Enhanced Management Method of Storage Area Network (SAN) Server with Random Remote Backups

Size: px
Start display at page:

Download "Enhanced Management Method of Storage Area Network (SAN) Server with Random Remote Backups"

Transcription

1 ELSEVIER Available online at MATHEMATICAL AND SCIENCE ~ DIRECT" COMPUTER MODELLING Mathematical Computer Modelling 42 (2005) Enhanced Management Method of Storage Area Network (SAN) Server with Rom Remote Backups SONG-KYOO KIM Mobile Communication Division, Samsung Electronics 94-1 Imsudong, Oumi, Gyeongbook , South Korea amang, kim~s amsung, com (Received December 2003; revised accepted June 2005) Abstract--A SAN (storage area network) is a mass storage solution, that is, designed to provide a high-reliability high-speed network over fiber optic link. This paper is dealing with the stochastic SAN server management method which is focused on reliability. The (remote) backup servers are hooked up by the long-haul network replace broken main severs immediately. If the SAN servers are represented as "machines", this system can be solved by using the stochastic maintenance model with main unreliable rom auxiliary spare (remote backup) machines, subject to rom breakdowns, repairs, two replacement policies: one for busy another for idle or vacation periods. When the repair facility is not available because of the given conditions, auxiliary machines are being used for backups. Unlike existing models, the availability of auxiliary machines is changed for each activation of the system. Analytically tractable results are obtained by using a duality principle (which enables us to treat a more rudimentary system), semiregenerative analysis, multivariate marked renewal processes. The results are demonstrated in the framework of optimized SAN server allocation problems with unreliable backup 2005 Elsevier Ltd. All rights reserved. Keywords--Stochastic maintenance, SAN management, Availability, Stochastic optimization, Closed queues, Duality principle. 1. INTRODUCTION Optical networks provide enormous capacities in the networks a common infrastructure over which a variety of services can be delivered. Storage area network (SAN) is one of optical network applications to interconnect computer systems with other computer systems peripheral equipments. A SAN architecture is identified by fibre channel consists of one or more servers connected to storage devices via switching devices such as hubs, switches, bridges. Connections between clients storage devices are controlled by SAN servers that should be very reliable can support high-speed connections between storage clients. SANs operate at bit rates ranging from 200 Mbps to 1 Gbps over fiber optic link. While the bit rate itself is relatively modest, the SAN is attractive because of the optical layer that can support a huge number of such connections between two data centers. Optical fibre offers much higher bwidth than copper cables is less susceptible to various kinds of electromagnetic interference other /05/$ - see front matter (~) 2005 Elsevier Ltd. All rights reserved. Typeset by Ajk/~S-TEX doi: /j.mcm

2 948 STORAGE AREA NETWORK (SAN) SERVER undesirable effects [1]. SAN server for resilience against disaster is a major issue of reliable network management. We assume that the remote backup SAN servers are geometrically separated with main SAN servers hooked up by the long-haul networks over fiber optic links. The stochastic model in this paper is considered to improve the availability of SAN servers. Let us assume that we have SAN spare servers which are linked with long-haul networks. Once all m + 1 servers become intact, the system renders a checkup. Patching applications or upgrading the operating system is a very typical pattern of maintenance. During this period, the system borrows servers with the latest version of the operating system applications from the total quantity of from an external provider. Since the usage of external resources are rom because these are also unreliable. Our model provides decision factors such as the optimal control level, the number of spare servers, failure rates, so on, that are beneficial for the SAN architecture. The mechanism that is mentioned above can considered as the stochastic model that consists of machines a repair facility which fixes broken machines goes on vacations when all machines are working properly. Unlike other existing models, the availability of auxiliary machines is changed for each activation it considers the rom number of external backups for maintenance purposes beyond M/G/1 closed queueing system. If each SAN server is considered as "machines", the model forms a class of closed queueing systems with the initial quantity of m + 1 main unreliable machines, S rom auxiliary reserve machines, also called "super-reserve" machines. The concept of super-reserve machines is intoduced in [2]. Main machines represent the SAN servers super-reserve machines means their remote backups. Main machines are subject to "exponential failures" their repairs are rendered (in the FIFO order) by a single repair facility (also known as the "repairman") with generally distributed repair times. The rom super-reserve facility is "activated" the repairman is idle or vacationing whenever the number of main machines is restored to its original quantity. Even though the number of super-reserve machines is rom, we assume that the number is fixed when the super-reserve machines are activated. During this time, dropped machines line up in the %vaiting room" until the whole super-reserve facility is exhausted one more machine breaks down. Then, a repairman's busy period resumes its cycle continues. The classical model with m unreliable machines no backup [3] is also described in terms of closed queueing systems, i.e., those with so-called "finite sources." the rom availability of super-reserve machines makes our model different. The supplementary variable method semi-regenerative analysis are used with additional results for semi-markov processes analytic solution is very appealing in optimization. The current methodology (without super-reserve facility) stems from [4-6] further explored with super-reserve facility [2]. 2. DUALITY PRINCIPLE: GENERAL 2.1. Stochastically Congruent Models The duality principle we would like to begin with includes another model, which is more simple than the main one (Model 1) to which we will refer as to Model 2. Model 2 is similar to Model 1, except that it does not have the backup facility idle periods. We rather associate it with repairman's vacations, which are distributed as regular repairs. However, upon his return, the repairman brings a br new machine, which replaces any one that breaks down during his vacation trip if any such available. Otherwise, the new machine he brings in substitutes any other machine in both cases the old machine is disposed. Model 2 is directly connected with yet another model, which we will call Model 3. Model 3 is a regular multichannel queueing system, in notation, (GIo, GI)/M/m/O (see Appendix A.1). Model 2 Model 3 are best observed in a parallel fashion [5]. The number Zt of intact machines in Model 2 corresponds to the total number of customers in Model 3. m - Zt gives the number of defective machines waiting for repair in Model 2 it also gives the number

3 S.-K. Kim 949 of available channel in Model 3. Whenever a machine of Model 2 breaks down, a customer of Model 3 is processed leaves the system. A customer in Model 3 is called for service to occupy a channel just vacant, while in Model 2, the latter joins the queue of defective machines. Whenever a machine is completely repaired, it joins the main facility while this event corresponds to the arrival of a new customer from an outside source. If the channel is full, this customer gets lost. Understably, the channel must have been filled up upon the previous arrival there has been no service completion since then. Correspondingly, the repairman leaves on vacation when all machines become intact upon his return, the repairman attempts to replace a defective machine by a new one he carries out. If there is none available, he may return the new machine for refund. In any event, the status of the reliability system, in this case, is not altered. We call Models 2 3 "stochastically congruent." This idea has been previously utilized in [5,6], in connection with simpler models Notations In this section, we will describe all the above models more formally. Denote by Z 1 the total number of intact main machines at time t in Model 1. If a repairman fixes all machines completely, the total number of main machines is restored to m + 1. Then, he goes on vacation until S + 1 machines break down, after which the repairman resumes his work. In other words, a busy period begins. As we already mentioned, backup machines are replaced when main machines fail during repairman's idle period. Denote by S, the rom number of external backups that are used during idle periods. The PMF (probability mass function' of S (the number of super-reserve backups) is s(n):=p{s=n}, n=0,1,..,n... (2.1) with the mean r - E[S] Nmax is the maximum number of externall backups with the control level N(< N... ). Let TO(= 0),71,... be the successive moments of repair completions. The rom variable 7n+1 -~-~ is supposed to have a PDF (probability distribution function), A(x) := P{~+l - ~n _< x}, x > 0, (2.2) with mean a = E[7-,~+1 - T~] < oo. If upon the service completion, the totm number of intact machine is greater than m, the PMF of next service completion period is Ao(x) with the mean ao = f~+ xao(dx). Each of the main machines breaks down independently of each other of repairs, according to the exponential distribution with parameter 0 < # < oo. In Model 2, there is a maximum of m main served by a single repairman. The total number of main machines at time t (> 0) is denoted by Zt. Unlike Model 1, there are no idle periods even when all main machines become intact. Let T~ be the n th repair completion. If the line of defective machines is nonempty, the repairman continues to repair a next machine immediately. When the cumulative number of intact machines becomes m at Tn, the repairman leaves the system returns at T~+I with a br new machine. We assume that his vacation is distributed as his regular service time. The new machine replaces a defective one, if by then available, or otherwiserefund the new machine. We suppose that the last action does not affect the status of the system in this particular problem setting. The rom variable T,~+I - Tn is stochastically equivalent to Tn+l --T~ of Model 1. The assumption about the failures distribution is the same as of Model 1 (i.e., exponential distribution with parameter #). 3. DUALITY PRINCIPLE: CONNECTION BETWEEN THE MODELS In case of the given number of external backups S, it can be shown that 7-1,72... T1, T2,... are sequences of stopping times of the processes, x, Z I' 0)) E1 {0,1,..,re+l} (3.1) ( t,t> =

