Optimality of the generalized cμ rule in the moderate deviation regime

Rami Atar; Subhamay Saha

doi:10.1007/s11134-017-9523-4

Optimality of the generalized cμ rule in the moderate deviation regime

Rami Atar, Subhamay Saha

Technion - Israel Institute of Technology

Research output: Contribution to journal › Article › peer-review

Abstract

This paper studies a multiclass queueing system with an associated risk-sensitive cost observed in heavy traffic at the moderate deviation scale, accounting for convex queue length penalties. The main result is the asymptotic optimality of a dynamic index policy known from the diffusion-scale heavy traffic literature as the generalized cμ rule.

Original language	English
Pages (from-to)	113-130
Number of pages	18
Journal	Queueing Systems
Volume	87
Issue number	1-2
DOIs	https://doi.org/10.1007/s11134-017-9523-4
State	Published - 1 Oct 2017

Keywords

Differential games
Heavy traffic
Moderate deviations
Risk-sensitive cost

All Science Journal Classification (ASJC) codes

Statistics and Probability
Computer Science Applications
Management Science and Operations Research
Computational Theory and Mathematics

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10.1007/s11134-017-9523-4

Cite this

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abstract = "This paper studies a multiclass queueing system with an associated risk-sensitive cost observed in heavy traffic at the moderate deviation scale, accounting for convex queue length penalties. The main result is the asymptotic optimality of a dynamic index policy known from the diffusion-scale heavy traffic literature as the generalized cμ rule.",

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AB - This paper studies a multiclass queueing system with an associated risk-sensitive cost observed in heavy traffic at the moderate deviation scale, accounting for convex queue length penalties. The main result is the asymptotic optimality of a dynamic index policy known from the diffusion-scale heavy traffic literature as the generalized cμ rule.

KW - Differential games

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KW - Moderate deviations

KW - Risk-sensitive cost

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JO - Queueing Systems

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Optimality of the generalized cμ rule in the moderate deviation regime

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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