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2014 On the risk-sensitive cost for a Markovian multiclass queue with priority
Rami Atar, Anindya Goswami, Adam Shwartz
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Electron. Commun. Probab. 19: 1-13 (2014). DOI: 10.1214/ECP.v19-2905

Abstract

A multi-class M/M/1 system, with service rate $\mu_in$ for class-$i$ customers, is considered with the risk-sensitive cost criterion $n^{-1}\log E\exp\sum_ic_iX^n_i(T)$, where $c_i>0$, $T>0$ are constants, and $X^n_i(t)$ denotes the class-$i$ queue-length at time $t$, assuming the system starts empty. An asymptotic upper bound (as $n\to\infty$) on the performance under a fixed priority policy is attained, implying that the policy is asymptotically optimal when $c_i$ are sufficiently large. The analysis is based on the study of an underlying differential game.

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Rami Atar. Anindya Goswami. Adam Shwartz. "On the risk-sensitive cost for a Markovian multiclass queue with priority." Electron. Commun. Probab. 19 1 - 13, 2014. https://doi.org/10.1214/ECP.v19-2905

Information

Accepted: 27 February 2014; Published: 2014
First available in Project Euclid: 7 June 2016

zbMATH: 1315.60096
MathSciNet: MR3174829
Digital Object Identifier: 10.1214/ECP.v19-2905

Subjects:
Primary: 60F10
Secondary: 49N70, 60K25, 93E20

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