#### Power Law Condition for Stability of Poisson Hail

Power Law Condition for Stability of Poisson Hail
Sergey Foss 0 1 2 3
Takis Konstantopoulos 0 1 2 3
Thomas Mountford 0 1 2 3
0 Department of Mathematics, Uppsala University , P.O. Box 480, 751 06 Uppsala , Sweden
1 Sobolev Institute of Mathematics and Novosibirsk State University , Novosibirsk , Russia
2 School of Mathematical and Computer Sciences, Heriot-Watt University , Edinburgh EH14 4AS , UK
3 Institut de Mathématiques, Ecole Polytechnique Fédérale de Lausanne, Station 8 , 1015 Lausanne , Switzerland
The Poisson hail model is a space-time stochastic system introduced by Baccelli and Foss (J Appl Prob 48A:343-366, 2011) whose stability condition is nonobvious owing to the fact that it is spatially infinite. Hailstones arrive at random points of time and are placed in random positions of space. Upon arrival, if not prevented by previously accumulated stones, a stone starts melting at unit rate. When the stone sizes have exponential tails, then stability conditions exist. In this paper, we look at heavy tailed stone sizes and prove that the system can be stabilized when the rate of arrivals is sufficiently small. We also show that the stability condition is, in a weak sense, optimal. We use techniques and ideas from greedy lattice animals.
Poisson hail; Stability; Workload; Greedy lattice animals
B Takis Konstantopoulos
Mathematics Subject Classification (2010) 82B44 · 82D30 · 60K37
1 Introduction
The purpose of this article is to loosen conditions for stability in the “Poisson hail”
interacting queueing model introduced by [1]. In the discrete setting for this model,
there are countably many jobs (identified by countably many points in space-time). Job
i requires service τi from a subset Bi ⊂ Zd . As in the preceding paper, we associate
to a job i a (semi-arbitrary) server x = x (i ) ∈ Zd who is in some sense central in
the group Bi . We suppose that for each site w ∈ Zd the jobs i with x (i ) = w arrive
according to a Poisson process Nw of rate λ. The jobs i arriving at w will have their
subsets Bi and service times τi distributed as i.i.d. vectors, so the arrivals at site w
may be considered as a marked Poisson process w. In other words, w is a Poisson
process on R × R+ × 2Zd . Points in its support are typically denoted by (t , τ, B), the
t ’s forming the aforementioned rate-λ Poisson process. The pair (τ, B) is referred to
as the mark of the point t . We also assume that the w are obtained as follows: Let, for
each w, w be an independent copy of 0. Then let w contain all points of the form
(t , τ, B + w) where (t , τ, B) is a point of w. Thus, the arrival process (including
marks) is translation invariant. Physically, we can think of the system as a model of
hailstones of cylindrical shape B × [0, τ ] ⊂ Zd+1, where τ is the height of the stone
and B its base. When a hailstone appears at some point of time at which all sites
w ∈ B are free, it starts melting at rate 1. If there is at least one w ∈ B occupied by a
previously arrived stone, then the current stone will not start melting before all sites in
w become free; at the first moment of time this happens, the hailstone starts melting
at rate 1. (Only the ground, Zd is hot and heat is not transmitted upwards!) At each
time t , we let W (t , x ) be the total work required for x to be free of hailstones provided
no stones arrive after t . In queueing terms, W (t , x ) is a workload. In hailstone terms,
W (t , x ) is the sum of the heights of all hailstones which contain x in their base and
have not been melted yet. Since the superposition of Nw, w ∈ Zd , has infinite rate, it
follows that within any time interval of positive length there are infinitely many stones
arriving. Thus, W (t , ·) will change infinitely many times in any right neighborhood
of t . However, typically, for fixed x ∈ Zd , and any ε > 0, W (t , x ) depends only on
W (t − ε, y), for y ranging in a finite (but random) number of sites. This is due to the
fact that the only have to look at those w with points (s, τ, B) such that t − ε ≤ s ≤ t
and x ∈ B.
Fix x ∈ Zd and suppose there is w ∈ Zd such that (t , τ, B) is a point of w. Then
W (t +, x ) =
By convention, we shall assume that t → W (t , x ) is right-continuous: W (t , x ) =
W (t +, x ). On the other hand, if there is no w such that (t , τ, B) is a point of w with
x ∈ B, then W (s, t ), s ≥ t , decreases linearly for a interval of positive length until
either it reaches zero or there is job arriving at some s > t at some site w whose base
contains x . We have thus completely specified the dynamics of the system. The system
considered here differs from that of [3] in that the latter (i) considers only finitely many
sites (Zd is replaced by a finite set) but (ii) works for stationary and ergodic arrival
processes.
