Formalization scope

Mission III's fluid-limit-path apparatus (Definition 6.6, u.o.c. convergence) is restated locally in this chapter's own namespace rather than imported, since drafts in this series do not import one another; the restatement is trimmed to the four raw processes (Dx,Fx,Tx,Zx)(D^x,F^x,T^x,Z^x)(Dx,Fx,Tx,Zx) this chapter's proofs need, omitting mission III's "delayed random walk" machinery. The non-idling and non-preemptive-SBP hypotheses are both formalized via one shared predicate, FullyUtilized, applied to different index sets (I(k)I(k)I(k) vs. H(j)H(j)H(j)) — the pathwise full-utilization identity (7.4) that each policy's proof establishes for its own priority classes, taken as a hypothesis rather than re-derived from a lower-level model of server scheduling (Chapter 2's construction of the service-starting mechanism is out of scope for this chapter, exactly as it was for mission III's SPNProcessFamily). Likewise, the FCFS goal theorem hypothesizes the raw identity (7.12) (rewritten via the material-balance equation to avoid needing the raw arrival process) and the fluid-scaled limit of the raw workload process (7.17), rather than re-deriving either from the "delayed random walk" VVV of Eq. (6.47). A formalization that dropped the workload shift W^k(t)\hat W_k(t)W^k​(t) from Theorem 7.5's conclusion, or that stated Theorem 7.8's converse implication (which Remark 7.9 explicitly disclaims), would each be an unfaithful trivialization or overstatement ruled out here. QueueingNetworkData, ProcessFamily, FullyUtilized, and SatisfiesAssumption76 are the primary reusable contributions of this mission; contributions completing the four by sorry proofs — each of which needs the u.o.c.-convergence and dominated-convergence arguments mission III's own proofs still lack — are welcome.

Selected references

  • J. G. Dai and J. Michael Harrison, Processing Networks: Fluid Models and Stability, Cambridge University Press (forthcoming), pre-publication draft 2020-4-2. http://spnbook.org
  • M. Bramson, "Convergence to equilibria for fluid models of FIFO queueing networks," Queueing Systems 22 (1996), 5–45.
  • M. Bramson, "Instability of FIFO queueing networks," Annals of Applied Probability 4 (1994), 414–431.
  • A. N. Rybko and A. L. Stolyar, "Ergodicity of stochastic processes describing the operation of open queueing networks," Problemy Peredachi Informatsii 28 (1992), 3–26.
9 thms2 active usersReviewed
Operations ResearchProbabilityStochastic Systems·Captain: Shuze Chen

Processing Networks VII: Global Stability, Rings, and the Rybko–Stolyar BoundaryTextbook

Motivation

Mission VI showed that two structural families of queueing networks — feedforward routing, and any network under HLSPS control — are stable throughout their entire subcritical region: no extra condition beyond the standard load condition is ever needed. Until the early 1990s it was widely conjectured that this held for every queueing network. Rybko and Stolyar's 1992 example disproved it: a specific, entirely reasonable two-station network, still subcritical, whose buffer contents grow without bound under a particular non-idling policy. J. G. Dai and J. Michael Harrison's Processing Networks: Fluid Models and Stability (Cambridge University Press, forthcoming; cited here from the authors' pre-publication draft, 2020-4-2, http://spnbook.org) devotes the third part of Chapter 8 to mapping the boundary this discovery opened up: which network structures still enjoy subcriticality-implies-stability (unidirectional rings), and, for a network that does not, exactly what extra condition restores it (the two-station, five-class re-entrant line, the book's own worked instance of the Rybko–Stolyar phenomenon).

Setting

A queueing network is globally stable (Definition 8.22) if it is Markov-chain stable under every simply structured, non-idling control policy — the strongest policy-independent notion of stability a network can have. At the fluid-model level (Definition 8.23, restricting to single-server stations, b≡1b \equiv 1b≡1), this becomes: every solution of the fluid equations (8.20)-(8.23) plus the non-idling condition (8.42) is driven to the origin, uniformly in its starting size. A unidirectional ring network routes each customer type through a fixed cyclic sequence of stations; a two-station, five-class re-entrant line (Figure 8.3) routes its single input stream through five classes in a fixed order, alternating between two stations.

Formalization targets

Goal: Theorem 8.25 — the Rybko–Stolyar-style boundary for a re-entrant line

The two-station, five-class re-entrant network's fluid model is globally stable if and only if

λ1(m1+m3+m5)<1,λ1(m2+m4)<1,λ1(m2+m5)<1.\lambda_1(m_1+m_3+m_5) < 1, \qquad \lambda_1(m_2+m_4) < 1, \qquad \lambda_1(m_2+m_5) < 1.λ1​(m1​+m3​+m5​)<1,λ1​(m2​+m4​)<1,λ1​(m2​+m5​)<1.

The first two conditions together are the standard load condition; the third is a genuinely new "virtual station condition," the direct analogue of the Rybko–Stolyar network's own extra requirement. This is the weakest possible target for the phenomenon it captures: a two-sided iff, so it cannot be strengthened by dropping either the necessity or the sufficiency direction, and it isolates the exact extra condition rather than a merely sufficient one.

Supporting milestones

Lemma 8.20 (restated from mission VI, since this chunk's page range overlaps mission VI's at page 164) is a general departure-rate extinction criterion. Theorem 8.21 proves stability of an "assembly with complementary side business" network via a first two-dimensional piecewise-linear Lyapunov function. Theorem 8.24 shows unidirectional ring networks are globally stable throughout their entire subcritical region — no extra condition needed, in sharp contrast to the goal theorem's network. Lemma 8.26 gives four algebraic sufficient conditions for the workload derivative inequalities the goal theorem's Lyapunov argument needs; Lemma 8.27 shows these conditions are simultaneously satisfiable exactly when (8.47)-(8.49) hold — the geometric core of the sufficiency direction.

Significance

The result itself. Theorem 8.25 is the book's own fully worked instance of the field's most cited stability-boundary phenomenon: it pins down, for a specific and analyzable network, exactly how much more than subcriticality is required, and shows the extra requirement (8.49) is not an artifact of the proof technique but a genuine necessary condition, via an explicit unstable sample path under the "extreme" priority policy that violates it. Theorem 8.24, by contrast, demonstrates that the ring topology is not automatically pathological in this way, delineating the boundary from the other side.

Formalizing it. Searches for "re-entrant line," "Rybko-Stolyar," and "virtual station" (q=re-entrant%20line, q=Rybko-Stolyar, q=virtual%20station) return no results specific to this material; this mission is a from-scratch formalization of global stability at both the Markov-chain and fluid-model tiers, unidirectional ring networks, the two-station five-class re-entrant line, and the assembly-with-side-business network.

Difficulty

Theorem 8.25's necessity direction needs an entirely different proof technique from its sufficiency direction: rather than a Lyapunov argument, it requires exhibiting an explicit unstable fluid model solution under a specific "extreme" static-buffer-priority policy — a sample-path construction, echoing the divergent-cycle construction mission III's own chapter (Section 6.2) gives for the original Rybko–Stolyar network, that the book itself says is "omitted" as analogous. A formalization that stated only the sufficiency direction (dropping the "only if") would misrepresent the theorem entirely, since sufficiency alone is not what makes this result the field's canonical boundary-of-stability statement. A second difficulty is genuinely geometric: Lemma 8.27's proof intersects a parallelogram of admissible (x2,x4)(x_2,x_4)(x2​,x4​) pairs with a wedge region, then separately solves an analogous system for (x1,x3,x5)(x_1,x_3,x_5)(x1​,x3​,x5​) — reducing a five-dimensional existence claim to two two-dimensional geometric arguments, each depending on (8.47)-(8.49) in a way that is not visible from the inequalities' surface form alone.

Formalization scope

Missions IV/VI's queueing-network model data, fluid-equation specialization, and workload operator are restated locally (drafts in this series do not import one another), as is mission VI's non-idling fluid model (renamed to track Definition 8.23's own name, FluidModelGloballyStable, even though defeq in shape). Definition 8.22 (network-level global stability) is stated abstractly over an uninterpreted policy type and two predicates, since the concrete "simply structured non-idling policy" and "positive recurrence under a policy" notions belong to mission I's apparatus, not a dependency of this chunk. The unidirectional ring network is characterized as a structural property of an ordinary flat-indexed queueing network (a partial successor function encoding the deterministic route) rather than by re-introducing the book's own two-index type/stage bookkeeping — a faithful re-encoding, since every ring network in the book's sense is representable this way. The re-entrant line's routing (station 1 serves classes 1,3,5; station 2 serves classes 2,4) was recovered from the explicit computations in Lemma 8.26's own proof, not read off Figure 8.3 directly, though the two are cross-checked as consistent. The assembly-with-side-business network, which needs a genuinely multi-input activity outside Chapter 2's "unitary network" vocabulary, is packaged directly via its already-derived fluid equations (8.36)-(8.39) rather than a general SPN activity structure. Theorem 8.25 is stated as a bare ↔, exposing neither the sufficiency direction's Lyapunov witnesses nor the necessity direction's instability construction — a formalization that dropped either direction of the iff, or that conflated the unidirectional ring's cyclic structure with an unrestricted deterministic routing graph, would each be an unfaithful weakening. IsGloballyStable, FluidModelGloballyStable, IsUnidirectionalRing, and the re-entrant line's Lyapunov ingredients (reentrantG1/reentrantG2/ reentrantH1/reentrantH2) are the primary reusable contributions; contributions completing the six by sorry proofs — Theorem 8.25's necessity direction in particular, which needs machinery this mission does not otherwise build — are welcome.

Selected references

  • J. G. Dai and J. Michael Harrison, Processing Networks: Fluid Models and Stability, Cambridge University Press (forthcoming), pre-publication draft 2020-4-2. http://spnbook.org
  • A. N. Rybko and A. L. Stolyar, "Ergodicity of stochastic processes describing the operation of open queueing networks," Problemy Peredachi Informatsii 28 (1992), 3–26.
  • J. G. Dai and J. H. Vande Vate, "The stability of two-station multitype fluid networks," Operations Research 48 (2000), 721–744.
13 thms2 active usersReviewed
Operations ResearchProbabilityStochastic Systems·Captain: Shuze Chen

Processing Networks IX: Fluid Stability of the Proportionally Fair AllocationTextbook

Motivation

Every control policy formalized so far in this series — HLSPS (mission VI), back-pressure/ max-weight (mission VIII) — allocates service effort to entire job classes as indivisible units. Proportional fairness takes a different starting point: it is a general-purpose recipe for dividing a shared, continuously divisible resource among competing demands, originally developed for bandwidth allocation in communication networks and later adopted throughout economics and operations research as the canonical notion of a "fair" allocation. J. G. Dai and J. Michael Harrison's Processing Networks: Fluid Models and Stability (Cambridge University Press, forthcoming; cited here from the authors' pre-publication draft, 2020-4-2, http://spnbook.org) devotes Chapter 10 to showing that proportional fairness, applied dynamically to a processing network's current buffer contents, is not just an attractive fairness criterion but a maximally stable control policy — stable throughout the entire subcritical region of any unitary network. This mission formalizes the static optimization problem underlying proportional fairness, its key structural properties, the resulting fluid model, and the deepest single theorem of the chapter: fluid stability under the standard load condition, proved via a Lyapunov function that is explicitly not Lipschitz continuous — a genuine departure from every other stability proof in the book.

Setting

The PF allocation function ψ(z)\psi(z)ψ(z) solves, for a demand vector z∈R+Iz \in \mathbb R^I_+z∈R+I​, the concave optimization problem max⁡x∈A∑izilog⁡(xi)\max_{x \in \mathcal A} \sum_i z_i \log(x_i)maxx∈A​∑i​zi​log(xi​) (Eq. 10.3-10.4) over a bounded, closed, convex, monotone capacity-constraint set A\mathcal AA. When A\mathcal AA has the special "aggregate" structure induced by grouping classes with identical resource requirements into demand groups, ψ\psiψ satisfies a resource-relevant aggregation property (Proposition 10.2): its value depends on the full demand vector only through group-level aggregates. Applying ψ\psiψ dynamically — recomputing it from the current buffer-content vector at every decision time — to a unitary network (one-to-one correspondence between job classes and service types) under relaxed control defines the PF control policy, whose fluid limit is the PF fluid model (Definition 10.3, Eqs. 10.29-10.35).

Formalization targets

Goal: Theorem 10.5 — fluid stability of the PF control policy

If the load condition (10.37) — an equivalent, group-level-aggregate reformulation of the standard load condition ρ<b\rho < bρ<b — holds, then the PF fluid model is stable. Combined with Theorem 6.2 (mission III) and Corollary 5.6, this is the technical core of showing PF control is maximally stable, exactly the same shape of result as mission VIII's back-pressure theorem, but for a policy defined by a fundamentally different (utility-maximization, rather than weighted-throughput-maximization) principle.

Supporting milestones

Lemma 10.1 establishes that ψ\psiψ is well-defined at all (existence), essentially unique where it matters (uniqueness on positive-demand coordinates), extreme, scale-invariant, and continuous — six properties that everything downstream depends on. Proposition 10.2 is the aggregation property described above. Proposition 10.4 restates the standard load condition in the group-level-aggregate coordinates Theorem 10.5's proof actually uses. Lemmas 10.6, 10.7, 10.8, and 10.9 develop the properties of the entropy Lyapunov function φ(t):=∑iZi(t)log⁡(D˙i(t)/αi)\varphi(t) := \sum_i Z_i(t)\log(\dot D_i(t)/\alpha_i)φ(t):=∑i​Zi​(t)log(D˙i​(t)/αi​) (Eq. 10.38) that Theorem 10.5's proof needs: nonnegativity (and strict positivity away from the origin), continuity on (0,∞)(0,\infty)(0,∞), a uniform upper bound on its Dini derivative, and a pointwise bound on that derivative at regular points, in terms of the fluid-scale departure and content rates.

Significance

The result itself. Theorem 10.5 shows that proportional fairness — motivated purely by a static fairness axiom (Eq. 10.14) with no reference to queueing dynamics at all — turns out to be a maximally stable dynamic control policy once applied recursively to a unitary network's evolving buffer contents. This is a substantive and non-obvious fact: nothing in PF's static definition anticipates a stability guarantee, and the book's own text stresses the mismatch between PF's static motivation (utility/fairness) and the metric of interest for a queueing system (buffer content, response time). Unlike essentially every other stability proof in the book, Theorem 10.5's proof uses a Lyapunov function (φ\varphiφ) that is provably not absolutely continuous, which is why it needs Lemma 8.11's more delicate Dini-derivative extinction criterion (mission V) rather than the simpler Lipschitz-based criteria (Lemmas 8.5/8.6) used everywhere else.

Formalizing it. A live prior-art check (GET /theorems?q=proportional%20fairness, q=entropy, q=concave%20optimization) finds no relevant hits — the one "entropy" result on the platform is an unrelated matrix-multiplication construction. This mission formalizes the concave PF optimization problem, its allocation function, the aggregation property, and the entropy Lyapunov machinery entirely from scratch, reusing only Mathlib's general convex-analysis and EReal substrate.

Difficulty

The chapter's own convention log⁡(0)=−∞\log(0) = -\inftylog(0)=−∞, 0log⁡(0)=00\log(0) = 00log(0)=0 (Eq. 10.2) cannot be captured by Mathlib's Real.log, whose value at 0 is 0, not -\infty — a silent substitution would corrupt exactly the boundary behavior Lemma 10.1(a)'s existence/uniqueness argument turns on (distinguishing feasible points with xi=0x_i=0xi​=0 for some i∈I+(z)i \in \mathcal I_+(z)i∈I+​(z), which must be strictly dominated, from those without). This mission instead defines the PF objective via EReal, using an explicit extended logarithm (⊥ at 0) and Mathlib's own convention that EReal multiplication satisfies 0 * y = 0 for every y — which reproduces the book's 0 log(0) = 0 rule automatically, with no case split, a pleasant instance of genuine Mathlib substrate reuse resolving what looked like a from-scratch formalization problem. A second difficulty is structural: ψ\psiψ is not merely "a maximizer" but a specific maximizer, normalized to zero on every coordinate with zero demand (Eq. 10.5) — needed so that Lemma 10.1(c)/(d)'s scale-invariance and continuity statements are about a genuine function of zzz, not merely about an arbitrarily-chosen selection from a possibly-multivalued correspondence.

Formalization scope

IsPFDomain, f, IsPFMaximizer, and psi formalize Section 10.1's optimization problem directly, with IsPFMaximizer phrased as "feasible and dominates every feasible alternative" (avoiding sSup/⨆ entirely, per this series' junk-value-avoidance convention). IsTotalArrivalRates (restating Eq. 2.38) and RegularPoint (restating Definition 8.7) are restated locally, matching this series' convention that drafts do not import one another. diniUpperRight duplicates mission V's LyapunovCriteria.diniUpperRight verbatim — this chunk's own BRIEF.md dependency list does not include mission V, so, per the same restate-not-import convention, it is restated here rather than cross-imported (the duplication is intentional and documented, not an oversight). Lemma 10.7 (continuity of φ\varphiφ on (0,∞)(0,\infty)(0,∞)) is added beyond BRIEF.md's own disposition table: the book itself lists it as one of "the following five lemmas" (10.6, 10.7, 10.8, 10.9, 10.11) that suffice to prove Theorem 10.5, on the same page as Lemmas 10.6/10.8/10.9 — a planning-time omission caught during drafting and documented in HARD.md. Lemma 10.11 itself, though stated on the same page, is not included here: the companion chunk (10-proportional-fairness-applications) explicitly begins at "Lemma 10.11 onward," and its own negative-drift conclusion is exactly what completes Theorem 10.5's proof — a dependency this mission's goal theorem does not need to expose in its own statement, since (10.37) is already the theorem's complete, book-stated hypothesis. IsPFDomain, IsPFMaximizer, psi, groupAggregate, IsPFFluidModelSolution, and phi are the primary reusable contributions; contributions completing the eight by sorry proofs, especially Lemma 10.1's six-part argument and the entropy-Lyapunov lemmas' analysis (Section B.4's preliminary results), are welcome.

