^^ ^ (libraries, ^ t,44- '"'"• n- TS'S©' *) ,5.<'»a." .>«" ALFRED IN P. WORKING PAPER SLOAN SCHOOL OF MANAGEMENT REDUCING THE VARIANCE OF SOJOURN TIMES MULTICLASS QUEUEING SYSTEMS Lawrence M. Wein MIT Working Paper # 3093-89MS November 1989 MASSACHUSETTS INSTITUTE OF TECHNOLOGY 50 MEMORIAL DRIVE CAMBRIDGE, MASSACHUSETTS 02139 IN REDUCING THE VARIANCE OF SOJOURN TIMES MULTICLASS QUEUEING SYSTEMS Lawrence M. Wein MIT Working Paper # 3093-89MS November 1989 Ill T , •'ynnnicti, JANl 2 nso RECEIVED REDUCING THE VARIANCE OF SOJOURN TIMES IN MULTICLASS QUEUEING SYSTEMS Lawrence M. Wein Slocin We of the School of Management, M.I.T. consider the bi-criteria scheduling problem of minimizing a convex combination mean and variance of sojourn times in three queueing systems fa single queue, a two station closed network, and a two station network with controllable inputs) populated by various customer types. sojourn times time variance. among The sum the various customer types is mean used as a surrogate for the sojourn Brovvnian approximations to these three scheduling problems are solved. and the solutions are interpreted show that of the squares of the pairwise differences in in the in network settings, order to obtain scheduling policies. Simulation results in contrast to the single queue case, there are priority sequencing policies that significantly reduce the variance of sojourn times relative to the first-come first-served policy. Subject classification: Production/scheduling: priority sequencing in a stochastic job shop. Queues: Brownian models of network scheduling problems. November 1989 REDUCING THE VARIANCE OF SOJOURN TIMES IN MULTICLASS QUEUEING SYSTEMS Lawrence M. Wein Sloan School of Management, M.I.T. The objective in scheduling most multiclass queueing systems sojourn time of customers. However, in many is practical situations, minus arrival date), performance. In all arriving jobs axe quoted the mean also desirable many same due-date lead time (due-date and so a smaller sojourn time variance will lead to better due-date service systems, the desire to treat all customers as equitably as some possible dictates that a small sojourn time variance facilities, is it For example, in to keep the variance of the sojourn times as small as possible. manufacturing systems, to minimize the is In required. many production low variability in sojourn times leads to easy coordination with downstream its customers and upstream suppliers. For single server, single class queueing systems, the first-come first-served (FCFS) policy minimizes sojourn time variance over the class of work-conserving sequencing policies (see Kingman [15]). Furthermore, Groenevelt [4] reducing sojourn time variance in single server, multiclass queues. the shortest expected processing time the mean sojourn time in many (SEPT) FCFS has shown that rule (see Klimov is also well It is [18]. for effective in known that example) minimizes single server, multiclass queueing systems. The SEPT rule, however, can lead to a very large sojourn time variance; when the load on the system very heavy, customers with the largest expected processing times for a long period of time, while usually move through sit in the queue customers with the shortest expected processing time will the system relatively quickly. Thus, a fundamental tradeoff exists in single server, multiclass queues and system may is between system efRciency (minimizing mean sojourn time) equitabiiity (minimizing sojourn time variance). 1 As a result, some authors (see Jackson [10]-[12], Kleinrock and Shanthikumar [16], and analyzed alternative sequencing [22], for example) have suggested attempt to address policies that this tradeoff in manner. effective However, very little is known about this tradeoff in a network an arduous task (see Chapter 4 of Walrand the tradeoff is queueing network underlying its all criteria, is visited class will each customer class own first is served is In a manufacturing setting, a produced by the at a particular single server station in of the three queueing systems The second system constant, and exogenously when (in a is is its facility. A different the network, and has own independent renewal a customer departs the network, the type of the is input process. new customer Markovian or deterministic fashion) according to a class to serve next at each station: third system a single server, multiclass queue, where a closed network, where the total population in the network both of these systems, the scheduling decision when need to define the basic be defined for each combination of type ajid stage of completion, and each of the various types of customers has The first general service time distribution. The In therein). In this paper, by various types of customers, each with customer type represents a particular product that its we arbitrary deterministic route through the system. customer policy three queueing systems. Using the terminology of Kelly we assume the queueing network own FCFS assessed by analyzing a bi-criteria scheduling problem for three multiclass queueing systems. Before describing the various [14], and references [24] Indeed, just setting. obtaining sojourn time variances in single class queueing networks under the is an we is will refer to to is is held chosen specified product mix. dynamically decide which customer these decisions as sequencing decisions. a network with controllable inputs, where the scheduler also decides to release the next customer into the network. It is assumed that there expected average throughput rate that must be maintained, and there is an is a specified infinite line of customers