Singular Control of (Reflected) Brownian Motion: A Computational Method Suitable for Queueing Applications
Systems and Control
2024-04-18 v3 Systems and Control
Optimization and Control
Abstract
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.
Cite
@article{arxiv.2312.11823,
title = {Singular Control of (Reflected) Brownian Motion: A Computational Method Suitable for Queueing Applications},
author = {Baris Ata and J. Michael Harrison and Nian Si},
journal= {arXiv preprint arXiv:2312.11823},
year = {2024}
}