Abstract
AbstractMotivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we apply a recently developed computational method that is feasible for dimensions up to $$d=30$$
d
=
30
or more. To show that nearly optimal solutions are obtainable using this method, we present computational results for a variety of examples, including queueing network examples that have appeared previously in the literature.
Funder
Hong Kong University of Science and Technology
Publisher
Springer Science and Business Media LLC
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