Asymptotic analysis of a multiclass queueing control problem under heavy traffic with model uncertainty

DOI10.1287/STSY.2019.0034zbMATH Open1447.60134arXiv1710.00968OpenAlexW2993532252WikidataQ126637227 ScholiaQ126637227MaRDI QIDQ5113914FDOQ5113914

Asaf Cohen

Publication date: 18 June 2020

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

Abstract: We study a multiclass M/M/1 queueing control problem with finite buffers under heavy-traffic where the decision maker is uncertain about the rates of arrivals and service of the system and by scheduling and admission/rejection decisions acts to minimize a discounted cost that accounts for the uncertainty. The main result is the asymptotic optimality of a $cmu$-type of policy derived via underlying stochastic differential games studied in [16]. Under this policy, with high probability, rejections are not performed when the workload lies below some cut-off that depends on the ambiguity level. When the workload exceeds this cut-off, rejections are carried out and only from the buffer with the cheapest rejection cost weighted with the mean service rate in some reference model. The allocation part of the policy is the same for all the ambiguity levels. This is the first work to address a heavy-traffic queueing control problem with model uncertainty.

Full work available at URL: https://arxiv.org/abs/1710.00968

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zbMATH Keywords

model uncertaintydiffusion approximationambiguity aversionheavy trafficstochastic differential gameBrownian control problemstate-dependent prioritiesmulticlass \(M/M/1\)

Mathematics Subject Classification ID

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

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• Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
• On Singular Control Problems, the Time-Stretching Method, and the Weak-M1 Topology
• Optimal Dividends Under Model Uncertainty
• Optimal Dividend Problem: Asymptotic Analysis
• A multiclass queue in heavy traffic with throughput time constraints: Asymptotically optimal dynamic controls
• Optimal Ergodic Harvesting under Ambiguity

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