Control of the multiclass G/G/1 queue in the moderate deviation regime

DOI10.1214/13-AAP971zbMATH Open1306.60131arXiv1205.0351OpenAlexW1969311309MaRDI QIDQ744384FDOQ744384

Authors: Rami Atar, Anup Biswas 

Publication date: 25 September 2014

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

Abstract: A multi-class single-server system with general service time distributions is studied in a moderate deviation heavy traffic regime. In the scaling limit, an optimal control problem associated with the model is shown to be governed by a differential game that can be explicitly solved. While the characterization of the limit by a differential game is akin to results at the large deviation scale, the analysis of the problem is closely related to the much studied area of control in heavy traffic at the diffusion scale.

Full work available at URL: https://arxiv.org/abs/1205.0351

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zbMATH Keywords

large deviationsdifferential gamesmoderate deviationsrisk-sensitive controlmulti-class single-server queue

Mathematics Subject Classification ID

Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25) Differential games and control (49N70) Optimal stochastic control (93E20)

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Cited In (10)

• Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
• Risk sensitive control of the lifetime ruin problem
• Optimality of the generalized \(c\mu \) rule in the moderate deviation regime
• Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
• Multithreshold control of the \(BMAP/G/1\) queuing system with map flow of Markovian disasters
• Ergodic control of multi-class \(\mathrm{M}/\mathrm{M}/N+\mathrm{M}\) queues in the Halfin-Whitt regime
• Risk-Sensitive Control for the Multiclass Many-Server Queues in the Moderate Deviation Regime
• A differential game for a multiclass queueing model in the moderate-deviation heavy-traffic regime
• An ergodic control problem for many-server multiclass queueing systems with cross-trained servers
• Asymptotic Analysis of a Multiclass Queueing Control Problem Under Heavy Traffic with Model Uncertainty

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