Stochastic control of queueing systems

N. U. Prabhu

10 citations0/0 files storedNaval Research Logistics Quarterly

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Advanced Queuing Theory Analysis Stochastic processes and financial applications Optimization and Search Problems

Abstract

Abstract Suppose that the state of a queueing system is described by a Markov process { Yt, t ≥ 0}, and the profit from operating it up to a time t is given by the function f(Yt). We operate the system up to a time T, where the random variable T is a stopping time for the process Yt. Optimal stochastic control is achieved by choosing the stopping time T that maximizes Ef(YT) over a given class of stopping times. In this paper a theory of stochastic control is developed for a single server queue with Poisson arrivals and general service times.

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References

1968Optimal Stopping in a Markov Process 1967Queues and Inventories. A Study of Their Basic Stochastic Processes 1971Infinitesimal Look-Ahead Stopping Rules 1966Queues and Inventories, a Study of Their Basic Stochastic Processes

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1984Optimal dynamic service rate control in time dependent M/M/S/N queues

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