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

RAMI ATAR, Anindya Goswami, Adam Shwartz

نتاج البحث: نشر في مجلةمقالةمراجعة النظراء

ملخص

A multi-class M/M/1 system, with service rate μin for class-i customers, is considered with the risk-sensitive cost criterion n-1log E exp∑iciXni(T), where ci>0, T>0 are constants, and Xni(t) denotes the class-i queue-length at time t, assuming the system starts empty. An asymptotic upper bound (as n→∞) on the performance under a fixed priority policy is attained, implying that the policy is asymptotically optimal when ci are sufficiently large. The analysis is based on the study of an underlying differential game.

اللغة الأصليةالإنجليزيّة
دوريةElectronic Communications in Probability
مستوى الصوت19
المعرِّفات الرقمية للأشياء
حالة النشرنُشِر - 27 فبراير 2014

All Science Journal Classification (ASJC) codes

  • !!Statistics and Probability
  • !!Statistics, Probability and Uncertainty

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