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.
- 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