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Optimal control in light traffic Markov decision processes

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  • Ger Koole
  • Olaf Passchier

Abstract

We consider Markov Decision Processes under light traffic conditions. We develop an algorithm to obtain asymptotically optimal policies for both the total discounted and the average cost criterion. This gives a general framework for several light traffic results in the literature. We illustrate the method by deriving the asymptotically optimal control of a simple ATM network. Copyright Physica-Verlag 1997

Suggested Citation

  • Ger Koole & Olaf Passchier, 1997. "Optimal control in light traffic Markov decision processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 45(1), pages 63-79, February.
    • Handle: RePEc:spr:mathme:v:45:y:1997:i:1:p:63-79
    DOI: 10.1007/BF01194248
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    References listed on IDEAS

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    1. Michael N. Katehakis & Cyrus Derman, 1989. "On the Maintenance of Systems Composed of Highly Reliable Components," Management Science, INFORMS, vol. 35(5), pages 551-560, May.
    2. Blanc, J.P.C., 1993. "Performance Analysis and Optimization with the Power- Series Algorithm," Papers 9347, Tilburg - Center for Economic Research.
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    Cited by:

    1. Koole, Ger & Pot, Auke, 2006. "Workload minimization in re-entrant lines," European Journal of Operational Research, Elsevier, vol. 174(1), pages 216-233, October.

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