lined up outside the network waiting to gain entrance. The type of each entering customer is again exogenously specified according to a particular product mix. 2 Since analyzing the variance of sojourn times so difficult in a multiclass queueing is network, we propose a surrogate measure for the bi-criteria scheduling problems. In par- the pairwise differences in mean sojourn times two of the first among mean sojourn every customer type has the same The sum surrogafe variance of the sojourn times as the ticular, define the the various customer types. Thus, time, then there criteria in ep.:h of the three of the squares of if zero surrogate variance. is minimization problems is the surrogate variance. In the single station queue and the network with controllable inputs, the second criterion is the mean sojourn mean number all to is mean mean the inversely proportional to the the which time in both systems by Little's formula (see Little work, the second criterion is of customers in the system, idleness rate at mean throughput proportional to the is an arbitrarily chosen server, which rate of the network. idleness rate of a server will minimize the In the closed net- [19]). Hence minimizing mean sojourn time of customers. three problems, a weight c will be put on the second criterion, and the objective minimize the weighted average of the two minimize the surrogate variance, and when criteria. When c c —* oc, the objective In is = 0, the objective is to minimize the mean is to sojourn time. If the primary objective of the queueing system is to equalize the sojourn times across the various customer types, then minimizing the surrogate variance criterion. Moreover, a reduction in the is the most appropriate surrogate variance should lead to a reduction in the actual sojourn time variance, unless the reduction in surrogate variance results in a large increase in the problem The mean sojourn times. In such cases, solving the bi-criteria scheduling for various values of c should lead to a reduction in sojourn time variance. three bi-criteria scheduling problems will be analyzed using the Brownian network model introduced by Harrison [7], which approximates a multiclass queueing network with dynamic scheduling capability under balanced heavy loading conditions. This model allows the bi-criteria scheduling problems to be approximated by control problems for Brownian motion. When c — > cx), the three scheduling problems described above have been amalyzed 3 in Harrison [26] [7] (single queue), Harrison and Wein [9] (closed network), and Wein [25]- (network with controllable inputs) by solving and interpreting a reformulation of the approximating Brownian control problem. In this paper, value of c. we generalize these analyses to include the bi-criteria objective for any For the single queue, we find in Section the surrogate \-ariance, which is 1 that FCFS is effective in not surprising in Hght of Groenevelt's minimizing The results. [4] closed network and network with controllable inputs are analyzed in Sections 2 and respectively, and in Section 4 that a sm:iulation experiment involving a two-station results imply that, as in the single server case, the tradeoff system efficiency and system equitability exists minimizes sojourn time variance outperformed on undertaken is demonstrates the effectiveness of the procedure. The simulation FCFS network 3. dimension this in the in the between network setting. However, whereas in the single server case, we find that it easily is network case. This should not be surprising, since some customer types may have longer routes (and/or processing times) than other customer types, and FCFS will generally cause the types with the longer routes to have longer sojourn times. The simulation to be an results suggest that reducing the surrogate \'ariance does indeed time variance. effective surrogate for reducing sojourn tradeoff between the mean sojourn time and sojourn time depends on the magnitude of the surrogate mean sojourn time. the surrogate variance If sojourn time variance \'ariance is is not possible. However, further large reduction in sojourn time variance example under two seem Also, the nature of the variance is problem specific, and under the policy that minimizes the small, then a further large reduction in if the surrogate variance may be possible. sets of data in order to illustrate these two We cases. is large, then a simulated our It is test interesting to note that in both cases, a sequencing policy was found that simultaneously reduced the mean sojourn time and the sojourn time variance with respect to FCFS. In the simulation study, the closed network and network with controllable inputs were tested against an open network that used deterministic input. Not surprisingly, the reduction in sojourn time variance from the open network to the other two networks (using the FCFS among variance In sequencing policy in all ccises) easily dominated the reduction in sojourn time the various sequencing policies (while holding the release policy fixed). summary, the easiest and most commonly used maximizes system equit ability in single server queues, imize system efficiency with respect to priority sequencing policy and FCFS, then one therefore, if one wants to max- some sacrifices (FCFS) Our equitability. network setting, there exists sequencing poUcies that improve both results suggest that in a system efficiency and system equitability with respect to FCFS. A 1. Single Server Queue who Consider a single server queue visited by A' customer classes independent renewal processes with average arrival rates \k.k class has a general service time distribution with customer exits the system queueing system p is the system at time idle up to time i. — is that >/n( n = 100. by Zk{t) is 1 p) = t, after receiving service. ^^.