Stein's method for steady-state diffusion approximations of M/Ph/n+M systems

DOI10.1214/16-AAP1211MaRDI QIDQ525307zbMATH OpenOpenAlexFDO

Authors Anton Braverman, J. G. Dai

Publication date 3 May 2017

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

Full work available at URL https://arxiv.org/abs/1503.00774

zbMATH Keywords

convergence ratediffusion approximationqueueing systemsstate space collapsesteady stateStein's method

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)

Abstract: We consider $M/Ph/n+M$ queueing systems in steady state. We prove that the Wasserstein distance between the stationary distribution of the normalized system size process and that of a piecewise Ornstein-Uhlenbeck (OU) process is bounded by $C/sqrtlambda$, where the constant $C$ is independent of the arrival rate $lambda$ and the number of servers $n$ as long as they are in the Halfin-Whitt parameter regime. For each integer $m>0$, we also establish a similar bound for the difference of the $m$th steady-state moments. For the proofs, we develop a modular framework that is based on Stein's method. The framework has three components: Poisson equation, generator coupling, and state space collapse. The framework, with further refinement, is likely applicable to steady-state diffusion approximations for other stochastic systems.

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