Optimality of the generalized $$\varvec{c\mu }$$ c μ rule in the moderate deviation regime

Rami Atar () and Subhamay Saha ()
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Rami Atar: Technion – Israel Institute of Technology
Subhamay Saha: Indian Institute of Technology Guwahati

Queueing Systems: Theory and Applications, 2017, vol. 87, issue 1, No 6, 113-130

Abstract: Abstract This paper studies a multiclass queueing system with an associated risk-sensitive cost observed in heavy traffic at the moderate deviation scale, accounting for convex queue length penalties. The main result is the asymptotic optimality of a dynamic index policy known from the diffusion-scale heavy traffic literature as the generalized $$c\mu $$ c μ rule.

Keywords: Moderate deviations; Heavy traffic; Risk-sensitive cost; Differential games; 60F10; 60K25; 93E20; 49N70 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11134-017-9523-4

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