-i ^k^^k- and let I{t] and of The system parameter n = Qk{'n.t)/^/n and ['(/ ) = mj. and Each customer l....,A'. finite variance, and each Therefore, the traffic intensity of the Let Qk{t) be the number of class k customers in be the cumulative amount of time that the server The Brownian model assumes positive mean = arrive according to moderate is the existence of a large integer n such a representative size; example used to define the rescaled processes I(nt)/y/n for obtained by letting the parameter n approach / is > 0, is Z = p = .9 and (Zk) and U and the Brownian control problem infinity. Since the proposed scheduling policy depends only on the solution to the workload formulation, we will go directly to the workload formulation of the Brownian control prob- lem that approximates this scheduling problem. In Section 6 of Harrison that the problem (the objective function will be stated shortly) is [x], it is to choose RCLL shown (right continuous with left limits) processes Z = [Zk) and K ^TnkZk(t) = B{i) + V{t) Z[t]> U where 5 variance, and with B(0) the scheduling pohcy processes. moments is = t > 0. such that for all f > 0. (1.1) and 0. nondecreasing with U{0) is a one-dimensional is for all U (1.2) = (1-3) 0, Brownian motion process with a particular For all independent of the parameters of the refer readers to Harrison assume that Z and U [7] \-arious Brownian motion in later sections, Also, for their derivation. are nonanticipating with respect to the assumptions are made co- first and second and service times, the product mix, and the routing of the interarrival times we and the problems addressed in this paper, the form of These parameters are complicated expressions involving the information: drift it will suffice to Brownian motion B. Similar and readers are referred to the earlier papers in this area for a justification. By The Little's first term formula, our objective function can be written as in (1.4) is proportional to the second term is Harrison the solution to this problem [7], mean steady-state sojourn time, and the the surrogate sojourn time variance. U{t) is = - By the argmnent in Section 6 of to choose inf B{s) (1.5) 0<3<( and to find, for each time t, the solution Z'{t) to the quadratic program n^E^^o.iED^^-^r mil A, = 1 subject to (i.e) A, j=i k=\ ^mtZi(0 = ^nO, (!") Jt=i Z(0>0, (1.8) where the one-dimensional workload process W{t) \V{t} = B(t)- is inf 0<j<f and represents the solution that is amount (scaled) total Bis). (1.9) in the system. Furthermore, such a referred to as a pathwise solution to the workload formulation (1.1)-(1.4), in minimizes the objective for it work of defined by Proposition 1. When c Z;{t) = = all times with probability one. t the solution to (1.6)-(1.8) 0, Aillill for k = is and t>0. 1,...,A' (1.10) P Proof. Since the objective function straints are linear, it TT* that satisfy (1.7)-(1.S) .^ '-il^-^^Z, H may (1.10). I Thus, when Brownian c for example). = 0. nrrik l,....K, (1.11) Zi = Ofor ;• = (1.12) 1,....A'. a solution to (1.7)-(1.S), (l.ll)-( 1.12) limit, the is tt' queue lengths of the various classes are c Thus, our analysis suggests that the = 0. FCFS sojourn time variance in single server, multiclass queues. Johnson FCFS policy It is [13] is policy is when c —* oo, Harrison [7] = and in direct and Peterson [20] policy in the heavy effective in reducing encouraging to note that our analysis concurs with a related result using exact methods (see Groenevelt In the limiting case suffi- These conditions are to find have shown that this same proportionality also holds under the limit. and the con- ^^ proportion to their respective arrival rates when traffic > Karush-Kuhn- Tucker conditions are = _^Y^h.,m,>Oi.rk Xj —) verify that in the [1], c and ^k c+ Readers convex for any value of follows that the first-order cient conditions for optimaJity (see Avriel Z; and is [4]). shows that the proposed sequencing the shortest expected processing time rule, which again concurs with exact results 7 (see, for example Klimov When [IS J. < 1.11 )-( This solution Z* 1.12). for Kleinrock's delay Sargeant [30] offers we propose the following procedure in Kleinrock [17], to and then the unique parameters dependent discipline (see Kleinrock workload vector. will achieve this oo, a unique value of the unsealed workload vector will yield by the conversation law in steady-state < First, find the solution {Zl{t).z') to (1.7)-(1.S), obtain an effective sequencing policy. ( c [16]-[17]) can be derived that Wood In particular, the synthesis algorithm of a simple iterative algorithm (where a quadratic equation is and solved at each step) to derive the necessary parameters (see also Federgruen and Groenevelt [3] for a generalization of this algorithm). 