Motivation
Large service systems such as call centers and hospital wards are modelled as many-server queues: N identical servers, customers arriving according to a general process, service requirements drawn independently from a general distribution G, and a single first-come-first-served queue. When G is not exponential the number of customers in system is not Markov, and a tractable state must keep track of how long each customer in service has been served. Kaspi and Ramanan (Ann. Appl. Probab. 21 (2011)) take as state the number in system together with the age measure, the point measure of the ages of the customers in service, and prove a functional law of large numbers: scaled by N, these processes converge to the unique solution of a deterministic system, the fluid equations. Earlier fluid and diffusion analyses of the G/GI/N queue worked with other state descriptors (Reed, Ann. Appl. Probab. 19 (2009); Whitt, Oper. Res. 54 (2006)); the measure-valued description records the elapsed service time of every customer in service, which is the information a non-exponential service distribution requires.
This mission covers the deterministic half of that result: the fluid equations are well posed, and their solution is given in closed form.
Setting
Service requirements have a density g that vanishes on (−∞,0), G(x)=∫(−∞,x]g, and the mean is normalized to one, ∫xg(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); h is locally integrable on [0,M) but not integrable on it. For a measure μ and a function f write ⟨f,μ⟩=∫fdμ, and 1 for the constant one.
The data are a triple (Eˉ,Xˉ(0),νˉ0) in
S0={(f,x,μ):f nondecreasing caˋdlaˋg,f(0)=0; x≥0; μ a measure on [0,M), ⟨1,μ⟩≤1, 1−⟨1,μ⟩=[1−x]+},
where Eˉ is the cumulative arrival process, Xˉ(0) the initial number in system and νˉ0 the initial age measure (per server, so the total capacity is one). A càdlàg pair (Xˉ,νˉ), with νˉt a sub-probability measure on [0,M) in the weak topology, solves the fluid equations if for every t≥0: ∫0t⟨h,νˉs⟩ds<∞ (3.4); for every test function φ∈Cc1,1([0,M)×R+)
⟨φ(⋅,t),νˉt⟩=⟨φ(⋅,0),νˉ0⟩+∫0t⟨φx+φs,νˉs⟩ds−∫0t⟨hφ(⋅,s),νˉs⟩ds+∫[0,t]φ(0,s)dKˉ(s)(3.5);
Xˉ(t)=Xˉ(0)+Eˉ(t)−Dˉ(t) (3.6); and the nonidling condition 1−⟨1,νˉt⟩=[1−Xˉ(t)]+ (3.7). Here Dˉ(t)=∫0t⟨h,νˉs⟩ds is the cumulative departure process and Kˉ(t)=⟨1,νˉt⟩−⟨1,νˉ0⟩+Dˉ(t) the cumulative entry into service. Equation (3.5) is a weak form of a transport equation: mass moves to the right at unit speed, is killed at rate h, and enters at age 0 at rate dKˉ.
Formalization targets
Goal: Theorem 3.5
For every (Eˉ,Xˉ(0),νˉ0)∈S0:
- the fluid equations have at most one solution;
- under (3.4) and the path conditions, (Xˉ,νˉ) is a solution if and only if it satisfies (3.6), (3.7) and, for every bounded continuous f and t≥0,
⟨f,νˉt⟩=∫[0,M)f(x+t)1−G(x)1−G(x+t)νˉ0(dx)+∫[0,t]f(t−s)(1−G(t−s))dKˉ(s);(3.11)
- if Eˉ has a density λˉ, then Kˉ has a density κˉ equal a.e. to λˉ where Xˉ<1, to λˉ∧⟨h,νˉt⟩ where Xˉ=1, and to ⟨h,νˉt⟩ where Xˉ>1 (3.12);
- if moreover νˉ0 is absolutely continuous, so is every νˉt.
Milestones
- Remark 4.3, (4.4): integration by parts for the entry term of (4.3).
- (4.55): the integrated hazard in closed form, ψh(x,t)=(1−G(x))/(1−G(x−t)) or 1−G(x).
- Theorem 4.1: for a Radon-measure-valued path satisfying the hazard bound (4.1), the age equation (4.2), which is (3.5) with an arbitrary Radon measure υ0 and an arbitrary Z of bounded variation in place of νˉ0 and Kˉ, holds if and only if the representation (4.3) holds.
- Proof of Corollary 4.4: Kˉ is nondecreasing.
- Corollary 4.4, (4.5): Kˉ(t)=⟨1,νˉt⟩−⟨1,νˉ0⟩+∫1−G(x)G(x+t)−G(x)νˉ0(dx)+∫0tg(t−s)Kˉ(s)ds.
