Open Access
October 2014 Queuing with future information
Joel Spencer, Madhu Sudan, Kuang Xu
Ann. Appl. Probab. 24(5): 2091-2142 (October 2014). DOI: 10.1214/13-AAP973
Abstract

We study an admissions control problem, where a queue with service rate $1-p$ receives incoming jobs at rate $\lambda\in(1-p,1)$, and the decision maker is allowed to redirect away jobs up to a rate of $p$, with the objective of minimizing the time-average queue length.

We show that the amount of information about the future has a significant impact on system performance, in the heavy-traffic regime. When the future is unknown, the optimal average queue length diverges at rate $\sim\log_{1/(1-p)}\frac{1}{1-\lambda}$, as $\lambda\to1$. In sharp contrast, when all future arrival and service times are revealed beforehand, the optimal average queue length converges to a finite constant, $(1-p)/p$, as $\lambda\to1$. We further show that the finite limit of $(1-p)/p$ can be achieved using only a finite lookahead window starting from the current time frame, whose length scales as $\mathcal{O}(\log\frac{1}{1-\lambda})$, as $\lambda\to1$. This leads to the conjecture of an interesting duality between queuing delay and the amount of information about the future.

References

1.

[1] Altman, E. and Shwartz, A. (1991). Markov decision problems and state-action frequencies. SIAM J. Control Optim. 29 786–809. MR1111660 10.1137/0329043[1] Altman, E. and Shwartz, A. (1991). Markov decision problems and state-action frequencies. SIAM J. Control Optim. 29 786–809. MR1111660 10.1137/0329043

2.

[2] Awerbuch, B., Azar, Y. and Plotkin, S. (1993). Throughput-competitive on-line routing. In Proceedings of Foundations of Computer Science (FOCS) 32–40. Palo Alto, CA.[2] Awerbuch, B., Azar, Y. and Plotkin, S. (1993). Throughput-competitive on-line routing. In Proceedings of Foundations of Computer Science (FOCS) 32–40. Palo Alto, CA.

3.

[3] Azar, Y. (1998). On-line load balancing. In Online Algorithms (Schloss Dagstuhl, 1996). 178–195. Springer, Berlin. MR1676832 10.1007/BFb0029569[3] Azar, Y. (1998). On-line load balancing. In Online Algorithms (Schloss Dagstuhl, 1996). 178–195. Springer, Berlin. MR1676832 10.1007/BFb0029569

4.

[4] Bell, S. L. and Williams, R. J. (2001). Dynamic scheduling of a system with two parallel servers in heavy traffic with resource pooling: Asymptotic optimality of a threshold policy. Ann. Appl. Probab. 11 608–649. MR1865018 10.1214/aoap/1015345343 euclid.aoap/1015345343 [4] Bell, S. L. and Williams, R. J. (2001). Dynamic scheduling of a system with two parallel servers in heavy traffic with resource pooling: Asymptotic optimality of a threshold policy. Ann. Appl. Probab. 11 608–649. MR1865018 10.1214/aoap/1015345343 euclid.aoap/1015345343

5.

[5] Beutler, F. J. and Ross, K. W. (1986). Time-average optimal constrained semi-Markov decision processes. Adv. in Appl. Probab. 18 341–359. MR840098 10.2307/1427303[5] Beutler, F. J. and Ross, K. W. (1986). Time-average optimal constrained semi-Markov decision processes. Adv. in Appl. Probab. 18 341–359. MR840098 10.2307/1427303

6.

[6] Borodin, A. and El-Yaniv, R. (2005). Online Computation and Competitive Analysis, Reissue ed. Cambridge Univ. Press, New York. MR1617778[6] Borodin, A. and El-Yaniv, R. (2005). Online Computation and Competitive Analysis, Reissue ed. Cambridge Univ. Press, New York. MR1617778

7.

[7] Carr, M. and Hajek, B. (1993). Scheduling with asynchronous service opportunities with applications to multiple satellite systems. IEEE Trans. Automat. Control 38 1820–1833. MR1254317 10.1109/9.250559[7] Carr, M. and Hajek, B. (1993). Scheduling with asynchronous service opportunities with applications to multiple satellite systems. IEEE Trans. Automat. Control 38 1820–1833. MR1254317 10.1109/9.250559

8.

[8] Coffman, E. G. Jr., Jelenkovic, P. and Poonen, B. (1999). Reservation probabilities. Adv. Perf. Anal. 2 129–158.[8] Coffman, E. G. Jr., Jelenkovic, P. and Poonen, B. (1999). Reservation probabilities. Adv. Perf. Anal. 2 129–158.

9.

