Stationary Distribution Convergence of the Offered Waiting Processes for GI/GI/1+GI Queues in Heavy Traffic

TL;DR

This paper proves the convergence of the stationary distribution of offered waiting times in GI/GI/1+GI queues to a truncated normal distribution in heavy traffic, confirming the impact of customer abandonment on queue behavior.

Contribution

It establishes the convergence of the stationary distribution to a reflected Ornstein-Uhlenbeck process, resolving an open question from Ward and Glynn (2005).

Findings

Convergence of stationary distribution to a truncated normal in heavy traffic.

Validation of the reflected Ornstein-Uhlenbeck process as a limit.

Customer abandonment significantly affects queue stationary behavior.

Abstract

A result of Ward and Glynn (2005) asserts that the sequence of scaled offered waiting time processes of the $GI/GI/1+GI$ queue converges weakly to a reflected Ornstein-Uhlenbeck process (ROU) in the positive real line, as the traffic intensity approaches one. As a consequence, the stationary distribution of a ROU process, which is a truncated normal, should approximate the scaled stationary distribution of the offered waiting time in a $GI/GI/1+GI$ queue; however, no such result has been proved. We prove the aforementioned convergence, and the convergence of the moments, in heavy traffic, thus resolving a question left open in Ward and Glynn (2005). In comparison to Kingman's classical result in Kingman (1961) showing that an exponential distribution approximates the scaled stationary offered waiting time distribution in a $GI/GI/1$ queue in heavy traffic, our result confirms that the addition of customer abandonment has a non-trivial effect on the queue stationary behavior.