Controlled stochastic networks in heavy traffic: convergence of value functions

DOI10.1214/11-AAP784zbMATH Open1244.60091arXiv1205.0925MaRDI QIDQ417083FDOQ417083

Arka P. Ghosh, Amarjit Budhiraja

Publication date: 13 May 2012

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

Abstract: Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control problems, that have been proposed as approximate models for the study of these critically loaded controlled stochastic networks, can be regarded as formal scaling limits of such stochastic systems. However, to date, a rigorous limit theory that justifies the use of such approximations for a general family of controlled networks has been lacking. It is shown that, under broad conditions, the value function of the suitably scaled network control problem converges to that of the associated diffusion control problem. This scaling limit result, in addition to giving a precise mathematical basis for the above approximation approach, suggests a general strategy for constructing near optimal controls for the physical stochastic networks by solving the associated diffusion control problem.

Full work available at URL: https://arxiv.org/abs/1205.0925

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zbMATH Keywords

diffusion approximationstochastic controlscaling limitsasymptotic optimalitysingular control with state constraintsunitary network

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Stochastic network models in operations research (90B15) Stochastic scheduling theory in operations research (90B36)

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Cited In (11)

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