The system is said to be stable if (starting from full vacancy at time 0) the distribution
of W (t, x ) is tight as t varies for fixed x . The central question to be addressed is when
is the system stable (for λ sufficiently small). More precisely, for which laws on (τ, B)
for jobs arriving at the origin is it the case that there exists λ0 ∈ (0, ∞) so that the
system is stable for all arrival rates λ < λ0. To avoid trivialities, we assume that B
is a finite set, a.s. The founding article [1] showed that the system was indeed stable
provided that there is c ∈ (0, ∞) so that
< ∞,
where diam B is the diameter of set B, i.e., the maximum of |x − y|∞ over all x , y ∈ B,
and where |x |∞ := max1≤i≤d |xi |. The proof in [1] is based on a comparison with
an auxiliary branching process with weights requiring the condition stated in the last
display.
Our purpose in this paper is to slacken this condition to the existence of the (d + 1 +
ε)th moment for τ + diam B. We then (easily) show that this condition is (in a certain
weak sense) almost optimal. The key idea is to use ideas on laws of large numbers for
lattice animals. This was first proved in [2], though for this paper we take as reference
the article by James Martin [4]. In analogy to [3], one could also ask whether stability
is possible for more general arrival processes. This question, however, is outside the
scope of our paper as our method explicitly uses the Poissonian assumptions.
Our principal result is
Theorem 1 Suppose there exists ε > 0 such that τ and diam B have finite moments
of order (d + 1 + ε):
Eτ d+1+ε + E(diam B)d+1+ε < ∞.
That this result is (in a weak sense) the best possible is shown by
Theorem 2 For any d +1 > ε > 0, we can find a (spatially homogeneous) job arrival
process so that
Eτ d+1−ε + E(diam B)d+1−ε < ∞
and the system is unstable.
Remark 1 The condition of Theorem 1 is equivalent to the following: There exists
ε > 0 and C > 0 such that, for any x ≥ 0,
Similarly, the condition of Theorem 2 is equivalent to the same thing with −ε in place
of ε.
Given stability, it is easy to see that starting from complete vacancy (that is, no
workload at any site), the system converges in distribution to an explicitly describable
equilibrium. It is natural to ask whether the system possesses other, not necessarily
spatially homogeneous, equilibria. While not definitively answering this we show,
Theorem 3 Under the conditions of Theorem 1, there exists λ0 > 0 so that for arrival
rate 0 < λ < λ0, the only equilibrium for the system that is spatially translation
invariant is the limit measure obtained by starting from zero workload.
We now assemble some observations and techniques from earlier papers, [1,3]. Start
the system at time −n from full vacancy and consider how the workload W n(t, x ) at
time t ≥ −n and site x ∈ Zd is obtained.
Definition 1 Let n(x , t ) be the set of locally constant cadlag (= piecewise constant,
continuous on the right with left limits at every point) paths γ : [u, t ] → Zd for some
−n ≤ u ≤ t such that
(i) γ (t ) = x ,
(ii) if γ (s) = γ (s−), then a job arrived at time s requiring service from both servers
γ (s) and γ (s−).
n(x , t ) the score
where the sum is over jobs (τi , Bi ) which are arrive at time si with γ (si ) ∈ Bi . Based
on the way that the workload evolves [see discussion around Eq. (1)] we obtain that
W n(t, x ) = supγ ∈ n(x,t) V (γ ). See Fig. 1.
There are three monotonicity properties that the system possesses and which we
take into account when analyzing its stability. We start from full vacancy at time −n
and consider W n(t, x ) for some t ≥ −n. Then W n(t, x ) will increase if we (i) delay
all arrivals between −n and t , or (ii) increase the heights of the stones, or (iii) enlarge
their bases.
Thanks to the monotonicity, it was deduced in [1] that it is enough, for the results
sought, to consider the case where the sets B for the team of servers required for a job i
with x (i ) = 0 is a cube centered at the origin and we write (for a job arriving at server
x in time interval (m − 1, m]) Rix,m for the value so that B = x + [−Rix,m , Rix,m ]d .
We will work with time doubly infinite, notwithstanding the fact that we consider the
process on [−n, ∞).
The first step is the discretization of the Poisson processes. We consider for m ∈ Z
and x ∈ Zd the random variables
Rx,m =
Rix,m , Tx,m =
Fig. 1 Graphical representation of the part of the process responsible for the computation of the profile
W (t, ·) when the system starts with W (−n, ·) ≡ 0. Consider the evaluation of W (t, 0) at site x = 0.
Horizontal intervals represent hailstone (job) arrivals with heights τi . Only those arrivals which can
potentially influence W (t, 0) are shown. Consider a path γ as indicated, from (u, 2) to (t, 0). Its score is
V (γ ) = τ1 + τ3 + τ7 − (t − u). W (t, 0) is the maximum of these scores over all such paths starting
from some (u, y) and ending at (t, 0)
the sum taken over all jobs i arriving on the time interval (m − 1, m] at site x . Since the
summands in Rx,m are i.i.d. and their number is Poisson (and, therefore, light tailed), it
is clear that Rx,m has finite α moment if each summand has finite α moment. Similarly
for Tx,m .