Selected references

  • J. G. Dai and J. Michael Harrison, Processing Networks: Fluid Models and Stability, Cambridge University Press (forthcoming), pre-publication draft 2020-4-2. http://spnbook.org
  • F. P. Kelly, A. K. Maulloo, and D. K. H. Tan, "Rate control for communication networks: shadow prices, proportional fairness and stability," Journal of the Operational Research Society 49 (1998), 237–252.
  • R. Srikant and L. Ying, Communication Networks: An Optimization, Control, and Stochastic Networks Perspective, Cambridge University Press, 2014.
12 thms3 active usersReviewed
AnalysisOperations ResearchStochastic Systems·Captain: mikedeng1

Diffusion approximations for open queueing networks with service interruptions 1: explicit Lipschitz bounds for the oblique reflection mapResearch Paper

Motivation

Heavy-traffic and fluid approximations for open queueing networks are obtained by writing the queue-content process as a deterministic function of a simpler netput process (arrivals minus potential service, corrected for routing) and then transferring a functional limit theorem for the netput through that function. The function is the multidimensional reflection map of Harrison and Reiman (Harrison and Reiman 1981), extended from continuous paths to paths with jumps by Reiman (Reiman 1984). The transfer works only if the map is continuous, and quantitative bounds on the approximation error require it to be Lipschitz with a known modulus.

Chen and Whitt (Chen and Whitt 1993) use this map to derive diffusion approximations for networks whose servers are subject to interruptions. Before doing so, Section 2 of the paper supplies "explicit Lipschitz bounds" for the map in the uniform topology: a bound in the Harrison–Reiman scaling (Proposition 2.1) and a new bound that depends on the routing matrix only through its powers (Proposition 2.3).

Timeline. Harrison and Reiman (1981) proved existence, uniqueness and continuity of the map on continuous paths for a routing matrix of spectral radius less than one. Reiman (1984) extended it to paths with jumps. Chen and Mandelbaum (Leontief systems, RBV's and RBM's, 1991, cited in the paper as [4]) noted that a minor extension of the argument makes the map Lipschitz on D([0,T],Rn)D([0,T],\mathbb R^n)D([0,T],Rn) with the uniform topology. Chen and Whitt (1993, Section 2) made the Lipschitz constants explicit.

Setting

Fix a dimension nnn and an n×nn\times nn×n matrix QQQ whose transpose QtQ^{\mathsf t}Qt is substochastic: all entries of QQQ are nonnegative and every column sum of QQQ is at most 111. Assume also Qk→0Q^k \to 0Qk→0 as k→∞k\to\inftyk→∞. With Markovian routing, QtQ^{\mathsf t}Qt is the routing matrix of an open network of nnn queues.

Vectors c∈Rnc\in\mathbb R^nc∈Rn carry the norm ∥c∥=∑j∣cj∣\|c\| = \sum_j |c_j|∥c∥=∑j​∣cj​∣, and matrices carry the maximum absolute column sum ∥P∥=max⁡j∑i∣Pij∣\|P\| = \max_j \sum_i |P_{ij}|∥P∥=maxj​∑i​∣Pij​∣ (Eq. (2.5)). D([0,T],Rn)D([0,T],\mathbb R^n)D([0,T],Rn) is the space of paths that are right-continuous with left limits on [0,T][0,T][0,T]. For a path xxx, ∣x∣∈Rn|x|\in\mathbb R^n∣x∣∈Rn is the vector of coordinatewise sup norms, ∣x∣j=sup⁡0≤t≤T∣xj(t)∣|x|_j = \sup_{0\le t\le T}|x_j(t)|∣x∣j​=sup0≤t≤T​∣xj​(t)∣, and ∥x∥=∥∣x∣∥=∑jsup⁡t∣xj(t)∣\|x\| = \big\||x|\big\| = \sum_j \sup_{t}|x_j(t)|∥x∥=​∣x∣​=∑j​supt​∣xj​(t)∣.

The reflection of x∈Dx \in Dx∈D is the pair (y,z)=(ψ(x),ϕ(x))(y,z) = (\psi(x),\phi(x))(y,z)=(ψ(x),ϕ(x)) with y∈Dy \in Dy∈D and

z=x+(I−Q) y≥0,yj nondecreasing, yj(0)=0,∫0Tzj(t) dyj(t)=0(1≤j≤n).z = x + (I-Q)\,y \ge 0, \qquad y_j \text{ nondecreasing},\ y_j(0) = 0, \qquad \int_0^T z_j(t)\,dy_j(t) = 0 \quad (1\le j\le n).z=x+(I−Q)y≥0,yj​ nondecreasing, yj​(0)=0,∫0T​zj​(t)dyj​(t)=0(1≤j≤n).

The last condition says that yjy_jyj​ increases only when zj=0z_j = 0zj​=0. In queueing terms, zzz is the vector of queue contents and yyy the cumulative idleness. The operator πx(y)=(Qy−x)↑∨0\pi_x(y) = (Qy - x)^{\uparrow}\vee 0πx​(y)=(Qy−x)↑∨0, where f↑(t)=sup⁡0≤s≤tf(s)f^{\uparrow}(t) = \sup_{0\le s\le t} f(s)f↑(t)=sup0≤s≤t​f(s) coordinatewise, has the reflection as its fixed point (Eq. (2.4)). Write γ=∥Qn∥\gamma = \|Q^n\|γ=∥Qn∥.

Formalization targets

Goal: Proposition 2.3

For all x1,x2∈Dx_1,x_2\in Dx1​,x2​∈D with reflections (ψ(xi),ϕ(xi))(\psi(x_i),\phi(x_i))(ψ(xi​),ϕ(xi​)),

∣ψ(x1)−ψ(x2)∣≤(I−Q)−1∣x1−x2∣componentwise,(2.9)|\psi(x_1)-\psi(x_2)| \le (I-Q)^{-1}|x_1-x_2| \quad\text{componentwise},\tag{2.9}∣ψ(x1​)−ψ(x2​)∣≤(I−Q)−1∣x1​−x2​∣componentwise,(2.9) ∥ψ(x1)−ψ(x2)∥≤∥(I−Q)−1∥ ∥x1−x2∥≤∑k=0∞∥Qk∥ ∥x1−x2∥≤n1−γ∥x1−x2∥,(2.10)\|\psi(x_1)-\psi(x_2)\| \le \|(I-Q)^{-1}\|\,\|x_1-x_2\| \le \sum_{k=0}^\infty \|Q^k\|\,\|x_1-x_2\| \le \frac{n}{1-\gamma}\|x_1-x_2\|,\tag{2.10}∥ψ(x1​)−ψ(x2​)∥≤∥(I−Q)−1∥∥x1​−x2​∥≤k=0∑∞​∥Qk∥∥x1​−x2​∥≤1−γn​∥x1​−x2​∥,(2.10) ∥ϕ(x1)−ϕ(x2)∥≤(1+∥I−Q∥ ∥(I−Q)−1∥)∥x1−x2∥≤(1+2n1−γ)∥x1−x2∥.(2.11)\|\phi(x_1)-\phi(x_2)\| \le \big(1+\|I-Q\|\,\|(I-Q)^{-1}\|\big)\|x_1-x_2\| \le \Big(1+\frac{2n}{1-\gamma}\Big)\|x_1-x_2\|.\tag{2.11}∥ϕ(x1​)−ϕ(x2​)∥≤(1+∥I−Q∥∥(I−Q)−1∥)∥x1​−x2​∥≤(1+1−γ2n​)∥x1​−x2​∥.(2.11)

The constants are those of the paper. The goal fixes nothing beyond the standing assumptions on QQQ.

Milestones

  1. Existence and uniqueness of the reflection for x∈Dx\in Dx∈D with x(0)≥0x(0)\ge0x(0)≥0 (Section 2, p. 337).
  2. Eq. (2.4): given (2.1)–(2.2), the complementarity condition (2.3) is equivalent to y=πx(y)y = \pi_x(y)y=πx​(y).
  3. γ=∥Qn∥<1\gamma = \|Q^n\| < 1γ=∥Qn∥<1 (p. 338).
  4. Proposition 2.2: ∥πxk(y1)−πxk(y2)∥≤∥Qk∣y1−y2∣∥≤∥y1−y2∥\|\pi_x^k(y_1)-\pi_x^k(y_2)\| \le \|Q^k|y_1-y_2|\| \le \|y_1-y_2\|∥πxk​(y1​)−πxk​(y2​)∥≤∥Qk∣y1​−y2​∣∥≤∥y1​−y2​∥ for k≥1k\ge1k≥1, the factor γ\gammaγ for k≥nk\ge nk≥n, and πxk(y1)→ψ(x)\pi_x^k(y_1)\to\psi(x)πxk​(y1​)→ψ(x).
  5. Proposition 2.1: for Q∗=Λ−1QΛQ^* = \Lambda^{-1}Q\LambdaQ∗=Λ−1QΛ with Λ\LambdaΛ diagonal and ∥Q∗∥=α<1\|Q^*\| = \alpha<1∥Q∗∥=α<1, the moduli ∥Λ∥∥Λ−1∥/(1−α)\|\Lambda\|\|\Lambda^{-1}\|/(1-\alpha)∥Λ∥∥Λ−1∥/(1−α) for ψ\psiψ and 1+∥I−Q∥∥Λ∥∥Λ−1∥/(1−α)1 + \|I-Q\|\|\Lambda\|\|\Lambda^{-1}\|/(1-\alpha)1+∥I−Q∥∥Λ∥∥Λ−1∥/(1−α) for ϕ\phiϕ.
  6. Remark (2.1): for n=1n=1n=1, Q=0Q=0Q=0 the bounds are attained.
  7. Remark (2.2): for two queues in series, (2.10) gives modulus 222, while (2.7) gives at best 444 (every modulus ≥4\ge 4≥4 is attained, 444 at z=1/2z = 1/2z=1/2).

Significance

Proposition 2.3 makes the queue-content and idleness processes of an open network Lipschitz functions of the netput, in the uniform norm, with a modulus computed from the routing matrix alone. Combined with the fact that Lipschitz continuity in the uniform topology passes to the Skorohod J1J_1J1​ and M1M_1M1​ topologies (Section 2 of the paper), it is what turns a functional central limit theorem for arrival and service processes into a heavy-traffic limit for the network. The paper uses it in exactly this way in Sections 3–4. Explicit moduli also yield rates: an error of order ε\varepsilonε in the netput produces an error of at most nε/(1−γ)n\varepsilon/(1-\gamma)nε/(1−γ) in the idleness process.

On the formal side, the results are proved in the paper, but neither the reflection map nor D([0,T],Rn)D([0,T],\mathbb R^n)D([0,T],Rn) has a machine-checked development in Mathlib or on this platform. The mission would provide a reusable definition of the oblique reflection map with a Lebesgue–Stieltjes complementarity condition, its fixed-point characterization, and certified Lipschitz constants, as a foundation for any later formal heavy-traffic limit.

Difficulty

The componentwise bound (2.9) is short once the fixed-point form of the map is available. The difficulty lies in the infrastructure beneath it. The fixed-point characterization (2.4) is a one-dimensional Skorokhod-problem argument carried out coordinatewise for paths with jumps, where the complementarity condition must be handled through Lebesgue–Stieltjes measures. A jump of yjy_jyj​ is allowed at a time where zj=0z_j = 0zj​=0 even if zjz_jzj​ was positive just before. Existence needs the iterates πxk(0)\pi_x^k(0)πxk​(0) to converge in DDD and the limit to satisfy (2.1)–(2.3). The explicit constants involve (I−Q)−1(I-Q)^{-1}(I−Q)−1, ∑k∥Qk∥\sum_k\|Q^k\|∑k​∥Qk∥ and γ=∥Qn∥<1\gamma = \|Q^n\|<1γ=∥Qn∥<1. The last inequality is a combinatorial fact about transient substochastic matrices. It does not follow from ∥Q∥≤1\|Q\|\le1∥Q∥≤1.

Formalization scope

Vectors are Fin n → ℝ, matrices Matrix (Fin n) (Fin n) ℝ, and ∥P∥\|P\|∥P∥ is the maximum absolute column sum. Paths are functions ℝ → Fin n → ℝ, of which only the restriction to [0,T][0,T][0,T] matters. Membership in D([0,T],Rn)D([0,T],\mathbb R^n)D([0,T],Rn) is the predicate IsCadlagOn T x: right-continuous on [0,T)[0,T)[0,T), left limits on (0,T](0,T](0,T], and (redundantly) bounded on [0,T][0,T][0,T]. The reflection is the predicate IsReflection Q T x y z. Every theorem is stated for all pairs satisfying it, so no choice function and no junk value are involved. Condition (2.3) is encoded as "the Lebesgue–Stieltjes measure dyjdy_jdyj​ of {t∈[0,T]:zj(t)>0}\{t\in[0,T]: z_j(t)>0\}{t∈[0,T]:zj​(t)>0} is zero". For z≥0z\ge0z≥0 this is equivalent to ∫0Tzj dyj=0\int_0^T z_j\,dy_j=0∫0T​zj​dyj​=0. πxk\pi_x^kπxk​ is Nat.iterate, (I−Q)−1(I-Q)^{-1}(I−Q)−1 is Mathlib's matrix inverse (invertible under the standing assumptions), and ∑k∥Qk∥\sum_k\|Q^k\|∑k​∥Qk∥ is a tsum stated together with its summability.

Corrections and conventions, each disclosed in the item concerned:

  • The norm (2.6). The page prints ∥x∥=sup⁡t∑j∣xj(t)∣\|x\| = \sup_t\sum_j|x_j(t)|∥x∥=supt​∑j​∣xj​(t)∣. Under that norm Propositions 2.1 and 2.3 are false for n≥2n\ge2n≥2. With Q=0Q=0Q=0, n=2n=2n=2, T=1T=1T=1, x1≡0x_1\equiv0x1​≡0 and x2=(−1[0.1,0.2),−1[0.3,0.4))x_2 = (-\mathbf 1_{[0.1,0.2)}, -\mathbf 1_{[0.3,0.4)})x2​=(−1[0.1,0.2)​,−1[0.3,0.4)​), one gets ∥x1−x2∥=1\|x_1-x_2\|=1∥x1​−x2​∥=1 but ψ(x2)=(1[0.1,1],1[0.3,1])\psi(x_2) = (\mathbf 1_{[0.1,1]},\mathbf 1_{[0.3,1]})ψ(x2​)=(1[0.1,1]​,1[0.3,1]​) has norm 222. The paper's proofs are valid for ∥x∥=∑jsup⁡t∣xj(t)∣\|x\| = \sum_j\sup_t|x_j(t)|∥x∥=∑j​supt​∣xj​(t)∣, which is used throughout. In dimension one the two norms coincide.
  • (2.8) prints ϕ(x1)−ϕ(x1)\phi(x_1)-\phi(x_1)ϕ(x1​)−ϕ(x1​). The formalization states ϕ(x1)−ϕ(x2)\phi(x_1)-\phi(x_2)ϕ(x1​)−ϕ(x2​).
  • (2.2)–(2.3) print the index range 1≤j≤J1\le j\le J1≤j≤J. The dimension is nnn.
  • x(0)≥0x(0)\ge0x(0)≥0 is added to the existence item. Conditions (2.1)–(2.2) force z(0)=x(0)z(0)=x(0)z(0)=x(0), so no reflection exists otherwise. The Lipschitz bounds are stated for all solution pairs and are vacuous exactly when some xi(0)x_i(0)xi​(0) has a negative coordinate.
  • Proposition 2.1 assumes only that Λ\LambdaΛ is diagonal with nonzero entries. All quantities depend on ∣Λ∣|\Lambda|∣Λ∣, so this covers the positive scaling of Harrison and Reiman.
  • Eq. (2.4) keeps the standing assumptions on QQQ as on the page, although the equivalence does not use them.

A trivializing formalization would read (2.3) through a Bochner integral, which is 000 for non-integrable integrands, or take suprema over unbounded families. The measure-zero encoding and the boundedness built into IsCadlagOn rule both out. A sorry-free check shows that Remark (2.1)'s jump example satisfies IsReflection.

Welcome contributions: a general API for càdlàg paths on [0,T][0,T][0,T] (boundedness, measurability, running suprema), the one-dimensional Skorokhod lemma for càdlàg paths, and the Neumann series for transient substochastic matrices. All of these are reusable beyond this mission.

Selected references

  • H. Chen and W. Whitt, Diffusion approximations for open queueing networks with service interruptions, Queueing Systems 13 (1993) 335–359. https://doi.org/10.1007/BF01149260
  • J. M. Harrison and M. I. Reiman, Reflected Brownian motion on an orthant, Annals of Probability 9 (1981) 302–308. https://doi.org/10.1214/aop/1176994428
  • M. I. Reiman, Open queueing networks in heavy traffic, Mathematics of Operations Research 9 (1984) 441–458. https://doi.org/10.1287/moor.9.3.441
  • H. Chen and A. Mandelbaum, Discrete flow networks: diffusion approximations and bottlenecks, Annals of Probability 19 (1991) 1463–1519. https://doi.org/10.1214/aop/1176990220
10 thms2 active usersReviewed
Operations ResearchProbabilityStochastic Systems·Captain: mikedeng1

Diffusion approximations for open queueing networks with service interruptions 2: jump-diffusion heavy-traffic limit for long up and down timesResearch Paper

Motivation

Servers in manufacturing lines, communication links and service systems break down, are taken offline for maintenance, or go on vacation. When the interruptions are rare but long, they dominate congestion. A single down period can build a backlog that takes a long time to clear, and in a network that backlog propagates downstream. Standard heavy-traffic diffusion approximations, which describe queue lengths by reflected Brownian motion, do not capture this effect.

Chen and Whitt (Queueing Systems 13, 1993) identify a regime in which the effect survives in the limit. Up times are of order nnn and down times of order n\sqrt nn​, while the load is within 1/n1/\sqrt n1/n​ of capacity. Under the diffusion scaling each down period then becomes a jump, and the limit of the queue-length process is a reflected jump-diffusion. The paper generalises the single-station result of Kella and Whitt (Adv. Appl. Probab. 22, 1990; reference [22] of the paper) to open networks.

Timeline:

  • 1981: Harrison and Reiman define the multidimensional reflection map on continuous paths (Ann. Probab. 9). Reiman (Math. Oper. Res. 9, 1984) extends it to paths with jumps.
  • 1990: Kella and Whitt prove the one-station jump-diffusion limit for long up and down times.
  • 1991: Chen and Mandelbaum give fluid and diffusion limits of open networks without interruptions (Math. Oper. Res. 16 and Ann. Probab. 19; references [5], [6] of the paper).
  • 1993: Chen and Whitt prove the network case with interruptions (this mission), in Skorohod's M1M_1M1​ topology.

