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Queues with path-dependent arrival processes

Part of: Operations research and management science Limit theorems Special processes

Published online by Cambridge University Press:  23 June 2021

Kerry Fendick  and
Ward Whitt Open the ORCID record for Ward Whitt [Opens in a new window]
Kerry Fendick*
Affiliation:
Johns Hopkins University Applied Physics Laboratory
Ward Whitt*
Affiliation:
Columbia University
*
*Postal address: Communications Systems Branch, Johns Hopkins University Applied Physics Laboratory, Laurel, MD 20723, USA. Email address: [email protected]
**Postal address: Department of Industrial Engineering and Operations Research, Columbia University, New York, NY 10027-6699, USA. Email address: [email protected]
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Abstract

We study the transient and limiting behavior of a queue with a Pólya arrival process. The Pólya process is interesting because it exhibits path-dependent behavior, e.g. it satisfies a non-ergodic law of large numbers: the average number of arrivals over time [0, t] converges almost surely to a nondegenerate limit as $t \rightarrow \infty$. We establish a heavy-traffic diffusion limit for the $\sum_{i=1}^{n} P_i/GI/1$ queue, with arrivals occurring exogenously according to the superposition of n independent and identically distributed Pólya point processes. That limit yields a tractable approximation for the transient queue-length distribution, because the limiting net input process is a Gaussian Markov process with stationary increments. We also provide insight into the long-run performance of queues with path-dependent arrival processes. We show how Little’s law can be stated in this context, and we provide conditions under which there is stability for a queue with a Pólya arrival process.

Keywords

path-dependent stochastic processesgeneralized Pólya processGaussian Markov processdiffusion approximationsqueuesheavy-traffic limit

MSC classification

Primary: 60K25: Queueing theory
Secondary: 60F17: Functional limit theorems; invariance principles 90B22: Queues and service
Type
Original Article
Information
Journal of Applied Probability , Volume 58 , Issue 2 , June 2021 , pp. 484 - 504
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Copyright
© The Author(s), 2021. Published by Cambridge University Press on behalf of Applied Probability Trust

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