Onno Boxma's research while affiliated with Eindhoven University of Technology and other places

Publications (350)

Article
We consider a Lévy process Y ( t ) that is not continuously observed, but rather inspected at Poisson( $\omega$ ) moments only, over an exponentially distributed time $T_\beta$ with parameter $\beta$ . The focus lies on the analysis of the distribution of the running maximum at such inspection moments up to $T_\beta$ , denoted by $Y_{\beta,\omega}$...
Article
We consider an ( R, Q ) inventory model with two types of orders, normal orders and emergency orders, which are issued at different inventory levels. These orders are delivered after exponentially distributed lead times. In between deliveries, the inventory level decreases in a state-dependent way, according to a release rate function $\alpha({\cdo...
Article
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In this paper, we study a functional equation for generating functions of the form f(z)=g(z)∑i=1Mpif(αi(z))+K(z)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$f(z) = g...
Article
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We investigate the tail asymptotics of the response time distribution for the cancel-on-start (c.o.s.) and cancel-on-completion (c.o.c.) variants of redundancy- d scheduling and the fork–join model with heavy-tailed job sizes. We present bounds, which only differ in the pre-factor, for the tail probability of the response time in the case of the fi...
Article
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This paper analyzes various stochastic recursions that arise in queueing and insurance risk models with a ‘semi-linear’ dependence structure. For example, an interarrival time depends on the workload, or the capital, immediately after the previous arrival; or the service time of a customer depends on her waiting time. In each case, we derive and so...
Preprint
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This paper derives exact expressions for the Laplace-Stieltjes transform of the order picking time in single- and 2-block warehouses. We consider manual warehouses that deploy return routing and assume that order sizes follow a Poisson distribution. The results in this paper apply to a wide range of storage policies, including but not restricted to...
Article
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We present a stochastic growth-collapse model for the capital process of a peer-to-peer lending platform. New lenders arrive according to a compound Poisson-type process with a state-dependent intensity function; the growth of the lending capital is from time to time interrupted by partial collapses whose arrival intensities and sizes are also stat...
Preprint
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This paper presents exact derivations of the first two moments of the total picking time in a warehouse for four routing heuristics, under the assumption of random storage. The analysis is done for general order size distributions and provides formulas in terms of the probability generating function of the order size distribution. These results are...
Preprint
In this paper, we analyze a two-queue random time-limited Markov modulated polling model. In the first part of the paper, we investigate the fluid version: Fluid arrives at the two queues as two independent flows with deterministic rate. There is a single server that serves both queues at constant speeds. The server spends an exponentially distribu...
Preprint
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We consider a L\'evy process $Y(t)$ that is not permanently observed, but rather inspected at Poisson($\omega$) moments only, over an exponentially distributed time $T_\beta$ with parameter $\beta$. The focus lies on the analysis of the distribution of the running maximum at such inspection moments up to $T_\beta$, denoted by $Y_{\beta,\omega}$. Ou...
Article
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We provide a survey of so-called shot-noise queues: queueing models with the special feature that the server speed is proportional to the amount of work it faces. Several results are derived for the workload in an M/G/1 shot-noise queue and some of its variants. Furthermore, we give some attention to queues with general workload-dependent service s...
Article
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Motivated by the trade-off issue between delay performance and energy consumption in modern computer and communication systems, we consider a single-server queue with phase-type service requirements and with the following two special features: Firstly, the service speed is a piecewise constant function of the workload. Secondly, the server switches...
Article
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This paper presents an analysis of the stochastic recursion $$W_{i+1} = [V_iW_i+Y_i]^+$$ W i + 1 = [ V i W i + Y i ] + that can be interpreted as an autoregressive process of order 1, reflected at 0. We start our exposition by a discussion of the model’s stability condition. Writing $$Y_i=B_i-A_i$$ Y i = B i - A i , for independent sequences of non...
Article
We consider a general class of closed product-form queueing networks, consisting of single-server queues and infinite-server queues. Even if a network is of product-form type, performance evaluation tends to be difficult due to the potentially large state space and the dependence between the individual queues. To remedy this, we analyze the model i...
