Risk-sensitive control for the multiclass many-server queues in the moderate deviation regime

DOI10.1287/MOOR.2013.0632zbMATH Open1315.60097arXiv1208.1179OpenAlexW1984505451MaRDI QIDQ5244875FDOQ5244875

Anup Biswas

Publication date: 31 March 2015

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Abstract: A G/M/N queue is considered in the moderate deviation heavy traffic regime. The rate function for the customers-in-system process is obtained for the single class model. A risk-sensitive type control problem is considered for multi-class G/M/N model under the moderate deviation scaling and shown that the optimal control problem is related to a differential game problem.

Full work available at URL: https://arxiv.org/abs/1208.1179

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zbMATH Keywords

large deviationsdifferential gamesmoderate deviationsheavy trafficoptimal control problemrisk-sensitive controlmulticlass many-server queues

Mathematics Subject Classification ID

Large deviations (60F10) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Differential games and control (49N70) Optimal stochastic control (93E20)

Cites Work

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• Risk-Sensitive Control for the Parallel Server Model
• Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime
• Sample path large deviations for multiclass feedforward queueing networks in critical loading
• An extension of the contraction principle

Cited In (5)

• Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
• Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
• Risk-Sensitive Control for the Parallel Server Model
• An ergodic control problem for many-server multiclass queueing systems with cross-trained servers
• Asymptotic Analysis of a Multiclass Queueing Control Problem Under Heavy Traffic with Model Uncertainty

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