Optimal control of Markov-modulated multiclass many-server queues

DOI10.1287/STSY.2019.0029zbMATH Open1446.60061arXiv1808.04049OpenAlexW3101699205MaRDI QIDQ5113896FDOQ5113896

Authors: Anirban Das, Guodong Pang, Yi Zheng, Ari Arapostathis 

Publication date: 18 June 2020

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

Abstract: We study multiclass many-server queues for which the arrival, service and abandonment rates are all modulated by a common finite-state Markov process. We assume that the system operates in the "averaged" Halfin-Whitt regime, which means that it is critically loaded in the average sense, although not necessarily in each state of the Markov process. We show that under any static priority policy, the Markov-modulated diffusion-scaled queueing process is geometrically ergodic. This is accomplished by employing a solution to an associated Poisson equation in order to construct a suitable Lyapunov function. We establish a functional central limit theorem for the diffusion-scaled queueing process and show that the limiting process is a controlled diffusion with piecewise linear drift and constant covariance matrix. We address the infinite-horizon discounted and long-run average (ergodic) optimal control problems and establish asymptotic optimality.

Full work available at URL: https://arxiv.org/abs/1808.04049

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zbMATH Keywords

optimal controlexponential ergodicityasymptotic optimalityMarkov-modulationdiscounted costergodic costmulticlass many-server queues``averaged Halfin-Whitt regime

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

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Cited In (14)

• Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis
• Optimal scheduling of critically loaded multiclass \(GI/m/n+m\) queues in an alternating renewal environment
• Weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain
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• Optimal intensity control of a multi-class queue
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• Risk-sensitive control for the multiclass many-server queues in the moderate deviation regime
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• Uniform polynomial rates of convergence for a class of Lévy-driven controlled SDEs arising in multiclass many-server queues
• On the Whittle index of Markov modulated restless bandits

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