On Diffusion Approximation of Controlled Queueing Processes

A queueing system can be controlled by switching service rate. When there is a cost to change service rate, the control problem turns out to be a sequential decision problem, i.e., to find a sequence of optimal stopping times to switch service rate. Under heavy traffic conditions, we show that the o...

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Bibliographic Details
Main Author: Liao,Yu-Chung
Format: Report
Language:English
Subjects:
APPROXIMATION(MATHEMATICS)
CONTROL SEQUENCES
CONTROL SYSTEMS
CONVERGENCE
COST EFFECTIVENESS
DIFFUSION
MESSAGE PROCESSING
Numerical Mathematics
OPTIMIZATION
PE61102F
QUEUEING THEORY
STOPPING
SWITCHING LOGIC
WUAFOSR2304A4
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Summary:A queueing system can be controlled by switching service rate. When there is a cost to change service rate, the control problem turns out to be a sequential decision problem, i.e., to find a sequence of optimal stopping times to switch service rate. Under heavy traffic conditions, we show that the optimal cost functions of controlled rescaled queueing processes converge to that of corresponding controlled diffusions for finite time and for infinite time with discount factor criterions.