Asynchronous optimization over weakly coupled renewal systems

DOI10.1287/STSY.2018.0013zbMATH Open1446.60060arXiv1608.00195OpenAlexW2963272686WikidataQ129201768 ScholiaQ129201768MaRDI QIDQ5113883FDOQ5113883

Authors: Xiaohan Wei, Michael J. Neely 

Publication date: 18 June 2020

Published in: Stochastic Systems (Search for Journal in Brave)

Abstract: This paper considers optimization over multiple renewal systems coupled by time average constraints. These systems act asynchronously over variable length frames. For each system, at the beginning of each renewal frame, it chooses an action which affects the duration of its own frame, the penalty, and the resource expenditure throughout the frame. The goal is to minimize the overall time average penalty subject to several overall time average resource constraints which couple these systems. This problem has applications to task processing networks, coupled Markov decision processes(MDPs) and so on. We propose a distributed algorithm so that each system can make its own decision after observing a global multiplier which is updated slot-wise. We show that this algorithm satisfies the desired constraints and achieves $mathcalO(varepsilon)$ near optimality with $mathcalO(1/varepsilo{n}^2)$ convergence time.

Full work available at URL: https://arxiv.org/abs/1608.00195

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zbMATH Keywords

renewal processesstochastic programmingfractional programmingMarkov decision processes

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Markov and semi-Markov decision processes (90C40)

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Cited In (2)

• Moments for Hawkes processes with gamma decay kernel functions
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Uses Software

• ARock

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