Queueing Syst (2010) 64: 253–265

DOI 10.1007/s11134-009-9159-0

The stationary workload of the G/M/1 queue

with impatient customers

Jongho Bae · Sunggon Kim

Received: 23 September 2008 / Revised: 15 December 2009 / Published online: 8 January 2010
© Springer Science+Business Media, LLC 2010

Abstract We consider a G/M/1 queue in which the patience time of the customers
is constant. The stationary distribution of the workload of the server, or the virtual
waiting time, is derived by the level crossing argument. To this end, we obtain the
expected downcrossings of a level in the workload process during a busy cycle and
then the expected length of a busy cycle. For both the expectations, we use the dual
property between the M/G/1 and G/M/1 queue.

Keywords Workload · Virtual waiting time · G/M/1 queue · Impatient customers

Mathematics Subject Classification (2000) 60K25 · 60M20

1 Introduction

We consider the G/M/1 queue with impatient customers. The customers arrive ac-
cording to a renewal process where the distribution function of the interarrival times is
G(·) and its mean is ma . The service times of the customers are independent and ex-
ponentially distributed with common mean mb independently of the arrival process.
The patience time of the customers is a constant k, that is, it is assumed that the
customer whose waiting time until his/her service would exceed k does not enter the
system. Then, ρ0 = mb /ma is the traffic intensity of the system while the workload
of the system is less than k. For any value of ma and mb , the queueing system is
stable if k < ∞. We assume that ma and mb are in (0, ∞) in the following.

J. Bae
Department of Statistics, Chungnam National University, Daejeon 305-764, Republic of Korea
e-mail: bae-jongho@cnu.ac.kr

S. Kim ()
Department of Statistics, University of Seoul, Seoul 130-743, Republic of Korea
e-mail: sgkim@uos.ac.kr
254 Queueing Syst (2010) 64: 253–265

The queues with impatient customers have been studied by many researchers. Bac-
celli et al. [3] showed the equivalence of the distributions of the actual waiting time
and the virtual waiting time in M/G/1 queue with general impatience, and also stud-
ied the distribution of the virtual waiting time of the M/G/1 queue with exponential
impatience. De Kok and Tijms [18] studied the approximation of the distribution of
the virtual waiting time of the M/G/1 queue with impatient customers. In Martin
and Artalejo [22] the retrial of the customers is considered as well as impatience in
the M/G/1 queue, and in Bae et al. [4] the stationary distribution of the virtual wait-
ing time of the M/G/1 queue has been derived. Brill [9] discussed the same problem
using the level crossing argument. Kim et al. [20] and Perry et al. [25] derived the
Laplace–Stieltjes transform of the length of a busy period for the M/G/1 queue with
impatient customers.
Using the duality between M/G/1 and G/M/1 queues, Perry et al. [25] also
obtained the Laplace–Stieltjes transform of the length of busy period in G/M/1 case.
Barrer [6] obtained the loss probability in the M/M/s queue with impatience.
Movaghar [23] derived the steady-state distribution of the number of customers in
the system and the distribution of waiting time of M(n)/M/s queue with impa-
tience, and Brandt and Brandt [7] generalized the result of Movaghar [23] to the
model M(n)/M(n)/s. Some researchers, including Choi et al. [11] and Brandt and
Brandt [8], considered the priority among the customers in the M/M/1 queue with
impatience.
For G/G/1 queue with impatience, Daley [17] studied the waiting time of the
customers, Baccelli et al. [3] concentrated on the relation between the actual waiting
time and the virtual waiting time of the customers, and Lillo and Martin [21] focused
on the stability and the ergodic property of the system.
For the G/M/1 queue with impatient customers, which we consider in this paper,
the distribution of the actual waiting time of the customer was obtained by Finch [19],
and the stationary distribution of the embedded Markov chain by Teghem [27].
Swensen [26] obtained the remaining workload and the asymptotic distributions of
the actual waiting time and the virtual waiting time of G/M/c queue when the in-
terarrival times follow the Coxian distribution, and Choi et al. [12] computed many
performance measures in MAP /M/c queue with impatience.
In this paper, we derive the stationary distribution of the workload of the server,
or the virtual waiting time of G/M/1 queue with patience time k. First we obtain
the expected number of downcrossings of a level in the workload process during a
busy cycle and then the expected length of a busy cycle. The dual property between
the M/G/1 queue and the G/M/1 queue is used to derive the expectations. Applying
the level crossing argument to the expectations, the stationary density of the workload
is derived.
Let {X o (t); t ≥ 0} be the workload process of the server or the virtual waiting
time process of the system. We assume that the first customer arrives at time 0 in
the original system, that is, the original process {X o (t); t ≥ 0} has a jump from 0 at
time 0. Note that the customers arriving when X o (t) > k do not enter the system, and
that the time duration from the moment of a downcrossing of level k by X o (t) to the
next arrival of a customer does not follow G(·). Actually, the distribution function of
Queueing Syst (2010) 64: 253–265 255

