The Achievable Region Approach to the Optimal Control of Stochastic Systems

Marcus Dacre · K. D. Glazebrook · José Niño‐Mora

62 citations0/0 files storedJournal of the Royal Statistical Society Series B (Statistical Methodology)

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Advanced Queuing Theory Analysis Simulation Techniques and Applications Optimization and Search Problems

Abstract

Summary The achievable region approach seeks solutions to stochastic optimization problems by characterizing the space of all possible performances (the achievable region) of the system of interest and optimizing the overall system-wide performance objective over this space. This is radically different from conventional formulations based on dynamic programming. The approach is explained with reference to a simple two-class queueing system. Powerful new methodologies due to the authors and co-workers are deployed to analyse a general multi-class queuing system with parallel servers and then to develop an approach to optimal load distribution across a network of interconnected stations. Finally, the approach is used for the first time to analyse a class of intensity control problems.

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References

1988Restless bandits: activity allocation in a changing world 1990An Introduction to Queueing Networks 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios 1980Multi-Armed Bandits and the Gittins Index 1990On an index policy for restless bandits 2010Analysis and Synthesis of Computer Systems 1985Optimal static load balancing in distributed computer systems 1989Scheduling networks of queues: Heavy traffic analysis of a simple open network

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