Asymptotically optimal control for a multiclass queueing model in the moderate deviation heavy traffic regime

DOI10.1214/16-AAP1269MaRDI QIDQ1688019zbMATH OpenFDO

Authors Rami Atar, Asaf Cohen

Publication date 4 January 2018

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.04127, https://projecteuclid.org/euclid.aoap/1509696036

zbMATH Keywords

differential gamesheavy trafficmoderate deviationsrisk-sensitive cost

Mathematics Subject Classification ID

Differential games and control (49N70) Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25) Optimal stochastic control (93E20)

Abstract: A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time horizon $[0,T]$ is considered. The main result is the asymptotic optimality of a control policy derived via an underlying differential game. The result is the first to address a queueing control problem at the moderate deviation regime that goes beyond models having the so called pathwise minimality property. Moreover, despite the well known fact that an optimal control over a finite time interval is generically of a nonstationary feedback type, the proposed policy forms a stationary feedback, provided $T$ is sufficiently large.

Review text

This paper deals with a multi-class queueing model in the moderate deviation heavy traffic regime. Customers are kept in buffers of finite size, one buffer is devoted to each class. Scheduling and admission is devoted to each class. Scheduling and admission of customers are control variables. The main result is two-fold. Firstly, it is proved that the value function of the rich-sensitive cost criterion over a finite time horizon converges to the value of some differential game, when the scaling parameter tends to infinity. Secondly, an asymptotically optimal policy for the original model is constructed with the aid of the associated differential game.

Recommendations

• Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime
• A differential game for a multiclass queueing model in the moderate-deviation heavy-traffic regime
• Risk-sensitive control for the multiclass many-server queues in the moderate deviation regime
• An asymptotic optimality result for the multiclass queue with finite buffers in heavy traffic
• Asymptotic analysis of a multiclass queueing control problem under heavy traffic with model uncertainty

Cited in

(17)

• Optimality of the generalized \(c\mu \) rule in the moderate deviation regime
• Risk sensitive control of the lifetime ruin problem
• Optimal intensity control of a multi-class queue
• Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
• A large deviations approach to asymptotically optimal control of crisscross network in heavy traffic
• A differential game for a multiclass queueing model in the moderate-deviation heavy-traffic regime
• Asymptotically Optimal Queue Disciplines in Heavy Traffic
• Asymptotic analysis of a multiclass queueing control problem under heavy traffic with model uncertainty
• Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
• Risk-sensitive control for the multiclass many-server queues in the moderate deviation regime
• An asymptotic optimality result for the multiclass queue with finite buffers in heavy traffic
• scientific article; zbMATH DE number 2196403 (Why is no real title available?)
• A multiclass queue in heavy traffic with throughput time constraints: Asymptotically optimal dynamic controls
• On sample-path moderate deviation principles for random walks
• Ergodic risk sensitive control of Markovian multiclass many-server queues with abandonment
• Sample-path moderate deviation principle for GI/GI/1+GI queues in the nearly critically loaded regime
• Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime

This page was built for publication: Asymptotically optimal control for a multiclass queueing model in the moderate deviation heavy traffic regime

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1688019)