Diffusion approximations for controlled stochastic networks: an asymptotic bound for the value function

DOI10.1214/105051606000000457MaRDI QIDQ997413zbMATH OpenOpenAlexFDO

Authors Amarjit Budhiraja, Arka P. Ghosh

Publication date 6 August 2007

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

Full work available at URL https://arxiv.org/abs/math/0702402

zbMATH Keywords

heavy trafficasymptotic optimalityBrownian control problemcontrol of queueing networksequivalent workload formulationunitary networks

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Queues and service in operations research (90B22) Deterministic scheduling theory in operations research (90B35) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Abstract: We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural nonanticipativity condition for admissibility of control policies is introduced. The condition is seen to hold for a broad class of problems. Using this formulation of admissible controls and a time-transformation technique, we establish that the infimum of the cost for the network control problem over all admissible sequencing control policies is asymptotically bounded below by the value function of an associated diffusion control problem (the Brownian control problem). This result provides a useful bound on the best achievable performance for any admissible control policy for a wide class of networks.

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Cited in

(19)

• Optimal control of a time-varying double-ended production queueing model
• Diffusion models for double-ended queues with renewal arrival processes
• Optimal buffer size for a stochastic processing network in heavy traffic
• Resource sharing networks and Brownian control problems
• Optimal buffer size and dynamic rate control for a queueing system with impatient customers in heavy traffic
• Controlled stochastic networks in heavy traffic: convergence of value functions
• Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
• Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
• Control Policies Approaching Hierarchical Greedy Ideal Performance in Heavy Traffic for Resource Sharing Networks
• An asymptotic optimality result for the multiclass queue with finite buffers in heavy traffic
• Existence of optimal controls for singular control problems with state constraints
• Optimal control of a stochastic processing system driven by a fractional Brownian motion input
• Asymptotic analysis of a multiclass queueing control problem under heavy traffic with model uncertainty
• Optimal dividend problem: asymptotic analysis
• On singular control problems, the time-stretching method, and the weak-M1 topology
• Parallel server systems under an extended heavy traffic condition: a lower bound
• Validity of heavy-traffic steady-state approximations in many-server queues with abandonment
• Construction of asymptotically optimal control for crisscross network from a free boundary problem
• Ergodic control of resource sharing networks: lower bound on asymptotic costs

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