Stochastic Optimal Control of Dynamic Queue Systems: A Probabilistic Perspective

Queue overflow of a dynamic queue system gives rise to the information loss (or packet loss) in the communication buffer or the decrease of throughput in the transportation network. This paper investigates a stochastic optimal control problem for dynamic queue systems when imposing probability constraints on queue overflows. We reformulate this problem as a Markov decision process (MDP) with safety constraints. We prove that both finite-horizon and infinite-horizon stochastic optimal control for MDP with such constraints can be transformed as a linear program (LP), respectively. Feasibility conditions are provided for the finite-horizon constrained control problem. Two implementation algorithms are designed under the assumption that only the state (not the state distribution) can be observed at each time instant. Simulation results compare optimal cost and state distribution among different scenarios, and show the probability constraint satisfaction by the proposed algorithms.