Preprint
Full-text available
We investigate the tail asymptotics of the response time distribution for the cancel-on-start (c.o.s.) and cancel-on-completion (c.o.c.) variants of redundancy-$d$ scheduling and the fork-join model with heavy-tailed job sizes. We present bounds, which only differ in the pre-factor, for the tail probability of the response time in the case of the f...
Chapter
In this chapter, the authors consider two infinite‐server queueing models with a so‐called mixed arrival process. First, they study the case of Coxian service times. Second, the authors consider a Markov‐modulated infinite‐server queue with general service times. In queueing theory, it is often assumed that the arrival process is a Poisson process...
Article
The aim of this paper is to analyze a general class of storage processes, in which the rate at which the storage level increases or decreases is assumed to be an affine function of the current storage level, and, in addition, both upward and downward jumps are allowed. To do so, we first focus on a related insurance risk model, for which we determi...
Article
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The workload of a generalized n-site asymmetric simple inclusion process (ASIP) is investigated. Three models are analyzed. The first model is a serial network for which the steady-state Laplace–Stieltjes transform (LST) of the total workload in the first k sites (k≤n\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackag...
Article
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We investigate the stability condition for redundancy-d systems where each of the servers follows a processor-sharing (PS) discipline. We allow for generally distributed job sizes, with possible dependence among the d replica sizes being governed by an arbitrary joint distribution. We establish that for homogeneous servers the stability condition f...
Chapter
Théorie des files d’attente 1 présente la recherche de pointe actuelle et les pratiques établies dans le domaine des systèmes et réseaux de files d’attente. Il expose l’analyse des files d’attente avec des temps d’arrivée et de service interdépendants, les caractéristiques des files d’attente fluides, certaines modifications du système de files d’a...
Article
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In this paper, we study a single-server polling model with two queues. Customers arrive at the queues according to two independent Poisson processes. The server spends random amounts of time in each queue, regardless of the amounts of work present at the queues. The service speed is not constant; it is assumed that the server works at speed r i x i...
Preprint
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We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ($i=1,2,\dots$) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model the proportional gain feature, that is, if the surplus process just before the $i$th arrival is at level $u$, t...
Article
We consider a multivariate Lévy process where the first coordinate is a Lévy process with no negative jumps which is not a subordinator and the others are non-decreasing. We determine the Laplace–Stieltjes transform of the steady-state buffer content vector of an associated system of parallel queues. The special structure of this transform allows u...
Article
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This paper addresses the analysis of the queue-length process of single-server queues under overdispersion, i.e., queues fed by an arrival process for which the variance of the number of arrivals in a given time window exceeds the corresponding mean. Several variants are considered, using concepts as mixing and Markov modulation, resulting in diffe...
Article
Full-text available
We consider a sequence of age-replacement problems with a general lifetime distribution parametrized by an a-priori unknown parameter. There is a trade-off: Preventive replacements are censored but cheap, whereas corrective replacements are uncensored but costly observations of the lifetime distribution. We first analyze the optimal policy for a fi...
Article
We consider the tail behavior of the response time distribution in anM/G/1 queue with heavy-tailed job sizes, specifically those with intermediately regularly varying tails. In this setting, the response time tail of many individual policies has been characterized, and it is known that policies such as Shortest Remaining Processing Time (SRPT) and...
Conference Paper
We consider the tail behavior of the response time distribution in an M/G/1 queue with heavy-tailed job sizes, specifically those with intermediately regularly varying tails. In this setting, the response time tail of many individual policies has been characterized, and it is known that policies such as Shortest Remaining Processing Time (SRPT) and...
Article
We introduce two general classes of reflected autoregressive processes, INGAR ⁺ and GAR ⁺ . Here, INGAR ⁺ can be seen as the counterpart of INAR(1) with general thinning and reflection being imposed to keep the process non-negative; GAR ⁺ relates to AR(1) in an analogous manner. The two processes INGAR ⁺ and GAR ⁺ are shown to be connected via a du...