the duration, denoted by Gex (·), is given by

∞
(1 − e−(u−t)/mb ) dG(u)
G (t) = 1 − t  ∞
ex
−u/mb ) dG(u)
, t ≥ 0, (1)
0 (1 − e

and its mean is

ma
mex =  ∞ −u/m
− mb , (2)
0 (1 − e b ) dG(u)

which are justified in the Appendix. It can be shown that Gex (·) is absolutely contin-
uous and that for any continuity point x of G,
  ∞ −(u−x)/m
dGex (t)  e b dG(u)

 = x ∞ . (3)
dt t=x mb 0 (1 − e−u/mb ) dG(u)

2 Dual process

In this section, we consider an M/G/1 queue with impatient customers having pa-
tience time k and exceptional first service. The customers arrive according to a Pois-
son process with mean interarrival time mb , and the service time of the customer
who arrives seeing the system empty has the distribution function Gex (·). The ser-
vice times of the other customers are independent and identically distributed with the
common distribution function G(·), and the patience time of the customers is k. The
associated workload process is dual to the workload process of the model considered
in Sect. 1.
We let {X(t); t ≥ 0} be the workload process of this system. Then, ρ = 1/ρ0
is the traffic intensity of the system while X(t) ≤ k. We call the workload process
{X(t); t ≥ 0} the dual process, and we call {X o (t); t ≥ 0} the original process. The
duality between the G/M/1 queue and the M/G/1 queue has been exploited by
many researchers including Cohen [16] and Perry et al. [25]. A sample path of
the original process {X o (t); t ≥ 0} and the corresponding path of the dual process
{X(t); t ≥ 0} are shown in Fig. 1.
We define
∞

H (x) = ρ n Gn∗
e (x), x ≥ 0, (4)
n=0
x
where Ge (x) = (1/ma ) 0 (1 − G(t)) dt is the equilibrium distribution function of
G(·) and Gn∗ 0∗
e (·) denotes the n-fold Stieltjes convolution of Ge (·), i.e. Ge (·) is the
Heaviside function and for n = 0, 1, 2, . . . ,
 x
Ge(n+1)∗
(x) = Gn∗ e (x − u) dGe (u).
0

The function H (x) is the solution of the integral equation,

 x
Z(x) = Ge (x) + ρ
0∗
Z(x − u) dGe (u), x ≥ 0. (5)
0
256 Queueing Syst (2010) 64: 253–265

Fig. 1 A sample path of X o (t)

and the corresponding path of
the dual process X(t)

If ρ is equal to 1, (5) is the renewal equation. It is shown in [2, p. 113] that for any
non-negative ρ, H (x), x ≥ 0, is well-defined and finite. Due to Kim et al. [20], in
the M/G/1 queue with impatient customers having patience time k, the expected
length of the busy period is given by ma H (k). Thus, H (k) can be considered as the
average time for the workload to decrease by 1 because the expected workload at the
beginning of a busy period is ma .

