Singular Control of (Reflected) Brownian Motion: A Computational Method Suitable for Queueing Applications

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• github.com/nian-si/singularcontrol
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Abstract

Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we apply a recently developed computational method that is feasible for dimensions up to d=30 or more. To show that nearly optimal solutions are obtainable using this method, we present computational results for a variety of examples, including queueing network examples that have appeared previously in the literature.

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