Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 37 / 1 / ii

The exact normalizing sum can be expensive on a large loss network. The Erlang fixed point approximation replaces joint resource acceptance by a product of marginal acceptances. Here consider unit requirements $A_{jr}\in \{0,1\}$, positive integer capacities and finitely many fixed routes. Let $B_j$ be resource blocking and $q_j=1-B_j$. A route-$r$ call contributes to the offered traffic at resource $j$ after surviving the other resources on its route. Thus the reduced-load approximation iswhere the Erlang B formula isThe estimated route acceptance is ${\prod }_{j\in r}{q}_j$. This is an independence approximation, not an alternative exact factorization of the stationary law in part (i).

Uniqueness follows from a convex potential for the Erlang fixed point. For a single resource, the carried load of an Erlang loss resource is $m_C(v)=v[1-E(C,v)]$. It increases strictly from zero to $C$ as $v$ increases: differentiating the expected value of its upper-truncated Poisson distribution with respect to $\log v$ gives the strictly positive occupancy variance. Blocking also increases strictly, as is evident on dividing the Erlang denominator by its final term.

Use $p_j=-\log q_j\ge 0$. Let $v_C(p)$ be the unique offered load with $1-E(C,v_C(p))=e^{-p}$, and set $g_C(p)=v_C(p)e^{-p}=m_C(v_C(p))$, with $g_C(0)=0$. This function is strictly increasing and tends to $C$. DefineEach exponential term is a convex function, and each integral is a strictly convex function because its derivative is strictly increasing. Therefore $F$ is a strictly convex function. It is also a coercive function on the nonnegative orthant: an unbounded coordinate makes its integral grow asymptotically linearly with positive slope $C_j$. A unique minimizer exists.

If resource $j$ carries some positive offered route, its inward derivative at $p_j=0$ is negative, so its minimizing coordinate is positive. At such a coordinate the first-order equation isDividing by $q_j$ gives precisely $v_j={\sum }_{r:j\in r}{\rho }_r{\prod }_{k\in r\setminus \{j\}}{q}_k$. A resource with no positive offered route uniquely has $p_j=0$, hence $B_j=0$. Thus the minimizer and the fixed point coincide, proving existence and uniqueness of the Erlang fixed point for fixed unit-resource routing. This does not by itself guarantee convergence of every simultaneous substitution algorithm; the uniqueness claim concerns the solution of the equations.