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An escape time criterion for queueing networks Asymptotic risk-sensitive control via differ.pdf

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An escape time criterion for queueing networks Asymptotic risk-sensitive control via differ

a r X i v : m a t h / 0 5 0 1 0 3 1 v 1 [ m a t h .P R ] 3 J a n 2 0 0 5 An escape time criterion for queueing networks: Asymptotic risk-sensitive control via differential games? Rami Atar?, Paul Dupuis? and Adam Shwartz§ February 2, 2003 Abstract We consider the problem of risk-sensitive control of a stochastic network. In controlling such a network, an escape time criterion can be useful if one wishes to regulate the occurrence of large buffers and buffer overflow. In this paper a risk-sensitive escape time criterion is formulated, which in comparison to the ordinary escape time criteria penalizes exits which occur on short time intervals more heavily. The properties of the risk-sensitive problem are studied in the large buffer limit, and related to the value of a deterministic differential game with constrained dynamics. We prove that the game has value, and that the value is the (viscosity) solution of a PDE. For a simple network, the value is computed, demonstrating the applicability of the approach. 1 Introduction In this paper we consider a problem of risk-sensitive control (or rare event control) for queueing networks. The network includes servers that can offer service to two or more classes of customers, and a choice must be made regarding which classes to offer service at each time. We study a stochastic control problem in which this choice is regarded as the control, and where the cost is a risk-sensitive version of the time to escape a bounded set. Hence, fixing c 0, and denoting by σ the time when the queue-lengths process first exits a given domain, we consider Exe ?cσ as a criterion to be minimized. Such a criterion penalizes short exit times more heavily than ordinary escape time criteria (such as Exσ, a criterion to be maximized). There are at least two motivations for the ?This research was supported in part by the United States—Israel Binational Science Foundation (BSF 1999179) ?Electrical Engineering, Technion—Israel Institute of Techno