On the optimality of threshold control in queues with model uncertainty

DOI10.1007/s11134-010-9172-3zbMath1201.60086OpenAlexW2137105579MaRDI QIDQ975793

B. E. Eshmatov

Publication date: 11 June 2010

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-010-9172-3

zbMATH Keywords

relative entropyrobust optimizationthreshold controlintensity control

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)

Related Items (12)

Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty ⋮ Optimal Ergodic Harvesting under Ambiguity ⋮ Optimal Dividends Under Model Uncertainty ⋮ Asymptotic Analysis of a Multiclass Queueing Control Problem Under Heavy Traffic with Model Uncertainty ⋮ Optimization-Based Calibration of Simulation Input Models ⋮ A dynamic inventory rationing problem with uncertain demand and production rates ⋮ Architecture and robustness tradeoffs in speed-scaled queues with application to energy management ⋮ Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮ Quantifying Distributional Model Risk via Optimal Transport ⋮ Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees ⋮ Robust Control of Partially Observable Failing Systems ⋮ Robust Sensitivity Analysis for Stochastic Systems

Cites Work

• Calcul stochastique et problèmes de martingales
• Point processes and queues. Martingale dynamics
• Connections between stochastic control and dynamic games
• Robust control and model misspecification
• Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
• Optimal intensity control of a queueing system with state-dependent capacity limit
• Optimal control of admission to a quenching system
• A Stochastic Theory of the Firm
• Optimal control of random walks, birth and death processes, and queues
• Minimax optimal control of stochastic uncertain systems with relative entropy constraints
• Stochastic Games
• Probability

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