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

DOI10.1287/MOOR.28.4.801.20514MaRDI QIDQ5704151zbMATH OpenOpenAlexWikidataFDO

Authors Rami Atar, Paul Dupuis, Adam Shwartz

Publication date 11 November 2005

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

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

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)

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.

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Cited in

(11)

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

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