Trafc Models S.

Vaton

Trafc Models
Sandrine VATON {sandrine.vaton@telecom-bretagne.eu}
ecom Tel Bretagne

TELECOM Sud Paris, may 5th 2008

Trafc Models S. Vaton

Trafc Models (1/2)

Goals :
to analyze trafc measurements (le sizes, trafc volumes/min., packet sizes (in bytes), packet interarrival times, packet headers, etc...), to identify some characteristic properties (correlation, laws of distribution, etc...) to propose some trafc models, most of the time statistical models, that take into account the main properties discovered in the measured trafc, knowledge : statistics, statistical processes, signal processing, time series ...

Trafc Models S. Vaton

Trafc Models (2/2)

Why do we need some trafc models ?

to design some trafc generators for lab-experiments, to be used as an input in some analytical performance models (queuing systems, large deviations theory, ...) to detect some anomalies in the trafc (attacks, equipment failures, etc...) (as some signicant deviation from some usual distribution of the trafc) knowledge : computer-based simulation, queuing systems, large deviations theory, decision theory (e.g. detection of abrupt changes)

Trafc Models S. Vaton

Goals of This Class

Taxonomy of trafc models :
markovian models : from the exponential distribution to BMAP processes non-markovian models : heavy-tailed distributions, self-similarity, long-range dependence

Desired skills :
to clarify some denitions (long-range dependence, self-similarity, etc...) to detect some properties in the trafc (heavy tails, long-range dependence, etc...) parameter estimation : the value of the parameters of a model are estimated from trafc measurements to produce synthetic trafc from theoretical trafc models to understand the impact of some characteristic properties (e.g. : large buffer asymptotics for a queue when the input trafc is self-similar)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

` Deuxieme partie II Markovian Models

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Markovian Models

1 2 3 4 5 6 7

Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

A little bit of history... (1/3)

markovian models : from the Poisson model (Erlang, 1907) to BMAP processes (years 1980s) markovian models
very usual trafc models relatively simple usage (closed-form performance formulas) justify Markov models of queues solved problems : parameter estimation, performance of queues when the input trafc is Markov

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

A little bit of history... (2/3)

but...Paxson and Floyd, The failure of Poisson modelling, 1995

interarrival times are not exponential, sporadicity over several time scales, slow decay of correlations (long-range dependence), heavy-tailed distributions (duration/volume of TCP connections ; le sizes, transfer time, read time in WWW, etc...), self-similarity of the cumulated workload, etc...

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

A little bit of history... (3/3)

Consequences :
standard markovian models are inaccurate QoS predictions (delay, loss, etc...) that are based on markovian models are dramatically optimistic it becomes necessary to :
design new trafc models (heavy tails, self-similarity, long-range dependence, etc...) Pareto distribution, Weibull distribution, -stable distribution, fractional Brownian motion (fBm), fractional Gaussian noise (fGn), fractional ARIMA process (fARIMA), etc... parameter estimation for these new models performance evaluation for these new models (queues), trafc generators, etc...

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Markovian models : taxonomy (1/2)

exponential distribution :
service time (time that is necessary in order to serve a client), interarrival time (time between the arrivals of two consecutive clients) the oldest and simplest model (Erlang, beginning of the XXth century) exponential distribution of the interarrival times = the count process is a Poisson process coefcient of variation cv = 1, 1 parameter only (mean = 1/)

Phase-type distributions :
they generalize the exponential distribution, coefcient of variation cv > 1 or cv < 1, but several parameters more general, but more complicated association of several exponential distributions in series or in parallel (several phases) Erlang, Hypo-Exp, Hyper-Exp, Cox, etc...

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Markovian models : taxonomy (2/2)

MAP (Markovian Arrival Processes)
make it possible to take into account time correlation in trafc (correlation in the arrival of successive packets, bursts, etc...) generalize the Poisson process and Phase-type distributions short-term correlation (contrary to long-range dependent models)

BMAP (Batch Markovian Arrival Processes)

as MAP, they take into account time correlation in trafc (correlation in the series of interarrival times), but moreover, they take into account another feature (packet size, class of service,some eld in the packet header, etc...) 2 trafc descriptors = {timestamp, size} (batch point process) a batch (size of the packet, class of service, etc...) is associated to the arrival time

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Taxonomy of Markovian Models

MAP

BMAP

MMPP

PH

MMPP2

COX

HypoEXP HyperEXP

IPP

Erlang

EXP

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Characterization of Continuous R.V.

