Drift rate control of a Brownian processing system
From MaRDI portal
(Redirected from Publication:558667)
Abstract: A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate heta that is chosen from a fixed set A of available values. The controlled process evolves according to the differential relationship dZ=dX- heta(Z) dt+dL-dU, where X is a (0,sigma) Brownian motion, and L and U are increasing processes that enforce a lower reflecting barrier at Z=0 and an upper reflecting barrier at Z=b, respectively. The cumulative cost process increases according to the differential relationship dxi =c( heta(Z)) dt+p dU, where c(cdot) is a nondecreasing cost of control and p>0 is a penalty rate associated with displacement at the upper boundary. The objective is to minimize long-run average cost. This problem is solved explicitly, which allows one to also solve the following, essentially equivalent formulation: minimize the long-run average cost of control subject to an upper bound constraint on the average rate at which U increases. The two special problem features that allow an explicit solution are the use of a long-run average cost criterion, as opposed to a discounted cost criterion, and the lack of state-related costs other than boundary displacement penalties. The application of this theory to power control in wireless communication is discussed.
Recommendations
Cites work
- scientific article; zbMATH DE number 1631027 (Why is no real title available?)
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 53999 (Why is no real title available?)
- scientific article; zbMATH DE number 3460142 (Why is no real title available?)
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- scientific article; zbMATH DE number 1348599 (Why is no real title available?)
- A multiclass queue in heavy traffic with throughput time constraints: Asymptotically optimal dynamic controls
- Communication over fading channels with delay constraints
- Dynamic Control of a Queue with Adjustable Service Rate
- Optimal stationary linear control of the Wiener process
- Some solvable stochastic control problemst†
Cited in
(39)- Dynamic power control in a fading downlink channel subject to an energy constraint
- Controlling spurious drift
- Optimal buffer size for a stochastic processing network in heavy traffic
- The economic average cost Brownian control problem
- International reserves and monetary policy
- First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries
- Dynamic volunteer staffing in multicrop gleaning operations
- Optimal buffer size and dynamic rate control for a queueing system with impatient customers in heavy traffic
- Demand for cash with intra-period endogenous consumption
- An approximating diffusion control problem for dynamic admission and service rate control in a $G/ M / N + G$ queue
- A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
- Solving the drift control problem
- Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
- Average cost Brownian drift control with proportional changeover costs
- Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes
- On scheduling a multiclass queue with abandonments under general delay costs
- Optimal control of a stochastic processing system driven by a fractional Brownian motion input
- Optimal drift rate control and impulse control for a stochastic inventory/production system
- Drift control of international reserves
- Rate control under heavy traffic with strategic servers
- Multiclass state‐dependent service systems with returns
- Stationary distribution of reflected O-U process with two-sided barriers
- The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
- First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps
- On pricing barrier control in a regime-switching regulated market
- International reserve management: a drift-switching reflected jump-diffusion model
- Maximum likelihood estimation for the reflected stochastic linear system with a large signal
- A control of a brownian storage system with two switcnover drifts
- Some integral functionals of reflected SDEs and their applications in finance
- Controlled reflected SDEs and Neumann problem for backward SPDEs
- Admission control for a multi-server queue with abandonment
- Singular control of the drift of a Brownian system
- Optimal processing rate and buffer size of a jump-diffusion processing system
- Parameter estimation for generalized diffusion processes with reflected boundary
- Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
- A note on stability in distribution of Markov-modulated stochastic differential equations with reflection
- A diffusion model of dynamic participant inflow management
- Convergence of a queueing system in heavy traffic with general patience-time distributions
This page was built for publication: Drift rate control of a Brownian processing system
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q558667)
