Risk-Sensitive Control for the Multiclass Many-Server Queues in the Moderate Deviation Regime

Abstract

A G/M/N queue is considered in the moderate deviation heavy traffic regime. The rate function for the customers-in-system process is obtained for the single class model. A risk-sensitive type control problem is considered for multiclass G/M/N model under the moderate deviation scaling and shown that the optimal control problem is related to a differential game problem.