Author:
Ghosh Arka P.,Roitershtein Alexander,Weerasinghe Ananda
Abstract
We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an ON-OFF input process. We study stochastic control problems associated with the long-run average cost, the infinite-horizon discounted cost, and the finite-horizon cost. In addition, we find a solution to a constrained minimization problem as an application of our solution to the long-run average cost problem. We also establish Abelian limit relationships among the value functions of the above control problems.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Reference37 articles.
1. Stochastic-Process Limits
2. Large deviations and overflow probabilities for the general single-server queue, with applications
3. [9] Ghosh A. P. and Weerasinghe A. (2008). Optimal buffer size and dynamic rate control for a queueing network with impatient customers in heavy traffic. Submitted. Available at http://www.public.iastate.edu/∼apghosh/reneging_queue.pdf.
4. A large deviations approach to asymptotically optimal control of crisscross network in heavy traffic
Cited by
4 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献