State-space collapse in stationarity and its application to a multiclass single-server queue in heavy traffic (Q5962131)

The present work is connected to the following results. Recently, \textit{D. Gamarnik} and \textit{A. Zeevi} [Ann. Appl. Probab. 16, No. 1, 56--90 (2006; Zbl 1094.60052)] and \textit{A. Budhiraja} and \textit{C. Lee} [Math. Oper. Res. 34, No. 1, 45--56 (2009; Zbl 1214.60013)] established that, under suitable conditions, a sequence of the stationary scaled queue lengths in a generalized Jackson queueing network converges to the stationary distribution of multidimensional reflected Brownian motion in the heavy-traffic regime. In this paper, the author studies the corresponding problem in multiclass queueing networks (MQNs). The first part of this work the MQNs is considered for which the fluid stability is valid, state-space collapse is exhibited under suitable initial conditions and a heavy traffic limit theorem holds. For such MQNs the author establishes that, under the assumption of the tightness of a sequence of stationary scaled workloads, the sequence converges to the stationary distribution of semimartingale reflecting Brownian motion in the heavy-traffic regime. The key to the proof is to show that state-space collapse occurs in the heavy-traffic regime in stationarity under the assumption of tightness. In the second part, using the result obtained, it is shown that such a convergence of stationary workload holds for a multiclass single-server queue with feedback routing, where the tightness is proved by the Lyapunov function method developed in [Gamarnik and Zeevi, loc. cit.].