- Lemma 4.5: ∥⟨f,νˉs2⟩−⟨f,νˉs1⟩∥T≤∥f∥M∣Δυ0∣TV+(2∥f∥T+∥f′∥T)∥ΔZ∥T.
- Theorem 4.6: with equal initial measures, ∥ΔKˉ∥T∨∥ΔDˉ∥T≤∣ΔXˉ(0)∣+∥ΔEˉ∥T, together with (4.8) and (4.10).
Significance
Uniqueness of the fluid solution is what turns tightness of the scaled N-server processes into convergence: every subsequential limit solves the fluid equations, so all coincide (the paper's Theorem 3.7). The representation (3.11) reduces the measure-valued equation to the scalar process Kˉ, and the continuity estimate of Theorem 4.6 says the fluid solution is a Lipschitz function of the arrival process. Both are used in the paper's study of long-time behaviour, where νˉt converges to the measure with density 1−G, and (3.12) is the form of the entry rate used there.
The results are proved in the paper. None of them, and no part of the measure-valued fluid model, has a machine-checked proof. Formalizing them produces a checked weak-solution theory for a transport equation with an unbounded killing rate and a measure-valued boundary input, which is a reusable piece of infrastructure for other age- and residual-time-based queueing models.
Difficulty
The central step is Theorem 4.1. The naive approach treats (4.2) as a first-order PDE and integrates along characteristics, but the solution is only a càdlàg path of measures, h is merely locally integrable and blows up near M, and Z may jump, so classical characteristics are not available; the test functions must not vanish on the boundary x=0, since that is where the entry term lives. The second difficulty is in Theorem 4.6: the entry process Kˉ is defined implicitly through the nonidling condition, and comparing two solutions requires a first-crossing argument that distinguishes whether the system is below, at or above capacity at that time.
Formalization scope
The service law is its density g (ServiceLaw), with g=0 below 0, ∫g=1 and mean one. Time is R read on [0,∞); every condition is stated for t≥0. Measures of the fluid model are FiniteMeasure ℝ carried by [0,M), whose topology is weak convergence, so càdlàg paths are càdlàg in MF[0,M) with the weak topology. The paths of Theorem 4.1 and Lemma 4.5 are ℝ → Measure ℝ with values Radon on [0,M) (possibly infinite) and càdlàg in the vague topology. M∈[0,∞] is an extended number. The integral in (3.4) is a lower integral in [0,∞], and Dˉ, Kˉ are its real value. dKˉ is the Lebesgue–Stieltjes measure of Kˉ, with no atom at 0. A function Z of bounded variation is a difference Z1−Z2 of nondecreasing càdlàg functions vanishing at 0.
Explicit choices: compact support of test functions is relative to [0,M)×R+, so φ(0,s) need not vanish (with supports taken in R2 the entry term of (3.5) would vanish identically); νˉ(0)=νˉ0 and Xˉ(0) equal to the datum are clauses of the fluid equations, but not of the age equation, where υ0 is arbitrary; functions in Cb(R+), Cc(R+) and Cb1(R+) are represented by functions on R of the same class, of which only values on [0,∞) are read; norms in Lemma 4.5 are computed in [0,∞], since ∣Δυ0∣TV may be infinite. Two printed statements are corrected: in Theorem 3.5 the paper's right-hand side of the equivalence lists (3.6) and (3.11); the nonidling condition (3.7), part of the fluid equations on the left, is kept on the right, as the proof requires. In (4.10), ΔXˉ(0) is replaced by ∣ΔXˉ(0)∣, which is what Lemma 4.5 and (4.9) give.
A fluid solution is defined by the weak transport equation (3.5), never by the representation (3.11) or by a formula for νˉ in terms of Kˉ; with such a definition the equivalence of the goal would be an unfolding of definitions.
A complete development needs Lebesgue–Stieltjes integration by parts for càdlàg functions of bounded variation, the Riesz description of the vague topology, and uniqueness for weak solutions of transport equations; these are reusable beyond this mission. Proofs of any milestone, and of the parts of Theorem 3.5 separately, are welcome. The paper's Section 4.3 machinery (the abstract and simplified age equations, Lemmas 4.12–4.13, Propositions 4.15–4.16) is not posed here and may be formalized as supporting lemmas.
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
- J. Reed, The G/GI/N queue in the Halfin–Whitt regime, Ann. Appl. Probab. 19(6) (2009), 2211–2269. https://doi.org/10.1214/09-AAP609
- W. Whitt, Fluid models for multiserver queues with abandonments, Oper. Res. 54(1) (2006), 37–54. https://doi.org/10.1287/opre.1050.0227
- S. Asmussen, Applied Probability and Queues, 2nd ed., Springer, 2003. https://doi.org/10.1007/b97236