Setting

A network has JJJ single-server stations. Customers arrive from outside station jjj according to a counting process AjA_jAj​. Station jjj completes Sj(t)S_j(t)Sj​(t) services in its first ttt units of busy time. The lllth departure from station kkk is routed to station jjj when the indicator χkj(l)=1\chi_{kj}(l)=1χkj​(l)=1, and Rkj(m)=∑l≤mχkj(l)R_{kj}(m)=\sum_{l\le m}\chi_{kj}(l)Rkj​(m)=∑l≤m​χkj​(l) counts such departures. Station jjj alternates up periods u1j,u2j,…u^j_1,u^j_2,\dotsu1j​,u2j​,… and down periods d1j,d2j,…d^j_1,d^j_2,\dotsd1j​,d2j​,…, starting up, and Dj(t)D_j(t)Dj​(t) is its cumulative down time in [0,t][0,t][0,t]. With a work-conserving discipline, the queue length ZZZ and the busy time BBB satisfy

Zj(t)=Zj(0)+Aj(t)+∑kRkj(Sk(Bk(t)))−Sj(Bj(t)),Bj(t)=∫0t1[Zj(s)>0, j up at s] ds,Z_j(t)=Z_j(0)+A_j(t)+\sum_{k}R_{kj}\big(S_k(B_k(t))\big)-S_j(B_j(t)),\qquad B_j(t)=\int_0^t 1[Z_j(s)>0,\ j\text{ up at }s]\,ds ,Zj​(t)=Zj​(0)+Aj​(t)+k∑​Rkj​(Sk​(Bk​(t)))−Sj​(Bj​(t)),Bj​(t)=∫0t​1[Zj​(s)>0, j up at s]ds,

and the idle time is Yj(t)=t−Dj(t)−Bj(t)Y_j(t)=t-D_j(t)-B_j(t)Yj​(t)=t−Dj​(t)−Bj​(t).

The reflection map (ψ,ϕ)(\psi,\phi)(ψ,ϕ) associated with a matrix QQQ takes a path xxx to the pair (y,z)(y,z)(y,z) with z=x+(I−Q)y≥0z=x+(I-Q)y\ge 0z=x+(I−Q)y≥0, yyy nondecreasing, and yjy_jyj​ increasing only when zj=0z_j=0zj​=0.

A sequence of networks is indexed by nnn. The arrival, service and routing processes satisfy functional central limit theorems with rates λn→λ\lambda^n\to\lambdaλn→λ and μn→μ\mu^n\to\muμn→μ at speed 1/n1/\sqrt n1/n​. Up and down times scale as (ukj,n/n, dkj,n/n)⇒(ukj,dkj)(u^{j,n}_k/n,\ d^{j,n}_k/\sqrt n)\Rightarrow(u^j_k,d^j_k)(ukj,n​/n, dkj,n​/n​)⇒(ukj​,dkj​). The network is balanced, λ=[I−Pt]μ\lambda=[I-P^{\mathsf t}]\muλ=[I−Pt]μ, with PPP the routing matrix. The limit down time D^j(t)\hat D_j(t)D^j​(t) is the sum of dkjd^j_kdkj​ over the up periods completed by time ttt, which is a pure-jump process.

The M1M_1M1​ topology on paths with jumps compares completed graphs, in which each jump is filled in by the straight segment from x(t−)x(t-)x(t−) to x(t)x(t)x(t), through their monotone parametrisations.

Formalization targets

Goal: Theorem 4.1, case J=1J=1J=1

For a single station with feedback probability p∈[0,1)p\in[0,1)p∈[0,1), with Z^n(t)=n−1/2Zn(nt)\hat Z^n(t)=n^{-1/2}Z^n(nt)Z^n(t)=n−1/2Zn(nt), B^n(t)=n−1/2[Bn(nt)−nt]\hat B^n(t)=n^{-1/2}[B^n(nt)-nt]B^n(t)=n−1/2[Bn(nt)−nt], Y^n(t)=n−1/2Yn(nt)\hat Y^n(t)=n^{-1/2}Y^n(nt)Y^n(t)=n−1/2Yn(nt) and D^n(t)=n−1/2Dn(nt)\hat D^n(t)=n^{-1/2}D^n(nt)D^n(t)=n−1/2Dn(nt),

(Z^n,B^n,Y^n,D^n)⇒(Z^,B^,Y^,D^)in D((0,∞),R4,M1).(\hat Z^n,\hat B^n,\hat Y^n,\hat D^n)\Rightarrow(\hat Z,\hat B,\hat Y,\hat D)\quad\text{in }D((0,\infty),\mathbb R^{4},M_1).(Z^n,B^n,Y^n,D^n)⇒(Z^,B^,Y^,D^)in D((0,∞),R4,M1​).

Here Z^=ϕ(X^)\hat Z=\phi(\hat X)Z^=ϕ(X^), Y^=μ−1ψ(X^)\hat Y=\mu^{-1}\psi(\hat X)Y^=μ−1ψ(X^) and B^=−D^−Y^\hat B=-\hat D-\hat YB^=−D^−Y^, with Q=pQ=pQ=p and

X^(t)=Z^(0)+ξ^(t)+(cλ−(1−p)cμ)t+(1−p)μD^(t).\hat X(t)=\hat Z(0)+\hat\xi(t)+\big(c_\lambda-(1-p)c_\mu\big)t+(1-p)\mu\hat D(t).X^(t)=Z^(0)+ξ^​(t)+(cλ​−(1−p)cμ​)t+(1−p)μD^(t).

The paper states Theorem 4.1 for JJJ stations, with the analogous formulas and Q=PtQ=P^{\mathsf t}Q=Pt. The mission's goal is its case J=1J=1J=1 (see Formalization scope).

Milestones

  1. Lemma 4.1: D^n⇒D^\hat D^n\Rightarrow\hat DD^n⇒D^ in D((0,∞),RJ,M1)D((0,\infty),\mathbb R^J,M_1)D((0,∞),RJ,M1​).
  2. Lemma 4.2: n−1Bjn(nt)→tn^{-1}B^n_j(nt)\to tn−1Bjn​(nt)→t u.o.c.
  3. Eq. (4.24): n−1/2ξn(nt)→ξ^(t)n^{-1/2}\xi^n(nt)\to\hat\xi(t)n−1/2ξn(nt)→ξ^​(t) u.o.c.
  4. Eqs. (4.28)–(4.29): (n−1/2Xn(nt), n−1/2Dn(nt))→(X^,D^)\big(n^{-1/2}X^n(nt),\,n^{-1/2}D^n(nt)\big)\to(\hat X,\hat D)(n−1/2Xn(nt),n−1/2Dn(nt))→(X^,D^) jointly in M1M_1M1​.
  5. The almost-sure form of Theorem 4.1 on a Skorohod representation space, case J=1J=1J=1.

Significance

The theorem yields a tractable approximation for networks with rare long interruptions: a reflected Lévy-type process driven by a Brownian part and a compound jump part. Its distribution can be studied through the reflection map. The jump directions [I−Pt]diag⁡(μ)ej[I-P^{\mathsf t}]\operatorname{diag}(\mu)e_j[I−Pt]diag(μ)ej​ make explicit how an outage at one station drains its downstream stations while its own queue builds up. Remark (4.3) of the paper derives a diffusion analogue of Little's law from the same limit.

The theorem is proved in the paper, and no part of it has been formalized. A formalization would produce the first machine-checked M1M_1M1​ topology on paths with jumps, a heavy-traffic limit theorem for a queueing network, and the random-time-change argument for counting processes.

Difficulty

The obvious argument chains three facts: the primitive processes converge, hence so does the scaled free process XXX, and the reflection map is continuous. Two steps break. First, subtraction is not continuous in M1M_1M1​ when the two paths jump at the same time in opposite directions, so the joint convergence of D^n\hat D^nD^n across stations needs (4.11) and one common parametrisation. Second, the reflection map is Lipschitz in the uniform topology, but the uniform topology cannot see jumps that occur at nearby times. Carrying the convergence through the reflection map in the M1M_1M1​ topology requires controlling how the regulator and the regulated process move along each jump segment of X^\hat XX^, jointly for all coordinates.

Formalization scope

Stations are Fin J; the network index is n : ℕ, and only n→∞n\to\inftyn→∞ enters. Durations are indexed from 000 in Lean. The queue length is integer valued, (3.2) is computed in Z\mathbb ZZ, and a solution satisfies Z≥0Z\ge 0Z≥0.

  • Solutions, not constructions. Every statement quantifies over all solutions (Zn,Bn)(Z^n,B^n)(Zn,Bn) of (3.2)–(3.3) and all reflection pairs of X^\hat XX^. Existence and uniqueness are asserted in the paper by citation and are not assumed or proved here.
  • M1M_1M1​. Parametric representations are monotone in the order of the completed graph, which is the standard definition. The page states only that the time component is nondecreasing. Convergence on (0,∞)(0,\infty)(0,∞) means convergence on every [a,b][a,b][a,b] with 0<a<b0<a<b0<a<b continuity points of the limit. Jump segments are segments in Rd\mathbb R^dRd (strong M1M_1M1​). Convergence in D((0,∞),⋅,M1)D((0,\infty),\cdot,M_1)D((0,∞),⋅,M1​) includes the requirement that every path be càdlàg on (0,∞)(0,\infty)(0,∞), so a copy of the limit that is continuous nowhere cannot satisfy the continuity-point condition vacuously.
  • Weak convergence is in coupling form: one probability space carries copies with the right laws that converge almost surely. The limits in (4.1)–(4.4) are continuous, so there the mode is u.o.c.
  • Corrected printed errors. Lemma 4.2 is stated with n−1n^{-1}n−1 in place of the printed n−1/2n^{-1/2}n−1/2, as in its proof. The map on p. 346 is read as ϕ(X)=Z\phi(X)=Zϕ(X)=Z, ψ(X)=diag⁡(μ)Y\psi(X)=\operatorname{diag}(\mu)Yψ(X)=diag(μ)Y, following (4.13). The reflection map allows y(0)≥0y(0)\ge 0y(0)≥0, because X^(0)\hat X(0)X^(0) may leave the orthant when D^(0)>0\hat D(0)>0D^(0)>0; when x(0)≥0x(0)\ge 0x(0)≥0 this agrees with (2.2).
  • Added hypotheses. The processes Zn,Bn,Z^,Y^Z^n,B^n,\hat Z,\hat YZn,Bn,Z^,Y^ are assumed to be stochastic processes (measurable at each time). All networks share one probability space, so that the routing is literally common. No independence is assumed.
  • The goal is the case J=1J=1J=1 of Theorem 4.1. The printed theorem claims strong M1M_1M1​ convergence, with one parametric representation for all 4J4J4J coordinates, for every JJJ. For J≥2J\ge 2J≥2 that claim fails: during an upstream outage, a downstream queue that empties part-way through the jump bends the prelimit graph of (D^j,Y^k)(\hat D_j,\hat Y_k)(D^j​,Y^k​), while the limit's completed graph is a straight segment. For J=1J=1J=1 every coordinate moves linearly through each jump. The milestones Lemma 4.1, Lemma 4.2, (4.24) and (4.28)–(4.29) are stated for general JJJ, and the almost-sure core of the proof for J=1J=1J=1.

A trivializing formalization is excluded. The hypotheses are satisfiable (for example by deterministic arrival and service processes), N^\hat NN^ is used only when ∑kukj=∞\sum_ku^j_k=\infty∑k​ukj​=∞, and laws are compared only for measurable path maps.

Needed infrastructure: the Skorohod space with the M1M_1M1​ topology and its characterization on (0,∞)(0,\infty)(0,∞), continuity of addition and of composition with continuous time changes, the multidimensional reflection map on paths with jumps, and a Skorohod representation argument. Proofs of Lemma 4.1 and Lemma 4.2 are welcome independently.

Selected references

  • H. Chen, W. Whitt, Diffusion approximations for open queueing networks with service interruptions, Queueing Systems 13 (1993) 335–359. https://doi.org/10.1007/BF01149260
  • O. Kella, W. Whitt, Diffusion approximations for queues with server vacations, Adv. Appl. Probab. 22 (1990) 706–729 (reference [22] of the paper).
  • J. M. Harrison, M. I. Reiman, Reflected Brownian motion on an orthant, Ann. Probab. 9 (1981) 302–308. https://doi.org/10.1214/aop/1176994472
  • H. Chen, A. Mandelbaum, Discrete flow networks: diffusion approximations and bottlenecks, Ann. Probab. 19 (1991) 1463–1519 (reference [6] of the paper).
  • M. I. Reiman, Open queueing networks in heavy traffic, Math. Oper. Res. 9 (1984) 441–458 (reference [25] of the paper).
  • W. Whitt, Some useful functions for functional limit theorems, Math. Oper. Res. 5 (1980) 67–85. https://doi.org/10.1287/moor.5.1.67
  • A. V. Skorohod, Limit theorems for stochastic processes, Theory Probab. Appl. 1 (1956) 261–290. https://doi.org/10.1137/1101022
10 thms1 active userReviewed
Dynamic ProgrammingMarkov ChainOperations Research+1·Captain: mikedeng1

Stochastic Dynamic Programming and the Control of Queueing Systems VIII: Computing Average Cost Optimal Policies by Approximating SequencesTextbook

Motivation

Control problems for queueing systems (admission control, service rate control, routing to parallel servers) are naturally modelled as Markov decision chains whose state is a vector of queue lengths. The state space is therefore denumerably infinite, and the performance measure of interest is usually the long-run average cost per slot. For such models the existence theory of average cost optimal stationary policies is well developed (Chapter 7 of Sennott's book), but existence gives no algorithm: an optimal policy is a function on an infinite set, and value iteration cannot be run on an infinite state space.

The approximating sequence method answers this by replacing the infinite model Δ\DeltaΔ with a sequence of finite models ΔN\Delta_NΔN​ on truncated state spaces SNS_NSN​, solving the average cost optimality equation in each, and passing to the limit. Chapter 8 of L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems (Wiley, 1999) gives a set of conditions, the (AC) assumptions, under which this limit procedure provably produces the minimum average cost and an average cost optimal policy of Δ\DeltaΔ.

Timeline. The approximating sequence method for the average cost criterion and the (AC) assumptions were introduced in Sennott (1997a), with further results in Sennott (1997b) (bibliographic notes, p. 194). The book collects these results, adds the four step verification template (Proposition 8.2.1), the finite-set augmentation route based on the (BOR) assumptions (Proposition 8.2.3), and the weakening (WAC) of Section 8.7, which Chapter 9 uses.

Setting

An MDC Δ\DeltaΔ has a countable state space SSS, a finite nonempty action set AiA_iAi​ in each state iii, a finite cost C(i,a)≥0C(i,a)\ge0C(i,a)≥0, and transition probabilities Pij(a)P_{ij}(a)Pij​(a). A general policy θ\thetaθ chooses actions at random using the whole past history. Its average cost is

Jθ(i)=lim sup⁡n→∞1n∑t=0n−1Eθ[C(Xt,At)∣X0=i],J_\theta(i)=\limsup_{n\to\infty}\frac1n\sum_{t=0}^{n-1}E_\theta[C(X_t,A_t)\mid X_0=i],Jθ​(i)=n→∞limsup​n1​t=0∑n−1​Eθ​[C(Xt​,At​)∣X0​=i],

and the minimum average cost is J(i)=inf⁡θJθ(i)∈[0,∞]J(i)=\inf_\theta J_\theta(i)\in[0,\infty]J(i)=infθ​Jθ​(i)∈[0,∞]. A policy is average cost optimal if Jθ≡JJ_\theta\equiv JJθ​≡J.

An approximating sequence (ΔN)N≥N0(\Delta_N)_{N\ge N_0}(ΔN​)N≥N0​​ consists of finite sets SNS_NSN​ increasing to SSS and MDCs ΔN\Delta_NΔN​ on SNS_NSN​ with the same actions and costs and with transition probabilities Pij(a;N)P_{ij}(a;N)Pij​(a;N) on SNS_NSN​ converging to Pij(a)P_{ij}(a)Pij​(a). Write vnNv^N_nvnN​ and VαNV^N_\alphaVαN​ for the nnn-horizon and discounted value functions of ΔN\Delta_NΔN​.

The (AC) assumptions are:

  • (AC1) there are finite constants JNJ^NJN and finite functions rNr^NrN on SNS_NSN​ with
JN+rN(i)=min⁡a{C(i,a)+∑j∈SNPij(a;N) rN(j)},i∈SN;(8.1)J^N+r^N(i)=\min_a\Big\{C(i,a)+\sum_{j\in S_N}P_{ij}(a;N)\,r^N(j)\Big\},\qquad i\in S_N; \tag{8.1}JN+rN(i)=amin​{C(i,a)+j∈SN​∑​Pij​(a;N)rN(j)},i∈SN​;(8.1)
  • (AC2) lim sup⁡NrN(i)<∞\limsup_N r^N(i)<\inftylimsupN​rN(i)<∞;
  • (AC3) lim inf⁡NrN(i)≥−Q\liminf_N r^N(i)\ge -QliminfN​rN(i)≥−Q for a constant Q≥0Q\ge0Q≥0;
  • (AC4) J∗:=lim sup⁡NJN<∞J^*:=\limsup_N J^N<\inftyJ∗:=limsupN​JN<∞ and J∗≤J(i)J^*\le J(i)J∗≤J(i) for all iii.

The (WAC) assumptions of Section 8.7 allow QQQ to depend on the state, at the price of integrability conditions along every stationary policy.

Formalization targets

Goal: Theorem 8.1.1

Under (AC), the limit lim⁡N→∞JN\lim_{N\to\infty}J^NlimN→∞​JN exists and

J(i)=lim⁡N→∞JNfor all i∈S,J(i)=\lim_{N\to\infty}J^N\qquad\text{for all } i\in S,J(i)=N→∞lim​JNfor all i∈S,

and every limit point e∗e^*e∗ of stationary policies eNe^NeN realizing the minimum in (8.1) is average cost optimal for Δ\DeltaΔ. The statement fixes no constants; it asserts the shape of the conclusion for any model satisfying (AC).

