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Functional central limit theorems for a large network in which customers join the shortest of several queues | | Carl Graham
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31 Mar 2004 | | Subject: | Probability MSC-class: 60K35; 60K25; 37A30 | math.PR | | Abstract: | We consider N single server infinite buffer queues with service rate eta. Customers arrive at rate Nalpha, choose L queues uniformly, and join the shortest. We study the processes R^N for large N, where R^N_t(k) is the fraction of queues of length at least k at time t. Laws of large numbers (LLNs) are known. We consider certain Hilbert spaces with the weak topology. First, we prove a functional central limit theorem (CLT) under the a priori assumption that the initial data R^N_0 satisfy the corresponding CLT. We use a compactness-uniqueness method, and the limit is characterized as an Ornstein-Uhlenbeck (OU) process. Then, we study the R^N in equilibrium under the stability condition alpha < eta, and prove a functional CLT with limit the OU process in equilibrium. We use ergodicity and justify the inversion of limits for large times and for large sizes N by a compactness-uniqueness method. We deduce a posteriori the CLT for R^N_0 under the invariant laws, an interesting result in its own right. The main tool for proving tightness of the implicitly defined invariant laws in the CLT scaling and ergodicity of the limit OU process is a global exponential stability result for the nonlinear dynamical system obtained in the functional LLN limit. | | Source: | arXiv, math.PR/0403538 | | Services: | Forum | Review | PDF | Favorites | |
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