Motivation
Large call centers, cloud server farms and hospital wards are modeled as many-server queues: N identical servers, customers arriving according to a counting process, each customer served by one server for a random time drawn from a distribution G, and customers who find all servers busy waiting in a first-come first-served queue. When N is large, the number of customers is of order N and the natural object of study is the fluid limit, obtained by dividing all quantities by N and letting N→∞. For exponential service times the fluid limit is a finite-dimensional ordinary differential equation. For a general service distribution — and call-center data show service times far from exponential (lognormal, in Brown et al., 2005) — the state must record how long each customer in service has been served, and the fluid limit is a measure-valued process.
Kaspi and Ramanan (Ann. Appl. Probab. 21 (2011) 33–114) characterize this limit by a pair of fluid equations for general G with a density, prove that they have at most one solution, show that the scaled N-server processes converge to it, and describe its long-time behavior. This mission is the last of these results: in the critically loaded fluid system, every solution converges to equilibrium.
Timeline. Whitt (2006) introduced a fluid model of the many-server queue with general service times and abandonment, and stated the case λˉ<1 of property (1) of the goal theorem without proof (his Theorem 7.3). Kaspi and Ramanan (2011) gave the measure-valued formulation with the age process, uniqueness and existence of fluid solutions, and the convergence to equilibrium formalized here. Reed (2009) treated the related G/GI/N queue in the Halfin–Whitt regime.
Setting
The service distribution G has a density g, is carried by [0,∞), and has mean one: ∫0∞xg(x)dx=∫0∞(1−G(x))dx=1. Let M=sup{x≥0:G(x)<1}∈(0,∞], and let h=g/(1−G) be the hazard rate on [0,M).
The fluid state at time t is a number Xˉ(t)≥0, the scaled number of customers in system, and a measure νˉt on [0,M) of total mass at most one: νˉt(A) is the scaled number of customers in service whose age (time already spent in service) lies in A. The input is a nondecreasing càdlàg arrival function Eˉ with Eˉ(0)=0, an initial number Xˉ(0) and an initial age measure νˉ0, satisfying 1−⟨1,νˉ0⟩=[1−Xˉ(0)]+ (servers are idle only when nobody waits). The set of such triples is S0.
A càdlàg pair (Xˉ,νˉ) solves the fluid equations if the cumulative departures Dˉ(t)=∫0t⟨h,νˉs⟩ds are finite, the entries into service Kˉ(t)=⟨1,νˉt⟩−⟨1,νˉ0⟩+Dˉ(t) satisfy the transport equation
⟨φ(⋅,t),νˉt⟩=⟨φ(⋅,0),νˉ0⟩+∫0t⟨φx+φs,νˉs⟩ds−∫0t⟨hφ(⋅,s),νˉs⟩ds+∫[0,t]φ(0,s)dKˉ(s)
for every compactly supported test function φ on [0,M)×[0,∞) (ages grow at unit rate, customers leave at rate h, new customers enter at age 0), mass is conserved, Xˉ(t)=Xˉ(0)+Eˉ(t)−Dˉ(t), and the system is non-idling, 1−⟨1,νˉt⟩=[1−Xˉ(t)]+.
The equilibrium measure is νˉ∗(dx)=(1−G(x))dx on [0,M), a probability measure by the mean-one normalization. With Eˉ=id (arrival rate equal to the total service capacity), Xˉ≡c≥1 and νˉ≡νˉ∗ is a constant solution. Assumption 2 asks that h be bounded or lower semicontinuous near M. The renewal measure of G is U=∑n≥0G∗n, the unit mass at 0 included.
Formalization targets
Goal: Theorem 3.9
Under Assumption 2:
- if Eˉ=λˉid with λˉ∈[0,1] and the system starts empty, then Xˉ(t)=⟨1,νˉt⟩ increases to λˉ and νˉt increases weakly to λˉνˉ∗;
- if ∫x2g(x)dx<∞, then for Eˉ=id and every initial condition in S0,
t→∞lim⟨f,νˉt⟩=∫[0,∞)f(x)(1−G(x))dxfor every bounded continuous f.
Milestones
- Lemma 3.4: a solution restarted at time t solves the fluid equations for the shifted data.
- Remark 3.8: the invariant solution (c+Eˉ−id,νˉ∗) when λˉ≥1.
- Corollary 4.4, (4.6): Kˉ is the renewal measure U convolved with an explicit forcing term.
- Proposition 6.1(1)–(3): the solution started empty, explicitly up to the first time τ1 it fills, its monotone convergence for constant λˉ≤1, and the comparison of an arbitrary solution with it.
- Lemma 6.2: a reference system built from U converges weakly to ⟨1,π0⟩νˉ∗.
- Lemma 6.3: a uniform renewal estimate under a finite second moment.
Significance
Theorem 3.9(2) is the stability statement of the fluid model in the critically loaded case: whatever the initial occupancy and the initial ages, the age distribution of customers in service converges to the stationary excess distribution of G. It justifies using νˉ∗ as the operating point around which diffusion approximations of many-server queues are built, and it is the fluid counterpart of the classical fact that the age of a stationary renewal process has density 1−G. Part (1) gives the transient behavior of an underloaded or critically loaded system started empty.
