On the risk - sensitive cost for a Markovian multiclass queue with priority ∗
نویسندگان
چکیده
A multi-class M/M/1 system, with service rate μin for class-i customers, is considered with the risk-sensitive cost criterion n−1 logE exp ∑ i ciX n i (T ), where ci > 0, T > 0 are constants, andX i (t) denotes the class-i queue-length at time t, assuming the system starts empty. An asymptotic upper bound (as n→ ∞) on the performance under a fixed priority policy is attained, implying that the policy is asymptotically optimal when ci are sufficiently large. The analysis is based on the study of an underlying differential game.
منابع مشابه
On the non-Markovian multiclass queue under risk-sensitive cost
This paper studies a control problem for the multiclass G/G/1 queue for a risk-sensitive cost of the form n logE exp ∑ i ciX n i (T ), where ci > 0 and T > 0 are constants, X n i denotes the class-i queue length process, and the number of arrivals and service completions per unit time are of order n. The main result is the asymptotic optimality, as n → ∞, of a priority policy, provided that ci ...
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