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Diffusion models, which convert noise into new data instances by learning to reverse a Markov diffusion process, have become a cornerstone in contemporary generative modeling. While their practical power has now been widely recognized, the…
Motivated by a capacity allocation problem within a finite planning period, we conduct a transient analysis of a single-server queue with L\'evy input. From a cost minimization perspective, we investigate the error induced by using…
Performance analysis of queueing networks is one of the most challenging areas of queueing theory. Barring very specialized models such as product-form type queueing networks, there exist very few results which provide provable…
In this paper we present some new limit theorems for power variation of $k$th order increments of stationary increments L\'evy driven moving averages. In the infill asymptotic setting, where the sampling frequency converges to zero while…
We present two machine learning frameworks for forecasting aggregated curves and optimizing storage in the EPEX SPOT day-ahead market. First, a fast parametric model forecasts hourly demand and supply curves in a low-dimensional and…
We study the power spectral density of continuous time Markov chains and explicit its relationship with the eigenstructure of the infinitesimal generator. This result helps us understand the dynamics of the number of customers for a M/M/1…
The models studied in the steady state involve two queues which are served either by a single server whose speed depends on the number of jobs present, or by several parallel servers whose number may be controlled dynamically. Job service…
In complex systems, it is quite common to resort to approximations when optimizing system performance. These approximations typically involve selecting a particular system parameter and then studying the performance of the system as this…
This paper considers the mean waiting times in discrete-time preemptive-resume and nonpreemptive priority single-server queues fed by K independent batch Markovian arrival streams with geometrically distributed idle periods. While being…
This paper investigates the capacity of a channel in which information is conveyed by the timing of consecutive packets passing through a queue with independent and identically distributed service times. Such timing channels are commonly…
We study a double-ended queue which consists of two classes of customers. Whenever there is a pair of customers from both classes, they are matched and leave the system immediately. The matching follows first-come-first-serve principle. If…
We study the quenched invariance principle for random conductance models with long range jumps on $\Z^d$, where the transition probability from $x$ to $y$ is, on average, comparable to $|x-y|^{-(d+\alpha)}$ with $\alpha\in (0,2)$ but is…
Dynamic queueing networks (DQN) model queueing systems where demand varies strongly with time, such as airport terminals. With rapidly rising global air passenger traffic placing increasing pressure on airport terminals, efficient…
We consider a stochastic fluid queue served by a constant rate server and driven by a process which is the local time of a certain Markov process. Such a stochastic system can be used as a model in a priority service system, especially when…
In this paper we analyze the transient behavior of the workload process in a L\'evy input queue. We are interested in the value of the workload process at a random epoch; this epoch is distributed as the sum of independent exponential…
In this paper, we study Markov-dependent reflected autoregressive processes, and other related models the analysis of which results in a vector-valued fixed-point functional equation of a certain type. In queueing terms, such processes…
We study a system, where a random flow of customers is served by servers (called agents) invited on-demand. Each invited agent arrives into the system after a random time; after each service completion, an agent returns to the system or…
We consider a system consisting of a server alternating between two service points. At both service points there is an infinite queue of customers that have to undergo a preparation phase before being served. We are interested in the…
We consider the problem of estimating the asymptotic variance of a function defined on a Markov chain, an important step for statistical inference of the stationary mean. We design a novel recursive estimator that requires $O(1)$…
We compute the stationary performance metrics of a single server $M^X/G/1$ queue under a class of generalized processor-sharing scheduling policies that are proposed by Grishechkin. This class of processor-sharing policies allow service…