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Stochastic Systems
Article . 2018 . Peer-reviewed
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Stochastic Systems
Article
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Article . 2018
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Article . 2017 . Peer-reviewed
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https://dx.doi.org/10.48550/ar...
Article . 2017
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Queues Driven by Hawkes Processes

Queues driven by Hawkes processes
Authors: Andrew Daw; Jamol Pender;

Queues Driven by Hawkes Processes

Abstract

Many stochastic systems have arrival processes that exhibit clustering behavior. In these systems, arriving entities influence additional arrivals to occur through self-excitation of the arrival process. In this paper, we analyze an infinite server queueing system in which the arrivals are driven by the self-exciting Hawkes process and in which service follows a phase-type distribution or is deterministic. In the phase-type setting, we derive differential equations for the moments and a partial differential equation for the moment-generating function; we also derive exact expressions for the transient and steady-state mean, variance, and covariances. Furthermore, we also derive exact expressions for the autocovariance of the queue and provide an expression for the cumulant moment–generating function in terms of a single ordinary differential equation. In the deterministic service setting, we provide exact expressions for the first and second moments and the queue autocovariance. As motivation for our Hawkes queueing model, we demonstrate its usefulness through two novel applications. These applications are trending internet traffic and arrivals to nightclubs. In the web traffic setting, we investigate the impact of a click. In the nightclub or club queue setting, we design an optimal control problem for the optimal rate to admit club-goers.

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Keywords

infinite-server queues, social media, Probability (math.PR), autocovariance, phase-type distributions, Queueing theory (aspects of probability theory), 60K25, 90B22, 93E20, FOS: Mathematics, moments, cumulant moment-generating function, Point processes (e.g., Poisson, Cox, Hawkes processes), nightclubs, Hawkes processes, Mathematics - Probability

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
56
Top 10%
Top 10%
Top 10%
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gold