Asymptotically optimal control for a multiclass queueing model in the moderate deviation heavy traffic regime

Abstract: A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time horizon $[0,T]$ is considered. The main result is the asymptotic optimality of a control policy derived via an underlying differential game. The result is the first to address a queueing control problem at the moderate deviation regime that goes beyond models having the so called pathwise minimality property. Moreover, despite the well known fact that an optimal control over a finite time interval is generically of a nonstationary feedback type, the proposed policy forms a stationary feedback, provided $T$ is sufficiently large.