Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone.
David LipshutzKavita RamananPublished in: Math. Oper. Res. (2021)
Keyphrases
- sensitivity analysis
- stationary distribution
- brownian motion
- queue length
- convex cone
- convex sets
- markov chain
- stochastic process
- heavy traffic
- steady state
- queueing networks
- inventory level
- variational inequalities
- convex hull
- state dependent
- convex optimization
- diffusion process
- finite number
- random walk
- optimal control
- service times
- arrival rate
- stochastic processes
- differential equations
- transition probabilities
- single server
- poisson process
- sufficient conditions
- multiscale
- closed form solutions
- call center