On diffusion approximation of controlled queueing processes

DOI10.1016/0167-6911(83)90028-2MaRDI QIDQ790785zbMATH OpenOpenAlexFDO

Authors Yu-Chung Liao

Publication date 1983

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(83)90028-2

zbMATH Keywords

diffusion approximationqueueing systemswitching service rates

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Optimal stopping in statistics (62L15) Queues and service in operations research (90B22) Optimal stochastic control (93E20)

Review text

The author considered a queueing system that can be controlled by switching service rates. When there is the switching cost besides the holding and operating cost, the control problem is to choose an optimal strategy \(\{\) s(k), u(k)\(\}\), \(k=1,2,...\), where s(k) is the k-th switching time and u(k) the service rate used at s(k). The author showed that, under heavy traffic, a sequence of rescaled queueing processes converges weakly to a diffusion. Moreover, the optimal cost functions to control rescaled queueing processes tend to those of corresponding diffusions.

Recommendations

• Diffusion approximation for \(GI/G/1\) controlled queues
• Limit theorems for pathwise average cost per unit time problems for controlled queues in heavy traffic
• Heavy Traffic Convergence of a Controlled, Multiclass Queueing System
• scientific article; zbMATH DE number 3918067
• Weak convergence and fluid limits in optimal time-to-empty queueing control problems

Cites work

• Controlled queues in heavy traffic
• scientific article; zbMATH DE number 3383344 (Why is no real title available?)
• Multiple channel queues in heavy traffic. I
• Probability methods for approximations in stochastic control and for elliptic equations

Cited in

(10)

• Diffusion approximation for \(GI/G/1\) controlled queues
• scientific article; zbMATH DE number 3850966 (Why is no real title available?)
• scientific article; zbMATH DE number 3864256 (Why is no real title available?)
• The Dynamics and the Uncertainty of Queues at Fixed and Actuated Controls: A Probabilistic Approach
• scientific article; zbMATH DE number 3918067 (Why is no real title available?)
• Heavy Traffic Convergence of a Controlled, Multiclass Queueing System
• Discrete time controllable processes with bounded drift and their application in queueing systems
• Limit theorems for pathwise average cost per unit time problems for controlled queues in heavy traffic
• Weak convergence and fluid limits in optimal time-to-empty queueing control problems
• Controlling the running maximum of a diffusion process and an application to queueing systems

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