Characterization of a continuous random variable X : probability density function (pdf) p(x)
x2

P(x1 X x2 ) =

p(u) du
x1

cumulative distribution function (cdf) F (x)

x

F (x) = P(X x) = or complementary cdf F c (x)

p(u) du

F c (x) = P(X > x) = 1 F (x) =

p(u) du
x

moments E (X n ), n = 1, 2, 3, . . . , moment generating function M ( ) = E(exp(X )), cumulant generating function ( ) = log M ( )

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Exponential Distribution : Denition

Denition : exponential distribution with parameter : probability density function (pdf) : x < 0 p(x) = 0 x 0 p(x) = exp(x) cumulative distribution function : x 0, F (x) = 0 x x 0, F (x) = 0 p(u) du = 1 exp(x) complementary cumulative distribution function : x 0, F c (x) = 1 + x 0, F c (x) = x p(u) du = exp(x)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

1st and 2nd-order cumulants

Exponential distribution : 1st and 2nd order cumulants let us consider a random variable X Exp() :

mean [1st order cumulant] : E(X ) = 1/, (unit of : sec1 ), variance [2nd order cumulant] : var(X ) = E(X 2 ) (E(X ))2 = (1/)2 , standard deviation : std(X ) =

var(X ) = 1/,

coefcient of variation : cv(X ) = std(X )/E(X ) = 1,

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Memoryless Property
Memoryless property : let X be a continuous R.V. with exponential distribution, X Exp() ; then the memoryless property holds : P(X x + u | X x) = P(X u), x 0, u 0 it means that if X represents a duration for example, the time spent since start time does not change anything on the distribution of the time left before the end ; typically in the framework of queuing theory, X could be the service time or the interarrival time (time between arrivals of two consecutive clients) this property is fundamental since it justies the solution of some queues as Markov chains (e.g. queues with Poisson input and exponential service times)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions

Poisson Process (1/3)

Count Process
temps entre arrivees E1 E2 T1 arrivee
client 1

E3

E4

E5

T2 T3 arriveearriv ee
client 2 client 3

T4 arrivee
client 4

T5 arrivee
client 5

T6 Temps arrivee
client 6

Nombre de Clients dj arrivs N(t)

6

MAP Processes BMAP Processes

5 4 3 2 1 0

Temps t

The count process N (t) counts, for example, the number of arrivals of clients on [0, t].

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Poisson Process (2/3)

Poisson Process : denition A count process N (t) is a Poisson process (with parameter ) if the following conditions are satised : the increments of N (t) are independent, which means that if t1 < t2 < t3 < t4 then N (t2 ) N (t1 ) and N (t4 ) N (t3 ) are independent,

stationary increments : the distribution of N (t + ) N (t) (0 < t, ) is the same as the distribution of N ( ) N (0), N (t + ) N (t) is a Poisson R.V. with mean P(N (t + ) N (t) = k) = exp( ) ( )k k!

is the average number of events (arrival of clients, etc...) per time unit (unit of : sec1 ).

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Poisson Process (3/3)

Poisson process : exponential interarrival times Let {N (t), t R} be a count process, let T1 T2 T3 . . . be the arrival times, and let E1 = T2 T1 , E2 = T3 T2 , E3 = T4 T3 , . . . be the corresponding interarrival times. The following proposals are equivalent : E1 , E2 , E3 , . . . are independent and identically distributed R.V. with distribution Exp(). {N (t), t R} is a Poisson process with rate ,

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Continuous Time Markov Chains (1/2)

Continuous Time Markov Chains : denition A continuous time discrete state Markov chain (CTMC) is a continuous time process with discrete state space which satises to the weak Markov property : P(Xtn = in | Xtn1 = in1 , Xtn2 = in2 , . . . , Xt0 = i0 ) = P(Xtn = in | Xtn1 = in1 ), t0 < t1 < . . . < tn , i0 , i1 , . . . , in E
E

6 5 4 3 2 1 0

t0

t1 t2 t3

t n 1 t n

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Continuous Time Markov Chains (2/2)

Interpretation of the weak Markov property future values of the process Xt depend on the present value only the only memory is the current value of the process past and future are independent conditionnally to the present value of the process

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Characterization of a CTMC (1/2)

Characterization of a continuous time discrete state Markov chain A continuous time discrete state Markov chain can be characterized by : its state transition diagram or, equivalently by its innitesimal generator

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Characterization of a CTMC (2/2)

Example : continuous time discrete state Markov chain, state space E = {1, 2, 3, 4} : state transition diagram
0.1 0.8 1 0.3 0.1 4 1.9 2 0.4 3

innitesimal generator 0.5 0.8 Q= 0 0

0.1 1.2 0 0

0.3 0 0 1.9

0.1 0.4 0 1.9

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

State Transition Diagram

State Transition Diagram
0.1 0.8 1 0.3 0.1 4 1.9 2 0.4 3

For example, if the process is in state 1 then it remains in state 1 for a time distributed as an exponential R.V. with parameter 0.5 = 0.1 + 0.3 + 0.1 (average value 1/0.5 = 2 seconds) and after that time the process changes its state for state 2 with proba. 0.1/0.5 = 1/5 or state 3 with proba. 0.3/0.5 = 3/5 or state 4 with proba. 0.1/0.5 = 1/5.