3 The stationary distribution of the workload process

The process {X o (t); t ≥ 0} is a regenerative process with regeneration points at the

arrivals after idle periods, and the process {X(t); t ≥ 0} is also a regenerative process
which has regenerations at the moments of X(t) downcrossing k. Three regeneration
cycles of {X o (t); t ≥ 0} and {X(t); t ≥ 0} appear in Fig. 1.
Let T o and T be the lengths of regeneration cycles of {X o (t); t ≥ 0} and {X(t);
t ≥ 0} respectively, and let D o (x) and D(x) be the numbers of downcrossings of the
level x in a cycle of {X o (t); t ≥ 0} and in a cycle of {X(t); t ≥ 0} respectively. The
level crossing argument [10, 14] says
E[D o (x)]
fk (x) = , x > 0, (6)
E[T o ]
where fk (x) is the pdf of the stationary distribution of {X o (t); t ≥ 0}.
Using the duality between {X o (t); t ≥ 0} and {X(t); t ≥ 0}, E[D o (x)] and E[T o ]
are obtained in Theorems 2 and 3, which will be given in Sects. 4 and 5. Applying
these expectations to (6), we obtain the following theorem:

Theorem 1 Let fk (x) be the pdf of the stationary distribution of {X o (t); t ≥ 0}. Then,
for 0 < x < k,
 k−x
H (k − x) − 0 H (k − x − y) dGex (y)
fk (x) =  k ,
ρ 0 H (k − u)(1 − Gex (u)) du + mex + mb
Queueing Syst (2010) 64: 253–265 257

and for x ≥ k,

e−(x−k)/mb
fk (x) = k ,
ρ 0 H (k − u)(1 − Gex (u)) du + mex + mb

and the stationary distribution of {X o (t); t ≥ 0} has a mass at 0 equal to

 ∞
πk (0) = 1 − fk (x) dx.
0

The value of πk (0) in the above theorem is the proportion of the time that the
workload is zero.
The case of k = ∞ and ρ0 < 1 can be considered as G/M/1 with no impatient
customer, i.e. the ordinary G/M/1 queue. In this case, Cohen [13] has shown that for
ρ0 < 1,
1
Pr(M > x) = , x > 0, (7)
H (x)
where M is the maximum workload in a busy cycle. On the other hand, Adan et al. [1]
also have shown that

e−ηx (1 − E[e−ηI ])
Pr(M > x) = , (8)
1 − e−ηx E[e−ηIx ]

where η is the unique solution, in (0, 1/mb ), of the equation

∞
1 − 0 e−ηu dG(u)
η= , (9)
mb

I is the length of an idle period, and Ix is that of the queue with set-up time of x
before starting the first service. If we let ϕ(k, x) = H (k − x)/H (k), then we can see
that for 0 < x < k,

Pr(M > k)
ϕ(k, x) =
Pr(M > k − x)
1 − e−η(k−x) E[e−ηIk−x ]
= e−ηx .
1 − e−ηk E[e−ηIk ]

Since E[e−ηIk−x ] and E[e−ηIk ] converge to a common finite value as k goes to infin-
ity, we have
lim ϕ(k, x) = e−ηx , x > 0. (10)
k→∞

From Theorem 1, fk (x) can be rewritten for 0 < x < k, as

 k−x
ϕ(k, x) (1 −
0 ϕ(k − x, y) dGex (y))
fk (x) = k .
0 ϕ(k, y)(1 − G (y)) dy + (mex + mb )/H (k)
ρ ex
258 Queueing Syst (2010) 64: 253–265

Applying (9), (10), and the fact that limk→∞ H (k) = ∞ for ρ0 = 1/ρ < 1, to the
above form of fk (x), we have

lim fk (x) = ρ0 ηe−ηx , x > 0, (11)

k→∞

which coincides with the known form of the pdf of the virtual waiting time of the
ordinary G/M/1 queue.

4 The expected number of downcrossings

In this section, we obtain the explicit form of E[D o (x)] for x > 0. It can be observed
from the duality between the processes {X o (t); t ≥ 0} and {X(t); t ≥ 0} that for
0 < x < k, D o (x) is equal to the number of upcrossings of level k − x in a cycle
of {X(t); t ≥ 0}, which is equal to the number of downcrossings D(k − x) of the
same level. That is, for 0 < x < k,

D o (x) = D(k − x).

In what follows, we denote by Dy;w (z) the number of downcrossings of level z,

given X(0) = y, before {X(t); t ≥ 0} downcrosses w. Then,

Dk;k (z) = D(z), 0 < z < k. (12)

We define Sy as the first exit time from interval (0, k] of X(t) starting at y, i.e.
  