[9] Fisher, M. and Raman, A. (1996). Reducing the cost of demand uncertainty through accurate response to early sales. Oper. Res. 44 87–99.[9] Fisher, M. and Raman, A. (1996). Reducing the cost of demand uncertainty through accurate response to early sales. Oper. Res. 44 87–99.

10.

[10] Gallager, R. G. (1996). Discrete Stochastic Processes. Kluwer, Boston.[10] Gallager, R. G. (1996). Discrete Stochastic Processes. Kluwer, Boston.

11.

[11] Harrison, J. M. and López, M. J. (1999). Heavy traffic resource pooling in parallel-server systems. Queueing Systems Theory Appl. 33 339–368. MR1742575 10.1023/A:1019188531950[11] Harrison, J. M. and López, M. J. (1999). Heavy traffic resource pooling in parallel-server systems. Queueing Systems Theory Appl. 33 339–368. MR1742575 10.1023/A:1019188531950

12.

[12] Kim, S. C. and Horowitz, I. (2002). Scheduling hospital services: The efficacy of elective surgery quotas. Omega 30 335–346.[12] Kim, S. C. and Horowitz, I. (2002). Scheduling hospital services: The efficacy of elective surgery quotas. Omega 30 335–346.

13.

[13] Levi, R. and Shi, C. (2014). Revenue management of reusable resources with advanced reservations. Oper. Res. To appear. MR3079733 10.1287/opre.2013.1162[13] Levi, R. and Shi, C. (2014). Revenue management of reusable resources with advanced reservations. Oper. Res. To appear. MR3079733 10.1287/opre.2013.1162

14.

[14] Lu, Y. and Radovanović, A. (2007). Asymptotic blocking probabilities in loss networks with subexponential demands. J. Appl. Probab. 44 1088–1102. MR2382948 10.1239/jap/1197908827 euclid.jap/1197908827 [14] Lu, Y. and Radovanović, A. (2007). Asymptotic blocking probabilities in loss networks with subexponential demands. J. Appl. Probab. 44 1088–1102. MR2382948 10.1239/jap/1197908827 euclid.jap/1197908827

15.

[15] Mandelbaum, A. and Reiman, M. I. (1998). On pooling in queueing networks. Management Science 44 971–981.[15] Mandelbaum, A. and Reiman, M. I. (1998). On pooling in queueing networks. Management Science 44 971–981.

16.

[16] Mandelbaum, A. and Stolyar, A. L. (2004). Scheduling flexible servers with convex delay costs: Heavy-traffic optimality of the generalized $c\mu$-rule. Oper. Res. 52 836–855. MR2104141 10.1287/opre.1040.0152[16] Mandelbaum, A. and Stolyar, A. L. (2004). Scheduling flexible servers with convex delay costs: Heavy-traffic optimality of the generalized $c\mu$-rule. Oper. Res. 52 836–855. MR2104141 10.1287/opre.1040.0152

17.

[17] Nawijn, W. M. (1990). Look-ahead policies for admission to a single server loss system. Oper. Res. 38 854–862. MR1095946 10.1287/opre.38.5.854[17] Nawijn, W. M. (1990). Look-ahead policies for admission to a single server loss system. Oper. Res. 38 854–862. MR1095946 10.1287/opre.38.5.854

18.

[18] Smith, B. L., Williams, B. M. and Oswald, R. K. (2002). Comparison of parametric and nonparametric models for traffic flow forecasting. Cold Spring Harbor Symp. Quant. Biol. 10 303–321.[18] Smith, B. L., Williams, B. M. and Oswald, R. K. (2002). Comparison of parametric and nonparametric models for traffic flow forecasting. Cold Spring Harbor Symp. Quant. Biol. 10 303–321.

19.

[19] Stidham, S. Jr. (1985). Optimal control of admission to a queueing system. IEEE Trans. Automat. Control 30 705–713. MR794203 10.1109/TAC.1985.1104054[19] Stidham, S. Jr. (1985). Optimal control of admission to a queueing system. IEEE Trans. Automat. Control 30 705–713. MR794203 10.1109/TAC.1985.1104054

20.

[20] Tsitsiklis, J. N. and Xu, K. (2012). On the power of (even a little) resource pooling. Stoch. Syst. 2 66. MR2960735 10.1214/11-SSY033[20] Tsitsiklis, J. N. and Xu, K. (2012). On the power of (even a little) resource pooling. Stoch. Syst. 2 66. MR2960735 10.1214/11-SSY033
Copyright © 2014 Institute of Mathematical Statistics
Joel Spencer, Madhu Sudan, and Kuang Xu "Queuing with future information," The Annals of Applied Probability 24(5), 2091-2142, (October 2014). https://doi.org/10.1214/13-AAP973
Published: October 2014
Vol.24 • No. 5 • October 2014
Back to Top