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Innitesimal Generator

The innitesimal generator of this example is the following matrix : 0.5 0.1 0.3 0.1 0.8 1.2 0 0.4 Q= 0 0 0 0 0 0 1.9 1.9
non-diagonal elements are transition rates : qij is the rate of transition from state i to state j (i = j ) non-diagonal elements are always positive or null diagonal elements are always negative or null the sum of the elements over each row is always 0 ; qii = j =i qij

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Markov Queues
Markov Queues if the following conditions are satised :
1

the arrival of clients is a Poisson process (i.e. the interarrival times are independent and identically distributed as Exp()) the service times are distributed as Exp()

then the number of clients in the system is a continuous time discrete states Markov chain the weak Markov property holds for the number of clients in the system because the memoryless property is satised by the interarrival times and the service times the theory of Markov chains is a powerful framework for solving some performance evaluation problems (typically queues with Poisson arrivals and exponential service times)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Example : M/M/1
Example of the M/M/1 :

M/M/1 arrival of clients : Poisson process with rate (average number of clients per second) service times : Exponential distribution with parameter (average service time : 1/ seconds) 1 server no limitation on the size of the queue (innite buffer) FIFO : First In First Out

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

M/M/1 : State Transition Diagram

State Transition Diagram : the number of clients in the system (service or buffer) is a CTMC with the following state transition diagram
0 1 2 3
... ... ...

departure rate : (rate at which clients leave the system, transitions n n 1, n 1)

arrival rate : (rate at which clients arrive to the system, transitions n n + 1, n 0)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

M/M/1 : Steady-State Distribution

Stability : the system is stable if the condition < is satised the clients should arrive at a rate lower than the rate at which the server is able to serve them = is the load factor (unit : Erlangs) : condition of stability : < 1 Steady-state distribution : If < 1 then the number of clients (service or buffer) converges in distribution to the following stationary distribution (n) = (1 )n , n 0 (n) is the probability that n clients are in the system (in steady state)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

M/M/1 : Performance Measures

Performance Measures : performance measures (input/output rate, server utilization, average delay, etc...) are easily obtained from the steady state distribution (n) input/output rate : server utilisation : average delay :
1 1 1

1 1

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

M/M/C/C
M/M/C/C

lost
2

... ... ... ...

M/M/C/C :
arrival of clients : Poisson process with rate service times : Exponential distribution with rate C servers, no buffer if a client arrives and if a server is free then the client starts service immediately ; otherwise the client is lost

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

M/M/C/C : State Transition Diagram

State Transition Diagram : the number of clients in the system (service or buffer) is a CTMC with the following state transition diagram

0 1

... ... ...

C1

4 (C 1) C

arrival rate : (transitions n n + 1, n 0)

departure rate : n (number of active servers , transitions n n 1, 1 n C )

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

M/M/C/C : Steady-State Distribution

Steady-state distribution : the system is always stable (systems with nite buffers are always stable) steady-state distribution (n) = (0) n! Performance Measures : the probability that a client is lost is given by the Erlang-B formula Erlang-B formula : EB (, C ) = C /C !
C n n=0 /n!
n

0nC

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Phase-type distributions
Phase-type distributions PH-type distributions generalize the exponential distribution PH-type distribution = association of n exponential distribution in series or in parallel (n phases) more general than the Exponential distribution (in particular, they make it possible to take into account some cases when Cv = 1) but more parameters than the Exponential distribution Neuts, Matrix Geometric Solutions in Stochastic Models, Johns Hopkins University Press, 1981 popular cases of PH-type distributions : Erlang, Hypo-Exponential, Hyper-Exponential, Cox, etc...

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Popular Particular Cases (1/4)

Erlang-distribution

2 ... ... ... ...

F IG .: Erlang-k Distribution

X = X1 + X2 + . . . + Xk with Xi Exp()

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Popular Particular Cases (2/4)

Hypo-Exponential Distribution
1 2
... ... ... ...

F IG .: Hypo-Exponential Distribution with k Phases, Ho(k)

X = X1 + X2 + . . . + Xk with Xi Exp(i )
Ho(k) distribution = k Exponential Phases in series Erlang-k distribution is a particular case of Ho(k) distribution (when 1 = 2 = . . . = k ) in the case of the Ho(k) distribution it holds that Cv < 1, hence the name hypo-exponential

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Popular Particular Cases (3/4)

Hyper-Exponential Distribution
1 p1 2

pk

F IG .: Hyper-Exponential Distribution with k phases, Hr(k)

Hr(k) distribution = k Exponential phases in parallel Cv > 1 hence the name Hyper -exponential

... ... ... ... ...

p2

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Popular Particular Cases (4/4)

Coxian distribution
1
1

2 a1
2

3 a2
3 ... ... ... ... k1

k ak 1
k

1 a1

1 a2

1 ak 1

F IG .: Coxian Distribution with k phases, Co(k)

