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An extremal property of FIFO discipline in G/IFR/1 queues

In a recent paper by Shanthikumar and Sumita (1987), it is conjectured that the ergodic sojourn time of a customer in G/IFR/1 queues is minimized by FIFO (first in, first out) discipline in the sense of increasing and convex ordering. This paper shows that their conjecture is true. In fact, FIFO discipline minimizes for any non-decreasing and convex function f, where N is the (constant) number of arrivals, θ (k) is the customer identity of the kth departing customer, and an and τ n denote the arriving and departing times of the nth customer, respectively.