Paper #306
- Título:
- The achievable region approach to the optimal control of stochastic systems
- Autores:
- Marcus Dacre, Kevin Glazebrook y José Niño-Mora
- Data:
- Junio 1998
- Resumen:
- 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.
- Palabras clave:
- Achievable region, Gittins index, linear programming, load balancing, multi-class queueing systems, performance space, stochastic optimisation threshold policy
- Códigos JEL:
- C60, C61
- Área de investigación:
- Estadística, Econometría y Métodos Cuantitativos
- Publicado en:
- Journal of The Royal Statistical Society B, 61, (1999), pp. 747-791
Descargar el paper en formato PDF