We will deal with the discretized system where at server w at time n a job
requiring service time Tw,n from each server in the cube [w − Rw,n , w + Rw,n ]d . By the
monotonicity (see [1] for detail), this discretization is effective in that if we can show
stability for the discretized system of jobs, then we will have shown stability for the
original system: The workload at time m for this system will dominate that arising
from the nondiscretized model. It is also as well to note that we have not given up too
much here. In principle, if we have multiple w jobs arriving during interval (m − 1, m],
then we could, again in principle, lose if one job required a long service but only from
w while a second job required a very short service from a large cube of servers centered
at w. However, this will be rare for small λ, where our analysis is most relevant.
2 (Very) Greedy Lattice Animals (GLA)
As noted, we wish to exploit the celebrated results (see [2]) on greedy lattice animal
systems. Recall that a lattice animal of Zr is simply a connected subset (when Zr is
considered as a graph with the standard edge set). We are given a collection of i.i.d.
positive random variables {X (x )}x∈Zr . We suppose the existence of ε > 0 so that
EX (0)r+1+ε < ∞ or, equivalently, the existence1 of ε > 0 and C < ∞ so that for all
t > 1,
(The 1 in the power is unnecessary but it is in this case that we will use our results.)
We will then parametrize our system by taking i.i.d. random variables X λ(x ) to be
equal to X (x ) with probability λ and otherwise 0. For ζ ⊂ Zr , its X λ value (or score)
is simply
The size |ζ | of the lattice animal is its cardinality. Note that X λ(ζ ) → 0, as λ → 0, in
probability, for any lattice animal of finite size. We fix positive integer k and c1 > 0
and consider the event
Ak := ∃ lattice animal ζ containing 0, |ζ | = 2k , X λ(ζ ) ≥ c12k .
We wish to prove the following upper bound on the probability of Ak , a result which
may be of independent interest. We note that P( Ak ) depends both on λ and c1.
Proposition 5 Given any c1 > 0, there exists a λ0 > 0 and a function C : [0, λ0) →
(0, ∞) so that C (λ) → 0 as λ → 0 and so that, for λ < λ0 and for all positive
integers k,
Remark 2 (i) We can use the above to bound the probability that there is a lattice
animal of size u ≥ 2k containing the origin whose value is ≥ c1u, when λ is
small, by considering ≥k Ac1/2 whose probability, by the above, is less than
C (λ)2−k(1+ε)(1 − 2−(1+ε))−1.
(ii) The above formalism will certainly apply to our situation with random variables
Rx,m + Tx,m at each site x ∈ Zr . Indeed, if X (x ) denotes the random variable at
site x for rate λ = 1 conditioned on there being at least one arrival, then it is easy
to see that with rate λ < 1, Rx,m + Tx,m is stochastically less than X 1−e−λ (x ).
1 The possibility that X (0) have heavy tail justifies the title of this section, i.e., that animals may be very
greedy.
B(x , ρ) = {y ∈ Rr : |y − x |∞ ≤ ρ}.
We also let |x |1 :=
r
q := r + 1 + ε
The constants q and v appearing in the splitting are chosen as
Define next four events:
Ak,a := ∃ lattice animal ζ containing 0, |ζ | = 2k , Xaλ(ζ ) ≥ c12k /10
Ak,b := ∃ lattice animal ζ containing 0, Xbλ(ζ ) ≥ c12k /10
Ak,c :=
Ak,d := Ak \ ( Ak,a ∪ Ak,b ∪ Ak,c),
where m is a positive integer satisfying
where Bk := [−2k , 2k ]r = B(0, 2k ), and where Ncλ(Bk ) is the integer-valued random
variable
x∈Bk
Note that if a lattice animal ζ of size |ζ | = 2k contains 0, then ζ ⊂ Bk .
We obtain an upper bound for P( Ak ) via
P( Ak ) ≤ P( Ak,a ) + P( Ak,b) + P( Ak,c) + P( Ak,d ).
Bound for P( Ak,d ): Since Ak occurs, there is a lattice animal ζ of size 2k containing
the origin and having value X λ(ζ ) ≥ c12k . Since Ak,a does not occur, we have
Xaλ(ζ ) ≤ c12k /10. Since Ak,b does not occur, we have Xbλ(ζ ) ≤ c12k /10 and so
Xbλ(ζ ) ≤ c12k /10. Therefore, from (5),
x∈Bk
But this, together with the fact that Ak,c does not occur, implies that there is x ∈ Bk
such that X xλ ≥ 2k c1/2 m. Hence
P( Ak,d ) ≤
P(X λ(x ) ≥ 2k c1/2 m) ≤ Km λ/2(1+ε)k ,
for some constant Km .
Bound for P( Ak,c): The event Ak,c is the event that the sum of at most (2 × 2k +
1)r Bernoulli random variables, each taking value 1 with probability at most pk =
λC 2−kv(r+1+ε), exceeds m. To bound this probability, we observe that if Sn( p) is the
sum of n i.i.d. Bernoulli( p) random variables, then P(Sn ( p) ≥ m) is upper bounded
by the probability that there is a set A ⊂ {1, . . . , n} of size m such that all Bernoulli
random variables are equal to 1 on A, so
P(Sn ( p) ≥ m) ≤
P( Ak,c) ≤ (2k+1 + 1)r pk m
pm ≤
for some constant Km and thanks to the choice (6) for m.