Co(k) distribution = association of k Exponential phases in series and parallel

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

PH-type Distributions : General Case

Er(k), Ho(k), Cox(k), Hr(k) are particular cases of PH-type distributions PH-type distribution : association of several exponential phases (in series or in parallel) PH-type distributions have been introduced by Neuts, Matrix Geometric Solutions in Stochastic Models, Johns Hopkins University Press, 1981 in the general case, a PH-type distribution
is characterized by a continuous time Markov chain with one absorbing state absorbing means that once the Markov chain has reached that state the chain cannot leave the state (no transitions from that state) the PH-type distribution represents the time spent in the different transient states before the absorption occurs k = number of phases = number of transient states

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Examples (1/2)
1
1/3

2/3

F IG .: PH-type distribution with k = 3 phases

Characterization by the following CTMC : state space {e, 1, 2, 3} (e, absorbing state) initial distribution : = (1/3, 0, 2/3) for the transient states {1, 2, 3} and 0 for the absorbing state e innitesimal generator 1 0 0 0 0 0 C B 0 1 1 0 C Q=B A @ 2 0 2 0 3 0 0 3

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Examples (2/2)

Exercice : In the case of Ho(k), Hr(k), and Co(k) distributions please nd out the CTMC that characterizes the distribution : state space, state transition diagram, initial distribution, innitesimal generator.

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Characterization
innitesimal generator of the corresponding CTMC 0 0 0 ... ... 0 0 t1 t2 t3 T Q= . . . . . . tk where T is a matrix of size k k which characterizes the transition rates between transient states t is a vector of size k 1 such that t = T e where e = [1 . . . 1] initial distribution : , vector of size 1 k which characterizes the initial distribution (the absorbing state is omitted)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Markovian Arrival Processes (MAP)

Markovian Arrival Processes (MAP) modelisation of the arrivals (of packets, etc...) in the case of correlated arrivals (bursts, etc...)

Temps

F IG .: Correlated Arrivals

MAP processes = generalization of PH-type distributions contrary to PH-type distributions, MAP processes take into account the correlations between the successive interarrival times a popular particular case of MAP = the Markov Modulated Poisson Process (MMPP)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

MMPP Process (1/2)

Markov Modulated Poisson Process (MMPP) MMPP (Markov Modulated Poisson Process)
MMPP = Poisson process in which the rate depends on the state of a CTMC with nite state space
CMTC

MMPP(2)

F IG .: MMPP with 2 states

particular case of MMPP = Interrupted Poisson Process (IPP)(2 states, 1 = 0,2 = 0)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

MMPP Process (2/2)

Markov Modulated Poisson Process MMPP = particular case of Doubly Stochastic Poisson Process (DSPP)
DSPP = Poisson process in which the rate (t) is itself a stochastic process Poisson DSPP
) P(N (t) = k ) = exp(t) (t k!
k

P(N (t) = k ) = exp(

t 0

(u) du)

R ( 0t (u) du)k k!

MMPP = particular case of MAP process

MMPP = Poisson process for which the rate (t) is a CTMC with states {1 , 2 , . . . , k }

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Markovian Arrival Process (MAP)

Markovian Arrival Processes (MAP) MAP = generalization of PH-type distributions correlation between successive interarrivals (contrary to PH-type distributions)
once the absorption has occurred the Markov chain starts again from one of the transient states, taking into account the last visited transient state the distribution of the state from which the Markov chain starts again depends on the last visited transient state
this distribution was noted in the case of PH-type distributions ; in the case of MAP processes there is one distribution (i), i = 1, 2, . . . , k for each transient state i {1, 2, . . . , k})

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Example of the MMPP(2) (1/2)

Example : the case of the MMPP(2) CTMC with 2 states when the Markov chain is in state 1, arrivals as a Poisson process with rate 1 ; when the Markov chain is in state 2, arrivals as a Poisson process with rate 2

P oisson(1 ) P oisson(2 )

` 2 etats F IG .: MMPP a

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Example of the MMPP(2) (2/2)

MMPP(2) as a generalization of PH-type distributions CTMC with one absorbing state e
state space : {e, 1, 2} state transition diagram and innitesimal generator

1
e

1 0 0 A (1 + ) ( + ) 2 1 t= 2 (1 + ) T = ( 2 + ) 0 0 @ 1 2

2 initial distributions : 1 = (1, 0) if the absorption has occurred from state 1 ; 2 = (0, 1) if the absorption has occurred from state 2

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

BMAP Processes (1/2)

Batch Markovian Arrival Processes (BMAP) BMAP = generalization of MAP processes BMAP processes make it possible to take into account the interarrival times but also the values of a given batch (packet size, type of packet, Class of Service, etc...) Examples of batches :
packet size (in bytes) TCP ag : SYN, SYN+ACK, FIN, etc... more generally, any information with nite state space { 1 , 2 , . . . , m}
CMTC(2)

BMAP

F IG .: BMAP Process, k = 2, m = 3 (red/green/blue)

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

BMAP Processes (2/2)

