The achievable region approach to the optimal control of stochastic systems

Dacre, Marcus; Glazebrook, Kevin; Niño-Mora, José

The achievable region approach to the optimal control of stochastic systems

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Citation

Journal of The Royal Statistical Society B, 61, (1999), pp. 747-791

Abstract

The achievable region approach seeks solutions to stochastic optimisation problems by: (i) characterising the space of all possible performances (the achievable region) of the system of interest, and (ii) optimising the overall system-wide performance objective over this space. This is radically different from conventional formulations based on dynamic programming. The approach is explained with reference to a simple two-class queueing system. Powerful new methodologies due to the authors and co-workers are deployed to analyse a general multiclass queueing system with parallel servers and then to develop an approach to optimal load distribution across a network of interconnected stations. Finally, the approach is used for the first time to analyse a class of intensity control problems.