Bound for P( Ak,b): We have
⎛
P( Ak,b) = P ⎝ ∃ lattice animal ζ,
≤ P ⎝
x∈Bk
x∈Bk
c12(1−v)k ⎠
c12k ⎠
10
⎞
The sum in the probability is the sum of nk = (2k+1 + 1)r Bernoulli random
variables, each with probability being 1 being at most pk := λC (2qk / k2)−(r+1+ε) =
λmC =k2(cr+121k+(ε1)−/v2)r/k1.0W,aendcatnheaSpptilrylinngo wforimneuqlauafloitrym(!7)∼w√ith2πnm=em(nlokg,m−p1)=,topokbtaanind
that the required probability P( Ak,c) is not bigger than
as k → ∞. Therefore,
λe−m(log m−2(r+1+ε) log k)(1+o(1)) = λo 2−(1+ε)k ,
i=0
for some constant K .
Bound for P( Ak,a ): We repeat the argument given in [4] (or [2]).
Lemma 6 (Lemma 1 in [2], Lemma 2.1 in [4]) For any lattice animal ζ of size n
containing the origin and any 1 ≤ ≤ n we can find a sequence 0 = u0, u1, . . . , uh
of points in Zr , h being the integer part of 2n/ , and |ui − ui−1|∞ ≤ 1 for all
1 ≤ i ≤ h, so that
Proof For y = (y1, . . . , yr ) ∈ Rr , let y/ be the point x in Zr such that xi = yi /
(the quotient of the division by , componentwise). Clearly, x ≤ y < (x + 1),
componentwise, so |y − x |∞ ≤ . If ζ is a lattice animal containing 0 we can find
a sequence π = (π0, . . . , π2n) such that successive elements are either identical or
neighbors in Zr (π is a path) and such that {π0, . . . , π2n} = ζ . (To do this, consider
a spanning tree of ζ and form π by traversing the tree “from the bottom.”) Then
|πi − π j |∞ ≤ if |i − j | ≤ . Define ui ∈ Zr by ui := πi / , i = 0, . . . , h. Then
|ui − ui−1|∞ ≤ for all i . Furthermore, if x ∈ ζ , then x = πt for some 0 ≤ t ≤ 2n.
Let k = t / . Then |πt − uk |∞ ≤ |πt − πk |∞ + |πk − uk |∞ ≤ + , so
x = πt ∈ B( uk , 2 ).
From this, it is immediate that for given there are at most 9r2n/ such 2 ball
coverings. We use this result with n = 2k . We consider of “scale” 2i with 2i ≤
2qk / k2. Let i0 be the maximal such value. For given i , we choose the value = l(i ) to
equal the integer part of λ−1/2r 2i/q . With this value the probability that a L∞ ball of
radius 2 contains a site having an X λ value is small for λ small but not (in principle)
negligible. From this, it is easily seen that given a sequence u0, u1, . . . , uh satisfying
the above (and therefore given an covering), the probability that
the number of sites within the covering having value at least 2i is at least 2(2k / )c1
is bounded above by 20−2r·2k / for λ small. Thus, we see that outside an event of
probability 9hr 20−2·2kr/ , this bound will hold for all coverings. Summing over i
such that 2i ≤ 2kq / k2 we have that outside probability
2i ≤2kq /k2
2 · 2kr/ (i ) ≤ 2
for each such i and for each corresponding (i ) covering, the number of sites in the
covering whose X λ value at least 2i is at most 2(2k / )c1.
Thus (outside of probability 2( 21 )c(λk2/q ) for some universal c), we have, for any
lattice animal ζ of size 2k ,
i≤i0
2(2k / (i )) c12i+1 ≤
i≤i0
which is bounded by Constant(ε)2k λ(1+ε)/2r . The conclusion follows for large k. Thus,
we have shown the proposition.
Corollary 7 Define
Buc1 (x ) := {∃ lattice animal ζ containing x , |ζ | ≥ u, X λ(ζ ) ≥ c1|ζ |}.
For c1 < 1 fixed, there exists a constant λ1 = λ1(c1) and a function H defined on
[0, λ1) tending to zero as λ tends to zero, so that for all 0 < λ < λ1 and all positive
integers R,
Proof We treat the case u ≥ R only as that for u ≤ R is essentially the same. Fix
c2 < c1. Let
By Proposition 5 and Remark 2(i), P(Buc2 (x )) ≤ C (λ)/2k(1+ε) where k is the largest
integer with 2k ≤ u. Therefore,
E(N ) ≤
Now suppose that event x∈[−R,R]r Buc1 (x ) occurs. Then for some x ∈ [−R, R]r
and some lattice animal ξ containing x , X λ(ξ ) ≥ c1|ξ |. Now for every y ∈ [−R, R]r
with |y − x |∞ ≤ R(cc12−r c2) , we can create a new lattice animal ξ containing both y
and ξ by adding at most (c1 − c2)R/c2 points to ξ . Since we assumed R ≤ u ≤ |ξ |,
we have |ξ | ≤ |ξ | ≤ (c1/c2)|ξ |. By positivity of the random variables
X λ(ξ ) ≥ X λ(ξ ) ≥ c1|ξ | ≥ c2|ξ |.