Example : batch MMPP(2), (1=red ; 2=green ; 3=blue) CTMC with 2 states when the CTMC is in state 1, the packets are produced as a Poisson(1 ) process, packets are red with proba. = 1/3, green with proba.=1/3, blue with proba.=1/3 when the CTMC is in state 2, the packets are produced as Poisson(2 ), packets are red with proba. = 1/2, green with proba. = 0, blue with proba. = 1/2

Trafc Models S. Vaton Introduction Exponential Distribution, Poisson Process Continuous Time Markov Chains Markov Queues Phase-type distributions MAP Processes BMAP Processes

Taxonomy of Markovian Models

MAP

BMAP

MMPP

PH

MMPP2

COX

HypoEXP HyperEXP

IPP

Erlang

EXP

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

` Troisieme partie III Non Markovian Models

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Criticism of Markovian Models (1/2)

Paxson and Floyd, The failure of Poisson modelling, 1995 interrarival times are not exponential, bursts over several time scales, slowly-decaying correlations (long-range dependence), heavy tails (in duration/volume of TCP connections ; le sizes, transfer times, reading times in WWW, etc...), self-similarity of the cumulated workload, etc...

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Criticism of Markovian Models (2/2)

Goals of this class clarify the concepts of heavy tails, long-range dependence, self-similarity introduce some tests to detect long-range dependence, etc... in trafc introduce some trafc models with heavy tails, long-range dependence, self similarity, etc... temptative explanation of the source of long-range dependence in trafc study of the impact of long-range dependence on QoS (delays, buffer occupation, etc...)

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Non Markovian Models

Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

10

11

12

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Heavy-Tailed Distributions (1/3)

Heavy-Tailed Distributions : Denition : a distribution is heavy-tailed if the complementary cumulative distribution function decays more slowly than the exponential : > 0, lim exp(t)F c (t) =
t

where F c (t) = P(X t) is the complementary cumulative distribution function. Examples of heavy-tailed distributions :
t Pareto distribution : F c (t) = ( tmin ) with tmin , > 0 (power-law tailed) ; innite variance if < 2 ; innite mean, innite variance if 1 Weibull distribution : F c (t) exp((t/a)c ) with c < 1 and a > 0 ; heavy-tailed but not power-law tailed

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Heavy-Tailed Distributions (2/3)

Heavy-Tailed Distributions and Trafc

used in order to take into account phenomenons of extreme variability in trafc example : duration and volume of TCP connections, of le sizes, of Web pages, etc...

Indications of heavy tails :

ephant mice/el phenomenon : a small number of ows represent a large proportion of trafc in volume (Pareto distribution, also called 80/20 distribution) very large variability
extremely large ows (in volume) are not an exception high variance (of ow sizes, etc...)

power-law tails : the complementary cumulative distribution function is linear in log-log scale

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Heavy-Tailed Distributions (3/3)

Example : trafc volume on one interface of a router on a Local Area Network (5 days of trafc measurements)
14 x 10
6

12

10

Traffic Volume

20

40

60

80

100

120

Time (unit=hour)

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

-stable Distributions

-stable distributions : often used in order to model very impulsive phenomenons (bursts) in what follows we restrict ourselves to -stable symetric distributions the distribution is approximately gaussian around the mean value but, when < 2, the -stable distribution is heavy-tailed (more precisely, power-law tailed)

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Inuence of the parameter

5
25

4
20

3
15

2
10

1
0

2
5

3
10

50

100

150

200

250

300

350

400

450

500

15

0
4

50

100

150

200

250

300

350

400

450

500

150

12

x 10

10

100

50

50

100

50

100

150

200

250

300

350

400

450

500

50

100

150

200

250

300

350

400

450

500

F IG .: -stable distributions with = 2.0, = 1.5, = 1.0, = 0.5

The phenomenon is more and more impulsive for small values of the parameter .

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Characterization of -stable distribution

-stable distributions : characterization no analytical expression of the probability density function in the general case (particular cases : = 2, Gaussian distribution ; = 1, Cauchy distribution) characterization by the moment generating function : M ( ) = E(exp(X )) = exp( ) parameters of the distribution :
, characteristic exponent (Levy index), values 0<2 , location parameter, (mean if 1 < 2, median if 0 < 1) , dispersion parameter (dispersion of the values around , similar to the variance of the Gaussian distribution) other parameter : , skewness parameter, 1 1 ; symetric -stable distributions : = 0

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

2 Important Particular Cases

2 important particular cases of -stable distributions Gaussian distribution if = 2 : f=2,, (x) = (x )2 1 ) exp( 4 4

Cauchy distribution if = 1 : f=1,, (x) = 1 2 + (x )2

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Tails of -Stable Distributions

Tails of -stable distributions for < 2 the -stable distribution is heavy-tailed (more precisely, power law tailed) ;
t ) ; the Pareto distribution : F c (t) = P(X t) = ( xmin Pareto distribution behaves as a power-law on all its range of values [xmin , +[