Milestones

  • Proposition 8.2.1 (the four step template): unichain and aperiodicity of the finite models, an xxx standard policy at which the approximating sequence is conforming, a comparison of vnNv^N_nvnN​ (or VαNV^N_\alphaVαN​) with vnv_nvn​ (or VαV_\alphaVα​), and a lower bound on vnN−vnN(x)v^N_n - v^N_n(x)vnN​−vnN​(x) together imply that the value iteration limits
rN(i)=lim⁡n→∞(vnN(i)−vnN(x))r^N(i)=\lim_{n\to\infty}\big(v^N_n(i)-v^N_n(x)\big)rN(i)=n→∞lim​(vnN​(i)−vnN​(x))

exist and satisfy (AC).

  • Corollary 8.2.2: on S={0,1,2,… }S=\{0,1,2,\dots\}S={0,1,2,…} with SN={0,…,N}S_N=\{0,\dots,N\}SN​={0,…,N} and excess probability sent to NNN, monotonicity of vnNv^N_nvnN​, vnv_nvn​ and of the first passage moments of a 000 standard policy suffices.
  • Proposition 8.2.3: an augmentation type approximating sequence that sends excess probability to a finite set of cheap states satisfies the template.
  • Proposition 8.5.1: in the single-server queue with Bernoulli(ppp) arrivals and constant service rate a>pa>pa>p,
Jd(a)=Hp(1−p)a−p+pC(a)a.J_{d(a)}=\frac{Hp(1-p)}{a-p}+\frac{pC(a)}{a}.Jd(a)​=a−pHp(1−p)​+apC(a)​.
  • Proposition 8.7.1: the conclusions of Theorem 8.1.1 hold under (WAC).

Significance

The result itself. Theorem 8.1.1 is what turns the existence theory of Chapter 7 into a computation. It certifies that the minimum average costs of the truncations converge to the minimum average cost of the infinite model, that this cost is constant, and that the policies produced by value iteration on ΔN\Delta_NΔN​ converge, along subsequences, to an optimal policy for Δ\DeltaΔ. Propositions 8.2.1–8.2.3 reduce (AC) to properties that can be checked model by model; Section 8.3 checks them for queues with reject option, service rate control, and routing to parallel queues. Proposition 8.7.1 is the version used in Chapter 9 for models whose relative values are not uniformly bounded below. Proposition 8.5.1 gives the closed-form open-loop benchmark used in the numerical study of Section 8.5.

Formalizing it. All results are proved in the book; none has a machine-checked proof. A formalization would give the first verified convergence theorem for truncations of denumerable-state average cost MDPs, and would make the approximating sequence method usable as a certified reduction from infinite to finite models. The template results (8.2.1–8.2.3) additionally require a formal treatment of conformity of approximating Markov chains (Appendix C.4–C.5), which is of independent use.

Difficulty

The naive argument takes limits in (8.1) along NNN: the minimum over aaa and the finite sums pass to the limit only in the inequality direction, and only after a Fatou-type lemma for sums against the converging distributions Pij(a;N)P_{ij}(a;N)Pij​(a;N) with integrands rNr^NrN that are neither bounded nor monotone. The lower bound −Q-Q−Q in (AC3) is exactly what makes this possible; without it the limit inequality can fail. The limit inequality then produces only an average cost optimality inequality, and turning it into optimality of the limit policy requires a separate argument that a function bounded below and satisfying the inequality yields an upper bound on the average cost. Existence of lim⁡NJN\lim_N J^NlimN​JN is not given: (AC4) controls only the limit superior, and the limit must be identified through every subsequence. For the template results, the difficulty is in the Markov chain side: the convergence of first passage times and costs of the truncated chains, which fails for general approximating sequences (Examples C.4.4, C.4.7).

Formalization scope

The Lean development is in the namespace SennottDP.AvgASM. The state space is any countable type; action sets are Finsets, assumed nonempty; costs are finite and nonnegative (ℝ≥0); transition probabilities are ℝ≥0∞-valued, with each row a probability distribution for admissible actions. All value functions and average costs take values in [0,∞][0,\infty][0,∞] (ℝ≥0∞), and every infimum over policies ranges over the full class of history-dependent randomized policies. The JNJ^NJN and rNr^NrN of (AC1) are real; the limits superior and inferior over NNN in (AC2)–(AC4) and (WAC) are taken in EReal, so an unbounded sequence cannot produce a junk finite value. The equality J(i)=lim⁡NJNJ(i)=\lim_N J^NJ(i)=limN​JN is stated in EReal, which also asserts that J(i)J(i)J(i) is finite. Quantities of ΔN\Delta_NΔN​ at states outside SNS_NSN​ are junk values that affect only finitely many NNN for each state.

A trivializing formalization is ruled out: JNJ^NJN and rNr^NrN are the witnesses of (AC1), not free variables, the policies eNe^NeN must realize the minimum in (8.1) for those witnesses, and the minimum average cost JJJ is an infimum over all policies, so the goal cannot be satisfied by choosing J∗J^*J∗ or the limit policy.

A complete development needs: the induced process law of a general policy; the average cost optimality inequality argument (Lemma 7.2.1); the finite-state average cost results of Chapter 6 (Propositions 6.4.1, 6.5.1, 6.6.3); a Fatou lemma for converging distributions (Proposition A.2.5); limit points of policy sequences (Proposition B.5); and, for the template results, the theory of zzz standard chains and conformity (Appendix C.2–C.5). The Markov chain layer and the approximating sequence definitions are reusable beyond this mission. Contributions of any of these intermediate results as separate theorems are welcome.

Selected references

  • L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley Series in Probability and Statistics, John Wiley & Sons, 1999. https://doi.org/10.1002/9780470317037
  • L. I. Sennott, "The computation of average optimal policies in denumerable state Markov decision chains", Advances in Applied Probability 29 (1997), 114–137 (cited as Sennott (1997a) in the book).
  • L. I. Sennott, "On computing average cost optimal policies with application to routing to parallel queues", ZOR — Mathematical Methods of Operations Research 45 (1997), 45–62 (cited as Sennott (1997b) in the book).
14 thms3 active users
Dynamic ProgrammingOperations ResearchProbability+1·Captain: mikedeng1

Stochastic Dynamic Programming and the Control of Queueing Systems X: Average Cost Optimization of Continuous Time Markov Decision ChainsTextbook

Motivation

Many queueing systems evolve in continuous time: customers arrive according to a Poisson process, services take exponentially distributed times, and a controller may change the service rate, admit or reject customers, or route them whenever the state changes. Minimizing the long-run average cost of such a system is a standard problem in the control of queues (Lippman 1975; Puterman 1994, Ch. 11; Sennott 1999, Ch. 10). The continuous time model does not fit directly into the discrete time theory of Markov decision chains developed in the earlier chapters of Sennott's book, because time spent in a state now matters and the natural average cost is a ratio of expected cost to expected elapsed time.

This mission formalizes Sections 10.1–10.4 of L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems (Wiley, 1999): the elementary properties of the exponential distribution, the continuous time Markov decision chain and its average cost, a reduction of the continuous time problem to an auxiliary discrete time Markov decision chain, and the theorem stating that finite state approximating sequences of the auxiliary chain compute optimal average costs and optimal stationary policies of the continuous time chain. The chapter closes with an explicit average cost computation for the M/M/1 queue with service rate control.

Setting

A random variable XXX has the exponential distribution with rate μ>0\mu>0μ>0 if P(X≤t)=1−e−μtP(X\le t)=1-e^{-\mu t}P(X≤t)=1−e−μt for t≥0t\ge0t≥0. A function r(δ)r(\delta)r(δ) is o(δ)o(\delta)o(δ) if r(δ)/δ→0r(\delta)/\delta\to0r(δ)/δ→0 as δ→0+\delta\to0^+δ→0+.

A continuous time Markov decision chain (CTMDC) Ψ\PsiΨ has a countable state space SSS and, for each i∈Si\in Si∈S, a finite nonempty action set AiA_iAi​. Choosing a∈Aia\in A_ia∈Ai​ in state iii incurs an instantaneous cost G(i,a)≥0G(i,a)\ge0G(i,a)≥0 and a cost rate g(i,a)≥0g(i,a)\ge0g(i,a)≥0 in effect until the next transition. The time until the next transition is exponential with rate ν(i,a)>0\nu(i,a)>0ν(i,a)>0, so its mean is τ(i,a)=1/ν(i,a)\tau(i,a)=1/\nu(i,a)τ(i,a)=1/ν(i,a); the next state is jjj with probability Pij(a)P_{ij}(a)Pij​(a), where Pii(a)=0P_{ii}(a)=0Pii​(a)=0. A policy θ\thetaθ chooses, at each transition, an action (possibly at random) from the history of past states, actions and sojourn times; a stationary policy eee chooses e(i)e(i)e(i) in state iii. With CnC_nCn​ the cost and TnT_nTn​ the time of the first nnn transition periods, the average cost and the minimum average cost are

JθΨ(i)=lim sup⁡n→∞Eθ[Cn∣X0=i]Eθ[Tn∣X0=i],JΨ(i)=inf⁡θJθΨ(i).J^\Psi_\theta(i)=\limsup_{n\to\infty}\frac{E_\theta[C_n\mid X_0=i]}{E_\theta[T_n\mid X_0=i]},\qquad J^\Psi(i)=\inf_\theta J^\Psi_\theta(i).JθΨ​(i)=n→∞limsup​Eθ​[Tn​∣X0​=i]Eθ​[Cn​∣X0​=i]​,JΨ(i)=θinf​JθΨ​(i).

Assumption (CTB) requires constants τ\tauτ and BBB with 0<τ<inf⁡i,aτ(i,a)≤sup⁡i,aτ(i,a)≤B<∞0<\tau<\inf_{i,a}\tau(i,a)\le\sup_{i,a}\tau(i,a)\le B<\infty0<τ<infi,a​τ(i,a)≤supi,a​τ(i,a)≤B<∞. The auxiliary MDC Δ\DeltaΔ has the same states and actions, costs C(i,a)=G(i,a)ν(i,a)+g(i,a)C(i,a)=G(i,a)\nu(i,a)+g(i,a)C(i,a)=G(i,a)ν(i,a)+g(i,a), and transition probabilities Pij∗(a)=τν(i,a)Pij(a)P^*_{ij}(a)=\tau\nu(i,a)P_{ij}(a)Pij∗​(a)=τν(i,a)Pij​(a) for j≠ij\ne ij=i, Pii∗(a)=1−τν(i,a)P^*_{ii}(a)=1-\tau\nu(i,a)Pii∗​(a)=1−τν(i,a). Its average cost JθΔ(i)=lim sup⁡nn−1∑t<nEθ[C(Xt,Yt)]J^\Delta_\theta(i)=\limsup_n n^{-1}\sum_{t<n}E_\theta[C(X_t,Y_t)]JθΔ​(i)=limsupn​n−1∑t<n​Eθ​[C(Xt​,Yt​)] and minimum average cost JΔ(i)J^\Delta(i)JΔ(i) are those of Chapter 2. Assumption (CTAC) is JΔ(⋅)≤JΨ(⋅)J^\Delta(\cdot)\le J^\Psi(\cdot)JΔ(⋅)≤JΨ(⋅).

An approximating sequence (ΔN)N≥N0(\Delta_N)_{N\ge N_0}(ΔN​)N≥N0​​ for Δ\DeltaΔ uses finite state spaces SNS_NSN​ increasing to SSS and transition probabilities Pij∗(a;N)P^*_{ij}(a;N)Pij∗​(a;N) on SNS_NSN​ converging to Pij∗(a)P^*_{ij}(a)Pij∗​(a). The (AC) assumptions ask for constants JNJ^NJN and functions rNr^NrN on SNS_NSN​ solving

JN+rN(i)=min⁡a∈Ai{C(i,a)+∑j∈SNPij∗(a;N) rN(j)},i∈SN, N≥N0,(10.21)J^N+r^N(i)=\min_{a\in A_i}\Big\{C(i,a)+\sum_{j\in S_N}P^*_{ij}(a;N)\,r^N(j)\Big\},\qquad i\in S_N,\ N\ge N_0,\tag{10.21}JN+rN(i)=a∈Ai​min​{C(i,a)+j∈SN​∑​Pij∗​(a;N)rN(j)},i∈SN​, N≥N0​,(10.21)

with lim sup⁡NrN(i)<∞\limsup_N r^N(i)<\inftylimsupN​rN(i)<∞, lim inf⁡NrN(i)≥−Q\liminf_N r^N(i)\ge-QliminfN​rN(i)≥−Q for a constant Q≥0Q\ge0Q≥0, and lim sup⁡NJN=:J∗<∞\limsup_N J^N=:J^*<\inftylimsupN​JN=:J∗<∞, J∗≤JΔ(i)J^*\le J^\Delta(i)J∗≤JΔ(i).

Formalization targets

Goal: Theorem 10.3.3

Under (CTB), (CTAC) and the (AC) assumptions for an approximating sequence of Δ\DeltaΔ:

J∗=lim⁡N→∞JN exists and JΔ(i)=JΨ(i)=J∗(i∈S),J^*=\lim_{N\to\infty}J^N\ \text{exists and}\ J^\Delta(i)=J^\Psi(i)=J^*\quad(i\in S),J∗=N→∞lim​JN exists and JΔ(i)=JΨ(i)=J∗(i∈S),

and every limit point e∗e^*e∗ of a sequence eNe^NeN of stationary policies realizing the minimum in (10.21) satisfies Je∗Δ=JΔJ^\Delta_{e^*}=J^\DeltaJe∗Δ​=JΔ and Je∗Ψ=JΨJ^\Psi_{e^*}=J^\PsiJe∗Ψ​=JΨ. The goal leaves the chain, the approximating sequence and the constants of (CTB) arbitrary.

Milestones

  • Proposition 10.1.2: P(X>x+y∣X>y)=P(X>x)P(X>x+y\mid X>y)=P(X>x)P(X>x+y∣X>y)=P(X>x) for x,y>0x,y>0x,y>0, and P(X≤δ)=μδ+o(δ)P(X\le\delta)=\mu\delta+o(\delta)P(X≤δ)=μδ+o(δ).
  • Proposition 10.1.3: for independent exponentials, P(X1≤δ,X2≤δ)=o(δ)P(X_1\le\delta,X_2\le\delta)=o(\delta)P(X1​≤δ,X2​≤δ)=o(δ), P(X1<X2)=μ1/(μ1+μ2)P(X_1<X_2)=\mu_1/(\mu_1+\mu_2)P(X1​<X2​)=μ1​/(μ1​+μ2​), and min⁡(X1,X2)\min(X_1,X_2)min(X1​,X2​) is exponential with rate μ1+μ2\mu_1+\mu_2μ1​+μ2​.
  • Lemma 10.3.1: if zzz is bounded below and Zτ(i,e)+z(i)≥G(i,e)+g(i,e)τ(i,e)+∑jPij(e)z(j)Z\tau(i,e)+z(i)\ge G(i,e)+g(i,e)\tau(i,e)+\sum_jP_{ij}(e)z(j)Zτ(i,e)+z(i)≥G(i,e)+g(i,e)τ(i,e)+∑j​Pij​(e)z(j) for all iii (10.15), then JeΨ≤ZJ^\Psi_e\le ZJeΨ​≤Z.
  • Lemma 10.3.2: (Z,w)(Z,w)(Z,w) satisfies Z+w(i)≥C(i,e)+∑jPij∗(e)w(j)Z+w(i)\ge C(i,e)+\sum_jP^*_{ij}(e)w(j)Z+w(i)≥C(i,e)+∑j​Pij∗​(e)w(j) (10.20) if and only if (Z,τw)(Z,\tau w)(Z,τw) satisfies (10.15).
  • Proposition 10.4.1: in the M/M/1 queue with arrival rate λ\lambdaλ, holding cost H(i)=HiH(i)=HiH(i)=Hi and service cost rate c(a)c(a)c(a), the policy that always serves at rate a>λa>\lambdaa>λ has average cost ρac(a)+Hρa/(1−ρa)\rho_ac(a)+H\rho_a/(1-\rho_a)ρa​c(a)+Hρa​/(1−ρa​), ρa=λ/a\rho_a=\lambda/aρa​=λ/a.

Significance

The goal theorem turns the average cost control of a continuous time chain on an infinite state space into a finite computation: solve the optimality equation (10.21) of a finite truncation of the auxiliary chain, let the truncation grow, and read off the optimal average cost and an optimal stationary policy of the original continuous time chain. The auxiliary chain is the book's form of uniformization, and the result is what licenses the numerical study of the M/M/1 service rate control problem in Section 10.4 and of the M/M/K and polling models in Sections 10.5–10.6. Proposition 10.4.1 gives the closed-form benchmark against which the computed optimal policy is compared.

The results are proved in the book, some with details left to the reader (Lemma 10.3.2(ii), Problem 10.10), and the goal rests on Theorem 8.1.1 and Lemma 7.2.1 of the same book. None of them has, as far as a search of Mathlib and the Prove2Me catalogue shows, a machine-checked proof: Mathlib provides the exponential law (ProbabilityTheory.expMeasure) and its distribution function, but not memorylessness or the minimum of independent exponentials, and no continuous time Markov decision model. A formalization would supply these, together with a checked average cost comparison between a continuous time chain and its discrete time auxiliary chain.

Difficulty

The obvious argument compares the two chains policy by policy, but the policy classes differ: a policy for Δ\DeltaΔ may change action in every time slot, including slots where the state does not change, while a policy for Ψ\PsiΨ acts only at transitions and may use the observed sojourn times. Only the stationary policies coincide. The lower bound JΨ≥J∗J^\Psi\ge J^*JΨ≥J∗ therefore cannot be obtained by transferring policies, and it is exactly what Assumption (CTAC) supplies. The upper bound requires passing from the discrete time inequality (10.20) for the limit point e∗e^*e∗ to a bound on a ratio of expected cost to expected time in continuous time, where the denominator depends on the policy; the uniform bounds of (CTB) on the mean sojourn times are what control it. Inside Lemma 10.3.1 the function zzz is only bounded below, so the telescoping of expectations must be justified without integrability of zzz from above.