4 950 STORAGE AREA NETWORK (SAN) SERVER (,t2,(p )xee,(zt;t>o)) E {0,1,.,m}, (3.1a) respectively, that these processes are semiregenerative relative to these sequences [5, p. 246]. Let ~ := Z 1 Xn := ZT,~-, n 0, 1, 2,...,rn_ Consequently, (~1,"~[1, (P X)xc E, (~n;?~ = 1, 2,... )) --* E (3.2) (f~,ll,(p~)xce,(xn;n=l,2,...)) ~E (3.2a) are embedded Markov chains (MC). Both Markov chains are stochastically equivalent ergodic. Their limiting probabilities are expressed through the common invariant probability measure P = (P0, P1... Pc). Since ((n) (X,~) are stochastically equivalent, only one of them will be treated. Let (ft1, 11, (P~)x~E, (Ytl;t > 0)) ~ E (ft,tl, (P~)~S, (Yt;t > 0)) --~ E be the minimal semi-markov processes associated with the above sequences of stopping times, respectively. In the case of the Model 1, we need to find the limiting probabilities, (cf., [7, p. 342]), where y~ := lim P{Yt' = k} = PkMk k e E, (3.3) x--,~ P M ' { a,[ ] k=0,1,...,m-1, (3.4) Mk := Ek[T1] = E ao(s + 1) + (S 1)., k = m, m# j PM is the scalar product of P M = (M0, M1,..., Mm) T, which equals PM=fi+Pm.E aos + m------fi-- ' where O~ = (1 - Pc) a + Pmao. It is readily seen that the process Zt Zt 1 on their busy periods are stochastically equivalent, or formally, P~{Zt = k} = P~{Zlt = k I t E Busy Period} (k E E). Furthermore, Therefore, P~ {Zt = k} = Pz {Zlt = k l t c Busy Period} _ P~{Zlt = k,z 1 C {0, 1,...,rn}} Px{Zl t C {O, 1,...,m}} 0, k=m+l, = = k} 1_ p~{ztl = m+ 1}, k<m. P~{ZI=k}=(1-Px{Zlt =m+l})p~{zt=k}, k=0,1,...,m. (3.5) On the other h, breaking a period when Yt 1 = m in two intervals, of which the first one is an idle period the second one is the repair period of all backup machines, we have lira px {t E Idle Period I S = n, Yt ] = m} = (n + 1)/m# = 1. t--~ (n + 1)~rap + (n + 1)a0 1 + aom#" (3.6)

5 S.-K. Kim 951 From (3.3), P,,,(n + i)(i + a0m#) lim P* {Yt 1 = m ] S = n} = m#(a + P,,aon) + Pm(n + 1)" t (3.r) Let ~k 1 := limt +~ P~{Z 1 : k },~k(n):= 1 limt-~ px {Z~ = k I s = n}, k = 0,1,...,m, be the limiting probabilities conditional probabilities of the process Zt 1. These probabilities exist, under the same conditions as those for the embedded process. Then, from (3.6),(3.7), it follows that ~m+l (7/) : lim Px{z1 t = rn + ] I S = n} Pm(n + 1) :. (3.8) t---~oz m~(a + Pmaon) + Pm(n + 1) From (3.7),(3.5) yield = -- ~m+] (n)) 7rk, k = O, 1,...,m, (3.9) where 7rk := limt~ Px{Zt = k} is subject to our consideration in Section 4. conditional expectations, we have, i [ Pm(S 1) ] E = [~m+l (S)] = ~ mp(~t + PmaoS) + Pm(S + 1) 7rm+ l Because of (3.10) From (3.1), (3.10), (3.11) yield 1 l~, [(1 1 71"k = -- ~rn+l (S))] 71"k, k = 0,1,...,m. (3.11) i fi s(n)p.,(n + 1) X,n+l = ~#(0, Pmaon) + P.~(n + 1) rt=o 1 ~ S(~1,)TD~#(Ct -~ Pmaon) ~k ~k n=o mp(a + Pmaon) + P.z(n + 1)' k = 0,1,...,m. 4. STOCHASTIC PROCESS WITH CONTINUOUS TIME PARAMETER We now turn to the continuous time parameter queueing process of Model 3. The below treatment is similar to that of Dshalalow [5] (see also [2]). We bring some details, for the sake of consistency. Let (Nt) be the counting process associated with the point process (Tn) Vt := TN,+I --t, t >_ O. {Vt; t _> 0} gives the residual time from time t to the next repair completion TN,+I. The process ( a,u,( v L~,(z~,E)L>0 ) ~(~,;~(~)), ~:=Ex~+, is weak Markov. Let (Pi i) be the Markov semigroup associated with (Zt, Vt) assumed to be absolutely continuous, i.e., with P](k [0, y]):=pi{z t =k, Vt C [0, y]}, (4.1) 7r~(t,u)du = Pi{Z t = k, Vt E [u,u+du)}, i,k C E, A(x), j =O,...,m-1, Aj (x) = Ao (x), j = m. ~, t c R+, (4.2)

6 952 STORAGE AREA NETWORK (SAN) SERVER Since we are dealing with equilibrium, we do not need to consider the initial state. So, we are dropping the index (i) from 7r. To find the limiting distribution 7r of the process (Zt), we will start with the Kolmogorov differential equations, assuming that Aj(x) (of (3.2)) has the Radon- Nikodym density aj(x), which is pointwise continuous. From (4.2), the Kolmogorov equations arc as follows, (0 0) 0u 7rk(t, u) = -kptrk(t, u) + (k + 1)~zTrk+l (t, u) (4.3) (o0) +Trk_l(t,O)a(u), k = 1,...,m- 1; Ot O-u 7rk(t,u) = --mptrrn(t,u) + ptrm(t,o)a (u) + 7r,~_l(t,O)a(u), k = m. (4.3a) The process (Zt, Vt) is aiso semiregenerative relative to the sequence To, T1,..., its limiting distribution exists. Let 7rk(u) := t~eclim 7rk(t,u),Crk(O):= jf 7rk(u)e-O~du, Re(0) _> 0, k C E. + Letting t --~ ec in (4.3) then applying the Laplace transform, we have (0 - ] #)Trk(O) = 7rk(0) -- (]; + 1)#~k+1(0) -- OL(0)Tl'k--l(0), k ,..., 7)2 -- 1; (4.4) With in (4.4), (0 -- TFt~t)~rn(O ) = 7rrn(0 ) -- 71"m_1(0 ) O~(0) -- 71"m(0 ) Oz0(0). -~u~ =~(o) (k+l)u~k+~ ~k_~(0). Summation over k = 1,..., n - 1(< m - 1) in (4.6) then yields From (4.6), Using (Tr, 1) = 1, we get 7rn-1 (0) 7On , ~t ~- 1~...,~7~. n# ~m_l(o) m~ Tr0 = 1 - ), 7rn. n=l To find the unknowns 7rk(0) when k = 0, 1,..., m, we use the approach in [3,4]. Denote (4.5) (4.6) (4.7) (4.8) (4.9) Note that pjk(t) :- PJ {zt = k I r~ > t}. ~ pjk(t) A(dt) = Pjk, + j,k c E, (4.10) are the transition probabilities of the embedded MC (Xn). We use the natural assumption that PJ{Z~=klTl>t}=PJ{Zt=klTl>t+u}, Let K3t(k [0, y]) := PJ{Zt = k, Vt c [0, y], T1 > t}. theorem, lim P{(k [O,y])= (~)-lj~epj /~ KJt(k [O,y])dt, t~oo + Vu>O. Then, from the main convergence kse, yc~+, (4.11)