Preprint
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We consider a system with several job types and two parallel server pools. Within the pools the servers are homogeneous, but across pools possibly not in the sense that the service speed of a job may depend on its type as well as the server pool. Immediately upon arrival, jobs are assigned to a server pool. This could be based on (partial) knowledg...
Article
In this paper, a few models for optical router nodes are considered. The stations (ports) of such a node try to transmit packets. Successful transmission of a packet of type j at station i gives a profit γij, but there is also a positive probability that such a packet is dropped, causing a penalty θij. Consider one fixed cycle (frame), in which eac...
Preprint
Full-text available
We consider a sequence of age-replacement problems with a general lifetime distribution parametrized by an a-priori unknown parameter. There is a trade-off: Preventive replacements are censored but cheap, whereas corrective replacements are uncensored but costly observations of the lifetime distribution. We first analyze the optimal policy for a fi...
Preprint
Full-text available
This paper presents an analysis of the stochastic recursion $W_{i+1} = [V_iW_i+Y_i]^+$ that can be interpreted as an autoregressive process of order 1, reflected at 0. We start our exposition by a discussion of the model's stability condition. Writing $Y_i=B_i-A_i$, for independent sequences of non-negative i.i.d.\ random variables $\{A_i\}_{i\in N...
Article
We consider the tail behavior of the response time distribution in an M/G/1 queue with heavy-tailed job sizes, specifically those with intermediately regularly varying tails. In this setting, the response time tail of many individual policies has been characterized, and it is known that policies such as Shortest Remaining Processing Time (SRPT) and...
Preprint
This paper addresses the analysis of the queue-length process of single-server queues under overdispersion, i.e., having arrival and/or service rates that are not constant but instead randomly evolve over time. Several variants are considered, using concepts as mixing and Markov modulation, resulting in different models with either endogenously tri...
Preprint
Full-text available
We investigate the stability condition for redundancy-d systems where each of the servers follows a processor-sharing (PS) discipline. We allow for generally distributed job sizes, with possible dependence among the d replica sizes being governed by an arbitrary joint distribution. We establish that the stability condition is characterized by the e...
Article
Full-text available
We study a single server queue, where dependence is introduced between the service times, or between the inter-arrival times, or both between the service times and the inter-arrival times. This dependence arises via mixing, i.e., a parameter pertaining to the distribution of the service times, or of the interarrival times, is itself considered to b...
Preprint
We consider a multivariate L\'evy process where the first coordinate is a L\'evy process with no negative jumps which is not a subordinator and the others are nondecreasing. We determine the Laplace-Stieltjes transform of the steady-state buffer content vector of an associated system of parallel queues. The special structure of this transform allow...
Article
Full-text available
Redundancy scheduling has emerged as a powerful strategy for improving response times in parallel-server systems. The key feature in redundancy scheduling is replication of a job upon arrival by dispatching replicas to different servers. Redundant copies are abandoned as soon as the first of these replicas finishes service. By creating multiple ser...
Article
We present a model of parallel Lévy-driven queues that mix their output into a final product; whatever cannot be mixed is sold on the open market for a lower price. The queues incur holding and capacity costs and can choose their processing rates. We solve the ensuing centralized (system optimal) and decentralized (individual station optimal) profi...
Article
We explore the relationship between the (S−1,S) inventory model and three well-known queueing models: the Erlang loss system, the machine-repair model and a two-node Jackson network. Exploiting this relationship allows us to obtain key performance measures of the (S−1,S) model, like the so-called virtual outdating time, the number of items on the s...
Article
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We consider a network of infinite-server queues where the input process is a Cox process of the following form: The arrival rate is a vector-valued linear transform of a multivariate generalized (i.e., being driven by a subordinator rather than a compound Poisson process) shot-noise process. We first derive some distributional properties of the mul...
Chapter
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In modern data centers, the trade-off between processing speed and energy consumption is an important issue. Motivated by this, we consider a queueing system in which the service speed is a function of the workload, and in which the server switches off when the system becomes empty, only to be activated again when the workload reaches a certain thr...
Article
Motivated by emerging Internet-of-Things (IoT) applications and smart building environments, we analyze the performance of large-scale symmetric polling systems where the number of queues grows large. We consider a scenario in which the total arrival rate is kept fixed and the individual switch-over time and service time distributions remain the sa...
