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Monitoring of Stochastic Particle Systems: Analysis and Optimization 

Authors: I. Eliazar a; U. Yechiali b
Affiliations:   a Department of Technology Management, Holon Institute of Technology, Holon, Israel
b Department of Statistics & Operations Research, School of Mathematical Sciences, Raymond & Beverly Sackler Faculty of Exact Sciences, Tel Aviv University, Tel Aviv, Israel
DOI: 10.1080/15326340701826849
Publication Frequency: 4 issues per year
Published in: journal Stochastic Models, Volume 24, Issue 1 January 2008 , pages 1 - 18
Formats available: HTML (English) : PDF (English)
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Abstract

Consider a system to which particles with random lifetimes flow stochastically. The system is monitored at discrete time epochs following a renewal process. When the system is detected non-empty (upon monitoring), a service procedure is initiated—clearing the system off particles. Once the service procedure is concluded, the system's evolution regenerates.

Particles may represent customers or jobs in a queueing system, contaminants in a physical system, hazardous chemical or biological agents in an environmental system, standing buy/sell orders at a brokerage center, etc.

This class of stochastic systems is modeled and analyzed. We (i) derive the joint transform of the time-to-first-detection and the number of particles present in the system at that epoch, and compute their statistics; (ii) define and calculate various path-functionals and performance measures of the system; and, (iii) study the issue of optimal monitoring schemes.
Keywords: Discrete-time monitoring; Optimal monitoring; Queueing theory; Stochastic particle systems
Mathematics Subject Classification: Primary 91B70; Secondary 60K25
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