We establish heavy-traffic stochastic-process limits for waiting times in many-server queues with customer abandonment. If the system is asymptotically critically loaded, as in the quality-and-efficiency-driven (QED) regime, then a bounding argument shows that the abandonment does not affect waiting-time processes. If instead the system is overloaded, as in the efficiency-driven (ED) regime, following Mandelbaum et al. [Proceedings of the Thirty-Seventh Annual Allerton Conference on Communication, Control and Computing (1999) 1095--1104], we treat customer abandonment by studying the limiting behavior of the queueing models with arrivals turned off at some time $t$. Then, the waiting time of an infinitely patient customer arriving at time $t$ is the additional time it takes for the queue to empty. To prove stochastic-process limits for virtual waiting times, we establish a two-parameter version of Puhalskii's invariance principle for first passage times. That, in turn, involves proving that two-parameter versions of the composition and inverse mappings appropriately preserve convergence.
We study many-server queues with abandonment in which customers have general service and patience time distributions. The dynamics of the system are modeled using measure- valued processes, to keep track of the residual service and patience times of each customer. Deterministic fluid models are established to provide first-order approximation for this model. The fluid model solution, which is proved to uniquely exists, serves as the fluid limit of the many-server queue, as the number of servers becomes large. Based on the fluid model solution, first-order approximations for various performance…
We consider GI/Ph/n+M parallel-server systems with a renewal arrival process, a phase-type service time distribution, n homogenous servers, and an exponential patience time distribution with positive rate. We show that in the Halfin-Whitt regime, the sequence of stationary distributions corresponding to the normalized state processes is tight. As a consequence, we establish an interchange of heavy traffic and steady state limits for GI/Ph/n+M queues.
In this paper, we consider modeling time-dependent multi-server queues that include abandonments and retrials. For the performance analysis of those, fluid and diffusion models called "strong approximations" have been widely used in the literature. Although they are proven to be asymptotically exact, their effectiveness as approximations in critically loaded regimes needs to be investigated. To that end, we find that existing fluid and diffusion approximations might be either inaccurate under simplifying assumptions or computationally intractable. To address that concern, this paper focuses on…
We consider an M/G/1 queue in which the customers, while waiting in line, may renege from it. We study the Nash equilibrium profile among customers, and show that it is defined by two sequences of thresholds. For each customer, the decision is based on the observed past (which determines from what sequence the threshold is taken), and the observed queue length (which determines the appropriate element in the chosen sequence). We construct the a of equations that has the Nash equilibrium as its solution, and discuss the relationships between the properties of the service time distribution and t…
Fluid models have become an important tool for the study of many-server queues with general service and patience time distributions. The equilibrium state of a fluid model has been revealed by Whitt (2006) and shown to yield reasonable approximations to the steady state of the original stochastic systems. However, it remains an open question whether the solution to a fluid model converges to the equilibrium state and under what condition. We show in this paper that the convergence holds under a mild condition. Our method builds on the framework of measure-valued processes developed in Zhang (2…
We use multidimensional diffusion processes to approximate the dynamics of a queue served by many parallel servers. The queue is served in the first-in-first-out (FIFO) order and the customers waiting in queue may abandon the system without service. Two diffusion models are proposed in this paper. They differ in how the patience time distribution is built into them. The first diffusion model uses the patience time density at zero and the second one uses the entire patience time distribution. To analyze these diffusion models, we develop a numerical algorithm for computing the stationary distri…
We consider an overloaded multiclass nonidling first-in-first-out single-server queue with abandonment. The interarrival times, service times, and deadline times are sequences of independent and identically, but generally distributed random variables. In prior work, Jennings and Reed studied the workload process associated with this queue. Under mild conditions, they establish both a functional law of large numbers and a functional central limit theorem for this process. We build on that work here. For this, we consider a more detailed description of the system state given by $K$ finite, nonne…
We use an Ornstein--Uhlenbeck (OU) process to approximate the queue length process in a $GI/GI/n+M$ queue. This one-dimensional diffusion model is able to produce accurate performance estimates in two overloaded regimes: In the first regime, the number of servers is large and the mean patience time is comparable to or longer than the mean service time; in the second regime, the number of servers can be arbitrary but the mean patience time is much longer than the mean service time. Using the diffusion model, we obtain Gaussian approximations for the steady-state queue length and the steady-stat…
