The achievable region approach to the optimal control of stochastic systems

Marcus Dacre, Kevin Glazebrook and José Niño-Mora

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: The achievable region approach seeks solutions to stochastic optimisation problems by: (i) characterising the space of all possible performances (the achievable region) of the system of interest, and (ii) optimising the overall system-wide performance objective over this space. This is radically different from conventional formulations based on dynamic programming. The approach is explained with reference to a simple two-class queueing system. Powerful new methodologies due to the authors and co-workers are deployed to analyse a general multiclass queueing system with parallel servers and then to develop an approach to optimal load distribution across a network of interconnected stations. Finally, the approach is used for the first time to analyse a class of intensity control problems.

Keywords: Achievable region; Gittins index; linear programming; load balancing; multi-class queueing systems; performance space; stochastic optimisation threshold policy (search for similar items in EconPapers)
JEL-codes: C60 C61 (search for similar items in EconPapers)
Date: 1998-06
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:306

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