A numerical method for reflected diffusions: Control of the reflection directions and applications

DOI10.1007/BF01187962MaRDI QIDQ1909385zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner

Publication date 15 August 1996

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01187962

zbMATH Keywords

boundary controlcontrolled networkheavy-trafficMarkov chain approximationnumerical methodoptimal controlreflected diffusionreflection directionsweak convergence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Queues and service in operations research (90B22) Optimal stochastic control (93E20)

Review text

This paper deals with a numerical method for the optimal control of the reflection directions of a reflected diffusion process, and with either a discounted or an ergodic cost criterion. The author introduced the Markov chain approximation method and proved its convergence. The optimality theorems are shown. The controlled network with heavy-traffic condition is treated as an important application.

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• A Numerical Method for Controlled Routing in Large Trunk Line Networks via Stochastic Control Theory
• Control of Trunk Line Systems in Heavy Traffic
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• scientific article; zbMATH DE number 53999 (Why is no real title available?)
• Numerical Methods for Stochastic Control Problems in Continuous Time
• Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model
• Routing and Capacity Allocation in Networks with Trunk Reservation
• Separable routing: A scheme for state-dependent routing of circuit switched telephone traffic
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• An effective numerical method for controlled routing in large trunk line networks
• Directional derivatives of oblique reflection maps
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