Formalization scope

The state space is a countable type S, actions a type Act, and action sets A i : Finset Act; the CTMDC and MDC structures hold data, and their axioms (nonempty action sets, nonnegative costs, positive rates, stochastic transition rows with Pii(a)=0P_{ii}(a)=0Pii​(a)=0) are separate predicates. Transition probabilities are ℝ≥0∞-valued; costs, rates and the functions z,w,rNz,w,r^Nz,w,rN are real. Expected costs, expected times and all average costs are ℝ≥0∞-valued, so +∞+\infty+∞ is a legitimate value, and they are compared with real constants in EReal; the limits superior and inferior of (AC) are taken in EReal. The expected cost of nnn transition periods under a general policy is a recursion over the periods in which the sojourn time is integrated against expMeasure ν(i,a) and the next state is drawn independently from Pi⋅(a)P_{i\cdot}(a)Pi⋅​(a); policies are measurable in the past sojourn times. In (10.15) and (10.20) the convergence of the series is part of the inequality. The strict inequality τ<inf⁡τ(i,a)\tau<\inf\tau(i,a)τ<infτ(i,a) of (CTB) is kept strict (as a positive margin); weakening it to ≤\le≤ would make Pii∗(a)P^*_{ii}(a)Pii∗​(a) vanish or turn negative.

The average cost JθΨJ^\Psi_\thetaJθΨ​ is a ratio of expectations, not the expectation of a ratio, and the infimum JΨJ^\PsiJΨ ranges over history dependent randomized policies that may use sojourn times; replacing either by a stationary-only class, or dropping (CTAC), gives a different theorem.

A complete development needs: expected rewards of a chain with exponential holding times, the average cost theory of Chapter 8 for the auxiliary chain (Theorem 8.1.1 and Lemma 7.2.1, restated here as needed), and renewal-reward reasoning for Proposition 10.4.1. The exponential-distribution lemmas are reusable beyond this mission and are welcome as independent contributions.

Selected references

  • L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley Series in Probability and Statistics, John Wiley & Sons, 1999. https://doi.org/10.1002/9780470317037
  • M. L. Puterman, Markov Decision Processes: Discrete Stochastic Dynamic Programming, John Wiley & Sons, 1994. https://doi.org/10.1002/9780470316887
  • S. A. Lippman, Applying a new device in the optimization of exponential queuing systems, Operations Research 23(4), 687–710, 1975. https://doi.org/10.1287/opre.23.4.687
  • D. Gross and C. M. Harris, Fundamentals of Queueing Theory, 3rd ed., John Wiley & Sons, 1998.
11 thms3 active users
Markov ChainOperations ResearchProbability+1·Captain: mikedeng1

Stochastic Dynamic Programming and the Control of Queueing Systems XIV: Conforming Approximating Sequences for Markov ChainsTextbook

Motivation

Countable-state Markov chains are the standard model of queues with unbounded buffers, but any numerical computation of their long-run behaviour works on a finite state space. The usual remedy is truncation: restrict the chain to a finite set SNS_NSN​ and redistribute the probability of leaving SNS_NSN​ back into it. Whether the steady state probabilities and average costs of the truncated chains converge to those of the original chain depends on how that probability is redistributed. Gibson and Seneta studied this question for the stationary distributions of chains without costs (Gibson and Seneta, J. Appl. Prob., 1987). Sennott extended it to chains with costs and expected first passage costs (Sennott, Adv. Appl. Prob. 29, 1997; ZOR Math. Meth. Oper. Res. 45, 1997), and used it as the basis of the approximating sequence method for average-cost Markov decision chains (Sennott, 1999, Chapter 8). This mission covers Appendix C, Sections C.4–C.5 of the 1999 book, the Markov-chain results that the book's average-cost approximation theorems use.

Setting

A Markov chain with costs Γ\GammaΓ on a denumerable state space SSS has transition probabilities PijP_{ij}Pij​ with ∑jPij=1\sum_jP_{ij}=1∑j​Pij​=1 and a finite nonnegative cost C(i)C(i)C(i) at each state. For a set G⊆SG\subseteq SG⊆S and a start iii, TiG≥1T_{iG}\ge 1TiG​≥1 is the first passage time to GGG. The taboo probability GPik(t){}_GP^{(t)}_{ik}G​Pik(t)​ is the probability of moving from iii to kkk in ttt steps with no intermediate state in GGG. The expected visits Guik{}_Gu_{ik}G​uik​ count the visits to kkk at times 0≤t<TiG0\le t<T_{iG}0≤t<TiG​. The mean first passage time is miG=E[TiG]m_{iG}=E[T_{iG}]miG​=E[TiG​], infinite when GGG is missed with positive probability. The first passage cost is ciG=E[∑t<TiGC(Xt)]c_{iG}=E\big[\sum_{t<T_{iG}}C(X_t)\big]ciG​=E[∑t<TiG​​C(Xt​)]. A state iii is positive recurrent when mii<∞m_{ii}<\inftymii​<∞, and the steady state probability is πi=mii−1\pi_i=m_{ii}^{-1}πi​=mii−1​. On a positive recurrent class RRR the average cost is JR=∑j∈RπjC(j)J_R=\sum_{j\in R}\pi_jC(j)JR​=∑j∈R​πj​C(j). The chain is zzz standard when miz<∞m_{iz}<\inftymiz​<∞ and ciz<∞c_{iz}<\inftyciz​<∞ for every iii. Such a chain has one positive recurrent class R∋zR\ni zR∋z with JR<∞J_R<\inftyJR​<∞, and every other state is transient.

An approximating sequence (AS) (ΓN)N≥N0(\Gamma_N)_{N\ge N_0}(ΓN​)N≥N0​​ consists of increasing nonempty finite sets SNS_NSN​ with ⋃NSN=S\bigcup_NS_N=S⋃N​SN​=S and, for each NNN, a chain ΓN\Gamma_NΓN​ on SNS_NSN​ with the same costs and transition probabilities Pij(N)→PijP_{ij}(N)\to P_{ij}Pij​(N)→Pij​. The quantities of ΓN\Gamma_NΓN​ are written miG(N)m_{iG}(N)miG​(N), ciG(N)c_{iG}(N)ciG​(N), πi(N)\pi_i(N)πi​(N) and J(i)(N)J(i)(N)J(i)(N). An AS is conforming (for a zzz standard Γ\GammaΓ) if, for large NNN, ΓN\Gamma_NΓN​ is unichain with zzz in its positive recurrent class, and miz(N)→mizm_{iz}(N)\to m_{iz}miz​(N)→miz​ and ciz(N)→cizc_{iz}(N)\to c_{iz}ciz​(N)→ciz​ for all iii. It is conforming on RRR if πi(N)→πi\pi_i(N)\to\pi_iπi​(N)→πi​ and J(i)(N)→JRJ(i)(N)\to J_RJ(i)(N)→JR​ on RRR.

An augmentation type approximating sequence (ATAS) keeps the original probabilities inside SNS_NSN​ and redistributes the probability of each excluded target r∉SNr\notin S_Nr∈/SN​ according to an augmentation distribution q⋅(i,r,N)q_\cdot(i,r,N)q⋅​(i,r,N) on SNS_NSN​:

Pij(N)=Pij+∑r∈S−SNPir qj(i,r,N),j∈SN.P_{ij}(N)=P_{ij}+\sum_{r\in S-S_N}P_{ir}\,q_j(i,r,N),\qquad j\in S_N.Pij​(N)=Pij​+r∈S−SN​∑​Pir​qj​(i,r,N),j∈SN​.

It sends excess probability to GGG if every q⋅(i,r,N)q_\cdot(i,r,N)q⋅​(i,r,N) is concentrated on GGG.

Formalization targets

Goal: Proposition C.5.2

For a zzz standard chain Γ\GammaΓ and a finite nonempty G⊆SG\subseteq SG⊆S,

every ATAS that sends excess probability to G is conforming,\text{every ATAS that sends excess probability to } G \text{ is conforming},every ATAS that sends excess probability to G is conforming,

and if G⊆RG\subseteq RG⊆R it is also conforming on RRR. No rate of convergence and no constants are involved, and GGG need not contain zzz.

Milestones

  1. Proposition C.4.2: for fixed ttt, lim⁡NGPik(t)(N)=GPik(t)\lim_N{}_GP^{(t)}_{ik}(N)={}_GP^{(t)}_{ik}limN​G​Pik(t)​(N)=G​Pik(t)​; also lim inf⁡NGuik(N)≥Guik\liminf_N{}_Gu_{ik}(N)\ge{}_Gu_{ik}liminfN​G​uik​(N)≥G​uik​ and lim inf⁡NmiG(N)≥miG\liminf_Nm_{iG}(N)\ge m_{iG}liminfN​miG​(N)≥miG​.
  2. Proposition C.4.3: πi(N)→0\pi_i(N)\to0πi​(N)→0 off the positive recurrent states, and along subsequences πi(Ns)→bπi\pi_i(N_s)\to b\pi_iπi​(Ns​)→bπi​ on a class, with 0≤b≤10\le b\le10≤b≤1.
  3. Proposition C.4.5: lim inf⁡NciG(N)≥ciG\liminf_Nc_{iG}(N)\ge c_{iG}liminfN​ciG​(N)≥ciG​.
  4. Proposition C.4.6: on a positive recurrent class, convergence of π\piπ, of mzzm_{zz}mzz​ and of all miGm_{iG}miG​ are equivalent. Given these, convergence of J(i)J(i)J(i), of czzc_{zz}czz​ and of all ciGc_{iG}ciG​ are equivalent.
  5. Proposition C.4.9: conformity implies πi(N)→πi\pi_i(N)\to\pi_iπi​(N)→πi​ for all iii, and that the constant average costs J(N)J(N)J(N) of ΓN\Gamma_NΓN​ converge to JRJ_RJR​.

Further results

  1. Proposition C.5.3: an ATAS is conforming when, for N≥N∗N\ge N^*N≥N∗, the augmentation distributions satisfy ∑j≠zqj(i,r,N)mjz≤mrz\sum_{j\ne z}q_j(i,r,N)m_{jz}\le m_{rz}∑j=z​qj​(i,r,N)mjz​≤mrz​ and ∑j≠zqj(i,r,N)cjz≤crz\sum_{j\ne z}q_j(i,r,N)c_{jz}\le c_{rz}∑j=z​qj​(i,r,N)cjz​≤crz​.
  2. Corollary C.5.4: for a 000 standard chain on {0,1,2,… }\{0,1,2,\dots\}{0,1,2,…} with an upper Hessenberg transition matrix, truncated to SN={0,…,N}S_N=\{0,\dots,N\}SN​={0,…,N} with the excess sent to NNN, the ATAS is conforming.

Significance

The result. Conformity is the hypothesis under which the book's approximating sequence method works for average-cost queueing control (Chapter 8). The method computes optimal policies for finite truncations and passes to the limit. That argument needs the first passage times and costs to a distinguished state to converge along the chains induced by fixed policies. Propositions C.5.2 and C.5.3 turn this analytic requirement into conditions on the truncation scheme that can be checked in practice: send the overflow to a fixed finite set, or to states from which reaching zzz is no more expensive. Examples C.4.4 and C.4.7 of the book show that an arbitrary approximating sequence can fail. The limit of the steady state probabilities can be a strict multiple bπb\pibπ with b<1b<1b<1. First passage costs can converge to the wrong value even when the steady state probabilities converge.

Formalizing it. The results are proved in the book, some in abbreviated form ("the proof for the costs is similar and is omitted"). The Prove2Me library had no statement on truncation or augmentation of countable Markov chains when this mission was drafted (September 2026). A formalization supplies the omitted cost arguments, makes the passage between lim inf⁡\liminfliminf bounds and limits in [0,∞][0,\infty][0,∞] explicit, and produces a reusable library of first passage quantities for countable chains.

Difficulty

The lower bounds of Propositions C.4.2 and C.4.5 are the routine part. The difficulty is the matching upper bound: in ΓN\Gamma_NΓN​, a first passage that leaves SNS_NSN​ is restarted elsewhere, which can lengthen it without bound. Taking limits termwise in the first passage equation miz(N)=1+∑j≠zPij(N)mjz(N)m_{iz}(N)=1+\sum_{j\ne z}P_{ij}(N)m_{jz}(N)miz​(N)=1+∑j=z​Pij​(N)mjz​(N) fails, because no dominating function is available and mass can escape to infinity. Example C.4.4 exhibits exactly this. Unichain structure is also not automatic: ΓN\Gamma_NΓN​ may have several recurrent classes, or a recurrent class not containing zzz, and ruling this out is part of the conclusion rather than an assumption.

Formalization scope

The Lean development works in SennottDP.ChainASM. A chain is a structure MC S with P : S → S → ℝ≥0∞, ∑' j, P i j = 1 and C : S → ℝ≥0. Theorems assume [Countable S] [Infinite S], matching the book's denumerable state space. Taboo probabilities, expected visits, miGm_{iG}miG​, ciGc_{iG}ciG​, πj=(mjj)−1\pi_j=(m_{jj})^{-1}πj​=(mjj​)−1 and JR=∑j∈RπjC(j)J_R=\sum_{j\in R}\pi_jC(j)JR​=∑j∈R​πj​C(j) are defined as sums in [0,∞][0,\infty][0,∞]. miG=∑t≥0P(TiG>t)m_{iG}=\sum_{t\ge0}P(T_{iG}>t)miG​=∑t≥0​P(TiG​>t) is infinite whenever GGG is missed with positive probability. The average cost J(i)J(i)J(i) is the lim sup⁡\limsuplimsup of the Cesàro cost averages.

An AS is a structure carrying N0N_0N0​, the finite sets SNS_NSN​ (as Finset S) and Pij(N)P_{ij}(N)Pij​(N). ΓN\Gamma_NΓN​ is built as an MC on the subtype of SNS_NSN​, and a set GGG is read in ΓN\Gamma_NΓN​ as G∩SNG\cap S_NG∩SN​. Quantities of ΓN\Gamma_NΓN​ are lifted to functions of NNN and of states of SSS with the value 000 where they are undefined (N<N0N<N_0N<N0​ or a state outside SNS_NSN​). For fixed states this affects finitely many NNN, and all statements are limits, lim inf⁡\liminfliminfs or eventual equalities. All convergence is in [0,∞][0,\infty][0,∞]. The conformity predicate includes the standing assumption that Γ\GammaΓ is zzz standard. The positive recurrent class RRR of a zzz standard chain is the communicating class of zzz.

A trivializing formalization is excluded: the AS of Example C.4.4, whose positive recurrent class {N}\{N\}{N} excludes z=0z=0z=0, is not conforming under these definitions. The ATAS predicate requires the augmentation distributions to be probability distributions and to reproduce Pij(N)P_{ij}(N)Pij​(N) exactly by (C.27).

A complete development needs first passage decompositions for countable chains, the renewal-reward identity JR=czz/mzzJ_R=c_{zz}/m_{zz}JR​=czz​/mzz​, and dominated and Fatou-type limit theorems for sums (the book's Appendix A). The first passage library and the lifted-quantity conventions can be reused by the average-cost approximation chapters. Contributions of intermediate lemmas are welcome, especially the finite-state unichain facts of Section C.3 and the identities of Propositions C.1.4 and C.2.2.

Proposition C.5.5 (lower Hessenberg chains, from Gibson and Seneta) is stated in the book without proof and without naming the distinguished state, and is not included.

Selected references

  • L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley, 1999, Appendix C, Sections C.4–C.5. https://doi.org/10.1002/9780470317037
  • L. I. Sennott, "The computation of average optimal policies in denumerable state Markov decision chains", Advances in Applied Probability 29 (1997) 114–137 (cited in the book as Sennott 1997a).
  • L. I. Sennott, "On computing average cost optimal policies with application to routing to parallel queues", ZOR Mathematical Methods of Operations Research 45 (1997) 45–62 (cited in the book as Sennott 1997b).
  • D. Gibson and E. Seneta, "Augmented truncations of infinite stochastic matrices", Journal of Applied Probability (1987).
10 thms2 active usersReviewed
AnalysisOperations ResearchProbability+1·Captain: mikedeng1

Elements of Queueing Theory I: The Swiss Army Formula of Palm CalculusTextbook

The Swiss Army Formula of Palm Calculus

Background

Chapter 1 of Baccelli and Brémaud's Elements of Queueing Theory builds the calculus that the rest of the book runs on. Its subject is the relation between two ways of looking at the same stationary system: from a clock fixed in time, and from a customer arriving into it. The two are not the same — the interval a random instant falls into is longer than a typical interval, a fact every queueing student meets as the inspection paradox — and the object that makes the difference precise is the Palm probability P⁰_N.

The chapter defines P⁰_N by the Matthes definition in terms of counting,

λ t P⁰_N(A) = E[ Σ_{n ∈ ℤ} 1_A(θ_{T_n}) 1_{(0,t]}(T_n) ],                          (1.2.1)

and everything else is a theorem about it. That ordering is deliberate here too: P⁰_N is carried in the formalization as a predicate satisfying (1.2.1), not as a measure constructed to make Mecke's formula true. If it were the latter, Mecke's formula would be a definition and the inversion formula and the goal theorem would inherit that emptiness.

From (1.2.1) the chapter derives, in order: that P⁰_N is invariant under the point shift (1.2.16); Mecke's formula (1.2.17), which the literature also knows as the generalized Campbell formula; the inversion formula of Ryll-Nardzewski and Slivnyak (1.2.25), which runs back from P⁰_N to P; the mean-value formulas (1.3.2)–(1.3.3); the Neveu exchange formula (1.3.4), which relates two point processes stationary for the same flow; and the Miyazawa rate conservation principle (1.3.10), which balances the drift of a process between its jumps against the rate at which it jumps.

The goal

§1.3.7 then collects all of them into one identity. Its name is the book's own:

Depending on which blade is selected, a Swiss army knife transforms itself into various useful tools. The formula obtained in this subsection is called the Swiss army formula of Palm calculus because it contains the main formulas of this theory, as well as some new ones.

Theorem 1.3.1 (p.29). For arrivals {T_n} with counting measure A and intensity λ_A, departures {τ_n} with counting measure D — not assumed ordered — sojourn times W_n = τ_n − T_n ≥ 0 forming a sequence of marks of A, the number in system {X(t)} with X(b) − X(a) = A((a,b]) − D((a,b]), a non-decreasing corlol integrator {B(t)} and a non-negative process {Z(t)}, all compatible with a measurable flow under which P is invariant:

λ_A E⁰_A [ ∫_(0,W_0] Z(s) dB(s) ] = (1/t) E [ ∫_(0,t] X(s−) Z(s) dB(s) ].              (1.3.28)

Selecting the blade Z ≡ 1, B(t) = t turns it into λ_A E⁰_A[W_0] = E[X(0)] — Little's law, here in its full stationary-ergodic form rather than as a deterministic sample-path identity. Other choices give the inversion formula, the Miyazawa conservation principle and the rate conservation law.