The result is proved in the paper; nothing here is open. To our knowledge none of it has been formalized. A formalization adds machine-checked statements of a measure-valued fluid model that the companion mission (uniqueness of fluid solutions, Theorem 3.5) shares, and exercises renewal theory — the renewal measure, a key renewal theorem for laws with a density, Lorden's inequality — in a form usable by other queueing developments.
Difficulty
The naive argument would show that ⟨f,νˉt⟩ is given by an explicit formula and pass to the limit. The explicit age representation of a solution involves Kˉ, which is known only through a renewal equation whose forcing term depends on νˉ itself; there is no closed form unless the system never fills up. For Eˉ=id the system can alternate between full and not full, and the convergence must be proved without knowing when. Two ingredients carry the weight: a comparison showing that the occupancy tends to one, and a key renewal theorem for the backward recurrence time of a renewal process with a density, which needs total-variation rather than vague convergence because the test functions are only bounded and continuous. The uniform-in-time control of Lemma 6.3 is where the second moment enters.
Formalization scope
Everything lives in ManyServerFluid.Equilibrium. The service law is a structure holding the density g with g≥0, g=0 on (−∞,0), ∫g=1, and mean one. Time is R, read on [0,∞). Age measures are Mathlib FiniteMeasure ℝ carried by [0,M), with the weak topology, so "càdlàg" is in the paper's topology. The departures ∫0t⟨h,νˉs⟩ds are lower integrals in [0,∞]; dKˉ and dZ are Lebesgue–Stieltjes measures. The convolution powers are the published QueueingFundamentals.MG1.convPow.
Explicit choices, each also stated in the item that uses it:
- g=0 below 0 and ∫g=1 are explicit; the paper's "νˉ0" is νˉ(0), stated as an equation.
- Compact support of test functions is relative to [0,M)×R+, as the paper intends; the directional derivative is supplied as a second function.
- Weak convergence is tested on bounded continuous functions on R; for measures carried by [0,M) this is equivalent to Cb[0,M) and Cb(R+). "Increases" means nondecreasing.
- "The unique solution" is the hypothesis "a solution"; uniqueness is the companion mission.
- In Proposition 6.1(1) the printed limit ∫0τ1f(t−s)⋯ is read with τ1 for t, and only for τ1<∞.
- In Lemma 6.3 the free t of (6.11) is quantified after ∃Tε, uniformly, as the proof establishes and uses.
- Lemma 6.2 states that Z∈I0 and that a càdlàg family satisfying (6.6) exists, besides (6.7).
- Remark 3.8 is stated as membership in the solution set, the conclusion the paper draws.
Weak convergence in Theorem 3.9(2) is against all bounded continuous functions, not compactly supported ones; vague convergence would let mass escape towards M and is not the theorem. The monotonicity in part (1) is part of the statement. A formalization in which these were dropped, or in which U omitted the unit mass at 0, would state a different result.
Existence. The paper's proof of Theorem 3.9(2) compares an arbitrary solution with the solution started empty, which it obtains from its Theorem 3.7 (existence via the N-server limit); that theorem is not part of this series. Here every solution is a hypothesis, so nothing false is stated, but a proof of the goal must construct the empty-start solution for Eˉ=id. It is explicit: νˉt has density 1−G on [0,t] while t<τ1, and from τ1=M<∞ on it equals νˉ∗ (Proposition 6.1, Remark 3.8, Lemma 3.4).
Contributions welcome: general renewal theory (local finiteness of U, Lorden's inequality, the key renewal theorem for spread-out laws in total variation), and lemmas on the fluid equations shared with the uniqueness mission (the monotonicity of Kˉ, the renewal equation (4.5), the age representation (3.11)).
Selected references
- H. Kaspi and K. Ramanan, Law of Large Numbers Limits for Many-Server Queues, Ann. Appl. Probab. 21(1) (2011) 33–114. https://doi.org/10.1214/09-AAP662
- W. Whitt, Fluid Models for Multiserver Queues with Abandonments, Oper. Res. 54 (2006) 37–54. https://mathscinet.ams.org/mathscinet-getitem?mr=2201245
- L. Brown, N. Gans, A. Mandelbaum, A. Sakov, H. Shen, S. Zeltyn and L. Zhao, Statistical analysis of a telephone call center: A queueing-science perspective, J. Amer. Statist. Assoc. 100 (2005) 36–50. https://mathscinet.ams.org/mathscinet-getitem?mr=2166068
- J. Reed, The G/GI/N queue in the Halfin–Whitt regime, Ann. Appl. Probab. 19 (2009) 2211–2269. https://mathscinet.ams.org/mathscinet-getitem?mr=2588244
- S. Asmussen, Applied Probability and Queues, 2nd ed., Springer, 2003. https://mathscinet.ams.org/mathscinet-getitem?mr=1978607