Conference Paper
In this paper, an optical router node with multiple wavelengths is considered. It is assumed that successful transmission of a packet of type j at station (= port) i of the router node gives a profit γij, but that there is also a positive probability that such a packet is dropped, causing a penalty &thetas;ij. This brings us to the formulation of a...
Article
Full-text available
We consider a linear stochastic fluid network under Markov modulation, with a focus on the probability that the joint storage level attains a value in a rare set at a given point in time. The main objective is to develop efficient importance sampling algorithms with provable performance guarantees. For linear stochastic fluid networks without modul...
Article
We consider job dispatching in systems with N parallel servers, where jobs arrive according to a Poisson process of rate λ. In redundancy-d policies, replicas of an arriving job are assigned to d≤N servers selected uniformly at random (without replacement) with the objective to reduce the delay. We introduce a quite general workload model, in which...
Preprint
Redundancy scheduling has emerged as a powerful strategy for improving response times in parallel-server systems. The key feature in redundancy scheduling is replication of a job upon arrival by dispatching replicas to different servers. Redundant copies are abandoned as soon as the first of these replicas finishes service. By creating multiple ser...
Article
We consider job dispatching in systems with [Formula presented] parallel servers. In redundancy-[Formula presented] policies, replicas of an arriving job are assigned to [Formula presented] servers selected uniformly at random (without replacement) with the objective to reduce the delay. We introduce a quite general workload model, in which job siz...
Preprint
In this paper, an optical router node with multiple wavelengths is considered. We introduce revenue for successful transmission and study the ensuing revenue maximization problem. We present an efficient and accurate heuristic procedure for solving the NP-hard revenue maximization problem and investigate the advantage offered by having multiple wav...
Article
Full-text available
This is a survey on polling systems, focussing on the basic single-server multi-queue polling system in which the server visits the queues in cyclic order. The main goals of the paper are: (i) to discuss a number of the key methodologies in analyzing polling models; (ii) to give an overview of recent polling developments; and (iii) to present a num...
Article
We consider the dual risk model with special dividend or tax payments: If an arriving gain finds the surplus above a barrier b or if it would bring the surplus above that level, a certain part of the gain is paid as dividends or taxes. We obtain expressions for the joint Laplace–Stieltjes transform of the time to ruin and the amount of dividends pa...
Article
Full-text available
In this paper we study the number of customers in infinite-server queues with a self-exciting (Hawkes) arrival process. Initially we assume that service requirements are exponentially distributed and that the Hawkes arrival process is of a Markovian nature. We obtain a system of differential equations that characterizes the joint distribution of th...
Preprint
This paper aims at semi-parametrically estimating the input process to a L\'evy-driven queue by sampling the workload process at Poisson times. We construct a method-of-moments based estimator for the L\'evy process' characteristic exponent. This method exploits the known distribution of the workload sampled at an exponential time, thus taking into...
Article
We review several developments in fluid flow models: feedback fluid models, linear stochastic fluid networks and bandwidth sharing networks. We also mention some promising new research directions.
Article
Full-text available
This paper considers an M/G/1 queue with the following vacation discipline. The server takes a vacation as soon as it has served a certain amount of work since the end of the previous vacation. If the system becomes empty before the server has completed this amount of work, then it stays idle until the next customer arrival and then becomes active...
Article
This paper considers a batch arrival Mx/G/1 queue with impatient customers. We consider two different model variants. In the first variant, customers in the same batch are assumed to have the same patience time, and patience times associated with batches are i.i.d. according to a general distribution. In the second variant, patience times of custom...
Article
We consider a stochastic model for a blood bank, in which amounts of blood are offered and demanded according to independent compound Poisson processes. Blood is perishable, i.e., blood can only be kept in storage for a limited amount of time. Furthermore, demand for blood is impatient, i.e., a demand for blood may be canceled if it cannot be satis...
Conference Paper
We study a queueing system with a Poisson arrival process, in which a dispatcher sends the jobs to K homogeneous queues. The dispatcher knows the size of each job, and can implement a size-aware policy. Instead of trying to optimize system performance, we propose a Size Interval Task Assignment (SITA) policy that aims to equalize the performance (m...
