On the rate of convergence to stationarity of the M/M/N queue in the Halfin-Whitt regime

• Main Authors: Gamarnik, David (Contributor), Goldberg, David A. (Author)
• Other Authors: Sloan School of Management (Contributor)
• Format: Article
• Language: English
• Published: Institute of Mathematical Statistics, 2013-12-23T20:46:47Z.
• Subjects: Article
• Online Access: Get fulltext

We prove several results about the rate of convergence to stationarity, that is, the spectral gap, for the M/M/n queue in the Halfin-Whitt regime. We identify the limiting rate of convergence to steady-state, and discover an asymptotic phase transition that occurs w.r.t. this rate. In particular, we demonstrate the existence of a constant B[superscript ∗] ≈ 1.85772 s.t. when a certain excess parameter B ∈ (0,B[superscript ∗]], the error in the steady-state approximation converges exponentially fast to zero at rate B[superscript 2 over 4]. For B > B[superscript ∗], the error in the steady-state approximation converges exponentially fast to zero at a different rate, which is the solution to an explicit equation given in terms of special functions. This result may be interpreted as an asymptotic version of a phase transition proven to occur for any fixed n by van Doorn [Stochastic Monotonicity and Queueing Applications of Birth-death Processes (1981) Springer]. We also prove explicit bounds on the distance to stationarity for the M/M/n queue in the Halfin-Whitt regime, when B < B[superscript ∗]. Our bounds scale independently of n in the Halfin-Whitt regime, and do not follow from the weak-convergence theory.
National Science Foundation (U.S.) (Grant CMMI-0726733)