2 A Closed Network For the networks in this section and the next section, we will index single server stations by i = 1.2. customer classes by k Since a different customer class stage of completion, we have is > A' new customer is with probability ^/t- _;. The whenever one independent of j = 1 J. Let t(j) be the set of classes that correspond to a J. total population size of the closed always maintained at into the network and customer types by A', 1 defined for each combination of customer type and particular stage on the route of type considered in this section = all A', exits. and tliis is network achieved by releasing a The new customer previous history, where ^jt=i ^t will = 1: be of class k alternatively, entering customers can be chosen according to the mix Qk in a deterministic fashion, and the only change in the analysis Of course, qk type's route. > the covariance matrix of the underlying Brownian motion. only for those classes that correspond to the We with probability is will also let qj = stage of some customer X]*:gr(i)9*' ^° ^^^^ entering customers are of type j q^. Recall that each customer type has the network. first In the its own arbitrary deterministic route through workload formulation of the Brownian control problem, the routing information time captured is at station 1, ..., /, server i station define v, for a class k i = ^jt=i i it = tt} for i = is = p2 and A' A'|pi 1,...,A' = 1,2. P2I is > t and 0, .\h B conditions of a sufficiently large integer A' such that the of moderate size; a representative example is queue length process and server idleness process need U,{t) = I{N^t)/N = PiMik - PiMik Propositions 2 and 7 in Harrison and Wein pressed as choosing traffic intensity p, for Then the balanced heavy loading one-dimensional Brownian motion process with By = the expected total time over the long run that time by the population parameter this and — i I. in the previous section, the be rescaled. to . network assume the existence 10 and pi As customer exits the network. For until that A/it9/t. so that r, is to be r,/ max{i'] total population size = customer the expected remaining processing is devotes to each newly arriving customer. Define the relative for the closed A' the quantity A/,i, which in RCLL for drift for k [9], = z fx Let Zkit) A'. 1,2 and t = Qk{N''^t)/y for > 0. and variance a^ and , = Let 5 be a let l,...,K. (2.1) the workload formulation can be ex- processes {l\,U2. Zk) that are nonanticipating with respect to such that K Y^ *: = MkZkii) = B{t) + p2U,{i) - p:U2{t) = number (2.3) > for A- = 1,...,A' andfor all t > mean 0. = and L'2(0) (2.4) = of customers exiting the network per unit of time and Zt(oo) denotes the scaled vector queue length process formula, the (2.2) 0, forallf>0, l Ui and U2 are nondecreasing with t'i(O) the > i Z;t(^) If t 1 K J2Zk{t) = k for all rate of the network 9 is is (2.5) A over the long run in steady-state, steady-state sojourn time of type j customers Even though the throughput 0. then by Little's is -E'[^;te'-(7) ^kioo)]/qjX. unknown, we can express our bi-criteria objective as T —E minlim sup .c-.,r,../ T T—oo In the limiting case c for details) is — J J >:>,,5ii:^-5-^,.. ex;, the solution to this problem (see Harrison and — sup (2.6) Wein [9; to choose U'{t) = -B(s) + p,U2{s)]^, [a' and (2.7) P2 0<j<( l-{t) = - + sup [B{s) p2U:{s) - 6-]+, (2.8) P\ 0<s<( + p2U\(t) — pil'2i'f )'!: > SO that B{t) ian motion (abbreviated by [a', b']. and The see Harrison [6] interval endpoints are defined by a* < < a* RBM; a one-dimensional reflected (or regulated) 0, is b' for a = Brown- complete treatment) on the interval mini<t</^- Mk and b' = maxi<i..<^^- A/jt, Definine; o . \V{t)^B(t) + p2U'{t)-pd'''t). and assuming (without loss of generality) that the classes k maxi<k<h- -^h = AA and mini<t<K- Z:{t)= Mk = { f > 0, 7(0 \-lit) — in the single queue case, {Z',U') is resulting sequencing policy (see Harrison (Z*, U')) is A' are ordered so that ifk = l; ifk==2: = 3 for all ^ (2.10) K. where ',(t)=—^ 0* As 1 A/2, then ifk for all = (2.9) to rank each customer class k priority at station 1 — > 0. (2.ir a' a pathwise solution to problem (2.2)-(2.6). and Wein = 1 A' [9] for The an interpretation of the solution by the index A/*, and to award higher (respectively, station 2) to the classes with smaller (respectively, leirger) values of this index. Notice that this policy awards 10 bottom priority at each station to the class that has a positive scaled heavy traffic limit Now values TV' let queue length, thus maintaining consistency with existing theorems: see. for example, Whitt us analyze the other limiting case, such that there exist Zi [29], when c Harrison = 0. It [5". is and Reiman [2'.[. clear that the set of Zk satisfying K W= K Y^^'hZk, (2.12) . priority bracket. as when — c Within the higher oc: this ranking maintains the simple dynamic policy (that to priority bracket, classes are ranked in the spirit of same manner minimizing mean sojourn time. be illustrated in the example in Section 4) will is attempt to maintain the actual queue lengths of the lower bracket classes A employed same in the 1 Now let and Z Z" relative quantities as . solution {U\,U2) for both limiting cases (see (2.6)-(2.7) special < us consider the general bi-criteria case where form (they are referred imply that VV{f) in (2.9) a is cc. RBM on some closed when b will satisfy c — and oc, » [a,fe]. < a' [a°, b^] a It is < a'^ 6° < 6 Proposition results (see < ( < clear that for and [S]) and will restrict ourselves to 6*. Chapter 5 of Harrison [a.b], Tj c , ) will cxd, the L't < where characterizes the solution For a control limit policy {L'\,U2) characterized by the interval two propositions are well-known and Taksar be justified shortly), so that a pohcy be characterized by a particular closed interval optimal interval endpoints a and We interval. Notice that our (2.16)-(2.17)) are of a very to as control limit policies in Harrison this class of policies (this restriction will characterizes the solution and < c when [a', 6*] c = 0. the following [6]). 2. lim -E[l\{T)] •' "=* = (2.18) : and Hm -E.