Asymptotically optimal control for a multiclass queueing model in the moderate deviation heavy traffic regime

Rami Atar, Asaf Cohen

Research output: Contribution to journalArticlepeer-review

Abstract

A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time horizon [0,T] is considered. The main result is the asymptotic optimality of a control policy derived via an underlying differential game. The result is the first to address a queueing control problem at the moderate deviation regime that goes beyond models having the so-called pathwise minimality property. Moreover, despite the well-known fact that an optimal control over a finite time interval is generically of a nonstationary feedback type, the proposed policy forms a stationary feedback, provided T is sufficiently large.

Original languageEnglish
Pages (from-to)2862-2906
Number of pages45
JournalAnnals of Applied Probability
Volume27
Issue number5
DOIs
StatePublished - Oct 2017

Keywords

  • Differential games
  • Heavy traffic
  • Moderate deviations
  • Risk-sensitive cost

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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