Showing papers by "J. Michael Harrison published in 2003"
TL;DR: In this article, a general type of stochastic system model that involves three basic elements: activities, resources, and stocks of material, is described, in which exogenous input and output rates are approximately balanced with nominal activity rates derived from a static planning problem.
Abstract: This paper describes a general type of stochastic system model that involves three basic elements: activities, resources, and stocks of material. A system manager chooses activity levels dynamically based on state observations, consuming some materials as inputs and producing other materials as outputs, subject to resource capacity constraints. A generalized notion of heavy traffic is described, in which exogenous input and output rates are approximately balanced with nominal activity rates derived from a static planning problem. A Brownian network model is then proposed as a formal approximation in the heavy traffic parameter regime. The current formulation is novel, relative to models analyzed in previous work, in that its definition of heavy traffic takes explicit account of the system manager's economic objective.
111 citations