Searcharxiv⌕ Search

arXiv subjects

Anup Biswas

Publications and source records attributed to Anup Biswas.

66 records · Page 4Linked to original sources
arXiv2016

On viscosity solution of HJB equations with state constraints and reflection control

Motivated by a control problem of a certain queueing network we consider a control problem where the dynamics is constrained in the nonnegative orthant $\mathbb{R}_+$ of the $d$-dimensional Euclidean space and controlled by the reflections at the faces/boundaries. We define a discounted value function associated to this problem and show that the value function is a viscosity solution to a certain HJB equation in $\mathbb{R}_+$ with nonlinear Neumann type boundary condition. Under certain conditions, we also characterize this value function as the unique solution to this HJB equation.

math.OC↗
arXiv2016

A Skorokhod Map on Measure-Valued Paths with Applications to Priority Queues

The Skorokhod map on the half-line has proved to be a useful tool for studying processes with non-negativity constraints. In this work we introduce a measure-valued analog of this map that transforms each element $ζ$ of a certain class of càdlàg paths that take values in the space of signed measures on the half-line to a càdlàg path that takes values in the space of non-negative measures on $[0,\infty)$ in such a way that for each $x > 0$, the path $t \mapsto ζ_t[0,x]$ is transformed via a Skorokhod map on the half-line, and the regulating functions for different $x > 0$ are coupled. We establish regularity properties of this map and show that the map provides a convenient tool for studying queueing systems in which tasks are prioritized according to a continuous parameter. Three such well known models are the earliest-deadline-first, the shortest-job-first and the shortest-remaining-processing-time scheduling policies. For these applications, we show how the map provides a unified framework within which to form fluid model equations, prove uniqueness of solutions to these equations and establish convergence of scaled state processes to the fluid model. In particular, for these models, we obtain new convergence results in time-inhomogeneous settings, which appear to fall outside the purview of existing approaches.

math.PR↗
arXiv2015

Mean Field Games with Ergodic cost for Discrete Time Markov Processes

We consider mean field games with ergodic cost in the framework of a general discrete time controlled Markov processes. The state space of the processes is given by a general $σ$-compact Polish space. Under certain conditions, we show the existence of a mean field game equilibrium. We also study the $N$-person game where the players interacts with each other via their empirical measure. We show that the $N$-person game has Nash equilibrium and as $N$ tends to infinity the equilibria converge to a mean field game solution.

math.PR↗
arXiv2015

On Solutions of Mean Field Games with Ergodic Cost

A general class of mean field games are considered where the governing dynamics are controlled diffusions in $\mathbb{R}^d$. The optimization criterion is the long time average of a running cost function. Under various sets of hypotheses, we establish the existence of mean field game solutions. We also study the long time behavior of mean field game solutions associated with the finite horizon problem, and under the assumption of geometric ergodicity for the dynamics, we show that these converge to the ergodic mean field game solution as the horizon tends to infinity. Lastly, we study the associated $N$-player games, show existence of Nash equilibria, and establish the convergence of the solutions associated to Nash equilibria of the game to a mean field game solution as $N\to\infty$.

math.OC↗
arXiv2015

Ergodic control of multi-class $M/M/N+M$ queues in the Halfin-Whitt regime

We study a dynamic scheduling problem for a multi-class queueing network with a large pool of statistically identical servers. The arrival processes are Poisson, and service times and patience times are assumed to be exponentially distributed and class dependent. The optimization criterion is the expected long time average (ergodic) of a general (nonlinear) running cost function of the queue lengths. We consider this control problem in the Halfin-Whitt (QED) regime, that is, the number of servers $n$ and the total offered load $\mathbf{r}$ scale like $n\approx\mathbf{r}+\hatρ\sqrt{\mathbf{r}}$ for some constant $\hatρ$. This problem was proposed in [Ann. Appl. Probab. 14 (2004) 1084-1134, Section 5.2]. The optimal solution of this control problem can be approximated by that of the corresponding ergodic diffusion control problem in the limit. We introduce a broad class of ergodic control problems for controlled diffusions, which includes a large class of queueing models in the diffusion approximation, and establish a complete characterization of optimality via the study of the associated HJB equation. We also prove the asymptotic convergence of the values for the multi-class queueing control problem to the value of the associated ergodic diffusion control problem. The proof relies on an approximation method by spatial truncation for the ergodic control of diffusion processes, where the Markov policies follow a fixed priority policy outside a fixed compact set.

math.PR↗
arXiv2015

On a Class of Stochastic Differential Equations With Jumps and Its Properties

We study stochastic differential equations with jumps with no diffusion part. We provide some basic stochastic characterizations of solutions of the corresponding non-local partial differential equations and prove the Harnack inequality for a class of these operators. We also establish key connections between the recurrence properties of these jump processes and the non-local partial differential operator. One of the key results is the regularity of solutions of the Dirichlet problem for a class of operators with locally weakly Hölder continuous kernels.

math.PR↗
arXiv2014

On Scaling Limits of Power Law Shot-noise Fields

This article studies the scaling limit of a class of shot-noise fields defined on an independently marked stationary Poisson point process and with a power law response function. Under appropriate conditions, it is shown that the shot-noise field can be scaled suitably to have a $α$-stable limit, intensity of the underlying point process goes to infinity. It is also shown that the finite dimensional distributions of the limiting random field have i.i.d. stable random components. We hence propose to call this limte the $α$- stable white noise field. Analogous results are also obtained for the extremal shot-noise field which converges to a Fréchet white noise field. Finally, these results are applied to the analysis of wireless networks.

math.PR↗
arXiv2014

Fluid limits of G/G/1+G queues under the non-preemptive earliest-deadline-first discipline

A single-server queuing model is considered with customers that have deadlines. If a customer's deadline elapses before service is offered, the customer abandons the system (customers do not abandon while being served). When the server becomes available, it offers service to the customer having earliest deadline among those that are in the queue. We obtain a fluid limit of the queue length and abandonment processes and for the occupation measure of deadlines, in the form of measure-valued processes. We characterize the limit by means of a Skorohod problem in a time-varying domain, which has an explicit solution. The fluid limits also describe a certain process called the frontier, that is well known to play a key role in systems operating under this scheduling policy.

math.PR↗
arXiv2014

Control of the multiclass $G/G/1$ queue in the moderate deviation regime

A multi-class single-server system with general service time distributions is studied in a moderate deviation heavy traffic regime. In the scaling limit, an optimal control problem associated with the model is shown to be governed by a differential game that can be explicitly solved. While the characterization of the limit by a differential game is akin to results at the large deviation scale, the analysis of the problem is closely related to the much studied area of control in heavy traffic at the diffusion scale.

math.OC↗
arXiv2013

Fluid limits of many-server queues with state dependent service rates

We study a many-server queuing system with general service time distribution and state dependent service rates. The dynamics of the system are modeled using measure valued processes which keep track of the residual service times. Under suitable conditions, we prove the existence of a unique fluid limit.

math.PR↗
arXiv2013

Risk-sensitive control for the multi-class many server queue in the moderate deviation regime

A G/M/N queue is considered in the moderate deviation heavy traffic regime. The rate function for the customers-in-system process is obtained for the single class model. A risk-sensitive type control problem is considered for multi-class G/M/N model under the moderate deviation scaling and shown that the optimal control problem is related to a differential game problem.

math.OC↗