Asymptotic optimality of the generalized c rule under model uncertainty
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Publication:2029786
DOI10.1016/J.SPA.2021.03.004zbMATH Open1469.60284arXiv2004.01232OpenAlexW3138541498MaRDI QIDQ2029786FDOQ2029786
Authors: Asaf Cohen, Subhamay Saha 
Publication date: 4 June 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We consider a critically-loaded multiclass queueing control problem with model uncertainty. The model consists of types of customers and a single server. At any time instant, a decision-maker (DM) allocates the server's effort to the customers. The DM's goal is to minimize a convex holding cost that accounts for the ambiguity with respect to the model, i.e., the arrival and service rates. For this, we consider an adversary player whose role is to choose the worst-case scenario. Specifically, we assume that the DM has a reference probability model in mind and that the cost function is formulated by the supremum over equivalent admissible probability measures to the reference measure with two components, the first is the expected holding cost, and the second one is a penalty for the adversary player for deviating from the reference model. The penalty term is formulated by a general divergence measure. We show that although that under the equivalent admissible measures the critically-load condition might be violated, the generalized rule is asymptotically optimal for this problem.
Full work available at URL: https://arxiv.org/abs/2004.01232
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Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Optimal stochastic control (93E20)
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