Singular control of (reflected) Brownian motion: a computational method suitable for queueing applications

Baris Ata (), J. Michael Harrison () and Nian Si ()
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Baris Ata: University of Chicago
J. Michael Harrison: Stanford University
Nian Si: IEDA, Hong Kong University of Science and Technology

Queueing Systems: Theory and Applications, 2024, vol. 108, issue 3, No 1, 215-251

Abstract: Abstract Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we apply a recently developed computational method that is feasible for dimensions up to $$d=30$$ d = 30 or more. To show that nearly optimal solutions are obtainable using this method, we present computational results for a variety of examples, including queueing network examples that have appeared previously in the literature.

Date: 2024
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DOI: 10.1007/s11134-024-09910-5

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