Sy = inf t ≥ 0  X(t) > k or X(t) = 0 given X(0) = y,

and we denote by D(0,Sy ) (z) the number of downcrossings of level z, given X(0) = y,
during the time interval (0, Sy ).
We first obtain the explicit form of E[Dk;k (z)] for 0 < z < k. If we assume that a
cycle of X(t) starts at time 0 as in Fig. 1, then X(0) = k, and a cycle of {X(t); t ≥ 0}
can be decomposed into the periods (0, Sk ) and (Sk , T ). Thus,
    
E Dk;k (z) = E D(0,Sk ) (z) + Pr X(Sk ) = 0 E D0;k (z) .

The workload at the beginning of a busy period has the distribution Gex (·). Let Y be a
random variable with distribution Gex (·). Then, D0;k (z) = DY ;k (z). Thus, the above
equation is rewritten as
    
E Dk;k (z) = E D(0,Sk ) (z) + Pr X(Sk ) = 0 E DY ;k (z) . (13)

In (13), E[DY ;k (z)] can be represented as the product of two expectations. We

denote by N the number of nonzero periods of X(t) separated by idle periods during
the time duration from first reaching 0 to downcrossing k of X(t). Then, we have


N
DY ;k (z) = Ai (z), (14)
i=1
Queueing Syst (2010) 64: 253–265 259

where Ai (z) is the number of downcrossings of z during the ith nonzero period be-
fore X(t) downcrosses k. Let Yi , i = 1, 2, . . . , N , be the workload at the start of ith
nonzero period. If N is not given, then Yi ’s are independent and identically distrib-
uted with the common distribution Gex (·), and by Markov property of X(t), Ai (z)’s
are independent and identically distributed. The common mean of Ai (z)’s is given by
E[D(0,SY ) (z)], i.e.
 
E Ai (z) = E D(0,SY ) (z) , i = 1, 2, . . . .

We can also see that N follows the geometric distribution with mean of
1/Pr (X(SY ) > k), and that the event {N = n} is independent of An+1 (z), An+2 (z),
and so on. Thus we have by Wald’s equality,
 
E DY ;k (z) = E[N ]E D(0,SY ) (z) . (15)

To derive the formula for E[Dk;k (z)], we need the following identities whose
proofs are given by Cohen [15] and Adan et al. [1]:


 H (k − y)
Pr X(Sy ) = 0 = 1 − Pr X(Sy ) > k = , 0 ≤ y ≤ k, (16)
H (k)

and by Bae et al. [5]:

 H (z)H (k−y)
 H (k) − H (z − y), for 0 < y ≤ z ≤ k,
E D(0,Sy ) (z) = H (z)H (k−y)
(17)
H (k) , for 0 < z < y ≤ k.

Substituting (15), (16), and (17) into (13) yields

 H (z) 1 E[D(0,SY ) (z)]

E Dk;k (z) = + · , 0 < z < k. (18)
H (k) H (k) Pr(X(SY ) > k)

It is sufficient to find the values of Pr(X(SY ) > k) and E[D(0,SY ) (z)] for evaluat-
ing E[Dk;k (z)]. The value of Pr(X(SY ) > k) can be derived by conditioning on the
service time of a customer who arrives seeing the system empty. It follows from (16)
that
k

 H (k − y) dGex (y)
Pr X(SY ) > k = 1 − 0 . (19)
H (k)
We also obtain the explicit form of E[D(0,SY ) (z)] in the same manner as the above,
which is given by

 k 
E D(0,SY ) (z) = E D(0,Sy ) (z) dGex (y)
0
 k  z
H (z)
= H (k − y) dG (y) −
ex
H (z − y) dGex (y).
H (k) 0 0
260 Queueing Syst (2010) 64: 253–265

By substituting the above two equations into (18), we obtain for 0 < z < k,

 H (z) − 0z H (z − y) dGex (y)
E Dk;k (z) = k , (20)
H (k) − 0 H (k − y) dGex (y)

which is equal to E[D o (k − z)].