[U2iT)] = T-ocT where v = "' ' (2.19) \ lip,=P2, [j[b^) 2id/a^ Proposition 3. distribution on [a,b] U if pi W(i) = p2, is a RBM on [a,b]. then W has a uniform steady-state and otherwise has a truncated exponential steady-state distribution with density function </(r-a) p{x) = — -— for a ^ 12 < X < 6. (2.20) These results allow us to analyze (2.2)-(2.6) by considering the quadratic program 2 ^ -5ti:(%^-%^) " m" " " ~ ^_'"' ' (221. K subject to ^A7jtZjt = U', (2.22) 1. and (2.23) K Zk Y^ h= = i Z*>0,fort = We as a function of the righthand side value \V. \Z^CZ, where C (see Dom [2]j is is A', (2.24) will abbreviate the objective (2.21) by l The dual a postive semidefinite matrix. to choose (Zi, ..., Z^-, tti, 7r2) to max- -Z^CZ-H'tt, subject to where M = {M\ Mk)'^ and convex and the constraints ( e = CZ (1 .U-i 1)-'^. - c^ttj -772 (2.25) > (2.26) 0, Since the objective function in (2.21) 2.22 )-( 2.23) are linear, it follow^ that there is [qq. bo]. By 6']. the convexity of h(\V), Also, h{VV) achieves a it minimum of zero is convex with on the interval follows from Taksar [23] that a control limit pohcy indeed optimal for (2.2)-(2.6). Thus, under the policy characterized by the interval the value of the objective function (2.6), which -6 Our 6° < 6 < we denote by = 0, except use the interval [a, b] < a < a° eind we propose to proceed exactly as in derived from the solution to (2.27) in place of the interval [a°,6°] derived from (2.12)-(2.15). 13 [a.b], hUh^e^-'^ In order to develop a sequencing policy, the limiting case c is f{a,b). will be solution can then be found by minimizing f{a,h) subject to a* 6*. is no duality gap. Furthermore, the dual objective function (2.25), which we denote by h{\V}, respect to \V on the interval [a*. program of this quadratic 3. A Network With Controllable Inputs The network considered in this section is identical to the closed manner the previous section, except for the network described which customers axe released into the system. in > Here, customers are endogenously released according to the control process {N(t).t where N{t) is is number the of customers released into the is at least A. The mix network up to time number a constraint that the long run expected average network per unit of time i", = ^^-1 I = p. The balanced heavy now 1,2, but the traffic intensities are =r, A for = 2 = — p,) is positive 0{t) defined by (3.1) > \nt = i {Ui,l'2) as in Section .\(nt) -, t > 1.2. 0. (3.2) idleness process Wein (see Section 3 of processes (U.Z.9) that are nonanticipating with respect to —E c[ ' The workload formulation 1. = by 0} ^— - size for and define the scaled queue length process Z = {Zk) and scaled minlimsup T—oo in Section 2, 1,2. and of moderate Define the scaled input process {6{t).t RCLL As (<?/t)- network loading conditions for the network assume the existence of a large integer n such that y/n{l choose the There t. of customers released into the again exogenously generated according to the product mix 5 for 0}. of customers departing the is ^^Itk in Y^z,it)dt-,\[ y:y. - -^O .= /t=l 1 ; = 1 U = [26]) is to B to dt ^ ^' '^J (3.3 subject to Y^M,kZk[t) = B,{t)^l\{t)-v,e[t) limsup-£[L^(r)]<o. r— oc Zk{t) > for J = for all ^ > and 1,2, . e = 1,2. (3.4) (3.5) J for Jt = 1 A' and for all t > Ui and U2 are nondecreasing with C'i(O) 14 0, = and t''2(0) (3.6) = 0, (3-7) £ where B As is a two-dimensional Brownian motion and Wein in [25]. this = yjn{\ problem can be cinalyzed by solving terms of the control process f, -y, U . we can In particular, — p,), = i 1.2. for the control process solve for Z by Z in solving, at each time the following quadratic program: k = H) ^' ~ 1=1 }=\ ^ \ / K subject to ^A/iZjt(0 = + -B(0 P2t'i(0-pi^'2(<)for > t (3.9) 0, k-\ Zk{t)>QAov where A/jt is = k defined in (2.1), and B{t) Brownian motion with drift = p2Bi{t) p and variance a^ . - piB2(t)J > At each time which different values for the right side of (3.9), function will be abbreviated by c'^Z(t) (3.10) A'. \ is f, 0, is a one-dimensional this quadratic again denoted by \V{t). + ^Z{t)^CZ[t), where the matrix program has The C objective is positive semidefinite. The dual of this quadratic program max subject to Once again, there is Given an optimal value 1*2 and 7r(f ) to -\z^CZ + \V7: \Itt-CZ< minimum (3.11) e^c. (3.12) RCLL, is convex of zero at zero. of Z'{t}, the following constrained singular control then solved: choose nondecreasing. and to choose Z{t) no duality gap, and the optimal dual objective function h{\V) with respect to \V and achieves a L'l is problem is nonanticipating (with respect to B) processes to .T min limsup— T — ex; subject to \V{t) hi\V{t))dt (3.13) -i- = B(t) + p2U\{t) 15 - p\U2{t) for t > 0, (3.14) . hmsup— £x[fT— oc = i(r)] limsupi£.[r2(r)] = r— oo if B has drift p ^ 0- = p2. the — pi ). are replaced by y/npi(l P\ 5 is driftless, - P2 ILlMf, -1 If pi (3.1o) . p\ J- - and the (3.16) p2 right sides of (3.15) and (3.16) Let us summarize the solution procedure to the workload formulation (3.3)-(3.7). Brownian motion B. from which can be observed the controller observes a two-dimensional B= one-dimensional Brownian motion P2B1 — pxBj- The solution (Z' ,U' ,6*) is given by the solution Z' to the quadratic program (3.8)-(3.10), which depends on the process the solution V e\t) We now Brownian control problem to the (3.13)-(3.16), W and K v;^\Bx{t) + Vl{t)-^Mxi,Zl{t)] foralli>0. = The (3.17) turn to solving the constrained control problem (3.13)-(3.16). In W'ein [25]. a Langrangian approach was used to put the constraints (3.15)-(3.16) in the objective function (with multipliers c — » oc. By Theorem r 6.2 of and Wein / and for (3.15) the following conditions are sufficient for optimality [25], of (3.13)-(3.16). Let the infinitesimal generator \ Proposition 4. Suppose Mm (3.16), respectively) for the limiting case . F B be given by d (f (y, V'(j:), r, of /, a, 6) satisfy {TV{x] + h{x)-g,r + V'{x)J-V'{x)] = V{0] = TV{x) + h{x)- = -r V'{x) = I (3.19) (3.20) 0, V'(x) 0. g = for J for I < > for a < X < 6, (3.21) (3.22) a, (3.23) 6, 16 limsup — £j:[t'i(^)] = hmsup-^r r-oc 2li f ;j = J and . - P\ (3.24) (3.2oj , P2 where ri(0 = — sup [a-B(5) + piJ72(3)] + and , (3.26) P2 0<ir<( = [-2(0 Pi Suppose V € C^ and sup [B(6) to the constrained Following Section 7 of Wein [25]. satisfied In particular. Proposition 2 with equality if and only if I Proposition 3 is and A'2 such that V'(x) problem (3.13)-(3.16) we use Propositions a candidate solution to (3.13)-(3.16). which 6*. is is and 3 2 is < A'l + Nohii). (3.26)-(3.27). in Section 2 to develop characterized by the interval endpoints a* used to show that constraints (3.15) and (3.16) are the interval width satisfies ifp. 2v^p:(i-p.) then used to show that the objective (3.13) to minimize /(a), (3-2") p2^7(^)-t]'^- there exisf constaiits A'l Then the optimal pohcy and + 0<3<( =P2. is minimized by solving for a* where 2^p,(\-p,) I Given the candidate policy the optimality equations is ^^ lfpi^P2; J^°+:y?,;u-„) /^(j)^j ifpi=p2. ^ f(a)=Ua ' (a*. 6'), the (eM^-^^-l) obvious cemdidate for the gain g* that (329) satisfies the optimal long run expected average cost function of the Lagrangian. or S- = //l<'-) l/(G') The + + 'f"'^^^^ ^7f^ + ^Jf^ (r + (3.30) /)v/^pi(l-pi) potential function V''(x) and the multipliers r* equations can then be found as in Section 8 of Wein 17 \ip\=P2- and [25]. A /' that satisfy the optimality closed form solution {Ul, V^) to the constrained Hmitinp case < c < —* c problem (3.13)-(3.16) and a proof The :>z. solution to f3.29) oc (a numerical example of optimality more difncuh is in given in is [25] for our general case the v.-here carried out in the next section), and the verificacion is of optimality needs to be done on a case-by-case basis. Now us interpret the optimal solution to the workload formulation in terms of let the original queueing system. (3.11)-(3.12) yields the Ck{t) = c The solution {Z*{t).n'{t)) to the dual quadratic dynamic reduced + {CZ')k{t)- where {CZ')k(t) denotes the ^-th program costs MkT^'{t} for k = and A', l element of CZ'{t). This v-alue < > (3.31) 0, measures the increase in the objective function of problem (3.3)-(3.7) per unit of increase in the righthand side value of the nonnegativity constraint Zk(f) costly it is > 0. Thus, the higher the value of to hold a class k customer in queue at time policy that awards higher priority at time costs Ck{t). If to zero, then more than one class at the we use the tie-breaking rule t t. As in Wein [26]. to the classes wi'h the higher same station have proposed in Yang a we propose and the dynamic reduced dynamic reduced ^31] more Ck{t). the cost equal also described in Wein [27]. The proposed input policy is to release a customer into the network whenever the two-dimensional workload process enters a specific region R^ . This region is we defer 4. its nonnegative orthant of derived from the interval endpoints [a'.b'] and from the solution Z' of the quadratic program. so in the The policy is most easily described with a concrete example, and description until the next section. An Example We will illustrate the displayed in Figure 1, procedure described which are two customer types, .4 %s .^ first in Sections 2 studied in Harrison and and B, and type A 18 and 3 with the simple Wein [9] and Wein example [26]. There customers have two stages on their route, while type will B customers have four stages. Thus, there are be designated (and ordered from k = 6) by customer .41. .42. all times for six classes are displayed in Figure 1. The classes, SI. B2. S3, and processing times are assumed to be exponential, and the concreteness, all 1 six mean specified product (1/2.0, 1/2,0,0,0), and customers are released into the network in the order 4 A STATION B 8 1 and they B-i. For processing mix is q = ABABAB... Turning now to the limiting case isfying (2.12)-(2.15) which is B3 the solution 0. at station 1 and class Bi it = U' = Z* is 0, can be calculated that the interval [a°. 6°] sat- = contained in the interval [a'.b'] strictly is When calculated from (4.2). and when \V — class [-6.0], which is = c -6. the solution is = Z"" [-11. 3\ (0.1/2.0.1/2.0.0) (1/2,0,1/2,0,0,0). Thus we give top priority to at station 2, since these classes are in the higher priority bracket. In order to decide how award to number Z" and Z^ two classses. call the classes that are in the lower dynamic scheme priority bracket at each station, a simple the among priorities used that attempts to keep is of customers in queue of each class in the relative proportions dictated by . For simphcity. we will describe this heuristic in the case where there are them classes and 1 2, in the lower priority bracket of a given station. Let Z] and Z2 be the positive values of these classes from the solution Z" idea behind the heuristic Suppose Zo). Zi/(Zi -f class 2 customers begin serving a p{t) and a in is at to keep the proportion of class time If in 1 — + = - ' Z,i heuristic p{t) < 0, customers and (5:(0 > is to serve class and serve class 1 1 ready to customer with probability 1 made, the is (4.3) 1 -f Z2) and solving for p{t) yields (4.4) ' -\- Z2 customers at time i if Returning to our example, from the solution Z" and B2 20 > p(/) customer with probabihty p{t) to keep the queue lengths of classes ,42 is il-p{t])Qiit) Setting this equal to the desired proportion Zi/(Zi p{i) class The . + Q2{t)-l Qi(t) if 1 p(t), then, after the choice is queue that are of p(f)lQi{t)-l) customers class the server serves a class customer with probabiUty expected proportion of total jobs