10 papers
Exponential Ergodicity and Invariant Distribution of a Degenerate Reflected SDE with Stable Noise
Guodong Pang, Wei You
We study a two-dimensional degenerate stochastic differential equation with oblique reflection and spectrally positive strictly stable noise of index in , motivated by join-…
Data-Driven Brownian Reflection Control
Guodong Pang, Dacheng Yao, Hao Yin
We study a data-driven reflection control problem for a Brownian model with unknown drift and volatility. We first propose a learn-then-optimize (LTO) algorithm: it estimates the p…
Jacobi-like relative value iteration algorithms for ergodic risk-sensitive control of Markov chains
Sumith Reddy Anugu, Guodong Pang, Nicola Sassone
We propose a Jacobi-like relative value iteration (RVI) algorithm and a Gauss-Seidel-like implementation for the ergodic risk-sensitive control (ERSC) problem of a controlled discr…
Exponential rate of convergence of relative value iteration algorithms for ergodic controls of diffusions
Sumith Reddy Anugu, Guodong Pang
In this paper, we investigate the rate of convergence of the relative value iteration (RVI) algorithms for diffusions in under both the conventional ergodic cost (CE…
Ergodic Risk Sensitive Control of Diffusions under a General Structural Hypothesis
Sumith Reddy Anugu, Guodong Pang
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space in…
Sample Path Moderate Deviation Principle for Queues with Waiting-time Dependent Interarrival and Service Times
Chang Feng, John J. Hasenbein, Guodong Pang
We consider a single-server queue where interarrival and service times depend linearly and randomly on customer waiting times, and establish a sample-path moderate deviation princi…
Queueing models with random resetting
Dongzhou Huang, Guodong Pang, Izabella Stuhl +1
We introduce and study some queueing models with random resetting, including Markovian and non--Markovian models under the first-come first-served (FCFS) discipline. The Markovian…
Ergodic Risk Sensitive Control of Markovian Multiclass Many-Server Queues with Abandonment
Sumith Reddy Anugu, Guodong Pang
We study the optimal scheduling problem for a Markovian multiclass queueing network with abandonment in the Halfin--Whitt regime, under the long run average (ergodic) risk sensitiv…
Unbiased approximation of the ergodic measure for piecewise -stable Ornstein-Uhlenbeck processes arising in queueing networks
Xinghu Jin, Guodong Pang, Yu Wang +1
Piecewise -stable Ornstein-Uhlenbeck (OU) processes arising in queue networks usually do not have an explicit dissipation, which makes the related numerical methods such as Eule…
Stochastic dynamics of two-compartment cell proliferation models with regulatory mechanisms for hematopoiesis
Ren-Yi Wang, Marek Kimmel, Guodong Pang
We present an asymptotic analysis of a stochastic two-compartmental cell division system with regulatory mechanisms inspired by Getto et al. (2013). The hematopoietic system is mod…