An ɛ-Nash Equilibrium with High Probability for Strategic Customers in Heavy Traffic

DOI10.1287/MOOR.2016.0820MaRDI QIDQ5359113zbMATH OpenOpenAlexFDO

Authors Rami Atar, Subhamay Saha

Publication date 22 September 2017

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.01328, https://semanticscholar.org/paper/c498512dc64359001cda7564dcf8bc6add7d77d9

zbMATH Keywords

\(\varepsilon\)-Nash equilibrium with high probabilityHalfin-Whitt heavy traffic regimeReiman's snapshot principlestrategic customers

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Applications of game theory (91A80) Optimal stochastic control (93E20)

Abstract: A multiclass queue with many servers is considered, where customers make a join-or-leave decision upon arrival based on queue length information, without knowing the scheduling policy or the state of other queues. A game theoretic formulation is proposed and analyzed, that takes advantage of a phenomenon unique to heavy traffic regimes, namely Reiman's snaphshot principle, by which waiting times are predicted with high precision by the information available upon arrival. The payoff considered is given as a random variable, which depends on the customer's decision, accounting for waiting time in the queue and penalty for leaving. The notion of an equilibrium is only meaningful in an asymptotic framework, which is taken here to be the Halfin-Whitt heavy traffic regime. The main result is the identification of an $epsilon$-Nash equilibrium with probability approaching 1. On way to proving this result, new diffusion limit results for systems with finite buffers are obtained.

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Cited in

(4)

• Strategic behaviour in a tandem queue with alternating server
• Replicate to the shortest queues
• Subdiffusive load balancing in time-varying queueing systems
• Rate control under heavy traffic with strategic servers

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