Open Access
November 2006 Diffusion approximations for controlled stochastic networks: An asymptotic bound for the value function
Amarjit Budhiraja, Arka Prasanna Ghosh
Ann. Appl. Probab. 16(4): 1962-2006 (November 2006). DOI: 10.1214/105051606000000457

Abstract

We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural nonanticipativity condition for admissibility of control policies is introduced. The condition is seen to hold for a broad class of problems. Using this formulation of admissible controls and a time-transformation technique, we establish that the infimum of the cost for the network control problem over all admissible sequencing control policies is asymptotically bounded below by the value function of an associated diffusion control problem (the Brownian control problem). This result provides a useful bound on the best achievable performance for any admissible control policy for a wide class of networks.

Citation

Download Citation

Amarjit Budhiraja. Arka Prasanna Ghosh. "Diffusion approximations for controlled stochastic networks: An asymptotic bound for the value function." Ann. Appl. Probab. 16 (4) 1962 - 2006, November 2006. https://doi.org/10.1214/105051606000000457

Information

Published: November 2006
First available in Project Euclid: 17 January 2007

zbMATH: 1125.60096
MathSciNet: MR2288710
Digital Object Identifier: 10.1214/105051606000000457

Subjects:
Primary: 60K25 , 68M20 , 90B22 , 90B35
Secondary: 60J70

Keywords: asymptotic optimality , Brownian control problem , Control of queuing networks , equivalent workload formulation , heavy traffic , unitary networks

Rights: Copyright © 2006 Institute of Mathematical Statistics

Vol.16 • No. 4 • November 2006
Back to Top