Drift rate control of a Brownian processing system

DOI10.1214/105051604000000855zbMATH Open1069.60074arXivmath/0505210OpenAlexW3102433272MaRDI QIDQ558667FDOQ558667

Barış Ata, Larry Shepp, J. Michael Harrison

Publication date: 13 July 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/math/0505210

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zbMATH Keywords

dynamic schedulingqueueing systemsdiffusion approximationsheavy traffic theoryStochastic control

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Queues and service in operations research (90B22) Deterministic scheduling theory in operations research (90B35) Queueing theory (aspects of probability theory) (60K25)

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Cited In (39)

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