It remains to obtain the value of E[D o (x)] for x ≥ k. Let N o be the number of
upcrossings of k in a cycle of {X o (t); t ≥ 0}. Then, D o (x) = 0 if N o = 0, and D o (x)
has a binomial distribution B(n, e−(x−k)/mb ) if N o = n (>0), due to the memoryless
property of the service time distribution. Thus,
 
E D o (x) = E N o e−(x−k)/mb . (21)

Since N o is equal in distribution to the number of idle periods in a cycle of {X(t);

t ≥ 0}, we have



Pr N o = 0 = Pr X(Sk ) > k ,
and for n = 1, 2, 3, . . . ,




n−1

Pr N o = n = Pr X(Sk ) = 0 Pr X(SY ) = 0 Pr X(SY ) > k .

Therefore,
 Pr(X(Sk ) = 0)
E No =
Pr(X(SY ) > k)
1
= k .
H (k) − 0 H (k − y) dGex (y)

Now, we obtain the following theorem from (20) and (21):

Theorem 2 Let D o (x) be the number of downcrossings of the level x in a busy cycle
of {X o (t); t ≥ 0}. Then,

 o H (k − x) − 0k−x H (k − x − y) dGex (y)
E D (x) = k , 0 < x < k,
H (k) − 0 H (k − y) dGex (y)
 e−(x−k)/mb
E D o (x) = k , x ≥ k.
H (k) − 0 H (k − y) dGex (y)

5 The expected length of the cycle

We observe from the duality between the processes {X o (t); t ≥ 0} and {X(t); t ≥ 0}
that
T o = T,
Queueing Syst (2010) 64: 253–265 261

where T is the time to the first downcrossing of k of {X(t); t ≥ 0} after X(0) = k. In

this section, we are to derive the formula for E[T ], or equivalently E[T o ].
To find E[T ], we observe the process {X(t); t ≥ 0} in two ways. First, as described
in Sect. 3, the process is a regenerative process having regeneration points where X(t)
downcrosses k. Second, the process is a regenerative process that has regenerations
at the moments when a customer arrives to an empty system, that is, at time t such
that X(t−) = 0 and X(t) > 0.
In the first view, the expected length of regeneration cycle is E[T ] and the number
of downcrossings of k in a cycle is always 1. In the second view, the regeneration
cycle is the connection of a busy period and the following idle period, the so-called
busy cycle. Here, the number of downcrossings of k during a busy cycle, DY ;0 (k),
has to be calculated. We obtain the following identity by writing down the density
functions at level k of the stationary distribution of {X(t); t ≥ 0} in the two ways and
equating them:
1 E[DY ;0 (k)]
= , (22)
E[T ] E[B] + mb
where E[B] denotes the expected length of a busy period in the process {X(t);
t ≥ 0}. We only have to find E[B] and E[DY ;0 (k)] for evaluating E[T ].
Kim et al. [20] obtained the following formula for E[B(y)], the expected time to
reach 0 of X(t) given that X(0) = y:

 k
E B(y) = y + ρ H (u) du, 0 ≤ y ≤ k. (23)
k−y

Therefore, we can calculate E[B] by conditioning on the service time of the customer
who arrives seeing the system empty, i.e.
  ∞

k   
E[B] = E B(y) dGex (y) + E B(k) + y − k dGex (y). (24)
0 k

The right-hand side in (24) is the sum of the following two terms:
 ∞
y dGex (y) = mex
0

and
 k k 

 k
ρ H (u) du dGex (y) + ρ 1 − Gex (k) H (u) du
0 k−y 0
 k

=ρ H (u) 1 − Gex (k − u) du.
0

From the above, we obtain

 k

E[B] = mex + ρ H (k − u) 1 − Gex (u) du.
0
262 Queueing Syst (2010) 64: 253–265

To find E[T ] from (22), it remains to obtain E[DY ;0 (k)], which is derived using
the Markov property of X(t). We observe first that for n = 1, 2, 3, . . . ,




n−1
Pr DY ;0 (k) ≥ n = Pr X(SY ) > k Pr X(Sk ) > k .