Article
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We consider gated polling systems with two special features: (i) retrials, and (ii) glue or reservation periods. When a type-$i$ customer arrives, or retries, during a glue period of station $i$, it will be served in the next visit period of the server to that station. Customers arriving at station $i$ in any other period join the orbit of that sta...
Article
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A classical result for the steady-state queue-length distribution of single-class queueing systems is the following: the distribution of the queue length just before an arrival epoch equals the distribution of the queue length just after a departure epoch. The constraint for this result to be valid is that arrivals, and also service completions, wi...
Article
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We investigate the transient and stationary queue length distributions of a class of service systems with correlated service times. The classical (Formula presented.) queue with semi-Markov service times is the most prominent example in this class and serves as a vehicle to display our results. The sequence of service times is governed by a modulat...
Article
Full-text available
In this paper, we study the transient number of customers in infinite-server queues with a self-exciting (Hawkes) arrival process. Hawkes processes have found applications in many scientific fields. Nevertheless, self-exciting arrival processes are not well explored in the queueing literature. This paper aims to fill that gap. In the first part of...
Article
Full-text available
We consider a linear network under Markov modulation, with a focus on the probability that the joint storage level attains a value in a rare set at a given point in time. The main objective is to develop efficient importance sampling algorithms with provable performance guarantees. For linear networks without modulation, we prove that the number of...
Article
This paper is devoted to the performance analysis and optimization of blood testing procedures. We present a queueing model of two queues in series, representing the two stages of a blood-testing procedure. Service (testing) in stage 1 is performed in batches, whereas it is done individually in stage 2. Since particular elements of blood can only b...
Article
We consider the surplus of an insurance company that employs reinsurance. The reinsurer covers part of the claims, but in return it receives a certain part of the income from premiums of the insurance company. In addition, the reinsurer receives some of the dividends that are withdrawn when a certain surplus level b is reached. A special feature of...
Article
We consider a Cramér–Lundberg insurance risk process with the added feature of reinsurance. If an arriving claim finds the reserve below a certain threshold γ, or if it would bring the reserve below that level, then a reinsurer pays part of the claim. Using fluctuation theory and the theory of scale functions of spectrally negative Lévy processes,...
Article
Full-text available
In this paper, we analyse a single server polling model with two queues. Customers arrive at the two queues according to two independent Poisson processes. There is a single server that serves both queues with generally distributed service times. The server spends an exponentially distributed amount of time in each queue. After the completion of th...
Article
In this paper, we study an M / M /1 queue, where the server continues to work during idle periods and builds up inventory. This inventory is used for new arriving service requirements, but it is completely emptied at random epochs of a non-homogeneous Poisson process, whose rate depends on the current level of the acquired inventory. For several sh...
Article
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In this paper we study the stationary workload distribution of a fluid tandem queue in heavy traffic. We consider different types of L\'evy input, covering compound Poisson, $\alpha$-stable L\'evy motion (with $1<\alpha<2$), and Brownian motion. In our analysis we separately deal with L\'evy input processes with increments that have finite and infi...
Article
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We consider an asymmetric inclusion process, which can also be viewed as a model of n queues in series. Each queue has a gate behind it, which can be seen as a server. When a gate opens, all customers in the corresponding queue instantaneously move to the next queue and form a cluster with the customers there. When the nth gate opens, all customers...
Article
The operation of blood banks aims at the cost-efficient supply of uncontaminated human blood. Each unit of donated blood goes through multiple testing for the presence of various pathogens which are able to cause transfusion-transmitted diseases. The blood screening process is comprised of two phases. At the first phase, blood units are screened to...
Article
In this paper we study a reflected AR(1) process, i.e. a process ( Zn ) n obeying the recursion Zn+1 = max{ aZn + Xn ,0}, with ( Xn ) n a sequence of independent and identically distributed (i.i.d.) random variables. We find explicit results for the distribution of Zn (in terms of transforms) in case Xn can be written as Yn − Bn , with ( Bn ) n bei...