Stein's method and general clocks: diffusion approximation of the $G/G/1$ workload

Abstract: We begin developing the theory of the generator comparison approach of Stein's method for continuous-time Markov processes where jumps are driven by clocks having general distributions, as opposed to exponential distributions. This paper handles models with a single general clock. Using the workload process in the $G/G/1$ queueing system as a driving example, we develop two variants of the generator comparison approach for models with a single general clock: the original, which we call the limiting approach, and the recently proposed prelimit approach. The approaches are duals of one another, yielding distinct bounds on the diffusion approximation error of the steady-state workload. We also contribute to the theory of heavy-traffic approximations for the $G/G/1$ system. Under some assumptions on the interarrival time distribution, the prelimit approach allows us to bound the diffusion approximation error in terms of $G/G/1$ model primitives. For example, when the interarrival time has a nonincreasing hazard rate that is bounded from above, we show that the diffusion approximation error of the expected workload is bounded in terms of the first three moments of the interarrival and service-time distributions, as well as the upper bound on the interarrival hazard rate.