-stable distributions with < 2 behave as a power-law in the tails of the distribution : limt t F c (t) = cst. inuence of the Levy index :
the smallest the value of (0 < < 2) the strongest is the phenomenon of heavy tails for small values of extremely large values of the R.V. are not the exception ; modelisation of very impulsive phenomenons

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Moments of -Stable Distributions

Moments of -stable distributions if < 2 then the variance of X is innite if moreover 1 then the mean of X is also innite

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Generation of -Stable Distributions

-stable distributions : generation methods we restrict ourselves to the case of symetric -stable distributions even if similar expressions exist in the general case generation of a symetric -stable distribution W, exponential R.V. with parameter = 1 ; , R.V. with uniform distribution over ] /2, +/2[ X= sin() cos((1 )) 1 ) ( W (cos())1/

then X is -stable with characteristic exponent (standard symetric -stable distribution : = 0, = 0, = 1)

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Generation of -Stable Distributions

2 important particular cases : = 2, Gaussian distribution X= sin(2) cos() 1/2 ) = 2 W sin() ( 1 / 2 W (cos())

Box-Muller algorithm for the generation of the N(0, 1) distribution. = 1, Cauchy distribution X = tan() This is a classical method for the generation of the Cauchy distribution.

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Long Range Dependence (LRD)

Paxson et Floyd, The failure of Poisson modelling long-term correlations in trafc this long-term correlation is contradictory with classical (Markovian) trafc models (Poisson, MMPP, MAP, etc...) Long-Range Dependence (LRD) denition signature (autocovariance function, power density spectrum, variance-time analysis) some examples of LRD processes (fractional Gaussian noise, fARIMA) generation of LRD processes

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Spectral Representation

2nd order stationarity (stationarity of the covariances) Let Xt be a discrete time stochastic process (time series). This process is 2nd order stationary if : E(Xt ) = m does not depend on t E(Xt+k Xt ) m2 depends on k only (but does not depend on t) Representation of a Second Order Stationary Process A 2nd order stationary process can be represented : in the time domain by its autocorrelation function in the frequency domain by its power density spectrum = repartition of the energy of the signal on the different frequencies

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Spectral Representation
Autocorrelation Function The autocorrelation function of a 2nd order stationary process is dened as follows : (k) = E(Xt+k Xt ) m2 Spectrum The power density spectrum of the process is the discrete Fourier transform of the autocorrelation function :
+

S () =
k =

(k) exp(ik)

The discrete time Fourier transform can be obtained as the output of the Fast Fourier Transform (FFT) algorithm.

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

LRD : denition
Long-Range Dependence (LRD) can be dened as follows :
slow decay of the autocorrelation function (k ) of a 2nd order stationary signal divergence in = 0 of the power density spectrum S () both denitions are equivalent

(k) = O(k2H 2 ), 0.5 < H < 1.0 S () = O(12H ), 0.5 < H < 1.0. Hurst parameter H
H is the Hurst parameter of the process the process is LRD if 0.5 < H 1 the closest to 1 is H , the strongest the LRD phenomenon is in the case of Markovian models, autoregressive models, etc... the Hurst parameter is H = 0.5 (no LRD) trafc analyses nd out most of the time H 0.80

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

LRD in Trafc (1/2)

Autocorrelation Function
measured trafc trace (measurements from a Local Area Network) synthetic trafc : trafc generated according to an AR(2) 2 model : X (t) = 2 i=1 ai X (t i) + (t), (t) WGN(0, )
1 "AR2" "LAN Traffic" 0.8

0.6

0.4

0.2

-0.2

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

LRD in Trafc (2/2)

Power Density Spectrum

measured trafc trace (Local Area Network) synthetic trafc (AR(2) model)
1e+11 1e+10

1e+10

1e+09

1e+09 1e+08

S ()

1e+08

S ()
LAN Traffic
0.001

1e+07

1e+07

1e+06 1e+06 100000 100000

10000

10000

AR2
0.001

1000 0.0001

0.01

0.1

1000 0.0001

0.01

0.1

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

LRD : signatures
Signatures of LRD :
slow decay of the autocorrelation function divergence of the power density spectrum in = 0 bad averaging properties : when the signal is averaged, strong variations remain in the averaged signal variance-time analysis is based on these bad averaging properties Variance-Time Analysis if Xt is a LRD process with Hurst parameter H then var( 1 m Xi )
i=1,m m

O(m2H 2 )

on the contrary, in the case of classical models (MAP, etc...) 1 1 ) it holds that var( m i=1,m Xi ) = O(m

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Variance-Time Plot (1/2)

Variance-Time Plot : average the signal on windows of m samples compute the variance sm of the averaged signal repeat for different values of m plot sm against m in log-log scale : straight line with slope (2H 2)

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Variance-Time Plot (2/2)

measured trafc trace (measurements over a LAN) synthetic trafc (AR(2) model)
10000 "AR2" "LAN Traffic"