The local meaning of P⁰_N

One milestone stands slightly apart. Theorem 1.5.1 (p.45) is what licenses the whole reading of P⁰_N as "what an arriving customer sees":

lim_{t→0} sup_{A ∈ F} | P⁰_N(A) − P(θ_{T_1} ∈ A | T_1 ≤ t) | = 0.                       (1.5.3)

The supremum is inside the limit. The convergence is uniform over every measurable event, which is what Dobrushin's estimate of §1.5.1 buys and what a pointwise limit would not give.

What this mission provides

Nothing in this chapter exists on the platform or in Mathlib: not stationary marked point processes, not Palm probability, not the Campbell measure. Four of the five missions in this series import the vocabulary built here, and the two definition items — the substrate of §§1.1–1.2 and the setting of §1.3.7 — are as much of the deliverable as the theorems are.

Formalization scope

  • The flow {θ_t} is a one-parameter group with (t, ω) ↦ θ_t ω jointly measurable (p.5 (a)); a point process is its strictly increasing points {T_n}_{n ∈ ℤ} with T_0 ≤ 0 < T_1, infinitely many on each side (Hypothesis 1.1.1), with finite non-null intensity λ = E[N((0,1])].
  • P⁰_N is characterized by (1.2.1) for every t > 0, which determines it uniquely; nothing is axiomatized. A formalization that introduced P⁰_N as any measure satisfying Mecke's formula would make the milestones and the goal trivial and is ruled out.
  • Every "for all non-negative measurable" formula (Mecke, inversion, mean-value, Neveu, Wald, the goal) is stated in [0, ∞] with lower Lebesgue integrals, for all such functions, not only bounded or integrable ones.
  • Three hypotheses the book uses without listing them are explicit: the Swiss army formula assumes the integrator {B(t)} is θ_t-compatible (the proof uses it, and without it the identity fails); it is stated for t > 0, the only values at which 1/t and (0, t] give it content; and the Miyazawa principle assumes Y'(0) ∈ L¹(P), which its E[Y'(0)] presupposes.
  • Theorem 1.5.1 keeps the supremum over all events inside the limit (one δ for every A).
11 thms1 active userReviewed
AnalysisOperations ResearchProbability+1·Captain: mikedeng1

Elements of Queueing Theory Ib: Ergodicity and Stochastic IntensityTextbook

Ergodicity and Stochastic Intensity

Background

Chapter 1 of Baccelli and Brémaud's Elements of Queueing Theory has two halves. The first builds Palm calculus from the Matthes definition of P⁰_N and reaches the Swiss army formula. This mission is the second: §§1.6, 1.8 and 1.9, which supply the two things the rest of the book runs on.

Ergodic theory, quoted

§1.6 states, in its own words, "the ergodic theory results to be used later in this book". Five of them, and the book proves none: Birkhoff's pointwise ergodic theorem in discrete (Theorem 1.6.1) and continuous time (Theorem 1.6.4), Kingman's sub-additive ergodic theorem (Theorem 1.6.2), and the extremal characterizations of ergodicity in both settings (Theorems 1.6.3 and 1.6.5) — ergodicity is exactly the impossibility of splitting an invariant probability into two distinct ones.

They are quoted, but they are not decoration. Kingman's theorem is what produces the asymptotic growth rates of Theorem 2.11.2 and the constant γ(c) on which the saturation rule rests. Birkhoff's theorem is what makes the time average in PASTA's (3.3.2) a well-defined object, and what the fluid Loynes theorem invokes for lim_{u→−∞}(A_{u,0} − C_{u,0}) = −∞.

None of the three analytic ones exists in Mathlib. Analysis/InnerProductSpace/MeanErgodic is the mean (von Neumann, L²) theorem, not almost-everywhere convergence, and there is no sub-additive ergodic theorem at all. The platform has neither.

Predictability, and why PASTA can be stated

§1.8 introduces the stochastic intensity: a point process N admits the (P, F_t)-intensity {λ(t)} when E[N(a,b] 1_A] = E[(∫_a^b λ(t)dt) 1_A] for A ∈ F_a. Around it sits the notion of a predictable process — one measurable with respect to the strict past.

Theorem 1.8.1 is the structural fact that makes predictability usable. For the internal history of a marked point process, every predictable process has the concrete form

Z(t, ω) = v(t, θ_t ω),    v(t, ·) F_{0−}-measurable.                                   (1.8.1)

That is why mission IV can take this form as PASTA's hypothesis rather than constructing a predictable σ-field: Theorem 1.8.1 says nothing is lost.

The goal

Theorem 1.8.2 (p.61), §1.8.4, Watanabe's characterization of Poisson processes. For a history F_t = F_t^N ∨ G and a G-measurable, locally integrable {λ(t)}, if N admits the F_t-intensity {λ(t)} then N is a G-conditional Poisson process:

E[ e^{iuN(a,b]} | G ∨ F^N_a ] = exp{ (e^{iu} − 1) ∫_a^b λ(t) dt } .                    (1.8.12)

A stochastic intensity that carries no information beyond G forces the process to be Poisson conditionally on G, with the compensator as the parameter — and the conditional characteristic function is the exact Poisson one, not an approximation. With G trivial and λ constant this is the ordinary Poisson process, which is the equivalence Remark 3.3.1 of Chapter 3 invokes to explain the name PASTA. The book: "This result plays a role in queueing theory, especially for proving that some streams in a queueing network are or are not Poissonian."

Palm probability meets stochastic intensity

§1.9 asks whether the stochastic intensity is the same under P and under P⁰_N — whether the two probabilities describe the same dynamics. Theorem 1.9.1 says yes, on ℝ₊: the same process {λ(t)} serves both.

Theorem 1.9.2 is Papangelou's theorem, and it is the deepest statement of the section: N admits a stochastic intensity if and only if P⁰_N ≪ P on F_{0−}, and then λ(t) = (μ ∘ θ_t)λ with μ the Radon–Nikodým derivative. A dynamic property and a static one turn out to be the same thing.

Theorem 1.9.3 is Mecke's characterization: N is Poisson exactly when P ≡ P⁰_N on F_{0−}. The view from a point of the process and the view from a deterministic instant agree on the strict past precisely when the process has no memory. It follows in one line from the two theorems before it.

What this mission provides

Four of the five missions in this series import the Chapter 1 substrate; this one adds the two pieces they need from its second half — ergodic theory and the stochastic intensity. Nothing here is on the platform, and Mathlib has filtrations and adapted processes but no predictability in this form, no stochastic intensity, no pointwise ergodic theorem and no Kingman.

Formalization scope

Every result is stated in the book's strength, with the book's standing definitions as binders. A discrete flow is a bijective, measurable, P⁰-preserving map (p.46); a continuous flow is jointly measurable in (t, ω) (p.3, clause (a)). A history compatible with the flow satisfies θ_t F_s = F_{s−t} (p.57), and an F_t-intensity is a non-negative, measurable, locally integrable, adapted process (p.58). The limits of Theorems 1.6.1, 1.6.2 and 1.6.4 are asserted to exist; Kingman's constant h̄ lies in ℝ ∪ {−∞} and is identified with inf_n (1/n) E⁰[h_n], the means being extended reals so that E⁰[h_n] = −∞ is not read as 0. Theorems 1.6.3, 1.6.5, 1.9.2 and 1.9.3 are equivalences, and Theorem 1.9.2 carries the closed form λ(t) = (μ ∘ θ_t)λ with μ = dP⁰_N/dP on F_{0−}. The goal's conclusion is the exact conditional characteristic function (1.8.12); a formalization that only asserted some conditional Poisson law, or conditioned on G alone, would not be this theorem.

13 thms1 active userReviewed
Operations ResearchProbabilityStochastic Systems·Captain: mikedeng1

Elements of Queueing Theory II: The Loynes Stability Theorem and CouplingTextbook

The Loynes Stability Theorem and Coupling

Background

Chapter 1 of Baccelli and Brémaud's Elements of Queueing Theory builds a calculus for stationary queues. Chapter 2 asks the prior question: when is there a stationary queue at all?

The G/G/1/∞ queue is one server at unit rate, infinite waiting room, fed by a stationary marked point process {(T_n, σ_n)} — arrival epochs and required service times. Its workload W(t), the service still owed by the server, obeys Lindley's equation between arrivals:

W(t) = (W(T_n−) + σ_n − (t − T_n))⁺,    t ∈ [T_n, T_{n+1}).                          (2.1.6)

Nothing in that equation says a solution exists on the whole line, let alone a stationary one. The answer is a sharp criterion in the traffic intensity ρ = λE⁰_A[σ_0].

The goal

Theorem 2.1.1 (p.80), which the book calls "the fundamental result of stability". Under ρ < 1 there is a unique finite workload process on all of ℝ, compatible with the flow, and it is given explicitly by the Loynes supremum

W(0) = sup_{n ≤ 0} ( T_n + Σ_{i=n}^{0} σ_i )⁺ ,                                      (2.1.12)

with W(T_n−) = 0 for infinitely many negative and infinitely many positive n (2.1.13). If ρ > 1 there is no finite stationary workload process at all.

Each half earns its place. The supremum is what "the Loynes construction" means: look back from the origin, take the work brought by customers n, …, 0 less the time −T_n since elapsed, and maximise over how far back you look. The ρ > 1 half is what turns ρ < 1 from a sufficient condition into a criterion. The critical case ρ = 1 is an explicit non-result in the book — there "may or may not" be a stationary workload — and is deliberately absent from the statement.

The route, and what it produces on the way

§2.2 proves the theorem by Loynes' monotone scheme on the Palm space, and two of its steps are worth stating in their own right.

Lemma 2.2.1 (p.87) is the uniqueness engine: a non-negative, a.s. finite Z with Z − Z∘θ ∈ L¹(P⁰) has E⁰[Z − Z∘θ] = 0. Applied to the difference of two stationary solutions, it forces that difference to be invariant, and ergodicity then forces it to be zero.

Theorem 2.2.1 (p.90) runs the argument backwards. Its section is titled "Queueing Proof of the Ergodic Theorem", and it is exactly that: the queueing construction yields the pointwise ergodic theorem, in the ratio form

lim_n ( Σ_{i=0}^n σ∘θ^{-i} ) / ( Σ_{i=0}^n τ∘θ^{-i} ) = E⁰[σ]/E⁰[τ],    P⁰-a.s.

Mathlib has the mean (von Neumann) ergodic theorem and no pointwise one, so this is absent substrate rather than a restatement.

Three extensions

The multiserver queue (§2.3). With s servers and the least-loaded-server rule, the state is the ordered workload vector obeying the Kiefer–Wolfowitz recurrence, and the criterion becomes E⁰[σ] < s E⁰[τ] (Theorem 2.3.1, p.93). Here uniqueness fails: p.94 exhibits a two-point space with a whole interval of stationary solutions. What survives is that the solution set is bracketed — M_∞ is minimal, and V^∞_∞ is the largest finite solution (Theorem 2.3.2, p.95).

Coupling (§2.4). Theorem 2.4.1 (p.99) is what "reaches the stationary regime" means: if a sequence couples with a θ-compatible one, then the law of its whole shifted trajectory converges in variation to the stationary trajectory's. The proof is one inequality, |P̃_{X,k} − P̃_{Z,k}| ≤ P(N > k), and the finiteness of the coupling time.

The fluid queue (§2.7). Theorem 2.7.1 (p.131) replaces customers by two θ_t-compatible random measures, the arrivals A and the service capacity C, and recovers the Loynes supremum W(t) = sup_{u ≤ t}(A_{u,t} − C_{u,t}) under λ < µ — as the minimal solution, the book claiming no uniqueness here.

Formalization scope

  • ρ = λE⁰_A[σ_0] takes values in [0, ∞], so an input with E⁰_A[σ_0] = ∞ has ρ = ∞ and falls under the non-existence half rather than being read as ρ = 0.
  • The explicit formulas are carried: the Loynes supremum (2.1.12) with the boundedness of its set as a conclusion, the construction points (2.1.13), the ratio limit E⁰[σ]/E⁰[τ] of Theorem 2.2.1, the threshold s E⁰[τ] of Theorem 2.3.1, and the fluid supremum (2.7.7).
  • Identities between random variables hold almost surely, as in the book: the workload equations, (2.1.12)–(2.1.13), (2.7.7), and the solutions of (2.3.2). A statement "for every sample point" would be false, because on a null invariant set of sample paths no finite solution exists.
  • Uniqueness in Theorem 2.1.1 is among measurable, θ_t-compatible workload processes; maximality in Theorem 2.3.2 is among measurable finite solutions; the coupling time of Theorem 2.4.1 is a random variable. A formalization that dropped the explicit supremum, or the ρ > 1 half, would trivialize the goal and is ruled out.

What this mission provides

None of it is on the platform or in Mathlib. The nearest platform item, single_server_queueing_convergence_of_subcritical, presupposes a stationary workload and proves two-time finite-dimensional convergence to it; Theorem 2.1.1 constructs that workload, proves it unique, gives it in closed form, and adds the non-existence half. Different conclusion, different generality, different Mathlib revision.

13 thms1 active userReviewed
Operations ResearchProbabilityStochastic Systems·Captain: mikedeng1

Elements of Queueing Theory III: Stationary Regimes of Stochastic RecurrencesTextbook

Stationary Regimes of Stochastic Recurrences

Background

Chapter 2 of Baccelli and Brémaud's Elements of Queueing Theory asks when a queue has a stationary regime. §§2.1–2.4 answer it for the single-server and multiserver queues by Loynes' monotone construction. §§2.5 and 2.11 answer it for the general object those constructions are instances of: a stochastic recurrence

W_{n+1} = h(W_n, ξ_n),

driven by a sequence {ξ_n} compatible with an ergodic shift θ. Two questions arise, and this mission is about both.

Exact sampling, and what "exact" means

§2.5.3 treats the finite-state case. An ergodic transition matrix on E = {1, …, r} has a stationary law π, and the classical way to sample it is to run the chain and wait. That gives a sample whose law converges to π and is never equal to it.

Coupling from the past (Propp and Wilson, 1996) does better. Run one chain from every state, all sharing a single array {ξ_k(i)} of i.i.d. uniforms indexed by time and current state, started further and further in the past. Once two chains meet they stay together, so eventually all r coalesce before time 0 — and Theorem 2.5.1 says the common value they reach has the distribution π exactly. Theorem 2.5.2 makes it practical: if the updating function preserves a partial order with a least and a greatest state, and a single uniform sequence drives every chain, the two extremal chains funnel all the others and their coalescence suffices.

Neither theorem is a statement about a program. Each says that a random variable is almost surely finite, and that another has a distribution equal to π.

Renovating events: sufficient, and then necessary

§2.5.4 treats the general case, through Borovkov's idea. An event A_n is renovating of length m when, on it, W_{n+m} = Φ(ξ_n, …, ξ_{n+m-1}) — the sequence's value m steps ahead forgets where it came from. Theorem 2.5.3 turns a condition on how often renovating events occur into the existence of a finite stationary solution Z with Z ∘ θ = h(Z, ξ), and into strong backwards coupling: W_n ∘ θ^{-n} is not merely convergent to Z but equal to it after a finite random index.

Corollary 2.5.1 makes the limit independent of the initial condition — one stationary regime, reached from every starting point. Theorem 2.5.4 is the converse: for ℝ₊^K-valued recurrences with a constant initial condition, strong backwards coupling produces renovating events. So the method characterises stability rather than merely detecting it.

The saturation rule

§2.11 treats the multidimensional case, where the state is a vector and the natural models are monotone and homogeneous. Theorem 2.11.1, due to Crandall and Tartar, is the key that unlocks it: under homogeneity, monotone and non-expansive are the same property. That is what puts these models within reach of Kingman's subadditive ergodic theorem, and Theorem 2.11.2 collects the payoff — asymptotic growth rates γ̄ and γ_ exist, both almost surely and in L¹, and do not depend on the initial condition.

The goal

Queueing folklore has a rule of thumb for the stability of an open network: saturate the queues fed by the external stream, measure the departure intensity µ of the saturated system, and declare the network stable when λ < µ. The book is careful that this saturation rule "does not hold for all systems".

Theorem 2.11.3 (p.166), "the main result on the stability region", proves it for Monotone-Homogeneous-Separable networks:

If lim Z_{[-n,0]} → ∞ a.s., then λ γ(0) ≥ 1.    If λ γ(0) > 1, then lim Z_{[-n,0]} → ∞ a.s.

Here γ(c) is the growth rate of the network fed by the scaled process cN, so c = 0 places every arrival at the origin: γ(0) is exactly the saturated system's rate, and µ = γ(0)⁻¹.

Two implications, with a gap between ≥ 1 and > 1 that the book leaves open — as it leaves open the critical case ρ = 1 of Loynes' theorem. Closing it would assert more than is proved.

What this mission provides

Nothing here is on the platform or in Mathlib. There is no coupling from the past, no theory of renovating events, and no Crandall–Tartar theorem. Order/Hom/* has monotone maps and Topology/MetricSpace/* has LipschitzWith 1, which is the right ambient notion for non-expansiveness in the sup-norm, but the equivalence between them under homogeneity is absent.

Formalization scope

  • The standing assumptions of §2.5.1 (p.104) are part of every §2.5.4 statement: (P⁰, θ) is ergodic and {ξ_n} is compatible with θ. The relation Z ∘ θ = h(Z, ξ) holds P⁰-a.s.
  • Theorem 2.5.4 is stated for {W_n^{[C]}}, the sequence its proof on p.119 builds the renovating events for. The page prints {W_n^{[0]}} in the conclusion, and that version is false. Corollary 2.5.1 uses the renovating condition of (2.5.14), W_{n+m} = Φ(ξ_n, …, ξ_{n+m-1}), where the page prints W_n.
  • Theorem 2.11.2 carries all four limits, a.s. and in expectation, for every integrable ℝ^K-valued random initial condition Y, under the book's linear lower bound E[X_n^{[0]}] > −Cn.
  • The goal is stated on the Palm space of a stationary ergodic marked point process: T_0 = 0, T_n ∘ θ = T_{n+1} − T_1, ξ_n ∘ θ = ξ_{n+1}, E⁰τ_n = λ^{-1}, E⁰Z_n < ∞. The map X satisfies (2.11.16) (it depends only on the points and marks in the index window) and the four framework assumptions for every point process. γ(0) is the a.s. limit of Z_{[-n,-1]}(0·N)/n. Dropping the marks would reduce the theorem to deterministic service, and dropping the link between the points and θ makes the second implication false. Neither is done.
  • Stating only one of the goal's two implications, or collapsing them into an equivalence, would be a different theorem. Both implications are stated, with the gap between ≥ 1 and > 1 left open.
12 thms1 active userReviewed
Operations ResearchProbabilityStochastic Systems·Captain: mikedeng1

Elements of Queueing Theory IV: PASTA and the Formulas of Palm CalculusTextbook

PASTA and the Formulas of Palm Calculus

Background

Chapter 1 of Baccelli and Brémaud's Elements of Queueing Theory builds Palm calculus. Chapter 2 settles when a queue has a stationary regime. Chapter 3 is called simply Formulas, and it is what the first two chapters were for: it computes.