7 S.-K. Kim 953 where a= (1 -Pm)a+Pmao. By elementary probability arguments, then, K~ (k x [0, y]) : Pjk (t) [A (t + y) - A (t)] lim P[(k x [O,y]) = lim Pi{Zt = k, Vt C [O,y]} t ----* O0 t--+ O~ : (~,)--1 E PJ ~ KJ(k x [0, y])dt dee + = (gt)-i E PJ pjk(t)[aj(t + y) - Aj(t)] dt, j@e + = (a)-i E PJ p;k(t) aj (t + x) dx dt j6e + =0 j, kee, yen+ (by Fubini's theorem), = (~)--1 E PJ pjk(t)aj(t + x) dt dx. =0 jee + (4.12) From (4.2) (4.12), ~(x) = (~)-~ ~ Pj jee + pj~(t)~j(t + ~)dt. (4.13) When x -+ 0 in (4.13), due to (4.10) Pk = Y-]~jeE PjPjk, Pk ~k(o)=--, k=o,...,,~ (4.14) a where Pk from (A.1). From (4.7)-(4.9) (4.14), we finally arrive at the limiting distribution rr, m 7to = 1 - Errn' k = 0, n~l Pkl 7r k -- k#a ' k = 1,...,m, (4.15) where P = {P0,..., P,z} from (A.1). For the process Z 1, the corresponding formulas yield (from Section 3), 7rm+ 1 : E m#(g + Prnao n) 4- Pm(n + 1)' ~ ~(~).~(~ + Pmao~) ~k = ~k,~(a + P~a0~) + P~(~ + 1)' 7z=O (4.16) k = 0,1,...,m, (4.17) along with (4.15).

8 954 STORAGE AREA NETWORK (SAN) SERVER 5. OPTIMALITY OF THE SAN SERVER MANAGEMENT In this section, we will deal with a class of optimization problems that arise in reliability. Let us formalize a pertinent optimization problem. Let a strategy, say Z, specify, ahead of the time, a set of acts we impose on the system, such as the choice of repair distribution, the number of main external backups, statistics of failure rates dependent on the nmnber of backup machines that enables us to spend more or less time on the maintenance so on. On the other h, a system can be subject to a set, say C, of cost functions. Denote by (Z, C, t) the expected costs within [0, t], due to the strategy Z costs C define the expected cumulative cost rate over an infinite horizon, (E, C) := t +o~ 7 1im 1 (Z, C, t). (5.1) We formulate our problem for a special case. Let g(u) denote the cost function associated with the system spending u units of time for the super-reserve machine usage during all idle periods that fall into the period of time [0, t]. If {Yt~; t > 0} is the semi-markov process (from Section 2.3) g(u) is a linear function, i.e., g(u) = cu where c is cost rate of idle periods, then f0 t 1{,~+~} (Y~)du gives the time spent by the system during all repairman's idle periods within [0, t], where 1A is the indicator function of a set A, Ug(t) = ]Ei [g ( fot l{~} (Y~) du) ] = ce~ [/ot l{rn} (Y~) du] is the corresponding expected cost. By Fubini's theorem, ~0 t Ug(t) = c pi {y~ = m} du. (5.2) Let fl(n) be the reward rate for n intact main machines. Then, the expected reward for all working machines in the interval [0, t] is [f0t ] [r~l /t ] Ufl(t) = IE i fl(z 1) ds = E i fl(k) lik}(z 1) ds kk=0 =0 (5.3) (which by Pubini's theorem is) m+l t = Zsl(k)f P {zl=k}as. k=o =0 If Lt denotes the number of failed machines waiting for repair, during a busy period, at time t, then it is t = m + 1 Zt 1. Analogous to the above calculations, the expected cost due to failures during all busy periods within the time period [0, t] is [jf0 t ] rn+l /~ Uf2(i,t) =E i f2(l,)ds = E f2(m+l-k) Pi{z~ =k} ds. k=0 0 (5.4) Since the Markov renewal function Ri(t) = Ei[Nt] ]Ei[~n~_-0 l[0,t](t~)] represents the total expected number of machines refurbished in the time interval [0, t], the functional ldr i (t) = rr i (t) gives the total reward for all machines completely processed in [0, t], if r is the common reward for each repaired machine.

9 S.-K. Kim 955 The cumulative cost of the entire procedures involved in the reliability system of main borrowed super-reserve machines, in the interval [0, t] is (Z, C, t) = Ug (t) + Ufl (t) -- U f2 (t) + LIR ~ (t) m+l =~ {z: =~} du+ ~ fl(k) {z~ =k} ds k=o =0 m+ 1 t + Zf~(.~+l-k)f, P~{zJ=k} d~+~r*(t) k=0 =0 t ~0 t m+l ftpi =~ P~{Z3=.~} d~+~ (fi(k)+f~(m+l-k)). {Z l=k} d~+~r~(t) k=0 Js=0 Among various constraints, it is reasonable to include that the quantity of backup machines must be large enough as to provide some maintenance (or upgrade or retraining) of m + 1 main machines this can be done as t~oo t =0 1{re+l} (Z 1) du > 1"(re+l), (5.5) where F is an appropriate "reconciliation" function of m. The value on the left of (5.5) is the portion of a maintenance period within a unit time (we can call it shortly the maintenance rate). On the right-h side, we set the minimal maintenance rate as a function F of internal t machines. In terms of our system, f =0 l{m+l}(z~)du is an "idle period" within [0, t], during which we assign the repairman to the above mentioned maintenance. In thc case of computer networks, an upgrade can be anything from installing a newer version of operating system virus checking to patching the network server applications. Now, we turn to convergence theorems for semiregenerative, semi-markov, Markov renewal processes, (i) (ii) lim ~Ri(t)- 1 t-~ PM' lira -/o 1 t pi {Z 1 k} ds 7rk, t---* oo t 1 (iii) lira -1 ft pi {y~ = k} du PkMk t~o~ t Jo PM ' to arrive at the objective function (Z, C) which gives the total expected rate of all processes over an infinite horizon. In light of equations (i)-(iii), we have m+ i PmMm 1 6 (Z, C) = t--,~olim 6 (Z, C, t) = c p~ + r~-~ + E (fl (k) + f2 (m k)) 7r~. (5.6) k=0 With fi being linear functions, we have rn+l P~Mm 1 (Z,C) =c PM +r~--m+ E [kh+(m+l)l]tc~, (5.7) k=0

10 956 STORAGE AREA NETWORK (SAN) SERVER where h, l are relevant (cost) constant coefficients. Recall that from (4.15)-(4.17), we have 1 ~ S (n) P,,~ (n -F 1) 71-m+1 = 2_~?T~t (a -}- Pma0?%) Jr- Prn (~ q- 1)' tz=0 rr k = rrk E s (n) rnp (5 + Pmaon) m 7r0 : 1 - ~ rr~, k = 0, k = 0, l,...,m, :rk - Pk-1 k~t> ' k= 1,...,rn. With these attachments (A.1)-(A.5), formula (5.7) for the objective function is complete. 6. OPTIMIZATION EXAMPLES In this section, we intend to demonstrate the tractability of our results in Sections 2-6 on a special case of super-reserve machines. We allow an exponential distribution of repair times. Since our method involves operating with an embedded Markov process in a multichannel open queue with a finite buffer, we get back to Section 3 for some particular formulas M/M/m/0 Queueing System The pertinent special formulas of Section 3 under these assumptions are as follows, A(x) -- Ao (x) = i - e -(1/a)x, (6.1) JfR ~ o(1/a)e-( +l/a)z dx a(o) = + e - x da(x) = = _ 1 ~-ao' 1 1 oe (rap (1 - z)) = 1 + am#(1 - z)' (6.2) Now, we can calculate the remaining parameter such as a~ from (3.3), B, from (3.2) to get Pk (from (3.1)). Once we get Pk, the probabilities rrk can be found by using formula (4.15) SAN Server Allocation Optimization: Unreliable External Backups Servers Let us consider the number of external backup servers has a binomial distribution. In this case, the system borrows N external backup servers but these backups are also unreliable at the moment of borrowing. If the probability of the intact backup servers is p (i.e., Bernoulli rom variable), the sum of unreliable backups yields the binomial rom valuables. So, (3.1) yields s(n) = (N)pn(1- p) N-n, (6.3) N 7rm+ 1 1 =E [qol+l(s)] = ~ (pl+l(n)8(n)" r~--o We also specify the remaining of the five primary cost functions are as follows, fl(n) = G.n, f2(n) = B.n, (6.4) where G is the reward for one SAN server, B is the penalty for one broken server during all busy periods all per unit time. From (5.7) (6.4), we have rn+l PmM,~ 1 (Z(N),C):t_~olim (Z(N),C,t):c.--+r.pM ~+~-~(fl(k)+f2(m+l-k))rr~ k=0 m+l PmM,~ 1 1 =c. p~ r.~--~+ ~ (Gk+B(m+l-k))rr k k=o

