Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 32 / 2

For a single resource, assume unit-capacity calls arrive as a Poisson process of rate $a$, holding times have independent exponential distributions with mean $h$, and a call is rejected when all $C$ units are occupied. Let $\nu =ah$. Its occupancy is a birth-death process on $\{0,\dots ,C\}$, with birth rate $a$ below capacity and death rate $k/h$ in state $k$. Detailed balance for a birth-death process givesBy Poisson arrivals see time averages, the Erlang loss formula isThis derivation assumes exponential holding times; the standard insensitivity result extends the same formula to independent holding times of the same mean, but is not needed here.

A loss network with fixed routing has finitely many resources $j$, capacities $C_j$, and call types $r$ with a fixed nonempty set of resources. Type $r$ has Poisson arrivals of rate $a_r$, independent holding times of mean $h_r$, and offered load ${\nu }_r=a_r{h}_r$. It is accepted only if every resource on its route has a free unit, and otherwise is lost. In the displayed equations use the unit-incidence matrix $A_{jr}=1$ for $j\in r$ and zero otherwise. The equations concern this unit-demand model, rather than arbitrary multi-unit requirements.

The Erlang fixed point approximation replaces the correlated resource availabilities by independent ones. A type-$r$ call survives blocking at resources other than $j$ with approximate probability ${\prod }_{i\in r\setminus \{j\}}(1-B_i)$. Treating this filtering as Poisson thinning gives the reduced offered loadApply the single-resource formula to obtain $B_j=E({\rho }_j,C_j)$. Independence and Poisson thinning here are approximations; no such approximation is claimed for the exact network's joint stationary distribution.

Assume first $C_j\ge 1$. The right side is a continuous map from $[0,1{]}^J$ into itself, so the Brouwer fixed-point theorem gives existence. To prove uniqueness, let $m_C(\rho )=\rho [1-E(\rho ,C)]$ be the carried load of an Erlang loss resource, also the mean of the truncated Poisson occupancy. Differentiation yieldsThus $E$ increases continuously from zero to one and $m_C$ increases from zero to $C$.

Write $x_j=-\log (1-B_j)\ge 0$, and define ${\rho }_C(x)=E(\cdot ,C{)}^{-1}(1-e^{-x})$ and ${\ell }_C(x)=m_C({\rho }_C(x))$, with ${\ell }_C(0)=0$. Each ${\ell }_C$ is continuous and strictly increasing. A fixed point satisfiesThese are precisely the stationary equations for the convex potential for the Erlang fixed pointThe first term is convex; the second is strictly convex because each ${\ell }_{C_j}$ strictly increases. Hence $F$ is strictly convex. Its gradient cannot vanish at two distinct points: the difference of gradients dotted with the difference of points is strictly positive, with a positive contribution from every changed coordinate in the integral term. This also covers boundary coordinates $x_j=0$, using the right derivative there. Every fixed point has $B_j<1$, since its offered load is finite, so the change of variables is valid. There is exactly one fixed point. If a capacity is zero, its blocking probability is one; delete it and all routes using it before applying the argument to the remaining positive capacities. Unused resources have blocking probability zero.