An Escape-Time Criterion for Queueing Networks: Asymptotic Risk-Sensitive Control via Differential Games
An Escape-Time Criterion for Queueing Networks: Asymptotic Risk-Sensitive Control via Differential Games
We consider the problem of risk-sensitive control of a stochastic network. In controlling such a network, an escape-time criterion can be useful if one wishes to regulate the occurrence of large buffers and buffer overflow. In this paper a risk-sensitive escape time criterion is formulated, which in comparison to the …