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  4. Stein's method for steady-state diffusion approximations

Stein's method for steady-state diffusion approximations

File(s)
Braverman_cornellgrad_0058F_10242.pdf (1.4 MB)
Permanent Link(s)
https://doi.org/10.7298/X4319T0W
https://hdl.handle.net/1813/51668
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Cornell Theses and Dissertations
Author
Braverman, Anton
Abstract

Diffusion approximations have been a popular tool for performance analysis in queueing theory, with the main reason being tractability and computational efficiency. This dissertation is concerned with establishing theoretical guarantees on the performance of steady-state diffusion approximations of queueing systems. We develop a modular framework based on Stein's method that allows us to establish error bounds, or convergence rates, for the approximations. We apply this framework three queueing systems: the Erlang-C, Erlang-A, and $M/Ph/n+M$ systems. The former two systems are simpler and allow us to showcase the full potential of the framework. Namely, we prove that both Wasserstein and Kolmogorov distances between the stationary distribution of a normalized customer count process, and that of an appropriately defined diffusion process decrease at a rate of $1/\sqrt{R}$, where $R$ is the offered load. Futhermore, these error bounds are \emph{universal}, valid in any load condition from lightly loaded to heavily loaded. For the Erlang-C model, we also show that a diffusion approximation with state-dependent diffusion coefficient can achieve a rate of convergence of $1/R$, which is an order of magnitude faster when compared to approximations with constant diffusion coefficients.

Date Issued
2017-05-30
Keywords
Operations research
•
Diffusion approximation
•
queueing theory
•
steady state
•
Stein method
Committee Chair
Dai, J.G.
Minca, Andreea
Committee Member
Jarrow, Robert
Henderson, Shane
Degree Discipline
Operations Research
Degree Name
Ph. D., Operations Research
Degree Level
Doctor of Philosophy
Type
dissertation or thesis

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