A functional central limit theorem for the M/GI/ queue

DOI10.1214/08-AAP518zbMATH Open1154.60347arXivmath/0608258MaRDI QIDQ2378628FDOQ2378628

Authors: Laurent Decreusefond, Pascal Moyal 

Publication date: 13 January 2009

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

Abstract: In this paper, we present a functional fluid limit theorem and a functional central limit theorem for a queue with an infinity of servers M/GI/$infty$. The system is represented by a point-measure valued process keeping track of the remaining processing times of the customers in service. The convergence in law of a sequence of such processes after rescaling is proved by compactness-uniqueness methods, and the deterministic fluid limit is the solution of an integrated equation in the space $mathcal{S}^{prime}$ of tempered distributions. We then establish the corresponding central limit theorem, that is, the approximation of the normalized error process by a $mathcal{S}^{prime}$-valued diffusion. We apply these results to provide fluid limits and diffusion approximations for some performance processes.

Full work available at URL: https://arxiv.org/abs/math/0608258

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zbMATH Keywords

central limit theoremqueueing theoryfluid limitmeasure-valued Markov processpure delay system

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Functional limit theorems; invariance principles (60F17) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Cited In (26)

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• Ergodicity of an SPDE associated with a many-server queue
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• The jamming constant of uniform random graphs
• Central limit theorem for a many-server queue with random service rates
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• An overview of Brownian and non-Brownian FCLTs for the single-server queue
• A heavy traffic approach to modeling large life insurance portfolios
• Functional limit theorems for the number of busy servers in a G/G/∞ queue
• Conditional limit theorems for queues with Gaussian input, a weak convergence approach
• Distribution-valued heavy-traffic limits for the \(\mathrm{G}/\mathrm{GI}/\infty\) queue
• SPDE limits of many-server queues
• Many-server limits for service systems with dependent service and patience times
• Insensitivity of the mean field limit of loss systems under \(\mathrm{SQ}(d)\) routeing
• Large finite population queueing systems part i: the infinite server model.
• On the fluid limit of the \(M / G /\infty\) queue
• Functional central limit theorems for a large network in which customers join the shortest of several queues
• Two-parameter sample path large deviations for infinite-server queues
• Two-parameter heavy-traffic limits for infinite-server queues
• Markovian online matching algorithms on large bipartite random graphs
• Functional limit theorems for non-Markovian epidemic models
• On queues with impatience: stability, and the optimality of earliest deadline first
• Diffusion approximations for load balancing mechanisms in cloud storage systems
• Stability of a Processor-Sharing Queue with Varying Throughput
• Diffusive limits of Lipschitz functionals of Poisson measures
• Two-parameter process limits for an infinite-server queue with arrival dependent service times

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