11 S.-K. Kim 957 Optimal Soultion of Servers o i... i E O , The Number of Ser'cers with 7 channels (m=6) Figure 1. Optimization of SAN sever backups. where m+l -1 1 k--0 Finally, we arrive at the following expression for the objective function, P,~Mm 1 (Z(N),C)=c. p~+r.~+(g-b)2~+b(m+l) (6.6) Here, we use formulas (3.7), (4.15)-(4.17), (6.6). Notice that we have the parameter N vary. Even though we cannot see the maximum number of backups N in (6.6), it is included in all ~ (see (3.10),(3.11)). Comparing (6.6) with (5.7), we identify h = G - B l -- B. We restrict the initial strategy of this model to one, which includes only the control level N of super-reserve machines. In other words, we need to find an N, such that (6.5) (Z(N),C) = min { (Z (N),C): N = 1,2,... }. (6.7) As an illustration, we take c = 2, G = 2, r = 4, B = 1. Repair time distribution is exponential with mean a = 1.2 the parameter # = 0.2. Take the total number of SAN servers as five. Now, wc calculate (Z(N), C) No that gives a minimum for (&(N), C). In other words, the control level No sts for the available number of backup servers (super-reserve machines) which minimizes the total cost of this system. Below is a plot of (Z(N), C) for N C {1, 2,..., 20}. Our calculation yields that No = 5 for which the minimal cost equals It means that we allocate our internal resources to seven main (m + 1) machines obtain the decision value No = 5 which is the number of external backups under availability p (= 0.2) for a backup server. The maximum number of external servers is needed to minimize the cost of this SAN model. 7. CONCLUSIONS This paper shows the analytical approach of the SAN management method by using the closed queueing system with flexible conditions. This approaches theoretical, but feasible to apply realworld applications such as networked server allocation management [8] design of enhanced secure network infrastructure [9]. Analytically tractable results are obtained by using a duality principle, semiregenerative analysis multivariate marked renewal processes. Implementation of this model comparison between the model the actual data will be the further research that is related with this paper.

12 958 STORAGE AREA NETWORK (SAN) SERVER APPENDIX A.I. Embedded Process of Model 3 Model 3, as mentioned, is the conventional (GIo, GI)/M/m/O (nlultichannel) queue. Recall that such a system is characterized by the general-independent input (i.e., a renewal process), m parallel channels without any buffer. A customer enters a free channel available with his service dem distributed exponentially with parameter #. Inter-renewal times are distributed in accordance with the PMF A(x) Ao(x). Model 2, as we see it, is congruent to Model 3, while Model 1 is dual with Model 2, so also with Model 3. The latter is a classical system investigated by Takacs [3]. The stationary probabilities P = (P0, P~,..., Pro) for the embedded process are known to satisfy the following formulas, B,(k) r (-1) ~-k r~k Pk rr~ 1 k = O,...,m- I, (A.1) where Bn = r=n (A.2) O~0 ~ (7)/ Ozr ' I, r=0, ~ := ~ ai (A.3) l-'ii=0 --, 1 - a~ r > I, a (0) = e- ~A(du), a (0) e- ~Ao(du), (A.4) /0 /0 o c~o at = a (r#), a r = (r#). (A.5) REFERENCES 1. R. Ramaswami K.N. Sivarajan, Optical Networks: A Practical Perspective, American Press, San Diego, CA, (2002). 2. s. Kim J.H. Dshalalow, A versatile stochastic maintenance model with res. super-reserve machines, Methodology Computing in App. Probability 5 (1), 59-84, (2003). 3. L. Takacs, Introduction to the Theory of Queues, Oxford University Press, New York, NY, (1962). 4. J.H. Dshalalow, On the multiserver queue with finite waiting room controlled input, Adv. Appl. Prob. 17, , (1985). 5. J.H. Dshalalow, On single-server closed queues with priorities state dependent parameters, Queueing Systems 8, 23~254, (1991). 6. J.H. DshMalow, On a duality principle in processes of servicing machines with double control, J. of Appl. Math. Sire. 1 (3), , (1988). 7. E. Cinlar~ Introduction to Stochastic Processes, Prentice Hall, Englewood Cliffs, N J, (1975). 8. S. Kim, Enhanced networked server management with rom remote backups, SPIE Proc. on Performance Control of N. G. Comm. Networks 5244, , (2003). 9. T. Kawno, S. Matsui, T. Yasue C. Konno, Secure communiction infrastructure for mobile, Hitaeh Review 48 (1), 15-20, (1999).

The 8th International Conference on e-business (inceb2009) October 28th-30th, 2009

The 8th International Conference on e-business (inceb2009) October 28th-30th, 2009 ENHANCED OPERATIONAL PROCESS OF SECURE NETWORK MANAGEMENT Song-Kyoo Kim * Mobile Communication Divisions, Samsung Electronics, 94- Imsoo-Dong, Gumi, Kyungpook 730-350, South Korea amang.kim@samsung.com

More information

M/M/1 and M/M/m Queueing Systems

M/M/1 and M/M/m Queueing Systems M/M/ and M/M/m Queueing Systems M. Veeraraghavan; March 20, 2004. Preliminaries. Kendall s notation: G/G/n/k queue G: General - can be any distribution. First letter: Arrival process; M: memoryless - exponential

More information

Nonparametric adaptive age replacement with a one-cycle criterion

Nonparametric adaptive age replacement with a one-cycle criterion Nonparametric adaptive age replacement with a one-cycle criterion P. Coolen-Schrijner, F.P.A. Coolen Department of Mathematical Sciences University of Durham, Durham, DH1 3LE, UK e-mail: Pauline.Schrijner@durham.ac.uk

More information

IEOR 6711: Stochastic Models, I Fall 2012, Professor Whitt, Final Exam SOLUTIONS

IEOR 6711: Stochastic Models, I Fall 2012, Professor Whitt, Final Exam SOLUTIONS IEOR 6711: Stochastic Models, I Fall 2012, Professor Whitt, Final Exam SOLUTIONS There are four questions, each with several parts. 1. Customers Coming to an Automatic Teller Machine (ATM) (30 points)

More information

1.5 / 1 -- Communication Networks II (Görg) -- www.comnets.uni-bremen.de. 1.5 Transforms

1.5 / 1 -- Communication Networks II (Görg) -- www.comnets.uni-bremen.de. 1.5 Transforms .5 / -- Communication Networks II (Görg) -- www.comnets.uni-bremen.de.5 Transforms Using different summation and integral transformations pmf, pdf and cdf/ccdf can be transformed in such a way, that even

More information

The Exponential Distribution

The Exponential Distribution 21 The Exponential Distribution From Discrete-Time to Continuous-Time: In Chapter 6 of the text we will be considering Markov processes in continuous time. In a sense, we already have a very good understanding

More information

Master s Theory Exam Spring 2006

Master s Theory Exam Spring 2006 Spring 2006 This exam contains 7 questions. You should attempt them all. Each question is divided into parts to help lead you through the material. You should attempt to complete as much of each problem

More information

Hydrodynamic Limits of Randomized Load Balancing Networks

Hydrodynamic Limits of Randomized Load Balancing Networks Hydrodynamic Limits of Randomized Load Balancing Networks Kavita Ramanan and Mohammadreza Aghajani Brown University Stochastic Networks and Stochastic Geometry a conference in honour of François Baccelli

More information

Corrected Diffusion Approximations for the Maximum of Heavy-Tailed Random Walk

Corrected Diffusion Approximations for the Maximum of Heavy-Tailed Random Walk Corrected Diffusion Approximations for the Maximum of Heavy-Tailed Random Walk Jose Blanchet and Peter Glynn December, 2003. Let (X n : n 1) be a sequence of independent and identically distributed random

More information

CITY UNIVERSITY LONDON. BEng Degree in Computer Systems Engineering Part II BSc Degree in Computer Systems Engineering Part III PART 2 EXAMINATION

CITY UNIVERSITY LONDON. BEng Degree in Computer Systems Engineering Part II BSc Degree in Computer Systems Engineering Part III PART 2 EXAMINATION No: CITY UNIVERSITY LONDON BEng Degree in Computer Systems Engineering Part II BSc Degree in Computer Systems Engineering Part III PART 2 EXAMINATION ENGINEERING MATHEMATICS 2 (resit) EX2005 Date: August

More information

Vilnius University. Faculty of Mathematics and Informatics. Gintautas Bareikis

Vilnius University. Faculty of Mathematics and Informatics. Gintautas Bareikis Vilnius University Faculty of Mathematics and Informatics Gintautas Bareikis CONTENT Chapter 1. SIMPLE AND COMPOUND INTEREST 1.1 Simple interest......................................................................

