Scheduling an overloaded multiclass many-server queue with impatient customers
AL Puha, AR Ward - … research & management science in the …, 2019 - pubsonline.informs.org
We describe a fluid model with time-varying input that approximates a multiclass many-
server queue with impatient customers and time-varying arrivals (specifically, the multiclass …
server queue with impatient customers and time-varying arrivals (specifically, the multiclass …
Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
A Cohen - Mathematics of Operations Research, 2019 - pubsonline.informs.org
We consider a multidimentional Brownian control problem (BCP) with model uncertainty that
formally emerges from a multiclass M/M/1 queueing control problem under heavy traffic with …
formally emerges from a multiclass M/M/1 queueing control problem under heavy traffic with …
Asymptotic analysis of a multiclass queueing control problem under heavy traffic with model uncertainty
A Cohen - Stochastic Systems, 2019 - pubsonline.informs.org
We study a multiclass M/M/1 queueing control problem with finite buffers under heavy traffic
in which the decision maker is uncertain about the rates of arrivals and service of the system …
in which the decision maker is uncertain about the rates of arrivals and service of the system …
Asymptotic optimality of the generalized cμ rule under model uncertainty
A Cohen, S Saha - Stochastic Processes and their Applications, 2021 - Elsevier
We consider a critically-loaded multiclass queueing control problem with model uncertainty.
The model consists of I types of customers and a single server. At any time instant, a …
The model consists of I types of customers and a single server. At any time instant, a …
A differential game for a multiclass queueing model in the moderate-deviation heavy-traffic regime
We study a differential game that governs the moderate-deviation heavy-traffic asymptotics
of a multiclass single-server queueing control problem with a risk-sensitive cost. We …
of a multiclass single-server queueing control problem with a risk-sensitive cost. We …
Optimality of the generalized c μ rule in the moderate deviation regime
This paper studies a multiclass queueing system with an associated risk-sensitive cost
observed in heavy traffic at the moderate deviation scale, accounting for convex queue …
observed in heavy traffic at the moderate deviation scale, accounting for convex queue …
Risk sensitive control of the lifetime ruin problem
E Bayraktar, A Cohen - Applied Mathematics & Optimization, 2018 - Springer
We study a risk sensitive control version of the lifetime ruin probability problem. We consider
a sequence of investments problems in Black–Scholes market that includes a risky asset …
a sequence of investments problems in Black–Scholes market that includes a risky asset …