Transient error approximation in a L\'evy queue
Probability
2016-04-19 v1
Abstract
Motivated by a capacity allocation problem within a finite planning period, we conduct a transient analysis of a single-server queue with L\'evy input. From a cost minimization perspective, we investigate the error induced by using stationary congestion measures as opposed to time-dependent measures. Invoking recent results from fluctuation theory of L\'evy processes, we derive a refined cost function, that accounts for transient effects. This leads to a corrected capacity allocation rule for the transient single-server queue. Extensive numerical experiments indicate that the cost reductions achieved by this correction can by significant.
Cite
@article{arxiv.1604.05231,
title = {Transient error approximation in a L\'evy queue},
author = {Britt Mathijsen and Bert Zwart},
journal= {arXiv preprint arXiv:1604.05231},
year = {2016}
}