1000

sm

100

10

1 1 10

100

1000

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Fractional Gaussian Noise (1/4)

Fractional Gaussian Noise (fGn) popular particular case of LRD process dened by the following equation (1 B )d Xt = t where
d is a fractional coefcient : 0 < d < 0.5 k k k (1 B )d = k=0 Cd (1) B where B is the shift operator i.e. BXt = Xt1 t x 1 (d+1) k Cd = (k+1)( dt dk+1) where (x) = 0 e t

t W GN (0, 2 )

the fGn is a LRD process with Hurst parameter H = d + 0.5

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity

Fractional Gaussian Noise (2/4)

Inuence of the parameter H :

4 4

XH (t)

XH (t)

Agregation Models Impact on Performance

H=0.5
3 2

H=0.65

-1

-1

-2

-2

-3

-3

-4 0 200 400

t
H=0.8

600

800

1000

-4 0 200 400

600

800

1000

H=0.95

XH (t)

XH (t) t

-1

-1

-2

-2

-3

-3

-4 0 200 400

-4 600 800 1000 0 200 400

600

800

1000

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Fractional Gaussian Noise (3/4)

Autocorrelation function
H
0.8 0.6 0.1 0.4 1

LRD
0.01

slope 2H2

0.2

-0.2

LRD
0 20 40

H=0.65 H=0.8 H=0.95 H=0.3 H=0.45 0.001 100 0

H=0.65 H=0.8 H=0.95 20 40

-0.4

60

80

60

80

100

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Fractional Gaussian Noise (4/4)

Autocorrelation Function and Power Density Spectrum autocorrelation function
1 (k) = corr(Xt , Xt+k ) = 2 (|k + 1|2H 2|k|2H + |k 1|2H )

(k) = O(H (2H 1)k2H 2 )

power density spectrum S () =

2 2 |1 ei |2d = |2 sin(/2)|2d 2 2

and when 0 it holds that S ()

0 2 2 ||2d = ||12H 2 2

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Generation of a fGN
Method based on the FFT let Xt be a fGn, and S () its power density spectrum Xt is a 2nd order stationary process and thus Xt is harmonizable Xt =
2 it 1/2 ()dB () 0 e S

where Bt is the standard Brownian motion discrete approximation of eit S 1/2 ()

IN = =
N 1 it 2 1/2 2 n+1) N S ) ( N )(B ( 2(N n=0 e N 1 it 2 1/2 2 2 N S ( N ) N n n=0 e n B ( 2N ))

IN converges to Xt (in the sense of the L2 norm) Fast Fourier Transform algorithm (FFT)
n S 1/2 ( 2N ) FFT 2 N n ,

N 1 n=0 e

it 2n N

n S 1/2 ( 2N )

0nN 1
2 N n ,

1tN

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Self-similarity : Principle
Intuitive idea : deterministic self-similarity

deterministic self-similarity : the same pattern is repeated on all scales statistical self-similarity : same characteristics (bursts, etc...) at all time scales

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Self-Similarity in Trafc

Paxson and Floyd, The failure of Poisson modelling self-similarity of the cumulated workload variations are present at all time scales no typical time scale for bursts, etc... the cumulated workload is highly variable Self-Similarity denition of self-similarity signatures of self-similarity relation with LRD example : fractional Brownian motion

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Denition of Self-Similarity

Statistical self-similarity : denition Let Yt be a continuous-time process. Yt is self-similar, with self-similarity coefcient H , if {Yat , t 0} = {aH Yt , t 0} equality between the laws of the processes a change of time scale does not change the shape of the self-similar process the interesting case is the case when 0.5 < H < 1.0
(d)

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Signatures of Self-Similarity (1/3)

Indexes of self-similarity
mean/variance index (IDC, Index of Dispersion for Counts) R/S index (Rescaled Adjusted Range, Pox diagram) Index of Dispersion for Counts (IDC) historically used in order to test the validity of the Poisson assumption ; gives an estimation method for the Hurst exponent H let Nt be a Poisson process with rate , then var(Nt ) = moy(Nt ) = t and IDC (t) = 1 let Yt be a self-similar process with coefcient H IDC (t) = var(A(t)) var(Y (t)) = t2 H 1 moy(Y (t)) t

plot IDC (t) against t in log-log scale ; straight line with slope (2H 1) the case of the Poisson process corresponds to H = 0.5

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Signatures of Self-Similarity (2/3)

R/S index (Pox diagram) principle : the range of values taken by Yt (around a linear trend t) is very large when H is close to 1 R/S index : denition
R (Range) measures the maximal range of values taken by Yt around a linear trend S (Standard Deviation) measures the standard deviation of the process of increments Xt = Yt Yt1 more precisely,
i (Yt+k Yt )] R, R(t, k ) = max0ik [Yt+i Yt k i min0ik [Yt+i Yt k (Yt+k Yt )]

