ASYMPTOTICALLY OPTIMAL CONTROL FOR A MULTICLASS QUEUEING MODEL IN THE MODERATE DEVIATION HEAVY TRAFFIC REGIME

作者：Atar Rami^*; Cohen Asaf

来源：Annals of Applied Probability, 2017, 27(5): 2862-2906.

DOI：10.1214/16-AAP1269

• Moderate deviations
• heavy traffic
• risk-sensitive cost
• differential games

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.

• 出版日期2017-10