We consider the FCFS $M/H_2/n + M$ queue in the Halfin-Whitt heavy traffic regime. It is known that the normalized sequence of steady-state queue length distributions is tight and converges weakly to a limiting random variable W. However, those works only describe W implicitly as the invariant measure of a complicated diffusion. Although it was proven by Gamarnik and Stolyar that the tail of W is sub-Gaussian, the actual value of $\lim_{x \rightarrow \infty}x^{-2}\log(P(W >x))$ was left open. In subsequent work, Dai and He conjectured an explicit form for this exponent, which was insensitive t…
A many-server queueing system is considered in which customers arrive according to a renewal process and have service and patience times that are drawn from two independent sequences of independent, identically distributed random variables. Customers enter service in the order of arrival and are assumed to abandon the queue if the waiting time in queue exceeds the patience time. The state of the system with $N$ servers is represented by a four-component process that consists of the forward recurrence time of the arrival process, a pair of measure-valued processes, one that keeps track of the w…
We propose a unified approach to establishing diffusion approximations for queues with impatient customers within a general framework of scaling customer patience time. The approach consists of two steps. The first step is to show that the diffusion-scaled abandonment process is asymptotically close to a function of the diffusion-scaled queue length process under appropriate conditions. The second step is to construct a continuous mapping not only to characterize the system dynamics using the system primitives, but also to help verify the conditions needed in the first step. The diffusion appr…
The Erlang A model--an M/M/s queue with exponential abandonment--is often used to represent a service system with impatient customers. For this system, the popular square-root staffing rule determines the necessary staffing level to achieve the desirable QED (quality-and-efficiency-driven) service regime; however, the rule also implies that properties of large systems are highly sensitive to parameters. We reveal that the origin of this high sensitivity is due to the operation of large systems at a point of singularity in a phase diagram of service regimes. We can avoid this singularity by imp…
Waiting time analysis in a finite-capacity multi-server systems with dynamic priorities, dynamically evolving customer types, and abandonment
School of Natural Sciences, Discipline of Mathematics, University of Tasmania（塔斯马尼亚大学自然科学学院数学学科）；School of Medicine, University of Tasmania（塔斯马尼亚大学医学院）
In this thesis, we study the queueing systems with heterogeneous servers and service rate uncertainty under the Halfin-Whitt heavy traffic regime. First, we analyse many server queues with abandonments when service rates are i.i.d. random variables. We derive a diffusion approximation using a novel method. The diffusion has a random drift, and hence depending on the realisations of service rates, the system can be in Quality Driven (QD), Efficiency Driven (ED) or Quality-Efficiency-Driven (QED) regime. When the system is under QD or QED regime, the abandonments are negligible in the fluid limi…
Kingman has shown, under very weak conditions on the interarrival- and sevice-time distributions, that First-Come-First-Served minimizes the variance of the waiting time among possible service disciplines. We show, under the same conditions, that Last-Come-First-Served maximizes the variance of the waiting time, thereby giving an upper bound on the variance among all disciplines.
This paper presents a new method for deriving the waiting time distribution of the lowest class in an accumulating priority (AP) queue with positive Lévy input. The priority of a non-atomic customer (particle) is a function of their class and waiting time in the system, and the particles with the highest AP are the next to be processed. The method relies on the construction of a workload overtaking process and solving a first-passage time problem using an appropriate stopping time.
We consider an extension of the standard G/G/1 queue, described by the equation $W\stackrel{\mathcal{D}}{=}\max\{0, B-A+YW\}$, where $\mathbb{P}[Y=1]=p$ and $\mathbb{P}[Y=-1]=1-p$. For $p=1$ this model reduces to the classical Lindley equation for the waiting time in the G/G/1 queue, whereas for $p=0$ it describes the waiting time of the server in an alternating service model. For all other values of $p$ this model describes a FCFS queue in which the service times and interarrival times depend linearly and randomly on the waiting times. We derive the distribution of $W$ when $A$ is generally d…
The focus of this paper is on the asymptotics of large-time numbers of customers in time-periodic Markovian many-server queues with customer abandonment in heavy traffic. Limit theorems are obtained for the periodic number-of-customers processes under the fluid and diffusion scalings. Other results concern limits for general time-dependent queues and for time-homogeneous queues in steady state.
