Ergodic control of diffusions with compound Poisson jumps and applications in many-server queues.
Speaker: Yi Zheng, Penn State
Abstract: We study the ergodic control problem for a class of controlled jump diffusions driven by a compound Poisson process. We provide a full characterizations of optimality via the Hamilton-Jacobi-Bellman equation, for which we additionally exhibit regularity of solutions under mild hypotheses. In addition, we show that optimal stationary Markov controls are a.s. pathwise optimal. Lastly, we study optimal control problems for multiclass GI/M/n queues in an alternating renewal (up-down) random environment in the Halfin-Whitt regime. We establish the asymptotic optimality of the infinite-horizon discounted and long-run average (ergodic) problems for the queueing dynamics. (This is joint work with Dr. Ari Arapostathis and Dr. Guodong Pang.)
Room Reservation Information
Room Number: 114 McAllister
Time: 2:30pm - 4:30pm