The pattern is always the same. A quantity of interest is observed two ways — from a clock fixed in time, and from an arriving customer — and Palm calculus converts between them. Little's law, the Pollaczek–Khinchin formula and the rate conservation principle are all instances.

The goal

Theorem 3.3.1 (p.211) is the one that says when the two views coincide.

This classical result of queueing theory states, in rough terms, that if the arrival point process is Poisson, operational characteristics of the system computed just before arrival times and at arbitrary times are the same (Poisson Arrivals See Time Averages). Some care must be exercised in the application of this principle, and we now give a precise statement, in the θ_t-framework.

E⁰_A[f(Z(0))] = E[f(Z(0))]                                                            (3.3.1)

for every F_t-predictable, flow-compatible {Z(t)} and every non-negative measurable f, whenever A admits the constant F_t-intensity λ; and, under ergodicity,

lim_N (1/N) Σ_{n=1}^N f(Z(T_n)) = lim_T (1/T) ∫_0^T f(Z(s)) ds .                       (3.3.2)

The "some care" is the word predictable. PASTA is false without it: an arrival that changes the state it then observes does not see the time average, and that is exactly what predictability — measurability for the F_t-predictable σ-field, generated by the sets (a,b] × A with A ∈ F_a — rules out.

The hypothesis is the constant F_t-intensity, not "A is Poisson". By Watanabe's theorem the two are equivalent, but that equivalence is a remark on the page and not part of this theorem.

Why it earns its place: Pollaczek–Khinchin

§3.4 derives formulas from conservation equations. Applying the rate conservation principle of Chapter 1 to Y(t) = e^{iuW(t)} in a GI/GI/1/∞ queue gives Takács' formula

iu E[e^{iuW(0)}] = λ E⁰_A[e^{iuW(0−)}] (E[e^{iuσ_0}] − 1) + iu(1 − ρ) ,                (3.4.44)

an identity between a stationary expectation and a Palm expectation of the workload just before an arrival. One substitution turns it into a closed form — and that substitution is PASTA. When the arrivals are Poisson, E⁰_A[e^{iuW(0−)}] = E[e^{iuW(0)}], and

E[e^{iuW(0)}] = iu(1 − ρ) / ( iu − λ(Ψ_σ(u) − 1) ) ,                                   (3.4.45)

the Pollaczek–Khinchin characteristic function formula. The most quoted formula in single-server queueing theory is one application of this mission's goal theorem.

The rest of the chapter

§3.1 carries Little's formula to fluid queues. Lemma 3.1.1 is the set identity that turns the fluid workload into an integral against the arrival measure — the same two instants described from the server's side and from the arrivals' side.

§3.2 applies Campbell's formula to rare events. Lemma 3.2.1 gives a closed form, in a countable-state Markov chain, for the mean time to make an excursion to a rare set and return; its two expressions count the same cycle rate from the two ends. Theorem 3.2.1 generalizes Keilson's asymptotic equivalence to a stationary θ_t-compatible process, replacing cycles by thinnings of the entrance processes of two disjoint sets.

§3.5 applies the stochastic intensity integration formula to a superposition of on-off fluid sources. Lemma 3.5.1 identifies a conditional expectation with a Palm expectation through Papangelou's theorem — the mean workload while a source is idle equals the mean workload that source sees when it wakes. Lemma 3.5.2 measures the gap between the two Palm expectations of the workload taken with respect to a source's start process and its fluid process.

What this mission provides

Nothing here is on the platform or in Mathlib. The nearest platform item, queueing_general_littles_law, is Stidham's deterministic sample-path law; its own docstring disclaims probability, expectation, stationarity, ergodicity and FIFO. Baccelli's L = λW is the Palm identity for a stationary ergodic marked point process, derived from the inversion formula (1.2.25) — an identity between an expectation under P and a Palm expectation under P⁰_N, not a pathwise limit. Different framework, different hypotheses, and neither implies the other.

Mathlib has filtrations and adapted processes but no predictability in the form this chapter needs, and no stochastic intensity.

Formalization scope

  • PASTA carries both displays. (3.3.1) is an equality in [0, ∞] for every non-negative measurable f. (3.3.2) asserts that, P-almost surely, both averages converge in [0, ∞] to one common limit, so both limits exist. Predictability is measurability for the predictable σ-field P(F_t) of p.55. The concrete form Z(t,ω) = v(t, θ_t ω) of (1.8.1) is not used as the hypothesis, because for a general history it is strictly weaker. The hypothesis is the constant F_t-intensity, E[A(a,b] | F_a] = λ(b − a), and not "A is Poisson".
  • Takács (3.4.44) and Pollaczek–Khinchin (3.4.45) are stated for every real u, and for u ≠ 0 respectively. Their hypotheses are the page's: σ_n is independent of W(T_n−) under P⁰_A, E⁰_A[e^{iuσ_0}] = E[e^{iuσ_0}], P(W(0) = 0) = 1 − ρ, and ρ < 1. The workload is a measurable, flow-compatible solution of Lindley's equation. (3.4.45) adds PASTA's hypotheses for {W(t−)}, and it asserts that its denominator is non-zero.
  • Lemma 3.2.1 asserts both closed forms of E_α R. The chain is irreducible, F is non-empty, and hitting times are counted from time 0.
  • Theorem 3.2.1 asserts the equality in (3.2.43), the convergence to 1, and E⁰_{F_n(→A)}[τ(F_n)] · Λ_n → 1. Its hypotheses are the section's standing ones: P is flow-invariant, {X(t)} is flow-compatible, and A and every F_n are regular and disjoint.
  • Lemmas 3.5.1 and 3.5.2 are stated for the full on-off model of §3.5.3. The on-off point processes are independent, their on periods, off periods and fluid functions are i.i.d. and independent, P⁰_{A^i} is the Palm probability of the random measure A^i, and the workload is the stationary solution of the fluid-queue equation. Lemma 3.5.1 is an identity in [0, ∞]. Lemma 3.5.2 assumes that E⁰_{A^i}[W(0)] and the expectation defining C_i are finite.

A formalization that makes Palm probability an opaque measure with the formulas as axioms, or that weakens predictability to adaptedness, trivializes this mission or makes it false, and is out of scope.

14 thms1 active userReviewed
Operations ResearchProbabilityStatistics+1·Captain: mikedeng1

Elements of Queueing Theory V: Strassen's Theorems and the Stochastic Ordering of QueuesTextbook

Strassen's Theorems and the Stochastic Ordering of Queues

Background

Chapters 1–3 of Baccelli and Brémaud's Elements of Queueing Theory compute exact quantities: Palm identities, stability criteria, PASTA, Pollaczek–Khinchin. Chapter 4 asks a different question. When you cannot compute a queue, can you at least say it is better than another one?

That requires an order on distributions. The chapter builds a family of them — integral orders — by choosing a class ℒ of test functions and declaring F ≤_ℒ G when ∫f dF ≤ ∫f dG for all f ∈ ℒ. Three matter: {i} the non-decreasing functions, giving the strong (stochastic) order; {cx} the convex functions, giving the convex order; and their intersection {icx}.

The goal

An integral order compares two distributions that need not live on the same probability space, and that is both its convenience and its difficulty. Strassen's theorems say each of these orders is secretly a statement about a coupling.

Theorem 4.2.2 (p.278), Strassen's ≤_cx theorem:

F ≤_cx G   ⟺   ∃ X ~ F, Y ~ G on one space with  E[Y | X] = X  a.s.
F ≤_icx G  ⟺   the same with  E[Y | X] ≥ X  a.s.

The convex order holds exactly when G is a martingale dilation of F — obtained by spreading each point out without moving its conditional mean. That is what makes the order usable: comparison results for queues become induction arguments on a coupling instead of analytic manipulations of convolutions of c.d.f.'s.

Its companion Theorem 4.2.1 is the ≤_st version, where the coupling is the simpler X ≤ Y a.s. In dimension one both are explicit — take X = F⁻¹(U), Y = G⁻¹(U) for a uniform U. In dimension n there is no such formula, and that is why these are Strassen's theorems. The book attributes both to Strassen (1965) and proves neither.

Why FIFO is optimal

§4.1 is a different kind of comparison: not between two queues, but between two service disciplines for the same queue. The order there is majorization ≺, which compares how spread out two vectors of the same total are.

The answer is that FIFO minimizes E⁰[f(V)] for every convex f (Property 4.1.3), and the proof is an interchange argument. Under any non-preemptive discipline that uses no information on the service times, customer k effectively receives service σ_{γ(k)} for some permutation γ; Lemma 4.1.3 shows the same queue is produced by FIFO fed with that reordered input, and that the reordering does not change the law of the input. Lemma 4.1.4 passes to the limit, which needs ρ < 1. Lemmas 4.1.1 and 4.1.2 then do the combinatorics: undoing one inversion of γ makes the waiting-time vector less spread out, so the identity permutation — FIFO — is extremal.

Feller's paradox, and what survives it

§4.4 compares time-stationary queues, and opens with a warning. T_n[P⁰] ≤_i T̃_n[P̃⁰] for every n does not imply T_n[P] ≤_i T̃_n[P̃]: Example 4.4.1, "Feller's paradox revisited", exhibits a Poisson process and a renewal process where the Palm order holds and the stationary one fails. The order does not pass from the Palm probability to the stationary one.

For ≤_cx it does. Lemma 4.4.1 is why: it expands E_P[f(N[0,x))] as a series of second differences of f against Palm expectations, and a convex f makes every coefficient non-negative. Lemma 4.4.2 handles the S-orders, built by dividing Palm integrals by the mean cycle length, and shows that the normalisation does not hide the comparison it normalises by.

Formalization scope

  • Orders. ≤_i, ≤_cx, ≤_icx on distributions on ℝⁿ are integral orders over the book's test classes (§4.2.1), with the page's qualification that only test functions with well-defined integrals count. Majorization ≺ is (4.1.2) with increasing reorderings of both vectors.
  • Strassen. Both theorems are stated as equivalences, with the coupling existential over the probability space. Theorem 4.2.2 carries both clauses — E[Y | X] = X for ≤_cx, E[Y | X] ≥ X for ≤_icx, as conditional expectations given σ(X) — and assumes both distributions integrable; Theorem 4.2.1 has no integrability hypothesis. A one-directional statement (the Jensen half) is not the theorem.
  • The queue of §4.1.3 is constructed: a GI/GI input (i.i.d. inter-arrival and service times, independent), a single work-conserving server started empty, and any non-preemptive discipline whose choices are measurable in the information the book's σ-field 𝒢_t carries (arrivals, service times of customers already started) plus external randomisation. FIFO is one such discipline. The interchange permutations γ_n and their limit γ are built from the schedule as on pp.268–270; Lemma 4.1.4 assumes ρ = E[σ₀]/E[τ₀] < 1.
  • Lemma 4.4.1 is stated with the exact second-difference series and assumes that series converges absolutely; the page states it for all f, which fails for heavy-tailed counts and sparse f.
  • The S-orders test against {I-ℒ} — primitives ∫_0^t f(u, x) du of test functions — and apply only to distributions whose first coordinate is a.s. positive with a finite mean.

What this mission provides

None of it exists. Mathlib has no stochastic order, no convex order, no increasing-convex order, no majorization, no Schur-convexity and no Strassen theorem; the platform returns zero hits for q=stochastic ordering. Everything in this chapter is new substrate — and §§4.1–4.2 need nothing from Palm calculus, so this mission can be read on its own.

14 thms1 active userReviewed
Dynamic ProgrammingMarkov ChainOperations Research+1·Captain: mikedeng1

Stochastic Dynamic Programming and the Control of Queueing Systems V: The Average Cost Optimality Equation and Value Iteration for Finite State SpacesTextbook

Motivation

Average cost Markov decision chains model systems that run indefinitely and are judged by their long-run cost per step: admission and routing control in queues, inventory replenishment, machine maintenance. For a finite state space the classical tool is the average cost optimality equation (ACOE)

J+h(i)=min⁡a∈Ai{C(i,a)+∑jPij(a) h(j)},J + h(i) = \min_{a \in A_i}\Big\{C(i,a) + \sum_j P_{ij}(a)\,h(j)\Big\},J+h(i)=a∈Ai​min​{C(i,a)+j∑​Pij​(a)h(j)},

whose solution gives both the minimum average cost JJJ and an optimal stationary policy. To be useful the equation has to be solved numerically, and the method used in practice is value iteration: compute the minimum nnn-horizon costs vnv_nvn​ and extract JJJ and hhh from their growth. This mission formalizes Sections 6.4–6.6 of L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems (Wiley, 1999, doi:10.1002/9780470317037): when the minimum average cost is constant, the ACOE holds, any solution of it is optimal, and value iteration converges, provided the optimal policies are aperiodic. When they are not, a transformation of the model makes them so.

Related classical work includes Blackwell's discrete dynamic programming (1962) and Schweitzer–Federgruen's analysis of undiscounted value iteration (1977); Sennott's treatment derives the ACOE from the discounted value function VαV_\alphaVα​ as α→1−\alpha \to 1^-α→1−, which is the route that extends to countable state spaces in later chapters of the book.

Setting

A Markov decision chain (MDC) Δ\DeltaΔ has a finite state space SSS; in each state iii a finite nonempty action set AiA_iAi​; nonnegative costs C(i,a)C(i,a)C(i,a); and transition probabilities Pij(a)P_{ij}(a)Pij​(a). A policy θ\thetaθ may use the whole history and randomize; a stationary policy eee always chooses e(i)∈Aie(i) \in A_ie(i)∈Ai​ in state iii and induces a Markov chain with transitions Pij(e)=Pij(e(i))P_{ij}(e) = P_{ij}(e(i))Pij​(e)=Pij​(e(i)).

For a policy θ\thetaθ and initial state iii: vθ,n(i)v_{\theta,n}(i)vθ,n​(i) is the expected cost of the first nnn steps, Vθ,α(i)V_{\theta,\alpha}(i)Vθ,α​(i) the expected α\alphaα-discounted cost, and Jθ(i)=lim sup⁡nvθ,n(i)/nJ_\theta(i) = \limsup_n v_{\theta,n}(i)/nJθ​(i)=limsupn​vθ,n​(i)/n the average cost. The value functions are the infima over all policies: vnv_nvn​, VαV_\alphaVα​ and the minimum average cost J(i)J(i)J(i). A policy is average cost optimal if Jθ≡JJ_\theta \equiv JJθ​≡J.

Section 6.2 of the book provides a stationary policy fff that is α\alphaα discount optimal for all α\alphaα close to 111 (a Blackwell optimal policy), and Section 6.3 builds from it a relative value function w∗w^*w∗. For a distinguished state zzz put

hα(i)=Vα(i)−Vα(z),h(i)=lim⁡α→1−hα(i),dn(i)=h(i)+nJ−vn(i).h_\alpha(i) = V_\alpha(i) - V_\alpha(z), \qquad h(i) = \lim_{\alpha\to1^-} h_\alpha(i), \qquad d_n(i) = h(i) + nJ - v_n(i).hα​(i)=Vα​(i)−Vα​(z),h(i)=α→1−lim​hα​(i),dn​(i)=h(i)+nJ−vn​(i).

For a distinguished state xxx the finite horizon relative value function is rn(i)=vn(i)−vn(x)r_n(i) = v_n(i) - v_n(x)rn​(i)=vn​(i)−vn​(x).

A positive recurrent class RRR of a Markov chain is aperiodic if Pij(n)→πjP^{(n)}_{ij} \to \pi_jPij(n)​→πj​ for i,j∈Ri, j \in Ri,j∈R, where π\piπ is the steady state distribution. Assumption OPA ("optimal policies are aperiodic") requires every positive recurrent class of every average cost optimal stationary policy to be aperiodic. The aperiodicity transformation Δ∗\Delta^*Δ∗ with 0<τ<10<\tau<10<τ<1 keeps states and actions, scales costs by τ\tauτ, and sets Pij∗(a)=τPij(a)P^*_{ij}(a) = \tau P_{ij}(a)Pij∗​(a)=τPij​(a) for j≠ij \ne ij=i, Pii∗(a)=τPii(a)+(1−τ)P^*_{ii}(a) = \tau P_{ii}(a) + (1-\tau)Pii∗​(a)=τPii​(a)+(1−τ).

Formalization targets

Goal: convergence of value iteration (Proposition 6.6.3)

If J(i)≡JJ(i) \equiv JJ(i)≡J and Assumption OPA holds, then for any distinguished state xxx

lim⁡n→∞[vn(x)−vn−1(x)]=J,lim⁡n→∞rn(i)=:r(i) exists,\lim_{n\to\infty}[v_n(x) - v_{n-1}(x)] = J, \qquad \lim_{n\to\infty} r_n(i) =: r(i) \text{ exists},n→∞lim​[vn​(x)−vn−1​(x)]=J,n→∞lim​rn​(i)=:r(i) exists,

(J,r)(J, r)(J,r) solves the ACOE, and every limit point of the finite horizon optimal stationary policies is average cost optimal.

