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June 2011 General notions of indexability for queueing control and asset management
Kevin D. Glazebrook, David J. Hodge, Chris Kirkbride
Ann. Appl. Probab. 21(3): 876-907 (June 2011). DOI: 10.1214/10-AAP705

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.

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Kevin D. Glazebrook. David J. Hodge. Chris Kirkbride. "General notions of indexability for queueing control and asset management." Ann. Appl. Probab. 21 (3) 876 - 907, June 2011. https://doi.org/10.1214/10-AAP705

Information

Published: June 2011
First available in Project Euclid: 2 June 2011

zbMATH: 1229.91173
MathSciNet: MR2830607
Digital Object Identifier: 10.1214/10-AAP705

Subjects:
Primary: 68M20
Secondary: 90B22 , 90B36

Keywords: asset management , dynamic programming , dynamic resource allocation , full indexability , index policy , Lagrangian relaxation , monotone policy , queueing control

Rights: Copyright © 2011 Institute of Mathematical Statistics

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Vol.21 • No. 3 • June 2011
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