Then, (16) and (19) enable us to evaluate E[DY ;0 (k)] as follows:


 k
E DY ;0 (k) = H (k) − H (k − y) dGex (y). (25)
0

Since the random variables T and T o are identical, we obtain the following theorem
from (22):

Theorem 3 Let T o be the length of a busy cycle in {X o (t); t ≥ 0}. Then,


 o ρ 0k H (k − u)(1 − Gex (u)) du + mex + mb
E T = k .
H (k) − 0 H (k − y) dGex (y)

6 Case study: Poisson arrivals

In this section, we consider the M/M/1 queue with impatient customers. We as-
sume that the customers arrive according to a Poisson process at a rate 1/ma . From
the memoryless property of the interarrival time, we can see that the time to the
next arrival of a customer from the moment of downcrossing k of the workload
process {X o (t); t ≥ 0} is exponentially distributed with mean ma . This property can
be checked by substituting G(x) = 1 − e−x/ma into (1). Thus, we have

Gex (x) = 1 − e−x/ma . (26)

Noting that the equilibrium distribution Ge (·) is equal to G(·), we have

 x e−u/ma un−1
e (x) =
Gn∗ du,
0 mna (n − 1)!

which is the cdf of the gamma distribution with shape parameter n and scale parame-
ter 1/ma . It follows from (4) that for x ≥ 0,

∞  x 
ma n e−u/ma un−1
H (x) = 1 + du
mb mna (n − 1)!
n=1 0
 x
1
=1+ e−(1/ma −1/mb )u du.
mb 0
Then, the above equation gives

1 − ρeθx
H (x) = , x ≥ 0, (27)
1−ρ
Queueing Syst (2010) 64: 253–265 263

where θ = 1/mb − 1/ma . From (26) and (27), we have

 k−x
H (k − x) − H (k − x − y) dGex (y) = eθ(k−x) , 0 ≤ x < k, (28)
0

which enables us to calculate E[D o (x)] in Theorem 2. As mentioned above,

Gex (x) = G(x) = 1 − e−x/ma , which gives
 k

 k

H (u) 1 − Gex (k − u) du = ds 0 H (u) 1 − G(k − u) du
0
(29)
ma (1 − eθk )
= .
1−ρ
By applying (28) and (29) to Theorem 1, we obtain
πk (0) −θx
fk (x) = e , 0 < x < k,
ma
(30)
πk (0)e−θk −(x−k)/mb
fk (x) = e , x ≥ k,
ma
and
1 − ρ0
πk (0) = . (31)
1 − (ρ0 )2 e−θk
It can be easily checked that 1 − ρ0 and θ have the same sign, which implies that,
for any positive value of ρ0 , the value of πk (0) in (31) is positive. The pdf of the
stationary workload in (30) coincides with the known result by Perry and Asmussen
[24, Corollary 2.4].
Acknowledgements We would like to thank the anonymous referees for their valuable comments and
suggestions which have improved greatly the quality of presentation of the paper. This work was sup-
ported by grant No. R01-2006-000-10906-0 from the Basic Research Program of the Korea Science &
Engineering Foundation.

Appendix

The distribution function Gex (·) is identical to that of the excess at a random time X,
which is exponentially distributed with mean mb , in the renewal process having G(·)
as the distribution function of the inter-renewal time.
Let Y be a random variable which represents an inter-renewal time of the renewal
process. Then, we see by the memoryless property of the exponential distribution and
the independence of X and Y that for t ≥ 0,


1 − Gex (t) = Pr Y − X > t | X < Y
Pr(X < Y − t)
=
Pr(X < Y )
∞
(1 − e−(y−t)/mb ) dG(y)
= t ∞ −y/mb ) dG(y)
.
0 (1 − e
264 Queueing Syst (2010) 64: 253–265

Furthermore, the mean of Gex (·) is

 ∞


1 − Gex (t) dt
0
∞∞
(1 − e−(y−t)/mb ) dG(y) dt
= 0
t ∞
−y/mb ) dG(y)
0 (1 − e
∞y
(1 − e−(y−t)/mb ) dt dG(y)
= 0 0 ∞ −y/mb ) dG(y)
0 (1 − e
ma
= ∞ − mb .
0 (1 − e−y/mb ) dG(y)

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