Drift rate control of a Brownian processing system
Ata, Bariş ; Harrison, J. M. ; Shepp, L. A.
Ann. Appl. Probab., Tome 15 (2005) no. 1A, p. 1145-1160 / Harvested from Project Euclid
A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate θ that is chosen from a fixed set A of available values. The controlled process evolves according to the differential relationship dZ=dX−θ(Z) dt+dL−dU, where X is a (0,σ) Brownian motion, and L and U are increasing processes that enforce a lower reflecting barrier at Z=0 and an upper reflecting barrier at Z=b, respectively. The cumulative cost process increases according to the differential relationship dξ=c(θ(Z)) dt+p dU, where c(⋅) is a nondecreasing cost of control and p>0 is a penalty rate associated with displacement at the upper boundary. The objective is to minimize long-run average cost. This problem is solved explicitly, which allows one to also solve the following, essentially equivalent formulation: minimize the long-run average cost of control subject to an upper bound constraint on the average rate at which U increases. The two special problem features that allow an explicit solution are the use of a long-run average cost criterion, as opposed to a discounted cost criterion, and the lack of state-related costs other than boundary displacement penalties. The application of this theory to power control in wireless communication is discussed.
Publié le : 2005-05-14
Classification:  Stochastic control,  dynamic scheduling,  queueing systems,  diffusion approximations,  heavy traffic theory,  60K25,  60J70,  90B22,  90B35
@article{1115137971,
     author = {Ata, Bari\c s and Harrison, J. M. and Shepp, L. A.},
     title = {Drift rate control of a Brownian processing system},
     journal = {Ann. Appl. Probab.},
     volume = {15},
     number = {1A},
     year = {2005},
     pages = { 1145-1160},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1115137971}
}
Ata, Bariş; Harrison, J. M.; Shepp, L. A. Drift rate control of a Brownian processing system. Ann. Appl. Probab., Tome 15 (2005) no. 1A, pp.  1145-1160. http://gdmltest.u-ga.fr/item/1115137971/