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We study a multiclass M/M/1 queueing control problem with finite buffers under heavy-traffic where the decision maker is uncertain about the rates of arrivals and service of the system and by scheduling and admission/rejection decisions…
We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback across many time scales. This results in a stationary…
Quantifying how distinguishable two stochastic processes are lies at the heart of many fields, such as machine learning and quantitative finance. While several measures have been proposed for this task, none have universal applicability and…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
The emerging connected-vehicle technology provides a new dimension in developing more intelligent traffic control algorithms for signalized intersections in networked transportation systems. An important challenge for the scheduling problem…
Throughput optimal scheduling policies in general require the solution of a complex and often NP-hard optimization problem. Related literature has shown that in the context of time-varying channels, randomized scheduling policies can be…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
An explicit rate switch scheme monitors the load at each link and gives feedback to the sources. We define the overload factor as the ratio of the input rate to the available capacity. In this paper, we present four overload based ABR…
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…
We analyze the effect of additive fractional noise with Hurst parameter $H > \frac{1}{2}$ on fast-slow systems. Our strategy is based on sample paths estimates, similar to the approach by Berglund and Gentz in the Brownian motion case. Yet,…
In this paper, we investigate the mean-square stabilization for discrete-time stochastic systems that endure both multiple input delays and multiplicative control-dependent noises. For such multi-delay stochastic systems, we for the first…
In this paper, we study averaging principle for a class of McKean-Vlasov stochastic differential equations (SDEs) that contain multiplicative fractional noise with Hurst parameter $H > $ 1/2 and highly oscillatory drift coefficient. Here…
We study the estimation of time-homogeneous drift functions in multivariate stochastic differential equations with known diffusion coefficient, from multiple trajectories observed at high frequency over a fixed time horizon. We formulate…
We consider the dynamics of a 1D system evolving according to a deterministic drift and randomly forced by two types of jumps processes, one representing an external, uncontrolled forcing and the other one a control that instantaneously…
Partitioned multiprocessor scheduling has been widely accepted in academia and industry to statically assign and partition real-time tasks onto identical multiprocessor systems. This paper studies fixed-priority partitioned multiprocessor…
In this thesis, we study the optimal tradeoff of average delay, average service cost, and average utility for single server queueing models, with and without admission control. The continuous time and discrete time queueing models that we…
The stochastic nature of time delays and sampling intervals in Networked Control Systems poses significant challenges for controller synthesis and analysis, often leading to conservative designs and degraded performance. This work presents…
We extend Stochastic Flow Models (SFMs), used for a large class of discrete event and hybrid systems, by including the delays which typically arise in flow movement. We apply this framework to the multi-intersection traffic light control…
This paper studies load balancing for many-server ($N$ servers) systems. Each server has a buffer of size $b-1,$ and can have at most one job in service and $b-1$ jobs in the buffer. The service time of a job follows the Coxian-2…
We prove optimal convergence results of a stochastic particle method for computing the classical solution of a multivariate McKean-Vlasov equation, when the measure variable is in the drift, following the classical approach of [BT97,…