Thus, the event x∈[−R,R]r Buc1 (x ) is a subset of the event that random variable N
defined at the start of the proof is at least ( (c1−c2)R )r . Our result now follows from
rc2
Markov’s inequality.
3 Cluster Formation and Their Properties
In this section, we construct clusters for our Poisson hail corresponding to integer
intervals (m − 1, m]. The clusters themselves will follow a clustering procedure of
[1] and will depend only on the random variables {Rx,m }x . Our departure will consist
in the temporal (or workload) variable we associate to each cluster. Our clusters will
have the property that if C ⊂ Zd is a cluster and γ : (m − 1, m] → Zd is a path
satisfying property (ii) of Definition 1, then
γ (m) ∈ C ⇒ γ (s) ∈ C for all s ∈ (m − 1, m].
Recall we discretized time by identifying with m all tasks for site x arriving in
(m − 1, m] with a single task of “radius”
Rx,m ≡
summed over all tasks arriving at x in time interval [m − 1, m]. We denote by tix,m the
times of the arrivals, i.e., the points of the Poisson process Nx in the interval (m −1, m].
The indices i are coordinated so that for site x a job arrives at time tix,m requiring τix,m
units of service from servers in x + [−Rix,m , Rix,m ]d .
By Lemma 4,
for some ε > 0 and some finite constant C = C (ε) for any ε conforming to the
hypotheses of Theorem 1.
For fixed “time” m and y ∈ Zd let
Dy,m := B(y, Ry,m )
be the L∞ ball centered at y and having radius Ry,m . The cluster C (x , m) containing x
is defined as the union of such Dy,m over y having the property that there exists integer
K and sites y = z0, . . . , z K = x such that Dzi ,m ∩ Dzi−1,m = ∅, for all 1 ≤ i ≤ K .
Let D(x , m) be the diameter of the cluster C (x , m). It is clear that these clusters
have the property (8) above. What is not a priori clear is that even with very small rate
λ the clusters will be a.s. finite. However, the preceding section enables us to prove
Lemma 8 Assume that P(X (0) > t ) ≤ C/t d+1+ε.
Then there exists a function K (λ) tending to zero as λ tends to zero so that, for λ
sufficiently small and all positive integers z,
Z (x ) = Rx,m .
If the diameter D(0, m) of the cluster C (0, m) containing the origin exceeds z, then
there must exist L and 0 = x0, x1, . . . , xL so that, for all 1 ≤ i ≤ L,
|xi−1 − xi |∞ ≤ Rxi ,m + Rxi−1,m
and |xL | ≥ z. We choose ζ to be the lattice animal iL=1 P(xi−1, xi ) where P(xi−1, xi )
is a path connecting xi−1 and xi of length |xi−1 − xi |1. (Recall that |x |1 denotes the L1
norm.) Then ζ is a lattice animal in Zd containing the origin for which y∈ζ Z (y) ≥
iL=0 Z (xi ). By (9),
i=0
1 L
Z (xi ) ≥ 2
j=1
j=1
The result follows from Proposition 5 applied to c1 < 41d .
Arguing as in Corollary 7, we obtain
Corollary 9 There is a function C (λ) tending to zero as λ → 0 so that for λ small,
for all L, and for R ≤ L/2,
P(∃x ∈ [−R, R]d
P(∃x ∈ [−R, R]d
We now consider the “time” T (x , m) associated with the cluster C (x , m). This
definition is a little less direct than that for D(x , n): Given x ∈ Zd and integer m (and
so given cluster C (x , m)), T (x , m) is equal to the maximum value of
i=0
over sequences x0, x1, . . . , xL ∈ C (x , m) and m ≥ t0 ≥ t1 ≥ · · · ≥ tL ≥ m − 1 so
that, for all i a job arrives at xi at time ti = t xj(,im) having work time τ jx(ii,)m and
|xi−1 − xi |∞ ≤ Rxji(,im) + Rxji(−i)1,m , 1 ≤ i ≤ L .
We remark that, under the latter two conditions, if x0 ∈ C (x , m), then
necessarily the “subsequent” xi are also in this cluster. We note also that this definition
(which requires more information than the discretized data) ensures that, for any site
in C (x , m), the waiting time accrued during time interval (m − 1, m] is less than or
equal to T (x , m).
