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In particular, the paper considers dynamic scheduling decisions to minimise long-run average delays and abandonments costs such as i) linear, ii) convex and iii) convex-concave. A multi-class queuing system is modelled by approximating the Brownian Control Problem (BCP). This approach does not admit a pathwise solution due to abandonments. The solution was obtained by using the associated Bellman equation, which fields a dynamic index policy as the optimal control for approximating the BCP. Finally, a novel method for constructing a solution to the Bellman equation is proposed based on policies. To illustrate the effectiveness of the proposed policies, a simulation example is presented. In this analysis, the convex-concave delay cost cases are studied and are reviewed. A comparison with the generalised \\(c \\mu\\) policy is also made. 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