The dynamic > Z*" queue to be in queue, and the server has just completed a service and new customer. class 2 there are Q\(t) t. customers 1 and (respectively, (respectively, .41 if Z serve class 2 1, p{t) ), it and Bl] G (0, 1). is desirable at station 2 (respectively, station 1) as equal as possible, When takes on a particularly simple form. ;4.4'i processing at station Bl customers when Similarly, when 1, we serve Qzit) > is 54 < c B3 customers are available < 52 when (or flip a fair coin) customers in queue at station ^'^^ serve For the general case where (2.25) and alternate Qi(t). customers when QafO > Qii^) no class heuristic described in customers when Qiit) > Qiit) and serve class .41 there are no class and thus our dynamic class we 2, customers when Qiit) there is for class a tie. serve class .42 > Q2{t)- optimal dual objective function h{\V) oo, the in given by r(6±H:)2 h{\V)= I [^ and thus f{a.b} if iVe if Vi'6 [-6,0]; [-11.-6]; (4.5) ifU'€[0,3], given by is , /(a, , 6) = - __— jgQ2 /ca2 + _-_-_ (_ — a 1 \ 2 63 q3 2t (0 216n ;^08a lO to to ,,^^ (4.6) . / Therefore, our optimal interval endpoints can be found by minimizing f{a.b) over a € [-11,-6] and Now let be us consider the numerical example in the context of a network with con- trollable inputs. unit of time [0,3]. If we choose a long run average throughput rate of .1286 customers per = and choose the scaling parameter n 100, then p\ {Z'[t).-*{t)) to the dual quadratic program (3.11)-(3.12) namic reduced costs (3.31) are given costs have tables), in Table P2 The -9. given in Table I, is and the dy- = I -4 + ft^ [cHl it follows that b' - a' = + Vr(f). in the two The optimal given by r_i^_£»: h(\V) solution In each of these tables, the solution and II. depending upon the value of the workload imbalance process (3.28), = been broken down into three regions (corresponding to the columns dual objective function h{\V) in (3.11) By is = ivl < if Tr -55c/12; if W e [-55C/12.0]; (4.7) if^V'>0. 6.072, which ^^^^.Ic-k+^lc' + -^k 21 we lck will if denote by ce k. [0,6^35]; iic>6k/3o. Solving (3.29) yields ^^ g^ \V(t)<-5oc/12 \'ARIABLE \V(t!>0 \V(t) e [-boc;i2.0] \V(t) Z'(t] z;{t) ^Ay^) 12 "^144 ^ 11 ^5(0 Z;{t) "i'j TABLE Solution to the Dual Quadratic Program (3.11)-(3.12). I. In order to interpret the solution to the (4.Sj. let us consider the limiting example c workload formulation given — • analyzed in Wein CC' verify that the solution derived here in the limiting case in Section 7 of Wein to consider in Tables 3''"9 12111 6 [26]. and I In this case, there are only II, and is it the dynamic reduced costs in Table II is all classes any time t < 0). From Table 1, we two regions (i.e., process defined by W,(t) = positive. Ylk-i -^UkZkif) for ? = and may two columns) sequencing policy based on M^ by the index see that only one and only two components are ever readers [26]; serves the class with the smallest (respectively, largest) value of the index (respectively. \V(t) I identical to the solution found easily seen that the ranks Table in component of in (4.2), when Z' \V{t) and > positive at is Thus the two-dimensional workload 1,2 and t > 0, stays on the of a cone in the nonnegative orthant of R'^. Furthermore, the interval [a*, 6*], boundary which equals [-4.771, 1.301] by (4.8), determines cutoff points on the cone boundary beyond which the workload process may not enter (see Figure process 9{t), which can (3.4)), is move either 2). As explained in Wein way along the 45 degree direction [26], in Figure 2 (see used to keep the workload process on the truncated cone boundary 90 the control in Figure 2. Thus, when the workload process then exertiiig input rate in the region to the lower left of the truncated cone. corresponds to releasing more jobs into the system relative to the \V(f) < -ooc/U \V{t) e [-55C/12.0] W{t) > 2c 11 3 3 Bl ^ ^ - -^^^^ B2 DO ^•^ nonii:.;;! A. CLASS .41 c' is 2c + i|^ _ C 2c tc 1 1 4c i^>t 1 I ') Ti 81V'(() 9 ' 8c 3 lOc iililll 4Vr(0 I 9 '" 1 BVV(t) throughput rate simulation run that appears later in this section. in the A more detailed explanation that interprets the solution (Z' ,U' ,0') of the workload formulation (3.7j in order to obtain the be found in Section 6 of (3.3)- workload regulating release policy denned by (4.9;-(4.12j can Wein [26]. W 2 w Figure For the case when < c 2. The < oo, the the dynamic reduced costs in Table 11, complicated. In the limiting case = c release region when c — > ex:. sequencing policy can easily be calculated from but the determination of the release policy 0, equation (4.8) implies that 24 [a', 6'] = is more [—6.072,0] and thus W(t) that Z'(i) line ~\V\it) = will Zl{t^ = U2(f to release a job always be = j. in the leftmost region in -\\'lf ]/l2. The is I. From this table, and so the workload process stays on release policy in this case (see Wein [26] for it follows a segment of the an explanation) is whenever u'2(0 which Table pictured in Figure 3. < "1 Once and 7u'i(0 - u'2(0 < again, e = 1 6e, (4.13) achieved the desired throughput rate in the simulation experiment. W 2 w Figure When < c < oo, 3. The release region then the release region 25 will when c = 0. be as pictured in Figure 4. The slope of the lower ray formed by a another is 1/4. just as line that line that is it in Figure The upper shaded region in Figure 4 ha? a slope of 13/2 (the same as the upper ray has a slope of 7 (which intersection of these two lines of the regions in Table 2. is at VVit) upper ray parallel to the is = — 56c/12, which is in in is Figure 2) and Figure 3.) The the cutoff point between two I. W 2 Slope = 7 Slope = 13/2 Slope = 1 /4 w Figure 4. The release region Before turning to the simulation results, there to the scheduling policies described earlier. queue length processes are zero. Due when is < < oc. one refinement that has been made Notice in Table to the rescaling, 26 c Z II that many of the scaled measures how many tens of customers are for the network. This measurement in the actual customers who are in service, arid so we propose a Z sojourn time \'ariance that essentially reinterprets in queue, not including the customers in service. of the time, A and we customers slirht will in service denote this by p — will it From Figure .9. refinement to the surrogate This refinement For this numerical example, each server number is 1, in terms of the be utilized about 909c to the B of customers will hopefully cause a be described 5p/14 and the mean number of type is The refinement changes 23/?