|Sensitivity Analysis for Diffusion Processes Constrained to an Orthant
Ton Dieker, Georgia Tech University
Monday,November 28, 2011
4:00 p.m., room 223, Weber Bldg
We study optimization and sensitivity analysis for stochastic networks (e.g., to make staffing decisions). Our initial results are for a heavy traffic setting, and we investigate changes with respect to the drift of a given diffusion approximation. Our main results are: (1) the process and its infinitesimal-change process jointly satisfy a dynamic linear complementarily problem, and (2) the steady-state distribution of the joint process satisfies a linear equation akin to the basic adjoint relation.
Joint work with Xuefeng Gao (Georgia Tech).