Lemma 10 There exists function K (λ) which tends to zero as λ tends to zero so that
for λ sufficiently small for all z ≥ 1,
Proof By the previous lemma we may suppose that D(0, n) ≤ z/100. Again if T (0, m)
takes a value exceeding z, then there must exist L and a sequence x0, x1, . . . , xL ∈
C (0, m) and times m ≥ t0 ≥ t1 ≥ · · · ≥ tL ≥ m − 1 so that, for all i ≤ L − 1, there
is a job arrival at xi at time ti and
|xi−1 − xi |∞ ≤ Rxji(,im) + Rxji(−i−1,1m) , 1 ≤ i ≤ L ,
and also i T (xi , ti ) ≥ z. It is important to note that we do not assume that the xi are
distinct. Indeed, it is for this reason that we use that bound involving Rxji(,im) rather than
Rxi ,m . However, if y is equal to xi1 , xi2 , . . . , xir , then of course Ry,m ≥
and equally Ty,m ≥ k τ jx(ikik,)m . Thus as before we obtain, as in Lemma 8, but with
Z (x ) = Rx,m + Tx,m , that for a lattice animal ζ = i P(xi−1, xi ) that the GLA(Z )
score (i.e., x∈ζ (Rx,m + Tx,m )) will exceed (z + |ζ |)/4d.
Corollary 11 There exists function C (λ) which tends to zero as λ tends to zero so that
for so that for all L and for R ≤ L/2,
P(∃x ∈ [−R, R]d
P(∃x ∈ [−R, R]d
4 Workload Bounds and Stability
We now apply the foregoing to analyze the workload stability for small values of λ.
It is enough to show tightness of the workload W n(0, 0) at time 0 when the system
starts empty at time −n. Recall that W n(0, 0) is obtained as the maximum of scores
V (γ ) where γ ranges in the set of paths n(0, 0). See Definition 1.
Due to the monotonicity properties of the system, W n(0, 0) is readily seen to be
bounded above by the quantity W n,D (0, 0) which corresponds to the discretized system
and is given by
where the supremum is taken over discrete time indexed paths γ : [−r, 0] → Zd for
some 0 ≤ r ≤ n satisfying
(i) γ (0) = 0,
(ii) for each −n < i ≤ 0, γ (i − 1) belongs to cluster C (γ (i ), i ).
r−1
i=0
− r.
We now consider a cube H of length R in Zd+1 = Zd ×Z where the first d coordinates
are considered as “spatial” and the last one temporal. Accordingly, we write H as H ×I
where I is a temporal interval of length R and H is a cube of length R in Zd . We
define the variable
V (H, u) := number of clusters C (x , m) intersecting H
× {m} and having D(x , m) + T (x , m) ≥ u, m ∈ I.
Clusters are by definition enclosed in a slab Zd × {m} for some m and the clusters at
different temporal levels m are independent. Thus (after repeated use of Lemma 2 of
[1]), we easily obtain from Corollaries 9 and 11.
Kλ R
parameter (u+1)1+ε . Furthermore, as λ tends to zero, Kλ tends to zero.
Proposition 12 There exists constant Kλ so that, for u ≤ R, V (H, u) is stochastically
less than Poisson of parameter (uK+λ1R)dd++11+ε . For u ≥ R it is bounded by a Poisson of
Given the above for C a cluster corresponding to temporal interval (m − 1, m], we
define a value Xm (C ) to signify the value D(x , m) + T (x , m) for a (and so any) x in
C .
In analyzing V D(γ ) we will consider a (nonstandard) lattice animal system on
Zd+1. Instead of having i.i.d. random variables indexed by points (x , m) ∈ Zd+1, we
will consider a lattice animal model based on the random variables Xm (C ) which,
while independent for distinct collections of index m, are not independent. Given a
lattice animal ⊂ Zd+1, we write m to denote ∩ Zd × {m} ( of course in general
m will not be a lattice animal). Obviously given , all but finitely many m will be
empty. The value V C ( ) associated with such a lattice animal will be
m∈Z C cluster in Zd ×{m}
V C ( ) :=
Xm (C ) 1C∩ m =∅.
To analyze sup V C ( ) over all lattice animals containing the origin of Zd+1 and of
cardinality N , we proceed as in Sect. 2. For a positive integer k, we let
(We are primarily interested in k with Lk ≤ N / log2(N )). We know from Sect. 2
that there are less than K 2N/Lk +1 collections of Lk cubes in Zd+1, each collection
d
denoted as {C1k , C2k , . . . , C2kN/Lk +1}, so that each considered is contained in the
union of the Cik for one of these collections. Given such a collection we have, by
Proposition 12, that for any j , V (C kj , 2k ) is stochastically less than a Poisson random
variable of parameter Kλ/2ε/2. Furthermore (again by Lemma 2 of [1]), we have that,
having identified all clusters intersecting i< j Cik , then conditional number of “extra”
clusters intersecting C kj is stochastically less than this Poisson random variable. Thus,
just as in Sect. 2, we obtain the following: If Nk ( ) is the number of clusters of value
more than 2k that intersect , then, for all N /Lk ≤ log2(N ) and N large,
≤ e−N/Lk .
