The achievable region approach to the optimal control of stochastic systems

被引：34

作者：

Dacre, M

Glazebrook, K ^{[1
]}

Niño-Mora, J

机构：

[1] Univ Newcastle Upon Tyne, Dept Stat, Newcastle Upon Tyne NE1 7RU, Tyne & Wear, England

[2] Univ Pompeu Fabra, Barcelona, Spain

来源：

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY | 1999年 / 61卷

关键词：

achievable region; Gittins index; linear programming; load balancing; multiclass queuing systems; performance space; stochastic optimization; threshold policy;

D O I：

10.1111/1467-9868.00202

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：747 / 776

页数：30