A Unified Approach to Diffusion Analysis of Queues with General Patience-time Distributions

Abstract: We propose a unified approach to establishing diffusion approximations for queues with impatient customers within a general framework of scaling customer patience time. The approach consists of two steps. The first step is to show that the diffusion-scaled abandonment process is asymptotically close to a function of the diffusion-scaled queue length process under appropriate conditions. The second step is to construct a continuous mapping not only to characterize the system dynamics using the system primitives, but also to help verify the conditions needed in the first step. The diffusion approximations can then be obtained by applying the continuous mapping theorem. The approach has two advantages: (i) it provides a unified procedure to establish the diffusion approximations regardless of the structure of the queueing model or the type of patience-time scaling; (ii) and it makes the diffusion analysis of queues with customer abandonment essentially the same as the diffusion analysis of queues without customer abandonment. We demonstrate the application of this approach via the single server system with Markov-modulated service speeds in the traditional heavy-traffic regime and the many-server system in the Halfin-Whitt regime and the non-degenerate slowdown regime.