Heavy traffic analysis of controlled queueing and communicating networks
This volume is a treatise on the topic described by the title. It arose from a graduate course given by the author in the Applied Mathematics Department at Brown University. Chapter one presents simplified models and concrete examples. One deals first with the one-dimensional queue and the modelling is extended to a network of queues. Here the state is the queue size and one considers a sequence of processes parametrized by the differences between mean input and output rates. When these numbers are large one gets the heavy traffic approximation. On the other hand, if the queue is empty a reflection process has to model the behaviour. So the fundamental object one deals with is the reflected diffusion. The other sections examine situations in a control context such that the heavy traffic approximation leads to simplifications. Polling, statistical multiplexing and assignment constitute the examples from communications. Chapters two to four develop mathematical tools which are used afterwards. In chapter two one defines martingales and Wiener processes, one considers weak convergence to such processes. Chapter three provides several definitions and discussions on possibly controlled stochastic differential equations; singular and impulsive controls are also mentioned and a section is devoted to relaxed controls. Then the focus is on reflected Brownian motion and on generalizations. Chapter four is more technical and deals with convergence of the transition function of a Markov process to a stationary measure and methods from optimal control under an ergodic cost. A maximum principle is established. Chapters five to eight treat the heavy traffic analysis in various situations. Many convergence results are established. Chapter five examines first the simplified situation of a single server and then in chapter six and seven one extends the results to the network case. Chapter six develops also situations where there is blocking by a full buffer so that the reflection procedure is more complicated and there is a pendant to a section of the previous chapter about modelling the system with the workload when there are several types of jobs being processed; this is performed via scaling. Chapter seven deals with more intricate situations where the reflection procedure has to be modified. This happens for instance in scheduling and inventory management in manufacturing where inventory shortages affect the processor idle time. Failures of processors may happen or a single processor may handle the same job in a distributed way (so that a correlation analysis leads to a more precise description). Chapter eight handles the case of state dependence. The actions depend on the level of the queues. This leads to a technical complication in the sense that the limiting processes may not be Wiener processes anymore. Some previous configurations are reexamined in this context (workload formulations, multiplexer system). The remaining chapters are devoted to control aspects. For an optimal control problem, the goal is to show that the control obtained from the converging processes tend to the one obtained from the limiting process. In chapter nine, the discounted cost and ergodic cost problem are studied when the controls are bounded. The multiplexer problem provides an illustration. Chapter ten is a pendant to the previous one. Now one examines the case of singular controls. A first section describes a basic model allowing state dependence; section two studies what happens when one can control during vacations; section three examines controlled admission for the ISDN system; section four takes a closer look at rerouting under various constraints. Chapter eleven is on polling and its control. Here, the workload analysis is used. Chapter twelve addresses some fundamental aspects of optimal assignment and scheduling for multiclass problems. A new workload adapted to the problem at hand is used. Throughout the book the first come first serve law is treated. Issues of stability are not considered. There are 257 references, a symbol index and an index. This book will be a standard reference in heavy traffic analysis for controlled queues and networks.
- Routing and Singular Control for Queueing Networks in Heavy Traffic
- Heavy traffic analysis of controlled multiplexing systems
- Heavy Traffic Analysis of a Controlled Multiclass Queueing Network via Weak Convergence Methods
- Scheduling and Control of Queueing Networks
- Controlled stochastic networks in heavy traffic: convergence of value functions
- Heavy traffic analysis of maximum pressure policies for stochastic processing networks with multiple bottlenecks
- Numerical methods for controlled and uncontrolled multiplexing and queueing systems
- Diffusion approximations for controlled weakly interacting large finite state systems with simultaneous jumps
- A time-reversed representation for the tail probabilities of stationary reflected Brownian motion.
- Heavy traffic analysis of open processing networks with complete resource pooling: asymptotic optimality of discrete review policies
- Scheduling networks of queues: Heavy traffic analysis of a simple open network
- Controllable Markov jump processes. II: Monitoring and optimization of TCP connections
- Multi-channel queueing networks with input flow controlled by semi-Markov process
- Diffusion approximation for signaling stochastic networks
- Fluid limits of optimally controlled queueing networks
- Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit
- Reliability by design in distributed power transmission networks
- Dynamic safety-stocks for asymptotic optimality in stochastic networks
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
- Numerical methods for controls for nonlinear stochastic systems with delays and jumps: applications to admission control
- Analysis of reflected diffusions via an exponential time-based transformation
- Analysis of production decisions under budget limitations
- An overview for Markov decision processes in queues and networks
- Boundary behavior and product-form stationary distributions of jump diffusions in the orthant with state-dependent reflections
- Weak Convergence Limits for Sojourn Times in Cyclic Queues Under Heavy Traffic Conditions
- Diffusion Approximation of State-Dependent G-Networks Under Heavy Traffic
- Controlled stochastic networks in heavy traffic: convergence of value functions
- Heavy traffic approximation for the stationary distribution of stochastic fluid networks
- Weak convergence and fluid limits in optimal time-to-empty queueing control problems
- Controlled nonlinear stochastic delay equations: Part I: Modeling and approximations
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
- Response times in M/M/s fork-join networks
- Asymptotic analysis of single resource loss systems in heavy traffic, with applications to integrated networks
- Heavy Traffic Analysis of a Controlled Multiclass Queueing Network via Weak Convergence Methods
- The cyclic queue and the tandem queue
- Non-Markovian state-dependent networks in critical loading
- Switching diffusion approximations for optimal power management in parallel processing systems
- Optimal pricing barriers in a regulated market using reflected diffusion processes
- A Retrial Queuing Model with Unreliable Server in K Policy
- Optimal ergodic harvesting under ambiguity
- Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
- Scheduling Networks of Queues: Heavy Traffic Analysis of a Two-Station Network with Controllable Inputs
- Diffusion approximations for load balancing mechanisms in cloud storage systems
- Sticky Brownian Motion and Its Numerical Solution
- Reducing Response Time in Fork-Join Systems under Heavy Traffic Via Imbalance Control
- Exit time and invariant measure asymptotics for small noise constrained diffusions
- Multiscale diffusion approximations for stochastic networks in heavy traffic
- Drift rate control of a Brownian processing system
- Numerical approximations for nonlinear stochastic systems with delays
- Routing and Singular Control for Queueing Networks in Heavy Traffic
- Platform modelling and scheduling game with multiple intelligent cloud-computing pools for big data
- A fluid approach to large volume job shop scheduling
- The Skorohod oblique reflection problem in time-dependent domains
- Optimal buffer size and dynamic rate control for a queueing system with impatient customers in heavy traffic
- Large deviations for two-time-scale diffusions, with delays
- Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria
- On moment stability properties for a class of state-dependent stochastic networks
- A numerical method for ergodic optimal control of switching diffusions with reflection
- Near optimality of Lipschitz and smooth policies in controlled diffusions
- Rate control under heavy traffic with strategic servers
- Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
- Heavy-traffic analysis of the sojourn time in a three node Jackson network with overtaking
- Robust filtering algorithm for Markov jump processes with high-frequency counting observations
- Near optimal control of queueing networks over a finite time horizon
- Optimal buffer size for a stochastic processing network in heavy traffic
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