A Robust Queueing Network Analyzer Based on Indices of Dispersion
By: Wei You
Publisher: [publisher not identified]
Published: 2019
Place of publication: [New York, N.Y.?]
Language: eng
Description: In post-industrial economies, modern service systems are dramatically changing the daily lives of many people. Such systems are often complicated by uncertainty: service providers usually cannot predict when a customer will arrive and how long the service will be. Fortunately, useful guidance can often be provided by exploiting stochastic models such as queueing networks. In iterating the design of service systems, decision makers usually favor analytical analysis of the models over simulation methods, due to the prohibitive computation time required to obtain optimal solutions for service operation problems involving multidimensional stochastic networks. However, queueing networks that can be solved analytically require strong assumptions that are rarely satisfied, whereas realistic models that exhibit complicated dependence structure are prohibitively hard to analyze exactly. In this thesis, we continue the effort to develop useful analytical performance approximations for the single-class open queueing network with Markovian routing, unlimited waiting space and the first-come first-served service discipline.

We focus on open queueing networks where the external arrival processes are not Poisson and the service times are not exponential. We develop a new non-parametric robust queueing algorithm for the performance approximation in single-server queues. With robust optimization techniques, the underlying stochastic processes are replaced by samples from suitably defined uncertainty sets and the worst-case scenario is analyzed. We show that this worst-case characterization of the performance measure is asymptotically exact for approximating the mean steady-state workload in G/G/1 models in both the light-traffic and heavy-traffic limits, under mild regularity conditions. In our non-parametric Robust Queueing formulation, we focus on the customer flows, defined as the continuous-time processes counting customers in or out of the network, or flowing from one queue to another. Each flow is partially characterized by a continuous function that measures the change of stochastic variability over time.

This function is called the index of dispersion for counts. The Robust Queueing algorithm converts the index of dispersion for counts into approximations of the performance measures. We show the advantage of using index of dispersion for counts in queueing approximation by a renewal process characterization theorem and the ordering of the mean steady-state workload in GI/M/1 models. To develop generalized algorithm for open queueing networks, we first establish the heavy-traffic limit theorem for the stationary departure flows from a GI/GI/1 model. We show that the index of dispersion for counts function of the stationary departure flow can be approximately characterized as the convex combination of the arrival index of dispersion for counts and service index of dispersion for counts with a time-dependent weight function, revealing the non-trivial impact of the traffic intensity on the departure processes. This heavy-traffic limit theorem is further generalized into a joint heavy-traffic limit for the stationary customer flows in generalized Jackson networks, where the external arrival are characterized by independent renewal processes and the service times are independent and identically distributed random variables, independent of the external arrival processes.

We show how these limiting theorems can be exploited to establish a set of linear equations, whose solution serves as approximations of the index of dispersion for counts of the flows in an open queueing network. We prove that this set of equations is asymptotically exact in approximating the index of dispersion for counts of the stationary flows. With the index of dispersion for counts available, the network is decomposed into single-server queues and the Robust Queueing algorithm can be applied to obtain performance approximation. This algorithm is referred to as the Robust Queueing Network Analyzer. We perform extensive simulation study to validate the effectiveness of our algorithm. We show that our algorithm can be applied not only to models with non-exponential distirbutions but also to models with more complex arrival processes than renewal processes, including those with Markovian arrival processes.
Notes: Department: Industrial Engineering and Operations Research.

Thesis advisor: Ward Whitt.

Thesis (Ph.D.)--Columbia University, 2019.