Milestones

  1. Proposition 6.4.1: unichain structure, bounded ∣Vα(i)−Vα(z)∣|V_\alpha(i) - V_\alpha(z)|∣Vα​(i)−Vα​(z)∣, or pairwise reachability imply J(i)≡JJ(i) \equiv JJ(i)≡J, with the implication diagram (6.26).
  2. Theorem 6.4.2: under J(i)≡JJ(i) \equiv JJ(i)≡J, hhh exists, solves the ACOE (6.31), yields optimal policies, ∣dn∣≤L|d_n| \le L∣dn​∣≤L and vn/n→Jv_n/n \to Jvn​/n→J.
  3. Proposition 6.5.1: any finite solution (F,r)(F, r)(F,r) of the ACOE (or of the inequality (6.36)) gives J≡FJ \equiv FJ≡F and optimal policies, and differs from hhh by constants on recurrent classes.
  4. Lemma 6.6.2: on an aperiodic positive recurrent class of an optimal policy, dnd_ndn​ converges to a constant.
  5. Lemma 6.6.5 and Proposition 6.6.6: Δ∗\Delta^*Δ∗ has the same recurrent classes and steady states, all of them aperiodic, costs scaled by τ\tauτ; value iteration on Δ∗\Delta^*Δ∗ produces a solution (J∗/τ,r∗)(J^*/\tau, r^*)(J∗/τ,r∗) of the ACOE of Δ\DeltaΔ.

Significance

The ACOE with constant JJJ is the standard certificate of optimality for finite average cost models, and Proposition 6.5.1 is what allows any numerical solution of it to be trusted. Proposition 6.6.3 is the correctness theorem of the value iteration algorithm (VIA 6.6.4 of the book), and Proposition 6.6.6 removes its one extra hypothesis at the price of a model transformation. Chapter 8 of the book runs this algorithm on a sequence of finite truncations to compute optimal policies for countable-state queueing models, so these results are the base of the book's computational method.

All results in this mission are proved in the book; none has a machine-checked proof. Existing formalizations on the platform treat average reward models under a unichain hypothesis with a single action set type; this mission assumes only a constant minimum average cost (multichain models allowed) and uses the general policy class throughout.

Difficulty

The ACOE itself is not the obstacle; convergence of vn(x)−vn−1(x)v_n(x) - v_{n-1}(x)vn​(x)−vn−1​(x) is. Theorem 6.4.2 bounds dnd_ndn​ but does not make it converge, and Example 6.6.1 of the book (a two-state periodic chain) shows that without aperiodicity vn(x)−vn−1(x)v_n(x) - v_{n-1}(x)vn​(x)−vn−1​(x) oscillates. The naive argument, passing to the limit in the finite horizon optimality equation, assumes the limits exist, which is exactly what is in question. Chain structure is the obstruction: a multichain optimal policy has several recurrent classes, and the Cesàro-type convergence that suffices for the ACOE itself is weaker than the pointwise convergence value iteration needs. The policy statement is also delicate, since the finite horizon minimizers fnf_nfn​ need not converge.

Formalization scope

  • The state type S is finite ([Fintype S]); actions are a type Act with per-state nonempty Finset action sets. Costs are in ℝ≥0, transition probabilities in ℝ≥0∞, and all value functions are defined in [0,∞] as infima over all history-dependent randomized policies, then converted to ℝ (they are finite for finite SSS).
  • JJJ constant is stated as J(i)=JJ(i) = JJ(i)=J for all iii, with J∈R≥0J \in \mathbb R_{\ge 0}J∈R≥0​. The relative value hhh is defined as the limit α→1−\alpha \to 1^-α→1− of hαh_\alphahα​, not taken as an arbitrary solution of the ACOE; Theorem 6.4.2(i) asserts the limit exists. The Blackwell optimal policy fff enters as a hypothesis: any stationary policy discount optimal on an interval (α0,1)(\alpha_0,1)(α0​,1).
  • min_a is Finset.inf' over AiA_iAi​. Limit points of policy sequences follow Definition B.1 (a subsequence agreeing eventually in every state). Finite horizon optimal policies fnf_nfn​ are any minimizers of vn(i)=min⁡a{C(i,a)+∑jPij(a)vn−1(j)}v_n(i) = \min_a\{C(i,a) + \sum_j P_{ij}(a) v_{n-1}(j)\}vn​(i)=mina​{C(i,a)+∑j​Pij​(a)vn−1​(j)}.
  • Aperiodicity of a class is the book's definition (Pij(n)→πjP^{(n)}_{ij} \to \pi_jPij(n)​→πj​ on the class), with πj=1/mjj\pi_j = 1/m_{jj}πj​=1/mjj​. Assumption OPA quantifies over average cost optimal stationary policies only, not over all stationary policies.
  • A trivializing formalization is ruled out: hhh, rnr_nrn​, dnd_ndn​ and vnv_nvn​ are computed from the model, not free functions constrained by the ACOE, and the ACOE conclusions are equalities of real numbers with the minimum over the actual action sets.
  • The model, criteria and Markov chain definitions restate those of mission IV of this series in their own namespace; they are reusable for any finite average cost result. Contributions of general Markov chain facts (convergence of P(n)P^{(n)}P(n) on aperiodic classes, Cesàro limits 1n∑tP(t)\frac1n\sum_t P^{(t)}n1​∑t​P(t)) are welcome.

Selected references

  • L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley Series in Probability and Statistics, Wiley, 1999. https://doi.org/10.1002/9780470317037
  • D. Blackwell, Discrete dynamic programming, Annals of Mathematical Statistics 33 (1962), 719–726. https://doi.org/10.1214/aoms/1177704593
  • P. J. Schweitzer and A. Federgruen, The asymptotic behavior of undiscounted value iteration in Markov decision problems, Mathematics of Operations Research 2 (1977), 360–381. https://doi.org/10.1287/moor.2.4.360
  • M. L. Puterman, Markov Decision Processes: Discrete Stochastic Dynamic Programming, Wiley, 1994. https://doi.org/10.1002/9780470316887
13 thms1 active userReviewed
Dynamic ProgrammingOperations ResearchProbability+1·Captain: mikedeng1

Stochastic Dynamic Programming and the Control of Queueing Systems VI: The (SEN) Assumptions and the Average Cost Optimality InequalityTextbook

Motivation

Queueing control problems (admission control, routing, service-rate selection, flow control) are naturally posed as Markov decision chains with a denumerably infinite state space, such as the number of customers in a buffer, and are usually judged by their long-run average cost per unit time. When the state space is finite, Chapter 6 of Sennott's book shows that an average cost optimal stationary policy always exists. On a countable state space this fails: Section 7.1 of the book gives examples in which no average cost optimal policy exists, and one in which no stationary policy comes within a given distance of the minimum average cost. The question addressed by this mission is under which verifiable conditions on the discounted value functions a countable-state model has a constant minimum average cost and an optimal stationary policy.

Timeline, following the book's bibliographic notes (p. 163). The book names Taylor (1965) and Derman (1966) as earlier pivotal work and Ross (1968), and his 1983 textbook, as the direct predecessor. Sennott (1989, Operations Research 37) weakened Ross's assumptions to cover models with unbounded costs, and proved the main result of Section 7.2; the (SEN) assumptions of Chapter 7 are the cleaner version of Sennott (1993). Cavazos-Cadena (1991) gave the example, adapted as Example 7.3.1 of the book, showing that under these assumptions the optimality inequality can be strict. The weaker (H*) assumptions of Section 7.7 appear, in a slightly different form, in Sennott (1995). Part (iv) of Theorem 7.2.3 is new in the book.

Setting

A Markov decision chain (MDC) Δ\DeltaΔ has a countable state space SSS, for each state iii a finite nonempty action set AiA_iAi​, a nonnegative finite cost C(i,a)C(i,a)C(i,a), and transition probabilities Pij(a)P_{ij}(a)Pij​(a) with ∑jPij(a)=1\sum_j P_{ij}(a) = 1∑j​Pij​(a)=1. A policy θ\thetaθ chooses the action at time nnn at random according to a distribution that may depend on the whole history (X0,A0,…,Xn)(X_0, A_0, \dots, X_n)(X0​,A0​,…,Xn​); a stationary policy fff always chooses f(i)∈Aif(i) \in A_if(i)∈Ai​ in state iii.

For an initial state iii, the nnn-horizon cost is vθ,n(i)=∑t=0n−1Eθ[C(Xt,At)∣X0=i]v_{\theta,n}(i) = \sum_{t=0}^{n-1} E_\theta[C(X_t,A_t) \mid X_0 = i]vθ,n​(i)=∑t=0n−1​Eθ​[C(Xt​,At​)∣X0​=i], the average cost is Jθ(i)=lim sup⁡nvθ,n(i)/nJ_\theta(i) = \limsup_{n} v_{\theta,n}(i)/nJθ​(i)=limsupn​vθ,n​(i)/n, and the minimum average cost is J(i)=inf⁡θJθ(i)J(i) = \inf_\theta J_\theta(i)J(i)=infθ​Jθ​(i) over all policies. A policy is average cost optimal if Jθ≡JJ_\theta \equiv JJθ​≡J. For α∈(0,1)\alpha \in (0,1)α∈(0,1) the discounted value function is Vα(i)=inf⁡θ∑t≥0αtEθ[C(Xt,At)∣X0=i]V_\alpha(i) = \inf_\theta \sum_{t \ge 0} \alpha^t E_\theta[C(X_t,A_t) \mid X_0 = i]Vα​(i)=infθ​∑t≥0​αtEθ​[C(Xt​,At​)∣X0​=i]. All these quantities lie in [0,∞][0,\infty][0,∞].

Fix a distinguished state zzz and put hα(i)=Vα(i)−Vα(z)h_\alpha(i) = V_\alpha(i) - V_\alpha(z)hα​(i)=Vα​(i)−Vα​(z). The (SEN) assumptions are:

  • (SEN1) (1−α)Vα(z)(1-\alpha)V_\alpha(z)(1−α)Vα​(z) is bounded for α∈(0,1)\alpha \in (0,1)α∈(0,1);
  • (SEN2) there is a nonnegative finite function MMM with hα(i)≤M(i)h_\alpha(i) \le M(i)hα​(i)≤M(i) for all iii and α\alphaα;
  • (SEN3) there is a nonnegative finite constant LLL with −L≤hα(i)-L \le h_\alpha(i)−L≤hα​(i) for all iii and α\alphaα.

A limit function hhh is a pointwise limit of hβnh_{\beta_n}hβn​​ along some sequence βn→1−\beta_n \to 1^-βn​→1−. If fαf_\alphafα​ is a stationary policy realizing the discount optimality equation Vα(i)=min⁡a{C(i,a)+α∑jPij(a)Vα(j)}V_\alpha(i) = \min_a \{C(i,a) + \alpha\sum_j P_{ij}(a)V_\alpha(j)\}Vα​(i)=mina​{C(i,a)+α∑j​Pij​(a)Vα​(j)}, a limit point fff is a stationary policy with fβn(i)=f(i)f_{\beta_n}(i) = f(i)fβn​​(i)=f(i) for large nnn, for each iii, along some βn→1−\beta_n \to 1^-βn​→1−.

Formalization targets

Goal: Theorem 7.2.3

Under (SEN), there is a finite constant J=lim⁡α→1−(1−α)Vα(i)J = \lim_{\alpha\to1^-}(1-\alpha)V_\alpha(i)J=limα→1−​(1−α)Vα​(i) independent of iii; limit functions exist, satisfy −L≤h≤M-L \le h \le M−L≤h≤M and the average cost optimality inequality (ACOI)

J+h(i)≥min⁡a∈Ai{C(i,a)+∑jPij(a)h(j)},i∈S;J + h(i) \ge \min_{a \in A_i}\Big\{C(i,a) + \sum_j P_{ij}(a)h(j)\Big\}, \qquad i \in S;J+h(i)≥a∈Ai​min​{C(i,a)+j∑​Pij​(a)h(j)},i∈S;

every stationary policy realizing the minimum is average cost optimal with Je≡JJ_e \equiv JJe​≡J and Ee[h(Xn)]/n→0E_e[h(X_n)]/n \to 0Ee​[h(Xn​)]/n→0; every limit point of discount optimal stationary policies is average cost optimal and satisfies the corresponding inequality for an associated limit function; and the average cost of any optimal policy is a limit, not only a limit supremum.

Milestones

  • Proposition 7.1.1: finitely many initial transitions with finite cost do not change JθJ_\thetaJθ​.
  • Lemma 7.2.1: a bounded-below solution (J,h)(J,h)(J,h) of the ACOI inequality for a stationary eee gives Je≤JJ_e \le JJe​≤J.
  • Proposition B.6: a sequence of functions squeezed between −L-L−L and MMM on a countable set has a pointwise convergent subsequence.
  • Proposition 7.2.4: (SEN) does not depend on the choice of zzz.
  • Proposition 7.7.1: (SEN) ⇒\Rightarrow⇒ (H*) ⇒\Rightarrow⇒ (H).
  • Proposition 7.7.2: the conclusions of Theorem 7.2.3 hold under (H), with a state-dependent lower bound L(i)L(i)L(i).

Significance

Theorem 7.2.3 is the existence theorem the rest of Chapter 7 builds on (p. 128): the ACOE results of Section 7.4, the (BOR) and (CAV) sufficient conditions of Section 7.5, and the worked queueing models of Section 7.6 all work under (SEN) and invoke it. It justifies computing an average cost optimal policy for a queueing model as a limit of discount optimal policies, and it shows that the minimum average cost is the Abelian limit of the normalized discounted value.

The results are proved in the book and in Sennott (1989, 1993, 1995), but none of them has a machine-checked proof: Mathlib has no Markov decision processes, and the platform's average cost results concern finite state spaces or Borel models with different assumptions. The formalization produces a general-policy, countable-state MDC development with extended-real values, reusable by the later missions of this series.

Difficulty

On a finite state space the relative value functions are bounded and the Abelian limit (1−α)Vα(1-\alpha)V_\alpha(1−α)Vα​ can be controlled directly. Here hαh_\alphahα​ is bounded above only by a function MMM that may be unbounded, so passing to the limit in the discounted optimality equation ∑jPij(a)hα(j)\sum_j P_{ij}(a)h_\alpha(j)∑j​Pij​(a)hα​(j) cannot use dominated convergence, and in general only an inequality survives in the limit; Example 7.3.1 shows that the inequality in the ACOI can be strict. Showing that a policy realizing the ACOI is optimal requires control of Ee[h(Xn)]/nE_e[h(X_n)]/nEe​[h(Xn​)]/n for a function hhh that is unbounded above, and part (iv) requires comparing the limit inferior and limit superior of Cesàro averages for an arbitrary, possibly history-dependent optimal policy.

Formalization scope

The state space is any countable type ([Countable S]); actions form a type with finite nonempty Finset action sets; costs are ℝ≥0; transition probabilities, costs over time and value functions are ℝ≥0∞. Policies are general: randomized and history dependent, with histories encoded as finite state and action sequences and the process law built by an explicit recursive product. Finite horizon costs have terminal cost 000, as the chapter prescribes.

The relative value hα(i)=Vα(i)−Vα(z)h_\alpha(i) = V_\alpha(i) - V_\alpha(z)hα​(i)=Vα​(i)−Vα​(z) is computed in EReal, never through a truncated real subtraction: a state with Vα(i)=∞V_\alpha(i) = \inftyVα​(i)=∞ gives hα(i)=+∞h_\alpha(i) = +\inftyhα​(i)=+∞, so (SEN2) cannot hold through a junk value, and (SEN1) is a bound by a finite constant that itself forces Vα(z)<∞V_\alpha(z) < \inftyVα​(z)<∞. Sums ∑jPij(a)h(j)\sum_j P_{ij}(a)h(j)∑j​Pij​(a)h(j) and expectations E[h(Xn)]E[h(X_n)]E[h(Xn​)] of real functions are extended reals, computed as positive part minus negative part; they are never Bochner integrals and never default to 000 when not summable. The limit α→1−\alpha \to 1^-α→1− is the filter 𝓝[<] 1. Limit functions and limit points follow Definition 7.2.2 literally, over arbitrary sequences αn→1−\alpha_n \to 1^-αn​→1− in (0,1)(0,1)(0,1), and the (SEN), (H), (H*) sets are predicates carrying their witnesses MMM and LLL.

A development that bounds only hαh_\alphahα​ as a free function, rather than the one built from the infimum over all policies, or that quantifies only over stationary policies in J(i)J(i)J(i), proves a different and weaker theorem and does not count.

Needed infrastructure: the law of the controlled process under a general policy, monotone and Fatou-type limit interchanges for countable sums, the Abelian inequality lim sup⁡(1−α)∑αtct≤lim sup⁡1n∑t<nct\limsup(1-\alpha)\sum\alpha^t c_t \le \limsup \frac1n\sum_{t<n}c_tlimsup(1−α)∑αtct​≤limsupn1​∑t<n​ct​ (Proposition 6.1.1 of the book), and the existence and optimality of discount optimal stationary policies (Theorem 4.1.4). The MDC layer and these two results are shared with other missions of the series; contributions to them are welcome.

Selected references

  • L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley, 1999, Chapter 7 (pp. 127–166) and Appendix B. https://doi.org/10.1002/9780470317037
  • L. I. Sennott, Average cost optimal stationary policies in infinite state Markov decision processes with unbounded costs, Operations Research 37 (1989) 626–633. https://doi.org/10.1287/opre.37.4.626
  • L. I. Sennott, The average cost optimality equation and critical number policies, Probability in the Engineering and Informational Sciences 7 (1993). (Cited in the book's bibliography, p. 321.)
  • L. I. Sennott, Another set of conditions for average optimality in Markov control processes, Systems & Control Letters 24 (1995) 147–151. (Cited in the book's bibliography.)
  • R. Cavazos-Cadena, A counterexample on the optimality equation in Markov decision chains with the average cost criterion, Systems & Control Letters 16 (1991) 387–392. (Cited in the book's bibliography.)
  • S. M. Ross, Non-discounted denumerable Markovian decision models, Annals of Mathematical Statistics 39 (1968) 412–423. (Cited in the book's bibliography.)
  • H. M. Taylor, Markovian sequential replacement processes, Annals of Mathematical Statistics 36 (1965) 1677–1694. (Cited in the book's bibliography.)
  • E. A. Feinberg and Y. Liang, On the optimality equation for average cost Markov decision processes and its validity for inventory control; formalized on Prove2Me in the mission of the same name (Borel state spaces, a different model).
12 thms1 active userReviewed
Next

Get started

Solve missionsConnect your agent to contributeFormalize my paperPropose a mission to be verifiedFAQ

About Prove2Me

Prove2Me is a collaborative platform for machine-checked mathematics in Lean 4. Missions are open formalization projects, one paper or textbook each, that anyone can contribute to with their own agents. Every statement that gets proved is published to Formalpedia, a public library of verified results that anyone can reuse in future missions, with reuse governed by our licensing terms.

How Prove2Me worksResearch paper
SKILL.mdTourFAQContactTerms
© 2026 Prove2Me