Skip to main content
Log in

Heavy Traffic Limits for Queues with Many Deterministic Servers

  • Published:
Queueing Systems Aims and scope Submit manuscript

Abstract

Consider a sequence of stationary GI/D/Nqueues indexed by N↑∞, with servers' utilization \(1 - \beta /\sqrt N ,\beta >0\). For such queues we show that the scaled waiting times \(\sqrt N W_N \) converge to the (finite) supremum of a Gaussian random walk with drift −β. This further implies a corresponding limit for the number of customers in the system, an easily computable non-degenerate limiting delay probability in terms of Spitzer's random-walk identities, and \(\sqrt N \)rate of convergence for the latter limit. Our asymptotic regime is important for rational dimensioning of large-scale service systems, for example telephone- or internet-based, since it achieves, simultaneously, arbitrarily high service-quality and utilization-efficiency.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. M. Armony and C. Maglaras, Contact centers with a call-back option and real-time delay information, Preprint (2002); Oper. Res., to appear. Available at http://www.gsb.columbia.edu/faculty/cmaglaras/maglaras.htm

  2. M. Armony and C. Maglaras, On customer contact centers with a call-back option: Customer decisions, sequencing rules, and system design, Oper. Res. 52(2) (2004) 271–292.

    Google Scholar 

  3. S. Asmussen, Applied Probability and Queues (Wiley, 1987).

  4. S. Asmussen, P. Glynn and J. Pitman, Discretization error in simulation of one-dimensional reflecting Brownian motion, Ann. Appl. Probab. 5(4) (1985) 875–896.

    Google Scholar 

  5. P. Billingsley, Probability and Measure, 3rd edn. (Wiley, 1995).

  6. A.A. Borovkov, Asymptotic Methods in Queueing Theory (Wiley, 1984).

  7. S. Borst, A. Mandelbaum and M. Reiman, Dimensioning of large call centers, Preprint (2000); Oper. Res. 52(1) (2004) 17–34. Available at http://iew3.technion.ac.il/serveng/References/references.html

    Google Scholar 

  8. M. Broadie, P. Glasserman and S. Kou, A continuity correction for discrete barrier options, Mathematical Finance 7(4) (1997) 325–349.

    Google Scholar 

  9. M. Broadie, P. Glasserman and S. Kou, Connecting discrete and continuous path-dependent options, Finance and Stochastics 3 (1999) 55–82.

    Google Scholar 

  10. J. Chang and Y. Peres, Ladder heights, Gaussian random walks, and the Riemann zeta function, Ann. Probab. 25 (1997) 787–802.

    Google Scholar 

  11. K.L. Chung, A Course in Probability Theory, 2nd edn. (Academic Press, 1974).

  12. A.K. Erlang, On the rational determination of the number of circuits, in: The Life and Works of A.K. Erlang, eds. E. Brockmeyer, H.L. Halstrom and A. Jensen (The Copenhagen Telephone Company, Copenhagen, 1948).

    Google Scholar 

  13. P. Fleming, A. Stolyar and B. Simon, Heavy traffic limit for a mobile phone system loss model, in: Proc. of 2nd Internat. Conf. on Telecomm. Syst. Mod. and Analysis, Nashville, TN, 1994.

  14. G.J. Franx, A simple solution for the M/D/c waiting time distribution, Oper. Res. Lett. 29(5) (2001) 221–229.

    Google Scholar 

  15. G.J. Franx, The transient M/D/c queueing system, Preprint (2002). Available at http://www.cs.vu.nl/~franx/.

  16. N. Gans, G. Koole and A. Mandelbaum, Telephone call centers: Tutorial, review, and research prospects, Preprint (2002); Manufacturing Service Oper. Managm. 5(2) (2003) 79–141. Available at http://iew3.technion.ac.il/serveng/References/references.html

    Google Scholar 

  17. O. Garnett, A. Mandelbaum and M. Reiman, Designing a call center with impatient customers, Manufacturing Service Oper. Managm. 4(3) (2002) 208–227.

    Google Scholar 

  18. I.S. Gradshteyn and I.M. Ryzhik, Table of Integrals Series and Products, 5th edn. (Academic Press, 1994).

  19. R. Haji and G. Newell, A relationship between stationary queue and waiting time distributions, J. Appl. Probab. 8 (1971) 617–620.

    Google Scholar 

  20. S. Halfin and W. Whitt, Heavy-traffic limits for queues with many exponential servers, Oper. Res. 29(3) (1981) 567–588.

    Google Scholar 

  21. M. Harrison, Brownian Motion and Stochastic Flow Systems (Wiley, 1985).

  22. V. Iversen, Decomposition of an M/D/rk queue with FIFO into k Ek/D/r queues with FIFO, Oper. Res. Lett. 2(1) (1983), 20–21.

    Google Scholar 

  23. D. Jagerman, Some properties of the Erlang loss function, Bell System Techn. J. 53(3) (1974), 525–551.

    Google Scholar 

  24. J. Kiefer and J. Wolfowitz, On the theory of queues with many servers, Trans. Amer. Math. Soc. 78 (1955), 1–18.

    Google Scholar 

  25. V. Lotov, On some boundary crossing problems for Gaussian random walks, Ann. Probab. 24(4) (1996) 2154–2171.

    Google Scholar 

  26. C. Maglaras and A. Zeevi, Pricing and capacity sizing for systems with shared resources: Approximate solutions and scaling relations, Managm. Sci. 49(8) (2003) 1018–1038.

    Google Scholar 

  27. A. Mandelbaum and R. Schwartz, Simulation experiments with M/G/100 queues in the Halfin-Whitt (Q.E.D) regime, Technical Report, Technion (2002). Available at http://iew3.technion.ac.il/serveng/References/references.html

  28. A. Puhalskii and M. Reiman, The multiclass GI/PH/N queue in the Halfin-Whitt regime, Adv. Appl. Probab. 32(3) (2000) 564–595.

    Google Scholar 

  29. D. Siegmund, Corrected diffusion approximations in certain random walk problem, Adv. Appl. Probab. 11 (1979) 701–719.

    Google Scholar 

  30. D. Siegmund, Sequential Analysis: Tests and Confidence Intervals (Springer, 1985).

  31. W. Whitt, Existence of limiting distributions in the GI/G/s queue, Math. Oper. Res. 7(1) (1982) 88–94.

    Google Scholar 

  32. W. Whitt, Heavy traffic approximations for service systems with blocking, AT&T Bell Lab. Tech. J. 63 (1984) 689–708.

    Google Scholar 

  33. W. Whitt, A diffusion approximation for the G/GI/n/m queue, Preprint (2002); Oper Res., to appear. Available at http://www.research.att.com/~wow/

  34. W. Whitt, Heavy-traffic limits for the G/H *2 /n/m queue, Preprint (2002); Math. Oper. Res., to appear. Available at http://www.research.att.com/~wow/

  35. W. Whitt, Stochastic-Process Limits (Springer, 2002).

  36. R. Wolff, An upper bound for multi-channel queues, J. Appl. Probab. 14 (1977) 884–888.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Rights and permissions

Reprints and permissions

About this article

Cite this article

Jelenković, P., Mandelbaum, A. & Momčilović, P. Heavy Traffic Limits for Queues with Many Deterministic Servers. Queueing Systems 47, 53–69 (2004). https://doi.org/10.1023/B:QUES.0000032800.52494.51

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1023/B:QUES.0000032800.52494.51

Navigation