Department of Economics and Business - Universitat Pompeu Fabra

Title:: The achievable region approach to the optimal control of stochastic systems
Authors:: Marcus Dacre, Kevin Glazebrook and José Niño-Mora
Date:: June 1998
Abstract:: The achievable region approach seeks solutions to stochastic optimisation problems by: (i) characterising the space of all possible performances (the achievable region) of the system of interest, and (ii) optimising 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 multiclass queueing 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.
Keywords:: Achievable region, Gittins index, linear programming, load balancing, multi-class queueing systems, performance space, stochastic optimisation threshold policy
JEL codes:: C60, C61
Area of Research:: Statistics, Econometrics and Quantitative Methods
Published in:: Journal of The Royal Statistical Society B, 61, (1999), pp. 747-791

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