A result of Ward and Glynn (2005) asserts that the sequence of scaled offered waiting time processes of the $GI/GI/1+GI$ queue converges weakly to a reflected Ornstein-Uhlenbeck process (ROU) in the positive real line, as the traffic intensity approaches one. As a consequence, the stationary distribution of a ROU process, which is a truncated normal, should approximate the scaled stationary distribution of the offered waiting time in a $GI/GI/1+GI$ queue; however, no such result has been proved. We prove the aforementioned convergence, and the convergence of the moments, in heavy traffic, thus…
We consider the single server queue with service in random order. For a large class of heavy-tailed service time distributions, we determine the asymptotic behavior of the waiting time distribution. For the special case of Poisson arrivals and regularly varying service time distribution with index -ν, it is shown that the waiting time distribution is also regularly varying, with index 1 -ν, and the pre-factor is determined explicitly. Another contribution of the paper is the heavy-traffic analysis of the waiting time distribution in the M/G/1 case. We consider not only the case of finite servi…
This paper focuses on the problem of modeling the correspondence pattern for ordinary people. Suppose that letters arrive at a rate $λ$ and are answered at a rate $μ$. Furthermore, we assume that, for a constant $T$, a letter is disregarded when its waiting time exceeds $T$, and the remains are answered in {\it last in first out} order. Let $W_n$ be the waiting time of the $n$-th {\it answered} letter. It is proved that $W_n$ converges weekly to $W_T$, a non-negative random variable which possesses a density with {\it power-law} tail when $λ=μ$ and with exponential tail otherwise. Note that th…
We study a sequence of single server queues with customer abandonment (GI/GI/1+GI) under heavy traffic. The patience time distributions vary with the sequence, which allows for a wider scope of applications. It is known ([20, 18]) that the sequence of scaled offered waiting time processes converges weakly to a reflecting diffusion process with non-linear drift, as the traffic intensity approaches one. In this paper, we further show that the sequence of stationary distributions and moments of the offered waiting times, with diffusion scaling, converge to those of the limit diffusion process. Th…
We study the ergodic properties of a class of controlled stochastic differential equations (SDEs) driven by $α$-stable processes which arise as the limiting equations of multiclass queueing models in the Halfin-Whitt regime that have heavy-tailed arrival processes. When the safety staffing parameter is positive, we show that the SDEs are uniformly ergodic and enjoy a polynomial rate of convergence to the invariant probability measure in total variation, which is uniform over all stationary Markov controls resulting in a locally Lipschitz continuous drift. We also derive a matching lower bound …
We consider a model describing the waiting time of a server alternating between two service points. This model is described by a Lindley-type equation. We are interested in the time-dependent behaviour of this system and derive explicit expressions for its time-dependent waiting-time distribution, the correlation between waiting times, and the distribution of the cycle length. Since our model is closely related to Lindley's recursion, we compare our results to those derived for Lindley's recursion.
This paper studies many-server limits for multi-server queues that have a phase-type service time distribution and allow for customer abandonment. The first set of limit theorems is for critically loaded $G/Ph/n+GI$ queues, where the patience times are independent and identically distributed following a general distribution. The next limit theorem is for overloaded $G/ Ph/n+M$ queues, where the patience time distribution is restricted to be exponential. We prove that a pair of diffusion-scaled total-customer-count and server-allocation processes, properly centered, converges in distribution to…
We consider a hybrid diffusion process that is a combination of two Ornstein-Uhlenbeck processes with different restraining forces. This process serves as the heavy-traffic approximation to the Markovian many-server queue with abandonments in the critical Halfin-Whitt regime. We obtain an expression for the Laplace transform of the time-dependent probability distribution, from which the spectral gap is explicitly characterized. The spectral gap gives the exponential rate of convergence to equilibrium. We further give various asymptotic results for the spectral gap, in the limits of small and l…
In this paper we present the fluid limit of an heavily loaded Earliest Deadline First queue with impatient customers, represented by a measure-valued process keeping track of residual time-credits of lost and waiting customers. This fluid limit is the solution of an integrated transport equation. We then use this fluid limit to derive fluid approximations of the processes counting the number of waiting and already lost customers.
