The existence of sensitive optimal policies in two multi-dimensional queueing models

The existence of sensitive optimal policies in two multi-dimensional queueing models

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Article ID: iaor19911788
Country: Switzerland
Volume: 28
Start Page Number: 273
End Page Number: 296
Publication Date: Apr 1991
Journal: Annals of Operations Research
Authors:
Keywords: markov processes
Abstract:

Recently Dekker and Hordijk introduced conditions for the existence of deterministic Blackwell optimal policies in denumerable Markov decision chains with unbounded rewards. These conditions include μ-uniform geometric recurrence. The μ-uniform geometric recurrence property also implies the existence of average optimal policies, a solution to the average optimality equation with explicit formula’s and convergence of the value iteration algorithm for average rewards. For this reason, the verification of μ-uniform geometric convergence is also useful in cases where average and α-discounted rewards are considered. On the other hand, μ-uniform geometric recurrence is a heavy condition on the Markov decision chain structure for negative dynamic programming problems. The verification of μ-uniform geometric recurrence for the Markov chain induced by some deterministic policy together with results by Sennott yields the existence of a deterministic policy that minimizes the expected average cost for non-negative immediate cost functions. In this paper μ-uniform geometric recurrence will be proved for two queueing models: the K competing queues and the two centre open Jackson network with control of the service rates.

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