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On the risk-sensitive cost for a Markovian multiclass queue with priority


 
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1. Title Title of document On the risk-sensitive cost for a Markovian multiclass queue with priority
 
2. Creator Author's name, affiliation, country Rami Atar; Technion - Israel Institute of Technology; Israel
 
2. Creator Author's name, affiliation, country Anindya Goswami; IISER Pune; India
 
2. Creator Author's name, affiliation, country Adam Shwartz; Technion - Israel Institute of Technology; Israel
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Multi-class M/M/1, risk-sensitive control, large deviations, differential games
 
3. Subject Subject classification 60F10; 60K25; 49N70; 93E20
 
4. Description Abstract A multi-class M/M/1 system, with service rate $\mu_in$ for class-$i$ customers, is considered with the risk-sensitive cost criterion $n^{-1}\log E\exp\sum_ic_iX^n_i(T)$, where $c_i>0$, $T>0$ are constants, and $X^n_i(t)$ denotes the class-$i$ queue-length at time $t$, assuming the system starts empty. An asymptotic upper bound (as $n\to\infty$) on the performance under a fixed priority policy is attained, implying that the policy is asymptotically optimal when $c_i$ are sufficiently large. The analysis is based on the study of an underlying differential game.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) US-Israel BSF (Grant 2008466), ISF (Grant 1349/08)
 
7. Date (YYYY-MM-DD) 2014-02-27
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2905
 
10. Identifier Digital Object Identifier 10.1214/ECP.v19-2905
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 19
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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