Robust Queueing Theory

Abstract

We propose an alternative approach for studying queues based on robust optimization. We model the uncertainty in the arrivals and services via polyhedral uncertainty sets, which are inspired from the limit laws of probability. Using the generalized central limit theorem, this framework allows us to model heavy-tailed behavior characterized by bursts of rapidly occurring arrivals and long service times. We take a worst-case approach and obtain closed-form upper bounds on the system time in a multi-server queue. These expressions provide qualitative insights that mirror the conclusions obtained in the probabilistic setting for light-tailed arrivals and services and generalize them to the case of heavy-tailed behavior. We also develop a calculus for analyzing a network of queues based on the following key principles: (a) the departure from a queue, (b) the superposition, and (c) the thinning of arrival processes have the same uncertainty set representation as the original arrival processes. The proposed approach (a) yields results with error percentages in single digits relative to simulation, and (b) is to a large extent insensitive to the number of servers per queue, network size, degree of feedback, and traffic intensity; it is somewhat sensitive to the degree of diversity of external arrival distributions in the network.