Technical Note—Approximating Systems Fed by Poisson Processes with Rapidly Changing Arrival Rates

DOI10.1287/OPRE.2020.2031zbMATH Open1486.90076arXiv1807.06805OpenAlexW3174565095MaRDI QIDQ5031645FDOQ5031645

Zeyu Zheng, Peter W. Glynn, Harsha Honnappa

Publication date: 16 February 2022

Published in: Operations Research (Search for Journal in Brave)

Abstract: This paper introduces a new asymptotic regime for simplifying stochastic models having non-stationary effects, such as those that arise in the presence of time-of-day effects. This regime describes an operating environment within which the arrival process to a service system has an arrival intensity that is fluctuating rapidly. We show that such a service system is well approximated by the corresponding model in which the arrival process is Poisson with a constant arrival rate. In addition to the basic weak convergence theorem, we also establish a first order correction for the distribution of the cumulative number of arrivals over $[0,t]$, as well as the number-in-system process for an infinite-server queue fed by an arrival process having a rapidly changing arrival rate. This new asymptotic regime provides a second regime within which non-stationary stochastic models can be reasonably approximated by a process with stationary dynamics, thereby complementing the previously studied setting within which rates vary slowly in time.

Full work available at URL: https://arxiv.org/abs/1807.06805

zbMATH Keywords

weak convergencePoisson processcounting processesinfinite-server queuecompensatorintensitystochastic modelingtotal variation convergencestochastic model applications

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

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