Scaling limits via excursion theory: Interplay between Crump-Mode-Jagers branching processes and processor-sharing queues

We study the convergence of the $M/G/1$ processor-sharing, queue length process in the heavy traffic regime, in the finite variance case. To do so, we combine results pertaining to L\'{e}vy processes, branching processes and queuing theory. These results yield the convergence of long excursions of the queue length processes, toward excursions obtained from those of some reflected Brownian motion with drift, after taking the image of their local time process by the Lamperti transformation. We also show, via excursion theoretic arguments, that this entails the convergence of the entire processes to some (other) reflected Brownian motion with drift. Along the way, we prove various invariance principles for homogeneous, binary Crump-Mode-Jagers processes. In the last section we discuss potential implications of the state space collapse property, well known in the queuing literature, to branching processes.Comment: Published in at http://dx.doi.org/10.1214/12-AAP904 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Exact asymptotics for fluid queues fed by multiple heavy-tailed on-off flows

We consider a fluid queue fed by multiple On-Off flows with heavy-tailed (regularly varying) On periods. Under fairly mild assumptions, we prove that the workload distribution is asymptotically equivalent to that in a reduced system. The reduced system consists of a ``dominant'' subset of the flows, with the original service rate subtracted by the mean rate of the other flows. We describe how a dominant set may be determined from a simple knapsack formulation. The dominant set consists of a ``minimally critical'' set of On-Off flows with regularly varying On periods. In case the dominant set contains just a single On-Off flow, the exact asymptotics for the reduced system follow from known results. For the case of several On-Off flows, we exploit a powerful intuitive argument to obtain the exact asymptotics. Combined with the reduced-load equivalence, the results for the reduced system provide a characterization of the tail of the workload distribution for a wide range of traffic scenarios

Stochastic and dynamic vehicle routing in the Euclidean plane with multiple capacitated vehicles

"March 13, 1991."Includes bibliographical references (p. 34-36).Supported by the National Science Foundation. DDM-9014751 Supported by a grant from the Draper Laboratories and the UPS Foundation.Dimitris J. Bertsimas, Garrett van Ryzin