/14. obviously too crude to account as only the scaled reduction in the surrogate sojourn time varicuice, ajid numerical example. is mean number customers of type in service is the surrogate sojourn variance from 2 Z,(0 + Z.(t) Z^it) + Z,ii) + + Z,(t) Zeit] (4.14) 1/2 V in (2.21) and (3.S) to Z,(i) + ^ + Z2(t) 2 Z^{i) + Zi{t) + Z5{t)^Zeit)^^ (4.15) 1/2 V in (2.21) 1/: 1/2 and + Ziit) Z2(t) + jf^ Z,it) + Z,{t) + Zs{t) + Ze{t) + -^ (4.16) 1/2 in (3.S). In 1/2 our simulation experiment, this refinement was only analyzed for the case in the closed network. This in the analysis is is c = a particularly easy ccise to evaluate, since the only difference to change equation (2.15) from Z, + Z2 - Z3 - Z4 - Zs - Ze = (4,17) to Zi A + Z2 - Z3 - Z4 - Z5 - Ze = ^. (4.18) simulation experiment was performed to assess the effectiveness of the analysis presented in Sections 2 and 3. Two conventional policies, which consist of a customer 27 DET input (abbreviated by in the order One priority sequencing policy, were tested. and a release policy ABABAB.... in Table where customers are released III), paired with policy was deterministic FCFS 2 was described in equation 3, which FCFS. The closed also tested in conjunction with the sequencing policies derived in Section under the two limiting cases, Section inter^.-al- sequencing, and the second was closed loop input (CL). where the total population level was held constant, and release policy constant at will (4. IS). c —* oc The job and c release be denoted by \VR (for = The 0. and c = policy used the refinement priority sequencing policies derived in workload regulating), were also tested under the two limiting cases. In order to allow for a comparison of the various cases, and e so that each policy achieves the was chosen of SS.97t. same average throughput to be .127 customers per unit of time, Due rate, set the which parameters .V for convenience which corresponds to a server utilization to the discrete nature of the population parameter .V, able to obtain this target rate e.xactly. In such cases, of the various we have we were not always we havo reported hnear interpolations performance measures so that the average throughput rate would be .127. For each policy tested. 20 independent runs were made, earh consisting of 5000 customer completions axid no initialization period. The mean sojourn time, the actual sojourn time standard deviation (as opposed to the surrogate sojourn time standard deviation), and the mean throughput rate, along with 959c confidence intervals are recorded in Table Referring to the results in Table III, it is seen that the (DET, FCFS) III. policy achieved a sojourn time standard deviation that was twice as high as most of the other policies, implying that job release has a large impact on the sojourn time variance. Of course, many manufacturing onto the shop floor are referred to is in systems, the amount of time a job spends waiting to gain entrance also of importance, Wein and Chevalier [2S] for and that time is ignored in this study; readers a scheduling study where this time is taken into account. Minimizing the surrogate sojourn time variance appears to be am effective means of reducing the actual sojourn time variance, since the two c 28 = cases reduced the sojourn time variance relative to the corresponding c — » oo cases. The (CL.c = 0) case achieved the lowest sojourn time variance, perhaps in part because of the refinement described in (4.18). SCHEDULING a simultaneous reduction in the mean and variance of the sojourn times. Furthermore, a large reduction in sojourn time variance relative to the (CL.c On the other hand, consider our same example, but times for the six classes from using this to type new data B set as — now change (4, 1. 8. 6, 2, 7) to (2, 6, 4, 1, 8, 7); example 2. Now the (CL,c — » oo) case we and is larger than the (CL,FCFS) case. mean processing oo) policy awards lowest priority Therefore, is now very large for we might expect difference in sojourn time variances between the two cases (CL,c will not possible. denote the example will products at both stations, and so the surrogate variance this policy, the is — * oc) that the and (CL,c = 0) be larger than for our original example. MEAN SOJOURN TIME VARIANCE OF SOJOURN TIME MEAN THROUGHPUT CL.FCFS 71.6 (±.36) 31.6 (±.22) .127 (±.0007) CL,c-^oc 52.8 (±.21) 37.9 (±.21) .127 (±.0007) 63.8 (±.24) 23.2 (±.20) .127 (±.0007) SCHEDULING POLICY CL.c = TABLE IV. Simulation Results for Example 2. Simulation results for example 2 are displayed in Table IV. As expected, the sojourn time variance for the (CL.c — >• oc) case is larger than the (CL.FCFS) case, and there a large diffeence in sojourn time variance between the two extreme cases of (CL,c and (CL,c = 0). 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