Validity of heavy traffic steady-state approximations in generalized Jackson networks
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Publication:2494573
DOI10.1214/105051605000000638zbMATH Open1094.60052arXivmath/0410066OpenAlexW2037268765MaRDI QIDQ2494573FDOQ2494573
Authors: David Gamarnik, Assaf Zeevi 
Publication date: 29 June 2006
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We consider a single class open queueing network, also known as a generalized Jackson network (GJN). A classical result in heavy-traffic theory asserts that the sequence of normalized queue length processes of the GJN converge weakly to a reflected Brownian motion (RBM) in the orthant, as the traffic intensity approaches unity. However, barring simple instances, it is still not known whether the stationary distribution of RBM provides a valid approximation for the steady-state of the original network. In this paper we resolve this open problem by proving that the re-scaled stationary distribution of the GJN converges to the stationary distribution of the RBM, thus validating a so-called ``interchange-of-limits for this class of networks. Our method of proof involves a combination of Lyapunov function techniques, strong approximations and tail probability bounds that yield tightness of the sequence of stationary distributions of the GJN.
Full work available at URL: https://arxiv.org/abs/math/0410066
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Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25)
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