Stein's method for steady-state diffusion approximations

arXiv1704.08398MaRDI QIDQ6286001FDOQ6286001

Authors: Anton Braverman 

Publication date: 26 April 2017

Abstract: Diffusion approximations have been a popular tool for performance analysis in queueing theory, with the main reason being tractability and computational efficiency. This dissertation is concerned with establishing theoretical guarantees on the performance of steady-state diffusion approximations of queueing systems. We develop a modular framework based on Stein's method that allows us to establish error bounds, or convergence rates, for the approximations. We apply this framework three queueing systems: the Erlang-C, Erlang-A, and $M/Ph/n+M$ systems. The former two systems are simpler and allow us to showcase the full potential of the framework. Namely, we prove that both Wasserstein and Kolmogorov distances between the stationary distribution of a normalized customer count process, and that of an appropriately defined diffusion process decrease at a rate of $1/sqrtR$, where $R$ is the offered load. Futhermore, these error bounds are emph{universal}, valid in any load condition from lightly loaded to heavily loaded. For the Erlang-C model, we also show that a diffusion approximation with state-dependent diffusion coefficient can achieve a rate of convergence of $1/R$, which is an order of magnitude faster when compared to approximations with constant diffusion coefficients.

This page was built for publication: Stein's method for steady-state diffusion approximations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6286001)