The Annals of Applied Probability

General notions of indexability for queueing control and asset management

Kevin D. Glazebrook, David J. Hodge, and Chris Kirkbride

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Abstract

We develop appropriately generalized notions of indexability for problems of dynamic resource allocation where the resource concerned may be assigned more flexibility than is allowed, for example, in classical multi-armed bandits. Most especially we have in mind the allocation of a divisible resource (manpower, money, equipment) to a collection of objects (projects) requiring it in cases where its over-concentration would usually be far from optimal. The resulting project indices are functions of both a resource level and a state. They have a simple interpretation as a fair charge for increasing the resource available to the project from the specified resource level when in the specified state. We illustrate ideas by reference to two model classes which are of independent interest. In the first, a pool of servers is assigned dynamically to a collection of service teams, each of which mans a service station. We demonstrate indexability under a natural assumption that the service rate delivered is increasing and concave in the team size. The second model class is a generalization of the spinning plates model for the optimal deployment of a divisible investment resource to a collection of reward generating assets. Asset indexability is established under appropriately drawn laws of diminishing returns for resource deployment. For both model classes numerical studies provide evidence that the proposed greedy index heuristic performs strongly.

Article information

Source
Ann. Appl. Probab., Volume 21, Number 3 (2011), 876-907.

Dates
First available in Project Euclid: 2 June 2011

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1307020386

Digital Object Identifier
doi:10.1214/10-AAP705

Mathematical Reviews number (MathSciNet)
MR2830607

Zentralblatt MATH identifier
1229.91173

Subjects
Primary: 68M20: Performance evaluation; queueing; scheduling [See also 60K25, 90Bxx]
Secondary: 90B22: Queues and service [See also 60K25, 68M20] 90B36: Scheduling theory, stochastic [See also 68M20]

Keywords
Asset management dynamic programming dynamic resource allocation full indexability index policy Lagrangian relaxation monotone policy queueing control

Citation

Glazebrook, Kevin D.; Hodge, David J.; Kirkbride, Chris. General notions of indexability for queueing control and asset management. Ann. Appl. Probab. 21 (2011), no. 3, 876--907. doi:10.1214/10-AAP705. https://projecteuclid.org/euclid.aoap/1307020386


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