Thus for every lattice animal of size N containing the origin, outside of probability
bounded by Const × e− log2(N ), the contribution to V C ( A) from clusters C having
1
Xn(C ) less than log2N(N ) 1+ε/2(d+1) = N0 is less than
2k ≤N0
for some finite C (ε), where (we stress) Kλ tends to zero as λ tends to zero.
Given this bound we easily deal with the clusters having value greater than N0
using Proposition 12 and the arguments of Sect. 2 and obtain
Proposition 13 For the above system, for each δ > 0, there exists a sufficiently small
λ > 0, such that the probability that there exists a lattice animal of size at least n,
containing the origin of Zd+1 and with V C ( ) > δ| | is less than Cδ/nε/2 for all
positive integers n.
We now apply this to the values V D(γ ). We denote by m the set of discrete time
paths γ : [−m, 0] → Zd satisfying the stipulated conditions: γ (0) = 0 and for all
0 ≤ i < m, γ (i − 1) ∈ C (γ (i ), i ). It is immediate that if a curve (in continuous time,
γ [−m, 0] → Zd , is in m (0, 0), then its “skeleton” γ (−m), γ (−m + 1), . . . , γ (0) =
0 is in m .
Proposition 14 There exists λ0 > 0 and C < ∞ such that for all n ≥ 1 and for all
λ < λ0, the probability that there exists an m ≥ n so that V D(γ ) > −m/2, for some
γ ∈ m (0, 0), is bounded by C/nε/2.
j=−m+1
j=−m+1
j=−m+1
j=0
−m+1
i=−m+1
Note that, by definition of T (x , n), for each j , the sum of durations for jobs which
arrive at time s ∈ ( j − 1, j ] and so that the job requires service from both server γ (s)
and γ (s−) must be less than T (γ ( j ), j ) = T (γ ( j − 1), j ). Thus, in particular for a
continuous time curve γ ∈ m (0, 0),
j=−m+1
We can associate the path γ with the “lattice animal” γ in Zd+1 consisting of points
(γ (i ), i ) for i = −m, −m + 1, . . . 0 together with for each −m < i ≤ 0 the points
(y, i ) which lie on a path Pi from (γ (i ), i ) to (γ (i + 1), i ) which lies within Zd × {i }
and has length |γ (i ) − γ (i + 1)|1. Thus, this lattice animal ζ has size
i=−m+1
≤ m + 1 + d
We note that, while obviously | γ | ≥ m + 1, there are no nonrandom upper bounds
for the cardinality. Thus, the inequality above can be rewritten as
V C ( γ ) ≥ V D(γ ) + m,
j=−m+1
j=0
−m+1
We now invoke Proposition 13 with δ = 201d to deduce that (with λ sufficiently small)
the (bad) event
B = ∃ lattice animal , 0 ∈
has probability bounded by C/mε/2 for some universal C . Our analysis of now splits
into two cases. In both cases, we suppose that bad event B does not occur.
Firstly suppose that | γ | ≤ 4dm + m. In this case
j=−m+1
But, on event Bc,
0j=−m+1 T (γ ( j ), j ) ≤ V C ( γ ) ≤ 4d2m0d+m . This implies that
V D(γ ) ≤ −3m/4.
j=0
−m+1
V C ( γ )) ≥
|γ ( j ) − γ ( j + 1)|1/d ≥ | γ |/2d.
Proof of Theorem 1 From Proposition 14 we have that the workload W n,D(0, 0) of
the discretized system is tight as n varies. On the other hand, by monotonicity, the
limit as n → ∞ of W n (0, 0) exists a.s. Tightness ensures that this limit is finite. If
we now start the system in full vacancy at time 0 and consider the workload W (x , n)
for some n > 0, we have that W (x , n) is in distribution equal to W n (0, 0). Therefore,
W (x , n) converges in distribution as n → ∞.
Remark 3 We have actually shown something stronger than tightness: Namely, that,
starting with an initially empty system, the workload profile at time t converges in
distribution, as t → ∞, to some distribution which we will denote by μ. Standard
arguments show that μ is an invariant measure: If we start with W (0, ·) distributed
according to μ, then W (t, ·) also has distribution μ. Since W (t, ·) is translation
invariant in space, this is the case for the limit μ. We have thus proved the existence of an
invariant probability measure which is also spatially invariant.
5 Necessity and Proof of Theorem 2
Let 0 < ε < d + 1. We consider the case where the stone heights (job service times)
τ satisfy, for t positive integer,
and the stone basis B is the cube
We consider the number of job arrivals in space time cube [0, t )d+1 of duration at least
2t for integer t , that is, the number of arrivals (B, τ ) so that
This random variable has expectation t ελ/2d+1−ε which for fixed λ tends to infinity
as t becomes large. In particular for t large this expectation strictly exceeds 21 . We fix
such a t now.
Obviously this applies to any translation of the cube and the random variables
associated to disjoint space time cubes are independent.
