Faculty Candidate Seminar: Title: Control Problems with Constrained Dynamics and Tail Probabilities of Reflected Brownian Motion

Event Details
  • Date/Time:
    • Tuesday February 26, 2002 - Monday February 25, 2002
      10:00 am - 11:00 pm
  • Location: IC Bldg., Room 209
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: Faculty Candidate Seminar: Title: Control Problems with Constrained Dynamics and Tail Probabilities of Reflected Brownian Motion

Full Summary: Faculty Candidate Seminar: Title: Control Problems with Constrained Dynamics and Tail Probabilities of Reflected Brownian Motion

Brownian motions reflected in the orthant
often arise as diffusion approximations
to queueing networks, and their tail probabilities
often serve as estimates for stationary buffer
overflow probabilities in the corresponding networks.
Under certain conditions, the tail probabilities of
stationary reflected Brownian motion in the
orthant are known to have certain variational representations.
We will discuss why these representations
are hard to analyze, and derive new methods for
studying these variational problems.
In particular we will relate this variational problem
to another class of variational problems with constrained dynamics,
which arise in the analyis of optimal stability of
queueing networks.
We show how explicit solutions can be derived for these
problems in certain cases.

Additional Information

In Campus Calendar
No
Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

Invited Audience
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Categories
Seminar/Lecture/Colloquium
Keywords
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:43am
  • Last Updated: Oct 7, 2016 - 9:53pm