More information

The Joint Distribution of Server State and Queue Length of M/M/1/1 Retrial Queue with Abandonment and Feedback

The Joint Distribution of Server State and Queue Length of M/M/1/1 Retrial Queue with Abandonment and Feedback The Joint Distribution of Server State and Queue Length of M/M/1/1 Retrial Queue with Abandonment and Feedback Hamada Alshaer Université Pierre et Marie Curie - Lip 6 7515 Paris, France Hamada.alshaer@lip6.fr

More information

Stochastic Processes and Queueing Theory used in Cloud Computer Performance Simulations

Stochastic Processes and Queueing Theory used in Cloud Computer Performance Simulations 56 Stochastic Processes and Queueing Theory used in Cloud Computer Performance Simulations Stochastic Processes and Queueing Theory used in Cloud Computer Performance Simulations Florin-Cătălin ENACHE

More information

APPLIED MATHEMATICS ADVANCED LEVEL

APPLIED MATHEMATICS ADVANCED LEVEL APPLIED MATHEMATICS ADVANCED LEVEL INTRODUCTION This syllabus serves to examine candidates knowledge and skills in introductory mathematical and statistical methods, and their applications. For applications

More information

MASSACHUSETTS INSTITUTE OF TECHNOLOGY 6.436J/15.085J Fall 2008 Lecture 5 9/17/2008 RANDOM VARIABLES

MASSACHUSETTS INSTITUTE OF TECHNOLOGY 6.436J/15.085J Fall 2008 Lecture 5 9/17/2008 RANDOM VARIABLES MASSACHUSETTS INSTITUTE OF TECHNOLOGY 6.436J/15.085J Fall 2008 Lecture 5 9/17/2008 RANDOM VARIABLES Contents 1. Random variables and measurable functions 2. Cumulative distribution functions 3. Discrete

More information

CONTROLLABILITY. Chapter 2. 2.1 Reachable Set and Controllability. Suppose we have a linear system described by the state equation

CONTROLLABILITY. Chapter 2. 2.1 Reachable Set and Controllability. Suppose we have a linear system described by the state equation Chapter 2 CONTROLLABILITY 2 Reachable Set and Controllability Suppose we have a linear system described by the state equation ẋ Ax + Bu (2) x() x Consider the following problem For a given vector x in

More information

Performance Analysis of a Telephone System with both Patient and Impatient Customers

Performance Analysis of a Telephone System with both Patient and Impatient Customers Performance Analysis of a Telephone System with both Patient and Impatient Customers Yiqiang Quennel Zhao Department of Mathematics and Statistics University of Winnipeg Winnipeg, Manitoba Canada R3B 2E9

More information

e.g. arrival of a customer to a service station or breakdown of a component in some system.

e.g. arrival of a customer to a service station or breakdown of a component in some system. Poisson process Events occur at random instants of time at an average rate of λ events per second. e.g. arrival of a customer to a service station or breakdown of a component in some system. Let N(t) be

More information

uation of a Poisson Process for Emergency Care

uation of a Poisson Process for Emergency Care QUEUEING THEORY WITH APPLICATIONS AND SPECIAL CONSIDERATION TO EMERGENCY CARE JAMES KEESLING. Introduction Much that is essential in modern life would not be possible without queueing theory. All communication

More information

Section 1.3 P 1 = 1 2. = 1 4 2 8. P n = 1 P 3 = Continuing in this fashion, it should seem reasonable that, for any n = 1, 2, 3,..., = 1 2 4.

Section 1.3 P 1 = 1 2. = 1 4 2 8. P n = 1 P 3 = Continuing in this fashion, it should seem reasonable that, for any n = 1, 2, 3,..., = 1 2 4. Difference Equations to Differential Equations Section. The Sum of a Sequence This section considers the problem of adding together the terms of a sequence. Of course, this is a problem only if more than

More information

Probability Generating Functions

Probability Generating Functions page 39 Chapter 3 Probability Generating Functions 3 Preamble: Generating Functions Generating functions are widely used in mathematics, and play an important role in probability theory Consider a sequence

More information

Alessandro Birolini. ineerin. Theory and Practice. Fifth edition. With 140 Figures, 60 Tables, 120 Examples, and 50 Problems.

Alessandro Birolini. ineerin. Theory and Practice. Fifth edition. With 140 Figures, 60 Tables, 120 Examples, and 50 Problems. Alessandro Birolini Re ia i it En ineerin Theory and Practice Fifth edition With 140 Figures, 60 Tables, 120 Examples, and 50 Problems ~ Springer Contents 1 Basic Concepts, Quality and Reliability Assurance

More information

6.263/16.37: Lectures 5 & 6 Introduction to Queueing Theory

6.263/16.37: Lectures 5 & 6 Introduction to Queueing Theory 6.263/16.37: Lectures 5 & 6 Introduction to Queueing Theory Massachusetts Institute of Technology Slide 1 Packet Switched Networks Messages broken into Packets that are routed To their destination PS PS

More information

Queueing Systems. Ivo Adan and Jacques Resing

Queueing Systems. Ivo Adan and Jacques Resing Queueing Systems Ivo Adan and Jacques Resing Department of Mathematics and Computing Science Eindhoven University of Technology P.O. Box 513, 5600 MB Eindhoven, The Netherlands March 26, 2015 Contents

More information

Lecture 2. Marginal Functions, Average Functions, Elasticity, the Marginal Principle, and Constrained Optimization

Lecture 2. Marginal Functions, Average Functions, Elasticity, the Marginal Principle, and Constrained Optimization Lecture 2. Marginal Functions, Average Functions, Elasticity, the Marginal Principle, and Constrained Optimization 2.1. Introduction Suppose that an economic relationship can be described by a real-valued

More information

Load Balancing and Switch Scheduling

Load Balancing and Switch Scheduling EE384Y Project Final Report Load Balancing and Switch Scheduling Xiangheng Liu Department of Electrical Engineering Stanford University, Stanford CA 94305 Email: liuxh@systems.stanford.edu Abstract Load

More information

ECE302 Spring 2006 HW4 Solutions February 6, 2006 1

ECE302 Spring 2006 HW4 Solutions February 6, 2006 1 ECE302 Spring 2006 HW4 Solutions February 6, 2006 1 Solutions to HW4 Note: Most of these solutions were generated by R. D. Yates and D. J. Goodman, the authors of our textbook. I have added comments in

More information

The Basics of Interest Theory

The Basics of Interest Theory Contents Preface 3 The Basics of Interest Theory 9 1 The Meaning of Interest................................... 10 2 Accumulation and Amount Functions............................ 14 3 Effective Interest

More information

Supplement to Call Centers with Delay Information: Models and Insights

Supplement to Call Centers with Delay Information: Models and Insights Supplement to Call Centers with Delay Information: Models and Insights Oualid Jouini 1 Zeynep Akşin 2 Yves Dallery 1 1 Laboratoire Genie Industriel, Ecole Centrale Paris, Grande Voie des Vignes, 92290

More information

Basic Queuing Relationships

Basic Queuing Relationships Queueing Theory Basic Queuing Relationships Resident items Waiting items Residence time Single server Utilisation System Utilisation Little s formulae are the most important equation in queuing theory

More information

MARTINGALES AND GAMBLING Louis H. Y. Chen Department of Mathematics National University of Singapore

MARTINGALES AND GAMBLING Louis H. Y. Chen Department of Mathematics National University of Singapore MARTINGALES AND GAMBLING Louis H. Y. Chen Department of Mathematics National University of Singapore 1. Introduction The word martingale refers to a strap fastened belween the girth and the noseband of

More information

Analysis of a Production/Inventory System with Multiple Retailers

Analysis of a Production/Inventory System with Multiple Retailers Analysis of a Production/Inventory System with Multiple Retailers Ann M. Noblesse 1, Robert N. Boute 1,2, Marc R. Lambrecht 1, Benny Van Houdt 3 1 Research Center for Operations Management, University

More information

Random access protocols for channel access. Markov chains and their stability. Laurent Massoulié.