We study a queueing network with a single shared server that serves the queues in a cyclic order. External customers arrive at the queues according to independent Poisson processes. After completing service, a customer either leaves the system or is routed to another queue. This model is very generic and finds many applications in computer systems, communication networks, manufacturing systems, and robotics. Special cases of the introduced network include well-known polling models, tandem queues, systems with a waiting room, multi-stage models with parallel queues, and many others. A complicat…
We study the generalization of the G/G/1 queue obtained by relaxing the assumption of independence between inter-arrival times and service requirements. The analysis is carried out for the class of multivariate matrix exponential distributions introduced in [12]. In this setting, we obtain the steady state waiting time distribution and we show that the classical relation between the steady state waiting time and the workload distributions re- mains valid when the independence assumption is relaxed. We also prove duality results with the ruin functions in an ordinary and a delayed ruin process.…
In this paper, we study the maximum waiting time $\max_{i\leq N}W_i(\cdot)$ in an $N$-server fork-join queue with heavy-tailed services as $N\to\infty$. The service times are the product of two random variables. One random variable has a regularly varying tail probability and is the same among all $N$ servers, and one random variable is Weibull distributed and is independent and identically distributed among all servers. This setup has the physical interpretation that if a job has a large size, then all the subtasks have large sizes, with some variability described by the Weibull-distributed p…
This paper considers a work-conserving FIFO single-server queue with multiple batch Markovian arrival streams governed by a continuous-time finite-state Markov chain. A particular feature of this queue is that service time distributions of customers may be different for different arrival streams. After briefly discussing the actual waiting time distributions of customers from respective arrival streams, we derive a formula for the vector generating function of the time-average joint queue length distribution in terms of the virtual waiting time distribution. Further assuming the discrete phase…
We present upper and lower bounds for the tail distribution of the stationary waiting time $D$ in the stable $GI/GI/s$ FCFS queue. These bounds depend on the value of the traffic load $ρ$ which is the ratio of mean service and mean interarrival times. For service times with intermediate regularly varying tail distribution the bounds are exact up to a constant, and we are able to establish a `principle of $s-k$ big jumps' in this case (here $k$ is the integer part of $ρ$), which gives the most probable way for the stationary waiting time to be large. Another corollary of the bounds obtained is …
We provide the first analytical expressions for the expected waiting time of high-priority customers in the delayed APQ by exploiting a classical conservation law for work-conserving queues. Additionally, we describe an algorithm to compute the expected waiting times of both low-priority and high-priority customers, which requires only the truncation of sums that converge quickly in our experiments. These insights are used to demonstrate how the accumulation rate and delay level should be chosen by health care practitioners to optimize common key performance indicators (KPIs). In particular, w…
We obtain an explicit representation for the Laplace transform of the waiting time for a wide class of distributions by solving the Wiener-Hopf factorization problem via the Hadamard product theorem. Under broad conditions it is shown that this representation is invertible by an infinite partial fraction expansion. Computational schema illustrated by a variety of examples demonstrate the feasibility of numerically solving a rich class of G/G/1 queue possessing either bounded service or arrival times. In particular very tractable computations are derived for the M/M/1 queue with gated arrivals.
