Risk-sensitive control for the multi-class many server queue in the moderate deviation regime

2012/08/06 by Anup Biswas, Biswas, Anup
Business, Management and Accounting · Decision Sciences · Mathematics · #49N70 #60F10 #60K25 #93E20 #Advanced Queuing Theory Analysis #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Probability and Risk Models #Simulation Techniques and Applications #math.OC #math.PR #msc:49N70 #msc:60F10 #msc:60K25 #msc:93E20

paper · pdf · doi:10.48550/arxiv.1208.1179

29 pages, some changes are done in presentation

openalex publication_date 2012/08/06 · arxiv created 2013/03/11 · arxiv updated 2013/03/12 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28

Abstract

A G/M/N queue is considered in the moderate deviation heavy traffic regime. The rate function for the customers-in-system process is obtained for the single class model. A risk-sensitive type control problem is considered for multi-class G/M/N model under the moderate deviation scaling and shown that the optimal control problem is related to a differential game problem.

Citations

• Scheduling a multi class queue with many exponential servers: asymptotic optimality in heavy traffic

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