We consider the path γ n in nt (0, 0) which is identically the origin for all s ∈
[−t n, 0]. We note that under our assumptions on (B, τ ) any job arriving at a site in
[0, t )d having τ ≥ 2t requires service from the origin. Hence the path γ n has value at
least
j=1
2t X j − nt,
where X j is the number of jobs arriving during interval (− j t, −( j −1)t ] and satisfying
(1) and (2) above. By the law of large numbers, V (γ n) tends to infinity a.s., as n tends
to infinity. This is enough to establish instability of the workload in this case no matter
what the value of λ > 0 might be.
Remark 4 In fact, this argument can easily be generalized to show that if for each
arriving job, τ = R and if, for some ε > 0, E (τ d+1−ε) = ∞, then the system does
not have stability.
6 Uniqueness
We now briefly address the question of unicity of invariant measures for the workloads
when the power law condition holds and when λ is sufficiently small. We know that if
condition (2) is satisfied and parameter λis sufficiently small, then the distribution μ of
workloads, obtained by starting the system at time −n with the workloads identically
zero and letting n → ∞, is invariant. The question that naturally arises is whether
other equilibria for the workload, under Poisson arrival of jobs, are possible.
We consider systems that are stationary under spatial translations and show the
following.
Theorem 15 Under the condition (2) above, there exists λ0 so that if the arrival rate
λ is less than λ0, and ν is an invariant probability for the system on the space of
workloads that is preserved by spatial translation, then ν = μ.
In this section, the assumption that all jobs require service from cubes of servers is
not “without loss of generality” so we remark that we only use the weak “irreducibility”
condition that for every neighbor e of the origin there exist sequences
0 = x0, x1, . . . , xr = e
B1, B2, . . . , Br
so that for all i , xi−1, xi ∈ Bi and jobs Bi occur with strictly positive probability.
To show the claimed uniqueness it suffices to show that for such a measure ν and
any bounded cylinder function h, we have
for any n (and so, in particular, for n large). Given this and our construction of the
measure μ, it will be enough to show that for ε > 0 and h as above, both fixed,
for n large. This will be our objective in the following.
As ν is temporally invariant, we have, by the ergodic theorem [5] that, for every
M , a.s.,
1Ws0≤M ds = ν(W : W 0 ≤ M |IT ),
where IT is the σ -field of events that are invariant under temporal shifts. Thus, for an
ε > 0 fixed, we can find an M so large that,
1Ws0≤M ds ≥ 1 − ε, for all t > M,
1Wsx ≤M ds ≥ 1 − ε, for all t > M,
|x|≤k
with probability at least 1 − ε2. By (spatial) translation invariance we then have for
(every) x ∈ Zd
with probability at least 1 − ε2. Let us call the above event BMx . Thus, we will have,
by the ergodic theorem applied to spatial shifts, that
where IS is the sigma field of spatially shift invariant events. Thus, we have that, for
k0 sufficiently large, with probability at least 1 − 2ε,
|x|≤k
We now note that at time 0, say, the existence of a large workload V at a site 0, say,
implies that with reasonable probability the workload will be of order V for a time of
order V in the time interval [0, V ] for a cube of sites of side length of order V .
Proposition 16 There exists c1 ∈ (0, ∞) so that, for all V large enough, uniformly
over initial workloads W (0, ·) with W (0, 0) > V , with probability at least c1, we
have, for all x ∈ [−c1V , c1V ]d ,
W (x , t ) > V /4, for all t ∈ [V /2, 3V /4].
Proof From our “irreducibility” assumptions on the distribution of jobs, it is clear
that there exist for each neighbor e of the origin 0 a sequence of jobs with bases
B1, B2, . . . , BR so that, for each i , Bi ∩ Bi+1 = ∅, 0 ∈ B1 and e ∈ BR and the rate
at which job with base Bi arrives is strictly positive. Taking R1 to be the maximum
over the Rs as the neighbor e varies and c to be the minimum over the rates Bi as
e and i vary, we obtain that, for any x , there exists a “path” B1, B2, . . . , BR so that
R ≤ d R1|x |∞,
for each i , Bi ∩ Bi+1 = ∅, 0 ∈ B1 and x ∈ BR and the rate at which job Bi arrives is
at least c. Thus, for every x ∈ [−c1V , c1V ]d , the probability that W (x , V /2) ≤ V /2
is bounded by the probability that a parameter V c/2 Poisson process is less than
dc1V R1. The result now follows easily from Poisson tail probabilities.
We note that if V > 4M (assuming as we may that ε < 1/3), then W (x , t ) > V /4,
for t ∈ [V /2, 3V /4], implies that event BMx does not occur. This implies that
Proposition 17 If for some x with |x | ≤ K V we have W (x , 0) ≥ V > 4M , then with
probability at least c1,
|y|≤KN
1B My ≤ 1 − c1/(2K )d < 1 − ε,
This yields the simple corollary.
Corollary 18 For M and ε as above, let A(V , K ) be the event that W (x , 0) > t for
some t > V and some |x | ≤ K t . Then, under measure ν, the probability that A(V , K )
occurs is less than ε/c1 provided c1/(2K )d > ε.
From this result, our claim is straightforward.
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