The shortest-remaining-processing-time (SRPT) scheduling policy has been extensively studied, for more than 50 years, in single-server queues with infinitely patient jobs. Yet, much less is known about its performance in multiserver queues. In this paper, we present the first theoretical analysis of SRPT in multiserver queues with abandonment. In particular, we consider the M/GI/s+GI queue and demonstrate that, in the many-sever overloaded regime, performance in the SRPT queue is equivalent, asymptotically in steady state, to a preemptive two-class priority queue where customers with short ser…
We consider a controlled double-ended queue consisting of two classes of customers, labeled sellers and buyers. The sellers and buyers arrive in a trading market according to two independent renewal processes. Whenever there is a seller and buyer pair, they are matched and leave the system instantaneously. The matching follows first-come-first-match service discipline. Those customers who cannot be matched immediately need to wait in the designated queue, and they are assumed to be impatient with generally distributed patience times. The control problem is concerned with the trade-off between …
This paper considers a discrete-time single-server queue with a single acceptance period for a Poissonian population of homogeneous customers. Customers are served on a first-come first-served (FCFS) basis, and their service times are independent and identically distributed with a general distribution. We assume that each customer chooses her/his arrival-time slot with the goal of minimizing her/his expected waiting time in competition with other customers. For this queueing game, we derive a symmetric (mixed-strategy) Nash equilibrium; that is, an equilibrium arrival-time distribution of homo…
There are two contributions to the literature in this note. Firstly, we point out that under some weak conditions the result in Swensen (1986) on the remaining loads in a GI/M/$c$ queue with impatient customers, derived under the assumption that the distribution of inter-arrival times is Coxian, is also valid for the more general phase type distribution. From this result the distributions of the virtual and the actual waiting time can easily be obtained. Secondly, the relation to an alternative expression for the distribution of the virtual waiting time derived by Kawanishi and Takine (2015) i…
A single-server queuing model is considered with customers that have deadlines. If a customer's deadline elapses before service is offered, the customer abandons the system (customers do not abandon while being served). When the server becomes available, it offers service to the customer having earliest deadline among those that are in the queue. We obtain a fluid limit of the queue length and abandonment processes and for the occupation measure of deadlines, in the form of measure-valued processes. We characterize the limit by means of a Skorohod problem in a time-varying domain, which has an…
We consider a sequence of single-server queueing models operating under a service policy that incorporates batches into processor sharing: arriving jobs build up behind a gate while waiting to begin service, while jobs in front of the gate are served according to processor sharing. When they have been completed, the waiting jobs move in front of the gate and the cycle repeats. We model this system with a pair of measure valued processes describing the jobs in front of and behind the gate. Under mild asymptotically critical conditions and a law-of-large-numbers scaling, we prove that the pair o…
We characterize heavy-traffic process and steady-state limits for systems staffed according to the square-root safety rule, when the service requirements of the customers are perfectly correlated with their individual patience for waiting in queue. Under the usual many-server diffusion scaling, we show that the system is asymptotically equivalent to a system with no abandonment. In particular, the limit is the Halfin-Whitt diffusion for the $M/M/n$ queue when the traffic intensity approaches its critical value $1$ from below, and is otherwise a transient diffusion, despite the fact that the pr…
Motivated by call center practice, we propose a tractable model for $\mbox{GI}/\mbox{GI}/n+\mbox{GI}$ queues in the efficiency-driven (ED) regime. We use a one-dimensional diffusion process to approximate the virtual waiting time process that is scaled in both space and time, with the number of servers and the mean patience time as the respective scaling factors. Using this diffusion model, we obtain the steady-state distributions of virtual waiting time and queue length, which in turn yield simple formulas for performance measures such as the service level and the effective abandonment fracti…
This paper studies the asymptotic behavior of the steady-state waiting time, W_infty, of the M/G/1 queue with subexponenential processing times for different combinations of traffic intensities and overflow levels. In particular, we provide insights into the regions of large deviations where the so-called heavy traffic approximation and heavy tail asymptotic hold. For queues whose service time distribution decays slower than e^{-sqrt{t}} we identify a third region of asymptotics where neither the heavy traffic nor the heavy tailed approximations are valid. These results are obtained by derivin…
We study systems with two classes of impatient customers who differ across the classes in their distribution of service times and patience times. The customers are served on a first-come, first served basis (FCFS) regardless of their class. Such systems are common in customer call centers, which often segment their arrivals into classes of callers whose requests differ in their complexity and criticality. We first consider an $M$/$G$/1 + $M$ queue and then analyze the $M$/$M$/$k$ + $M$ case. Analyzing these systems using a queue length process proves intractable as it would require us to keep …
We consider Markovian multiserver retrial queues where a blocked customer has two opportunities for abandonment: at the moment of blocking or at the departure epoch from the orbit. In this queueing system, the number of customers in the system (servers and buffer) and that in the orbit form a level-dependent quasi-birth-and-death (QBD) process whose stationary distribution is expressed in terms of a sequence of rate matrices. Using a simple perturbation technique and a matrix analytic method, we derive Taylor series expansion for nonzero elements of the rate matrices with respect to the number…
Upon arrival to a ticket queue, a customer is offered a slip of paper with a number on it and is told the number of the customer currently in service. The arriving customer then chooses whether to take the slip or balk, a decision based on the perceived queue length and associated waiting time. Even after taking a ticket, a customer may abandon the queue, an event that will be unobservable until the abandoning customer would have begun service. In contrast, a standard queue has a physical waiting area so that abandonment is apparent immediately when it takes place and balking is based on the a…