S,

S (t, k )

k 1 avec

i=1,k (Xt+i t,k = k 1 X

t,k )2 X
i=1,k

Xt+i

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Signatures of Self-Similarity (3/3)

R/S index (Pox diagram) R/S index : results If Yt is self-similar with Hurst parameter H then E(R(t, k)/S (t, k)) = O(kH ) Pox diagram : plot the values of R/S against k in log-log scale ; straight line with slope H

if H is in the range 0.5 < H < 1.0 then the process is self-similar ; otherwise straight line with slope 0.5

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Self-Similarity and LRD

a self-similar process is never 2nd order stationary (contrary to LRD processes) Which model should we choose ?
if the time series looks stationary then a LRD process can be used cumulated workload : self-similar process ; example : fractional Brownian motion, stable Levy motion, etc... workload (trafc per second, per minute, etc...) : LRD process ; example : fractional Gaussian noise, fARIMA, etc...

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Fractional Brownian Motion (1/2)

Refresher : standard Brownian motion Bt continuous time Gaussian process stationary and independent increments Fractional Brownian motion Bt stationary increments distribution of the increments (H ) (H ) Bt Bs N (0, 2 |t s|2H ) distribution of the increments Bt Bs N (0, 2 |t s|)
(H )

(fBm)

continuous time Gaussian process

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Fractional Brownian Motion (2/2)

Fractional Brownian motion : properties for H in the range 0.5 < H < 1.0 the increments are not independent (contrary to the standard Brownian motion) the fractional Brownian motion is a self-similar process a, {Bat , t 0} = {aH Bt
(H ) (d) (H )

, t 0}

the case of the standard Brownian motion is the case H = 0.5 Fractional Brownian motion and fractional Gaussian noise let Xt be the increment process Xt associated to the (H ) fractional Brownian motion Bt Xt = Bt
(H )

Bt1

(H )

Xt is a fractional Gaussian noise with coefcient H .

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Origins of Long Memory in Trafc

Agregation Models : some temptative explanations of some phenomenons observed in trafc (self-similarity of the cumulated workload, LRD in the series of trafc/minute, interarrival times, etc...) principle : the superposition of short-term memory effects at the microscopic level can result in some long-memory effects at the macroscopic level most popular model :
superposition of a large number of ON/OFF sources with Pareto distributed ON and/or OFF periods... Willinger, Taqqu et al., Self-Similarity Through High Variability : Statistical Analysis of LAN Trafc Data, 1997

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Superposition of ON/OFF Sources (1/2)

Agregation of ON/OFF sources ON/OFF source :

alternance of On and Off periods On periods : some trafc is emitted, Off periods : the source is silent Example : Web navigation = downlad times / reading times On/Off model characterized by the distribution of On and Off periods
OFF ON OFF ON OFF

Agregation of On/Off sources :

superposition of a very high number of On/Off sources Pareto-type distribution of the On and/or Off periods

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Superposition of ON/OFF Sources (2/2)

Origins of LRD in Trafc
Willinger, Taqqu et al., 1997 superposition of a high number of ON/OFF sources Power-law tailed distribution of ON and OFF periods (Pareto-type distribution) : Fic (x) = O(xi ) i = 1 ON, i = 2 OF F with 1 < i < 2 (nite mean, innite variance) 2 limits : the number of microscopic sources goes to innity, and the duration of their action goes to innity the cumulated workload converges to either a fractional Brownian motion (Gaussian self-similar process) or a stable Levy motion (-stable self-similar process) (the convergence depends on the order in which the limits are taken).
x

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

LRD and QoS

Impact of LRD impact of LRD in trafc on some parameters of QoS (delay, losses, . . . ) Markovian models of trafc
are dramatically optimistic since they undervalue the probability of some rare events (buffer overows, very long delays, etc...) if the trafc is in fact LRD

case of LRD offered trafc

queues with LRD offered trafc asymptotic performance results (large buffers, very long delays, . . . ) these results are based on large deviations theory

Trafc Models S. Vaton Heavy-Tailed Distributions Long-Range Dependence Self Similarity Agregation Models Impact on Performance

Example : LRD and Delay

Delay in a G/G/1 queue 2 cases : LRD offered trafc, offered trafc with short memory we are interested in the tails of the distribution of delays (very long delays,. . . ) well-known particular case : M/M/1, the distribution of the delay (service time + waiting time) is exponential 1 with mean value (1/) 1 distribution of the waiting-time W :
case of short-memory offered trafc P(W > x) exp(x) case of long-memory offered trafc P(W > x) exp(x22H ) Weibull exponential

Trafc Models S. Vaton

` Quatrieme partie IV Conclusions

Trafc Models S. Vaton

Summary

Summary of this Class 1 Markovian Models

Exponential distribution and Poisson process, PH-type distributions, MAP processes (special case of the MMPP) BMAP processes
2

Other Models
heavy-tailed distributions, Long Range Dependence, self-similarity signatures in trafc explanations of LRD in trafc impact on performance (delays)

Questions ?