Exponential penalty function control of loss networks

• 成果类型: Article
• 署名作者: Iyengar, G; Sigman, K
• 署名单位: Columbia University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000936
• 发表日期: 2004
• 页码: 1698-1740
• 关键词: multiclass queuing-networks; achievable region approach; practical algorithms; stochastic knapsack; fluid relaxations; changeover times; optimization; policies; systems; complexity

摘要

We introduce penalty-function-based admission control policies to approximately maximize the expected reward rate in a loss network. These control policies are easy to implement and perform well both in the transient period as well as in steady state. A major advantage of the penalty approach is that it avoids solving the associated dynamic program. However, a disadvantage of this approach is that it requires the capacity requested by individual requests to be sufficiently small compared to total available capacity. We first solve a related deterministic linear program (LP) and then translate an optimal solution of the LP into an admission control policy for the loss network via an exponential penalty function. We show that the penalty policy is a target-tracking policy-it performs well because the optimal solution of the LP is a good target. We demonstrate that the penalty approach can be extended to track arbitrarily defined target sets. Results from preliminary simulation studies are included.