Random access protocols for channel access. Markov chains and their stability. Laurent Massoulié. Random access protocols for channel access Markov chains and their stability laurent.massoulie@inria.fr Aloha: the first random access protocol for channel access [Abramson, Hawaii 70] Goal: allow machines

More information

OPTIMAL SELECTION BASED ON RELATIVE RANK* (the "Secretary Problem")

OPTIMAL SELECTION BASED ON RELATIVE RANK* (the Secretary Problem) OPTIMAL SELECTION BASED ON RELATIVE RANK* (the "Secretary Problem") BY Y. S. CHOW, S. MORIGUTI, H. ROBBINS AND S. M. SAMUELS ABSTRACT n rankable persons appear sequentially in random order. At the ith

More information

IEOR 6711: Stochastic Models I Fall 2012, Professor Whitt, Tuesday, September 11 Normal Approximations and the Central Limit Theorem

IEOR 6711: Stochastic Models I Fall 2012, Professor Whitt, Tuesday, September 11 Normal Approximations and the Central Limit Theorem IEOR 6711: Stochastic Models I Fall 2012, Professor Whitt, Tuesday, September 11 Normal Approximations and the Central Limit Theorem Time on my hands: Coin tosses. Problem Formulation: Suppose that I have

More information

Scheduling Policies, Batch Sizes, and Manufacturing Lead Times

Scheduling Policies, Batch Sizes, and Manufacturing Lead Times To appear in IIE Transactions Scheduling Policies, Batch Sizes, and Manufacturing Lead Times Saifallah Benjaafar and Mehdi Sheikhzadeh Department of Mechanical Engineering University of Minnesota Minneapolis,

More information

Taylor and Maclaurin Series

Taylor and Maclaurin Series Taylor and Maclaurin Series In the preceding section we were able to find power series representations for a certain restricted class of functions. Here we investigate more general problems: Which functions

More information

OPTIMAL CONTROL OF FLEXIBLE SERVERS IN TWO TANDEM QUEUES WITH OPERATING COSTS

OPTIMAL CONTROL OF FLEXIBLE SERVERS IN TWO TANDEM QUEUES WITH OPERATING COSTS Probability in the Engineering and Informational Sciences, 22, 2008, 107 131. Printed in the U.S.A. DOI: 10.1017/S0269964808000077 OPTIMAL CONTROL OF FLEXILE SERVERS IN TWO TANDEM QUEUES WITH OPERATING

More information

1. Oblast rozvoj spolků a SU UK 1.1. Zvyšování kvalifikace Školení Zapojení do projektů Poradenství 1.2. Financování 1.2.1.

1. Oblast rozvoj spolků a SU UK 1.1. Zvyšování kvalifikace Školení Zapojení do projektů Poradenství 1.2. Financování 1.2.1. 1. O b l a s t r o z v o j s p o l k a S U U K 1. 1. Z v y š o v á n í k v a l i f i k a c e Š k o l e n í o S t u d e n t s k á u n i e U n i v e r z i t y K a r l o v y ( d á l e j e n S U U K ) z í

More information

A new continuous dependence result for impulsive retarded functional differential equations

A new continuous dependence result for impulsive retarded functional differential equations CADERNOS DE MATEMÁTICA 11, 37 47 May (2010) ARTIGO NÚMERO SMA#324 A new continuous dependence result for impulsive retarded functional differential equations M. Federson * Instituto de Ciências Matemáticas

More information

Elasticity Theory Basics

Elasticity Theory Basics G22.3033-002: Topics in Computer Graphics: Lecture #7 Geometric Modeling New York University Elasticity Theory Basics Lecture #7: 20 October 2003 Lecturer: Denis Zorin Scribe: Adrian Secord, Yotam Gingold

More information

SPECTRAL POLYNOMIAL ALGORITHMS FOR COMPUTING BI-DIAGONAL REPRESENTATIONS FOR PHASE TYPE DISTRIBUTIONS AND MATRIX-EXPONENTIAL DISTRIBUTIONS

SPECTRAL POLYNOMIAL ALGORITHMS FOR COMPUTING BI-DIAGONAL REPRESENTATIONS FOR PHASE TYPE DISTRIBUTIONS AND MATRIX-EXPONENTIAL DISTRIBUTIONS Stochastic Models, 22:289 317, 2006 Copyright Taylor & Francis Group, LLC ISSN: 1532-6349 print/1532-4214 online DOI: 10.1080/15326340600649045 SPECTRAL POLYNOMIAL ALGORITHMS FOR COMPUTING BI-DIAGONAL

More information

Simple Markovian Queueing Systems

Simple Markovian Queueing Systems Chapter 4 Simple Markovian Queueing Systems Poisson arrivals and exponential service make queueing models Markovian that are easy to analyze and get usable results. Historically, these are also the models

More information

An example of a computable

An example of a computable An example of a computable absolutely normal number Verónica Becher Santiago Figueira Abstract The first example of an absolutely normal number was given by Sierpinski in 96, twenty years before the concept

More information

Chapter 2: Binomial Methods and the Black-Scholes Formula

Chapter 2: Binomial Methods and the Black-Scholes Formula Chapter 2: Binomial Methods and the Black-Scholes Formula 2.1 Binomial Trees We consider a financial market consisting of a bond B t = B(t), a stock S t = S(t), and a call-option C t = C(t), where the

More information

4 The M/M/1 queue. 4.1 Time-dependent behaviour

4 The M/M/1 queue. 4.1 Time-dependent behaviour 4 The M/M/1 queue In this chapter we will analyze the model with exponential interarrival times with mean 1/λ, exponential service times with mean 1/µ and a single server. Customers are served in order

More information

Systems of Linear Equations

Systems of Linear Equations Systems of Linear Equations Beifang Chen Systems of linear equations Linear systems A linear equation in variables x, x,, x n is an equation of the form a x + a x + + a n x n = b, where a, a,, a n and

More information

Introduction to Probability

Introduction to Probability Introduction to Probability EE 179, Lecture 15, Handout #24 Probability theory gives a mathematical characterization for experiments with random outcomes. coin toss life of lightbulb binary data sequence

More information

Opis przedmiotu zamówienia - zakres czynności Usługi sprzątania obiektów Gdyńskiego Centrum Sportu

Opis przedmiotu zamówienia - zakres czynności Usługi sprzątania obiektów Gdyńskiego Centrum Sportu O p i s p r z e d m i o t u z a m ó w i e n i a - z a k r e s c z y n n o c i f U s ł u i s p r z» t a n i a o b i e k t ó w G d y s k i e C eo n t r u m S p o r t us I S t a d i o n p i ł k a r s k i

More information

* Research supported in part by KBN Grant No. PBZ KBN 016/P03/1999.

* Research supported in part by KBN Grant No. PBZ KBN 016/P03/1999. PROBABILrn AND MATHEMATICAL STATISTICS Vol. 24, Fsgc 1 (2W4), pp 1-15 ON ANNUITIES UNDER RANDOM RATES OF INTEREST' WITH PAYMENTS VARYING IN ARITHMETIC AND GEOMETRIC PROGRESSION BY K. BURNECKI*, A. MARCINIUB

More information

Lecture 13: Martingales

Lecture 13: Martingales Lecture 13: Martingales 1. Definition of a Martingale 1.1 Filtrations 1.2 Definition of a martingale and its basic properties 1.3 Sums of independent random variables and related models 1.4 Products of

More information

MATH10212 Linear Algebra. Systems of Linear Equations. Definition. An n-dimensional vector is a row or a column of n numbers (or letters): a 1.

