The Achievable Region Approach to the Optimal Control of Stochastic Systems
The achievable region approach seeks solutions to stochastic optimization problems by characterizing the space of all possible performances (the achievable region) of the system of interest and optimizing the overall system-wide performance objective over this space. This is radically different from...
| Veröffentlicht in: | Journal of the Royal Statistical Society. Series B (Statistical Methodology). - Blackwell Publishers. - 61(1999), 4, Seite 747-791 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1999
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| Zugriff auf das übergeordnete Werk: | Journal of the Royal Statistical Society. Series B (Statistical Methodology) |
| Schlagworte: | Achievable Region Gittins Index Linear Programming Load Balancing Multiclass Queuing Systems Performance Space Stochastic Optimization Threshold Policy Business Applied sciences mehr... |
| Zusammenfassung: | The achievable region approach seeks solutions to stochastic optimization problems by characterizing the space of all possible performances (the achievable region) of the system of interest and optimizing 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 queuing system. Powerful new methodologies due to the authors and co-workers are deployed to analyse a general multiclass queuing 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. |
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| ISSN: | 14679868 |