Singular Control of (Reflected) Brownian Motion: A Computational Method Suitable for Queueing Applications
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2023
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| _version_ | 1866917642223222784 |
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| author | Ata, Baris Harrison, J. Michael Si, Nian |
| author_facet | Ata, Baris Harrison, J. Michael Si, Nian |
| contents | Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we apply a recently developed computational method that is feasible for dimensions up to d=30 or more. To show that nearly optimal solutions are obtainable using this method, we present computational results for a variety of examples, including queueing network examples that have appeared previously in the literature. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_11823 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Singular Control of (Reflected) Brownian Motion: A Computational Method Suitable for Queueing Applications Ata, Baris Harrison, J. Michael Si, Nian Systems and Control Optimization and Control Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we apply a recently developed computational method that is feasible for dimensions up to d=30 or more. To show that nearly optimal solutions are obtainable using this method, we present computational results for a variety of examples, including queueing network examples that have appeared previously in the literature. |
| title | Singular Control of (Reflected) Brownian Motion: A Computational Method Suitable for Queueing Applications |
| topic | Systems and Control Optimization and Control |
| url | https://arxiv.org/abs/2312.11823 |