MATH10212 Linear Algebra. Systems of Linear Equations. Definition. An n-dimensional vector is a row or a column of n numbers (or letters): a 1. MATH10212 Linear Algebra Textbook: D. Poole, Linear Algebra: A Modern Introduction. Thompson, 2006. ISBN 0-534-40596-7. Systems of Linear Equations Definition. An n-dimensional vector is a row or a column

More information

Victims Compensation Claim Status of All Pending Claims and Claims Decided Within the Last Three Years

Victims Compensation Claim Status of All Pending Claims and Claims Decided Within the Last Three Years Claim#:021914-174 Initials: J.T. Last4SSN: 6996 DOB: 5/3/1970 Crime Date: 4/30/2013 Status: Claim is currently under review. Decision expected within 7 days Claim#:041715-334 Initials: M.S. Last4SSN: 2957

More information

Reinforcement Learning

Reinforcement Learning Reinforcement Learning LU 2 - Markov Decision Problems and Dynamic Programming Dr. Martin Lauer AG Maschinelles Lernen und Natürlichsprachliche Systeme Albert-Ludwigs-Universität Freiburg martin.lauer@kit.edu

More information

ARBITRAGE-FREE OPTION PRICING MODELS. Denis Bell. University of North Florida

ARBITRAGE-FREE OPTION PRICING MODELS. Denis Bell. University of North Florida ARBITRAGE-FREE OPTION PRICING MODELS Denis Bell University of North Florida Modelling Stock Prices Example American Express In mathematical finance, it is customary to model a stock price by an (Ito) stochatic

More information

Notes on Determinant

Notes on Determinant ENGG2012B Advanced Engineering Mathematics Notes on Determinant Lecturer: Kenneth Shum Lecture 9-18/02/2013 The determinant of a system of linear equations determines whether the solution is unique, without

More information

Homework set 4 - Solutions

Homework set 4 - Solutions Homework set 4 - Solutions Math 495 Renato Feres Problems R for continuous time Markov chains The sequence of random variables of a Markov chain may represent the states of a random system recorded at

More information

TEACHING AGGREGATE PLANNING IN AN OPERATIONS MANAGEMENT COURSE

TEACHING AGGREGATE PLANNING IN AN OPERATIONS MANAGEMENT COURSE TEACHING AGGREGATE PLANNING IN AN OPERATIONS MANAGEMENT COURSE Johnny C. Ho, Turner College of Business, Columbus State University, Columbus, GA 31907 David Ang, School of Business, Auburn University Montgomery,

More information

Periodic Capacity Management under a Lead Time Performance Constraint

Periodic Capacity Management under a Lead Time Performance Constraint Periodic Capacity Management under a Lead Time Performance Constraint N.C. Buyukkaramikli 1,2 J.W.M. Bertrand 1 H.P.G. van Ooijen 1 1- TU/e IE&IS 2- EURANDOM INTRODUCTION Using Lead time to attract customers

More information

Availability of a system with gamma life and exponential repair time under a perfect repair policy

Availability of a system with gamma life and exponential repair time under a perfect repair policy Statistics & Probability Letters 43 (1999) 189 196 Availability of a system with gamma life and exponential repair time under a perfect repair policy Jyotirmoy Sarkar, Gopal Chaudhuri 1 Department of Mathematical

More information

MATH 4330/5330, Fourier Analysis Section 11, The Discrete Fourier Transform

MATH 4330/5330, Fourier Analysis Section 11, The Discrete Fourier Transform MATH 433/533, Fourier Analysis Section 11, The Discrete Fourier Transform Now, instead of considering functions defined on a continuous domain, like the interval [, 1) or the whole real line R, we wish

More information

Lectures 5-6: Taylor Series

Lectures 5-6: Taylor Series Math 1d Instructor: Padraic Bartlett Lectures 5-: Taylor Series Weeks 5- Caltech 213 1 Taylor Polynomials and Series As we saw in week 4, power series are remarkably nice objects to work with. In particular,

More information

Sequences and Series

Sequences and Series Sequences and Series Consider the following sum: 2 + 4 + 8 + 6 + + 2 i + The dots at the end indicate that the sum goes on forever. Does this make sense? Can we assign a numerical value to an infinite

More information

10.2 Series and Convergence

10.2 Series and Convergence 10.2 Series and Convergence Write sums using sigma notation Find the partial sums of series and determine convergence or divergence of infinite series Find the N th partial sums of geometric series and

More information

7 Gaussian Elimination and LU Factorization

7 Gaussian Elimination and LU Factorization 7 Gaussian Elimination and LU Factorization In this final section on matrix factorization methods for solving Ax = b we want to take a closer look at Gaussian elimination (probably the best known method

More information

1.- L a m e j o r o p c ió n e s c l o na r e l d i s co ( s e e x p li c a r á d es p u é s ).

1.- L a m e j o r o p c ió n e s c l o na r e l d i s co ( s e e x p li c a r á d es p u é s ). PROCEDIMIENTO DE RECUPERACION Y COPIAS DE SEGURIDAD DEL CORTAFUEGOS LINUX P ar a p od e r re c u p e ra r nu e s t r o c o rt a f u e go s an t e un d es a s t r e ( r ot u r a d e l di s c o o d e l a

More information

Average System Performance Evaluation using Markov Chain

Average System Performance Evaluation using Markov Chain Designing high performant Systems: statistical timing analysis and optimization Average System Performance Evaluation using Markov Chain Weiyun Lu Supervisor: Martin Radetzki Sommer Semester 2006 Stuttgart

More information

PÓLYA URN MODELS UNDER GENERAL REPLACEMENT SCHEMES

PÓLYA URN MODELS UNDER GENERAL REPLACEMENT SCHEMES J. Japan Statist. Soc. Vol. 31 No. 2 2001 193 205 PÓLYA URN MODELS UNDER GENERAL REPLACEMENT SCHEMES Kiyoshi Inoue* and Sigeo Aki* In this paper, we consider a Pólya urn model containing balls of m different

More information

Mathematics Course 111: Algebra I Part IV: Vector Spaces

Mathematics Course 111: Algebra I Part IV: Vector Spaces Mathematics Course 111: Algebra I Part IV: Vector Spaces D. R. Wilkins Academic Year 1996-7 9 Vector Spaces A vector space over some field K is an algebraic structure consisting of a set V on which are

More information

A QUEUEING-INVENTORY SYSTEM WITH DEFECTIVE ITEMS AND POISSON DEMAND. bhaji@usc.edu

A QUEUEING-INVENTORY SYSTEM WITH DEFECTIVE ITEMS AND POISSON DEMAND. bhaji@usc.edu A QUEUEING-INVENTORY SYSTEM WITH DEFECTIVE ITEMS AND POISSON DEMAND Rasoul Hai 1, Babak Hai 1 Industrial Engineering Department, Sharif University of Technology, +98-1-66165708, hai@sharif.edu Industrial

More information

Stochastic Inventory Control

Stochastic Inventory Control Chapter 3 Stochastic Inventory Control 1 In this chapter, we consider in much greater details certain dynamic inventory control problems of the type already encountered in section 1.3. In addition to the

More information

Identities for Present Values of Life Insurance Benefits

Identities for Present Values of Life Insurance Benefits Scand. Actuarial J. 1993; 2: 100-106 ORIGINAL ARTICLE Identities for Present Values of Life Insurance Benefits : RAGNAR NORBERG Norberg R. Identities for present values of life insurance benefits. Scand.

