Control of Stochastic Processing Networks

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• R. J. Williams (Department of Mathematics, University of California, San Diego)
• Monday 11 July 2011, 14:30-15:30
• MR12, Centre for Mathematical Sciences, Wilberforce Road, Cambridge.

If you have a question about this talk, please contact Elena Yudovina.

Stochastic processing networks (SPNs) are a significant generalization of conventional queueing networks that allow for flexible scheduling through dynamic sequencing and alternate routing. SPNs arise naturally in a variety of applications in operations management and their control and analysis present challenging mathematical problems. One approach to these problems, via approximate diffusion control problems, has been outlined by J. M. Harrison. Various aspects of this approach have been developed mathematically, including a reduction in dimension of the diffusion control problem. However, other aspects have been less explored, especially, solution of the diffusion control problem, derivation of policies by interpretating such solutions, and limit theorems that establish optimality of such policies in a suitable asymptotic sense.

In this talk, for a concrete class of networks called parallel server systems which arise in service network and computer science applications, we explore previously undeveloped aspects of Harrison’s scheme and illustrate the use of the approach in obtaining simple control policies that are nearly optimal. Identification of a graphical structure for the network, an invariance principle and properties of local times of reflecting Brownian motion, will feature in our analysis. The talk will conclude with a summary of the current status and description of open problems associated with the further development of control of stochastic processing networks.

This talk will draw on aspects of joint work with M. Bramson, M. Reiman, W. Kang and V. Pesic.

This talk is part of the Optimization and Incentives Seminar series.

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