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Pollaczek–Khinchine formula
In queueing theory, a discipline within the mathematical theory of probability, the Pollaczek–Khinchine formula
states a relationship between the queue length and service time distribution Laplace transforms for an M/G/1 queue
(where jobs arrive according to a Poisson process and have general service time distribution). The term is also used to
refer to the relationships between the mean queue length and mean waiting/service time in such a model.[1]
The formula was first published by Felix Pollaczek in 1930[2] and recast in probabilistic terms by Aleksandr Khinchin[3]
two years later.[4][5] In ruin theory the formula can be used to compute the probability of ultimate ruin (probability of an
insurance company going bankrupt).[6]
Contents
Mean queue length
Mean waiting time
Queue length transform
Waiting time transform
References
where
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where
where g(s) is the Laplace transform of the service time probability density function.[11]
where again g(s) is the Laplace transform of service time probability density function. nth moments can be obtained by
differentiating the transform n times, multiplying by (−1)n and evaluating at s = 0.
References
1. Asmussen, S. R. (2003). "Random Walks". Applied Probability and Queues. Stochastic Modelling and Applied
Probability. 51. pp. 220–243. doi:10.1007/0-387-21525-5_8 (https://doi.org/10.1007%2F0-387-21525-5_8). ISBN 978-
0-387-00211-8.
2. Pollaczek, F. (1930). "Über eine Aufgabe der Wahrscheinlichkeitstheorie". Mathematische Zeitschrift. 32: 64–100.
doi:10.1007/BF01194620 (https://doi.org/10.1007%2FBF01194620).
3. Khintchine, A. Y (1932). "Mathematical theory of a stationary queue" (http://mi.mathnet.ru/rus/msb/v39/i4/p73).
Matematicheskii Sbornik. 39 (4): 73–84. Retrieved 2011-07-14.
4. Takács, Lajos (1971). "Review: J. W. Cohen, The Single Server Queue". Annals of Mathematical Statistics. 42 (6):
2162–2164. doi:10.1214/aoms/1177693087 (https://doi.org/10.1214%2Faoms%2F1177693087).
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2/16/2018 Pollaczek–Khinchine formula - Wikipedia
5. Kingman, J. F. C. (2009). "The first Erlang century—and the next". Queueing Systems. 63: 3–4. doi:10.1007/s11134-
009-9147-4 (https://doi.org/10.1007%2Fs11134-009-9147-4).
6. Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef (2008). "Risk Processes". Stochastic
Processes for Insurance & Finance. Wiley Series in Probability and Statistics. pp. 147–204.
doi:10.1002/9780470317044.ch5 (https://doi.org/10.1002%2F9780470317044.ch5). ISBN 9780470317044.
7. Haigh, John (2002). Probability Models. Springer. p. 192. ISBN 1-85233-431-2.
8. Cooper, Robert B.; Niu, Shun-Chen; Srinivasan, Mandyam M. (1998). "Some Reflections on the Renewal-Theory
Paradox in Queueing Theory" (http://www.cse.fau.edu/~bob/publications/CNS.4h.pdf) (PDF). Journal of Applied
Mathematics and Stochastic Analysis. 11 (3): 355–368. Retrieved 2011-07-14.
9. Harrison, Peter G.; Patel, Naresh M. (1992). Performance Modelling of Communication Networks and Computer
Architectures. Addison-Wesley. p. 228. ISBN 0-201-54419-9.
10. Daigle, John N. (2005). "The Basic M/G/1 Queueing System". Queueing Theory with Applications to Packet
Telecommunication. pp. 159–223. doi:10.1007/0-387-22859-4_5 (https://doi.org/10.1007%2F0-387-22859-4_5).
ISBN 0-387-22857-8.
11. Peterson, G. D.; Chamberlain, R. D. (1996). "Parallel application performance in a shared resource environment".
Distributed Systems Engineering. 3: 9. doi:10.1088/0967-1846/3/1/003 (https://doi.org/10.1088%2F0967-1846%2F
3%2F1%2F003).
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