More information

QUEUING THEORY. 1. Introduction

QUEUING THEORY. 1. Introduction QUEUING THEORY RYAN BERRY Abstract. This paper defines the building blocks of and derives basic queuing systems. It begins with a review of some probability theory and then defines processes used to analyze

More information

1. Repetition probability theory and transforms

1. Repetition probability theory and transforms 1. Repetition probability theory and transforms 1.1. A prisoner is kept in a cell with three doors. Through one of them he can get out of the prison. The other one leads to a tunnel: through this he is

More information

Duality of linear conic problems

Duality of linear conic problems Duality of linear conic problems Alexander Shapiro and Arkadi Nemirovski Abstract It is well known that the optimal values of a linear programming problem and its dual are equal to each other if at least

More information

COMMUTATIVITY DEGREES OF WREATH PRODUCTS OF FINITE ABELIAN GROUPS

COMMUTATIVITY DEGREES OF WREATH PRODUCTS OF FINITE ABELIAN GROUPS COMMUTATIVITY DEGREES OF WREATH PRODUCTS OF FINITE ABELIAN GROUPS IGOR V. EROVENKO AND B. SURY ABSTRACT. We compute commutativity degrees of wreath products A B of finite abelian groups A and B. When B

More information

Lies My Calculator and Computer Told Me

Lies My Calculator and Computer Told Me Lies My Calculator and Computer Told Me 2 LIES MY CALCULATOR AND COMPUTER TOLD ME Lies My Calculator and Computer Told Me See Section.4 for a discussion of graphing calculators and computers with graphing

More information

LECTURE 4. Last time: Lecture outline

LECTURE 4. Last time: Lecture outline LECTURE 4 Last time: Types of convergence Weak Law of Large Numbers Strong Law of Large Numbers Asymptotic Equipartition Property Lecture outline Stochastic processes Markov chains Entropy rate Random

More information

Random variables, probability distributions, binomial random variable

Random variables, probability distributions, binomial random variable Week 4 lecture notes. WEEK 4 page 1 Random variables, probability distributions, binomial random variable Eample 1 : Consider the eperiment of flipping a fair coin three times. The number of tails that

More information

Sample Midterm Solutions

Sample Midterm Solutions Sample Midterm Solutions Instructions: Please answer both questions. You should show your working and calculations for each applicable problem. Correct answers without working will get you relatively few

More information

An Introduction to Basic Statistics and Probability

An Introduction to Basic Statistics and Probability An Introduction to Basic Statistics and Probability Shenek Heyward NCSU An Introduction to Basic Statistics and Probability p. 1/4 Outline Basic probability concepts Conditional probability Discrete Random

More information

Discrete Math in Computer Science Homework 7 Solutions (Max Points: 80)

Discrete Math in Computer Science Homework 7 Solutions (Max Points: 80) Discrete Math in Computer Science Homework 7 Solutions (Max Points: 80) CS 30, Winter 2016 by Prasad Jayanti 1. (10 points) Here is the famous Monty Hall Puzzle. Suppose you are on a game show, and you

More information

i/io as compared to 4/10 for players 2 and 3. A "correct" way to play Certainly many interesting games are not solvable by this definition.

i/io as compared to 4/10 for players 2 and 3. A correct way to play Certainly many interesting games are not solvable by this definition. 496 MATHEMATICS: D. GALE PROC. N. A. S. A THEORY OF N-PERSON GAMES WITH PERFECT INFORMA TION* By DAVID GALE BROWN UNIVBRSITY Communicated by J. von Neumann, April 17, 1953 1. Introduction.-The theory of

More information

Profit Maximization and Power Management of Green Data Centers Supporting Multiple SLAs

Profit Maximization and Power Management of Green Data Centers Supporting Multiple SLAs Profit Maximization and Power Management of Green Data Centers Supporting Multiple SLAs Mahdi Ghamkhari and Hamed Mohsenian-Rad Department of Electrical Engineering University of California at Riverside,

More information

1 Error in Euler s Method

1 Error in Euler s Method 1 Error in Euler s Method Experience with Euler s 1 method raises some interesting questions about numerical approximations for the solutions of differential equations. 1. What determines the amount of

More information

COMMUTATIVITY DEGREES OF WREATH PRODUCTS OF FINITE ABELIAN GROUPS

COMMUTATIVITY DEGREES OF WREATH PRODUCTS OF FINITE ABELIAN GROUPS Bull Austral Math Soc 77 (2008), 31 36 doi: 101017/S0004972708000038 COMMUTATIVITY DEGREES OF WREATH PRODUCTS OF FINITE ABELIAN GROUPS IGOR V EROVENKO and B SURY (Received 12 April 2007) Abstract We compute

More information

9.2 Summation Notation

9.2 Summation Notation 9. Summation Notation 66 9. Summation Notation In the previous section, we introduced sequences and now we shall present notation and theorems concerning the sum of terms of a sequence. We begin with a

More information

The Heat Equation. Lectures INF2320 p. 1/88

The Heat Equation. Lectures INF2320 p. 1/88 The Heat Equation Lectures INF232 p. 1/88 Lectures INF232 p. 2/88 The Heat Equation We study the heat equation: u t = u xx for x (,1), t >, (1) u(,t) = u(1,t) = for t >, (2) u(x,) = f(x) for x (,1), (3)

More information

How To Balance In A Distributed System

How To Balance In A Distributed System 6 IEEE TRANSACTIONS ON PARALLEL AND DISTRIBUTED SYSTEMS, VOL. 11, NO. 1, JANUARY 2000 How Useful Is Old Information? Michael Mitzenmacher AbstractÐWe consider the problem of load balancing in dynamic distributed

More information

Optimal Auctions. Jonathan Levin 1. Winter 2009. Economics 285 Market Design. 1 These slides are based on Paul Milgrom s.

Optimal Auctions. Jonathan Levin 1. Winter 2009. Economics 285 Market Design. 1 These slides are based on Paul Milgrom s. Optimal Auctions Jonathan Levin 1 Economics 285 Market Design Winter 29 1 These slides are based on Paul Milgrom s. onathan Levin Optimal Auctions Winter 29 1 / 25 Optimal Auctions What auction rules lead

More information

Payment streams and variable interest rates

Payment streams and variable interest rates Chapter 4 Payment streams and variable interest rates In this chapter we consider two extensions of the theory Firstly, we look at payment streams A payment stream is a payment that occurs continuously,

More information

Multi-variable Calculus and Optimization

Multi-variable Calculus and Optimization Multi-variable Calculus and Optimization Dudley Cooke Trinity College Dublin Dudley Cooke (Trinity College Dublin) Multi-variable Calculus and Optimization 1 / 51 EC2040 Topic 3 - Multi-variable Calculus

More information

Math 370, Spring 2008 Prof. A.J. Hildebrand. Practice Test 1 Solutions

Math 370, Spring 2008 Prof. A.J. Hildebrand. Practice Test 1 Solutions Math 70, Spring 008 Prof. A.J. Hildebrand Practice Test Solutions About this test. This is a practice test made up of a random collection of 5 problems from past Course /P actuarial exams. Most of the

More information

G d y n i a U s ł u g a r e j e s t r a c j i i p o m i a r u c z a s u u c z e s t n i k ó w i m p r e z s p o r t o w y c h G d y s k i e g o O r o d k a S p o r t u i R e k r e a c j i w r o k u 2 0

More information

Reinforcement Learning

Reinforcement Learning Reinforcement Learning LU 2 - Markov Decision Problems and Dynamic Programming Dr. Joschka Bödecker AG Maschinelles Lernen und Natürlichsprachliche Systeme Albert-Ludwigs-Universität Freiburg jboedeck@informatik.uni-freiburg.de

More information

On the k-path cover problem for cacti

On the k-path cover problem for cacti On the k-path cover problem for cacti Zemin Jin and Xueliang Li Center for Combinatorics and LPMC Nankai University Tianjin 300071, P.R. China zeminjin@eyou.com, x.li@eyou.com Abstract In this paper we

More information

Lecture 6: Option Pricing Using a One-step Binomial Tree. Friday, September 14, 12

Lecture 6: Option Pricing Using a One-step Binomial Tree. Friday, September 14, 12 Lecture 6: Option Pricing Using a One-step Binomial Tree An over-simplified model with surprisingly general extensions a single time step from 0 to T two types of traded securities: stock S and a bond

More information

Asian Option Pricing Formula for Uncertain Financial Market

Asian Option Pricing Formula for Uncertain Financial Market Sun and Chen Journal of Uncertainty Analysis and Applications (215) 3:11 DOI 1.1186/s4467-15-35-7 RESEARCH Open Access Asian Option Pricing Formula for Uncertain Financial Market Jiajun Sun 1 and Xiaowei

More information

Linear and quadratic Taylor polynomials for functions of several variables.

Linear and quadratic Taylor polynomials for functions of several variables. ams/econ 11b supplementary notes ucsc Linear quadratic Taylor polynomials for functions of several variables. c 010, Yonatan Katznelson Finding the extreme (minimum or maximum) values of a function, is

More information