NDLI: Exponential risk-sensitive optimal scheduling

Content Provider	IEEE Xplore Digital Library
Author	Avila-Godoy, G. Fernandez-Gaucherand, E.
Copyright Year	1997
Description	Author affiliation: Dept. of Math., Arizona Univ., Tucson, AZ, USA (Avila-Godoy, G.)
Abstract	We study a problem of scheduling jobs with random processing times under a risk sensitive optimality criterion. We assume that risk sensitivity is given by an exponential disutility function. We present in detail the job scheduling model we consider and present its standard formulation as a controlled Markov process. To facilitate comparisons with the results we derive in this paper, we include the analysis of the stochastic optimal control problem corresponding to the risk null performance criterion given by an expected total weighted completion time. We present both a detailed dynamic programming (DP) algorithm as well as an interchange argument. We introduce risk-sensitivity by considering the minimization of the expected exponential utility of the total weighted completion time. We develop the corresponding DP algorithm from which the risk-sensitive optimal policies (schedules) are obtained. It is interesting to note, that for the risk-sensitive criterion a simple interchange argument is not applicable, and thus the only general computational and analytical tool for this situation is the DP algorithm that we develop. Finally, by means of a simple example, we illustrate how the optimal schedule depends on the risk sensitivity coefficient.
Starting Page	3958
Ending Page	3963
File Size	512925
Page Count	6
File Format	PDF
ISBN	0780341872
ISSN	01912216
DOI	10.1109/CDC.1997.652482
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1997-12-12
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Optimal scheduling Risk analysis Process control Markov processes Performance analysis Stochastic processes Optimal control Dynamic programming Heuristic algorithms Scheduling algorithm
Content Type	Text
Resource Type	Article

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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