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Dynamic control of stochastic and fluid resource-sharing systems

Larranaga, Maialen. Dynamic control of stochastic and fluid resource-sharing systems. PhD, Systèmes informatiques, Institut National Polytechnique de Toulouse, 2015

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In this thesis we study the dynamic control of resource-sharing systems that arise in various domains: e.g. inventory management, healthcare and communication networks. We aim at efficiently allocating the available resources among competing projects according to a certain performance criteria. These type of problems have a stochastic nature and may be very complex to solve. We therefore focus on developing well-performing heuristics. In Part I, we consider the framework of Restless Bandit Problems, which is a general class of dynamic stochastic optimization problems. Relaxing the sample-path constraint in the optimization problem enables to define an index-based heuristic for the original constrained model, the so-called Whittle index policy. We derive a closed-form expression for the Whittle index as a function of the steady-state probabilities for the case in which bandits (projects) evolve in a birth-and-death fashion. This expression requires several technical conditions to be verified, and in addition, it can only be computed explicitly in specific cases. In the particular case of a multi-class abandonment queue, we further prove that the Whittle index policy is asymptotically optimal in the light-traffic and heavy-traffic regimes. In Part II, we derive heuristics by approximating the stochastic resource-sharing systems with deterministic fluid models. We first formulate a fluid version of the relaxed optimization problem introduced in Part I, and we develop a fluid index policy. The fluid index can always be computed explicitly and hence overcomes the technical issues that arise when calculating the Whittle index. We apply the Whittle index and the fluid index policies to several systems: e.g. power-aware server-farms, opportunistic scheduling in wireless systems, and make-to-stock problems with perishable items. We show numerically that both index policies are nearly optimal. Secondly, we study the optimal scheduling control for the fluid version of a multi-class abandonment queue. We derive the fluid optimal control when there are two classes of customers competing for a single resource. Based on the insights provided by this result we build a heuristic for the general multi-class setting. This heuristic shows near-optimal performance when applied to the original stochastic model for high workloads. In Part III, we further investigate the abandonment phenomena in the context of a content delivery problem. We characterize an optimal grouping policy so that requests, which are impatient, are efficiently transmitted in a multi-cast mode.

Item Type:PhD Thesis
Uncontrolled Keywords:
Institution:Université de Toulouse > Institut National Polytechnique de Toulouse - Toulouse INP (FRANCE)
Laboratory name:
Research Director:
Ayesta, Urtzi and Albizuri Irigoyen, Francisco Xabier
Deposited On:30 Nov 2015 09:28

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