Optimality of the generalized cμ- rule in the moderate deviation regime

2015/12/02 by Rami Atar, Atar, Rami, Subhamay Saha +1
Mathematics · #49N70 #60F10 #60K25 #93E20 #FOS: Mathematics #Optimization and Control (math.OC) #math.OC #msc:49N70 #msc:60F10 #msc:60K25 #msc:93E20

paper · pdf · doi:10.48550/arxiv.1512.00620

16 pages

arxiv created 2017/04/08 · arxiv updated 2017/04/11

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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