Abstract
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.
Original language | English |
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Journal | Electronic Communications in Probability |
Volume | 19 |
DOIs | |
State | Published - 27 Feb 2014 |
Keywords
- Differential games
- Large deviations
- Multi-class M/M/1
- Risk-sensitive control
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty