An Escape-Time Criterion for Queueing Networks: Asymptotic Risk-Sensitive Control via Differential Games

DOI10.1287/MOOR.28.4.801.20514zbMATH Open1082.60520arXivmath/0501031OpenAlexW2102950178WikidataQ59313616 ScholiaQ59313616MaRDI QIDQ5704151FDOQ5704151

Authors: Rami Atar, Paul Dupuis, Adam Shwartz 

Publication date: 11 November 2005

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

Abstract: We consider the problem of risk-sensitive control of a stochastic network. In controlling such a network, an escape time criterion can be useful if one wishes to regulate the occurrence of large buffers and buffer overflow. In this paper a risk-sensitive escape time criterion is formulated, which in comparison to the ordinary escape time criteria penalizes exits which occur on short time intervals more heavily. The properties of the risk-sensitive problem are studied in the large buffer limit, and related to the value of a deterministic differential game with constrained dynamics. We prove that the game has value, and that the value is the (viscosity) solution of a PDE. For a simple network, the value is computed, demonstrating the applicability of the approach.

Full work available at URL: https://arxiv.org/abs/math/0501031

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zbMATH Keywords

stochastic controlQueueing network

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Differential games and control (49N70) Differential games (aspects of game theory) (91A23)

Cited In (11)

• Risk-sensitive control for a class of diffusions with jumps
• Fluid limits of optimally controlled queueing networks
• Weak convergence and fluid limits in optimal time-to-empty queueing control problems
• Explicit solution for a network control problem in the large deviation regime
• Boundary-influenced robust controls: two network examples
• Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime
• Risk-Sensitive Control for the Multiclass Many-Server Queues in the Moderate Deviation Regime
• A \(d\)-person differential game with state space constraints
• A characterization of the reflected quasipotential
• A differential game for a multiclass queueing model in the moderate-deviation heavy-traffic regime
• Simple singularities for Hamilton-Jacobi equations with max-concave Hamiltonians and generalized characteristics

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