Diffusion-Based Policies for Dynamic Control of Stochastic Processing Networks

Abstract

We consider a processing network model with $m$ job classes or buffers, exogenous input flows into some classes, $n$ processing activities, and $p$ servers. Each activity is either a specified server processing jobs of a specified class, or a fictional input server delivering jobs of a specified class; jobs change class in Markovian fashion after completing service. A standard multiclass queueing network, with its one-to-one correspondence between job classes and activities, is a special case, but our general model allows two or more ways to process a given class, and some or all input flows may be turned away at the system manager's discretion. Costs are linear: a holding cost per time unit for each class $i$ job in the system, and a rejection penalty for each class $i$ arrival denied access $(i=1,\ldots,m)$. The system manager makes input control, job routing, and order-of-service decisions to minimize expected discounted costs over an infinite horizon. We formulate an approximating Brownian control problem (BCP) whose state space is the $m$-dimensional nonnegative orthant; control is a drift vector chosen from a bounded polyhedral set, based on dynamic state observations. Using recently developed computational methods, the BCP can be solved numerically in dimensions up to at least $m=50$, and we explain how the numerical solution is translated into an implementable control policy for the queueing system of original interest. Previous work on heavy traffic diffusion approximations suggests that this policy is nearly optimal in the heavy traffic parameter regime, and numerical examples support that conjecture. We also discuss its advantage over an alternative approach, featured in our previous work, where the BCP is replaced by a lower-dimensional "equivalent workload formulation" that is computationally efficient but difficult to interpret in the network of original interest.