A Brownian control problem for a simple queueing system in the Halfin-Whitt regime

被引：6

作者：

Atar, R ^{[1
]}

Mandelbaum, A

Reiman, MI

机构：

[1] Technion Israel Inst Technol, IL-32000 Haifa, Israel

[2] Lucent Technol, Bell Labs, Murray Hill, NJ 07974 USA

来源：

SYSTEMS & CONTROL LETTERS | 2004年 / 51卷 / 3-4期

关键词：

queueing networks; Stochastic control; heavy traffic asymptotics;

D O I：

10.1016/j.sysconle.2003.09.002

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We consider a formal diffusion limit for a control problem of a multi-type multi-server queueing system, in the regime proposed by Halfin and Whitt. This takes the form of a control problem where the dynamics are driven by a Brownian motion. In one dimension, a pathwise minimum is obtained and is characterized as the solution to a stochastic differential equation. The pathwise solution to a special multi-dimensional problem (corresponding to a multi-type system) follows. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：269 / 275

页数：7

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