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 language | English |
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Pages (from-to) | 2862-2906 |
Number of pages | 45 |
Journal | Annals of Applied Probability |
Volume | 27 |
Issue number | 5 |
DOIs | |
State | Published - 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