Workload reduction of a generalized Brownian network

DOI10.1214/105051605000000458zbMATH Open1096.60036arXivmath/0602495OpenAlexW2129842569MaRDI QIDQ2496491FDOQ2496491

Authors: J. Michael Harrison, R. J. Williams 

Publication date: 10 July 2006

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

Abstract: We consider a dynamic control problem associated with a generalized Brownian network, the objective being to minimize expected discounted cost over an infinite planning horizon. In this Brownian control problem (BCP), both the system manager's control and the associated cumulative cost process may be locally of unbounded variation. Due to this aspect of the cost process, both the precise statement of the problem and its analysis involve delicate technical issues. We show that the BCP is equivalent, in a certain sense, to a reduced Brownian control problem (RBCP) of lower dimension. The RBCP is a singular stochastic control problem, in which both the controls and the cumulative cost process are locally of bounded variation.

Full work available at URL: https://arxiv.org/abs/math/0602495

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zbMATH Keywords

stochastic controlcontinuous selectionreflected Brownian motionsingular controlno-arbitragestate space collapseBrownian network model

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Stochastic network models in operations research (90B15) Stochastic scheduling theory in operations research (90B36)

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Cited In (7)

• Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
• Brownian models of open processing networks: Canonical representation of workload.
• An asymptotic optimality result for the multiclass queue with finite buffers in heavy traffic
• Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime
• Workload Interpretation for Brownian Models of Stochastic Processing Networks
• On singular control problems, the time-stretching method, and the weak-M1 topology
• HJB equations for certain singularly controlled diffusions

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