On the risk-sensitive cost for a Markovian multiclass queue with priority

DOI10.1214/ECP.V19-2905zbMATH Open1315.60096WikidataQ59313593 ScholiaQ59313593MaRDI QIDQ743087FDOQ743087

Authors: Rami Atar, Anindya Goswami, Adam Shwartz 

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

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zbMATH Keywords

large deviationsdifferential gamesmulti-class queuerisk-sensitive control

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)

Cited In (4)

• Robust bounds and optimization at the large deviations scale for queueing models via Rényi divergence
• Optimality of the generalized \(c\mu \) rule in the moderate deviation regime
• Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
• On the non-Markovian multiclass queue under risk-sensitive cost

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