SPDE limits of many-server queues

DOI10.1214/11-AAP821zbMATH Open1271.60098arXiv1010.0330WikidataQ101947226 ScholiaQ101947226MaRDI QIDQ1948686FDOQ1948686

Authors: Haya Kaspi, Kavita Ramanan 

Publication date: 24 April 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: A many-server queueing system is considered in which customers with independent and identically distributed service times enter service in the order of arrival. The state of the system is represented by a process that describes the total number of customers in the system, as well as a measure-valued process that keeps track of the ages of customers in service, leading to a Markovian description of the dynamics. Under suitable assumptions, a functional central limit theorem is established for the sequence of (centered and scaled) state processes as the number of servers goes to infinity. The limit process describing the total number in system is shown to be an Ito diffusion with a constant diffusion coefficient that is insensitive to the service distribution. The limit of the sequence of (centered and scaled) age processes is shown to be a Hilbert space valued diffusion that can also be characterized as the unique solution of a stochastic partial differential equation that is coupled with the Ito diffusion. Furthermore, the limit processes are shown to be semimartingales and to possess a strong Markov property.

Full work available at URL: https://arxiv.org/abs/1010.0330

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zbMATH Keywords

stochastic partial differential equationsdiffusion limitsHalfin-Whitt regimefluid limitsmeasure-valued processesmany-server queuesGI/G/\(N\) queueItō diffusion

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Functional limit theorems; invariance principles (60F17)

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Cited In (39)

• Convergence of the age structure of general schemes of population processes
• \(\mathrm{G}/\mathrm{GI}/N (+ \mathrm{GI})\) queues with service interruptions in the Halfin-Whitt regime
• A broad view of queueing theory through one issue
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• Asymptotic approximations for stationary distributions of many-server queues with abandonment
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• Law of large numbers limits for many-server queues
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• Involutions whose top dimensional component of the fixed point set is indecomposable
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