Related papers: Infinite horizon asymptotic average optimality for…
A key operational challenge for call centers is to decide, in real time, which waiting customer should be served by which available agent. This is known as skill-based routing, and the decision becomes especially difficult in large systems…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
In this paper, we consider an $N$-queue overloaded polling network attended by a single cyclically roving server. Upon the completion of his service, a customer is either routed to another queue or leaves the system. All the switches are…
We consider an infinite server queue where the arrival and the service rates are both modulated by a stochastic environment governed by an $S$-valued stochastic process $X$ that is ergodic with a limiting measure $\pi\in \mathcal{P}(S)$.…
We study the asymptotic behavior of solutions to linear-quadratic mean field stochastic optimal control problems. By formulating an ergodic control framework, we characterize the convergence between the finite time horizon control problem…
We study a semi-asynchronous client-server perceptron trained via iterative parameter mixing (IPM-style averaging): clients run local perceptron updates and a server forms a global model by aggregating the updates that arrive in each…
A univariate Hawkes process is a simple point process that is self-exciting and has clustering effect. The intensity of this point process is given by the sum of a baseline intensity and another term that depends on the entire past history…
We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural…
The Join-the-Shortest-Queue (JSQ) load-balancing scheme is known to minimise the average delay of jobs in homogeneous systems consisting of identical servers. However, it performs poorly in heterogeneous systems where servers have different…
In this paper, we develop a stochastic algorithm based on the Euler--Maruyama scheme to approximate the invariant measure of the limiting multidimensional diffusion of $G/Ph/n+GI$ queues in the Halfin-Whitt regime. Specifically, we prove a…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
Motivated by call center practice, we propose a tractable model for $\mbox{GI}/\mbox{GI}/n+\mbox{GI}$ queues in the efficiency-driven (ED) regime. We use a one-dimensional diffusion process to approximate the virtual waiting time process…
Consider a system of identical server pools where tasks with exponentially distributed service times arrive as a time-inhomogenenous Poisson process. An admission threshold is used in an inner control loop to assign incoming tasks to server…
This paper considers a Markov decision model for profit maximization of a cloud computing service provider catering to customers submitting jobs with firm real-time random deadlines. Customers are charged on a per-job basis, receiving a…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
We use the continuation and bifurcation package pde2path to numerically analyze infinite time horizon optimal control problems for parabolic systems of PDEs. The basic idea is a two step approach to the canonical systems, derived from…
Consider a single server queue with renewal arrivals and i.i.d. service times in which the server operates under a processor sharing service discipline. To describe the evolution of this system, we use a measure valued process that keeps…
This paper studies the infinite-horizon sensor scheduling problem for linear Gaussian processes with linear measurement functions. Several important properties of the optimal infinite-horizon schedules are derived. In particular, it is…
This paper proposes a supervised training algorithm for learning stochastic resource allocation policies with generative diffusion models (GDMs). We formulate the allocation problem as the maximization of an ergodic utility function subject…