Risk-sensitive control for the multi-class many server queue in the moderate deviation regime

Abstract

A G/M/N queue is considered in the moderate deviation heavy traffic regime. The rate function for the customers-in-system process is obtained for the single class model. A risk-sensitive type control problem is considered for multi-class G/M/N model under the moderate deviation scaling and shown that the optimal control problem is related to a differential game problem.

29 pages, some changes are done in presentation

References in corpus (2)

• Scheduling a multi class queue with many exponential servers: asymptotic optimality in heavy traffic
• Sample path large deviations for multiclass feedforward queueing networks in critical loading