Singular control of (reflected) Brownian motion: a computational method suitable for queueing applications.

Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the <italic>d</italic>-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we apply a recently developed computational method that is feasible for dimensions up to d=30\documentclass[12pt]{minimal}\usepackage{amsmath}\usepackage{wasysym}\usepackage{amsfonts}\usepackage{amssymb}\usepackage{amsbsy}\usepackage{mathrsfs}\usepackage{upgreek}\setlength{\oddsidemargin}{-69pt}\begin{document}$$d=30$$\end{document} or more. To show that nearly optimal solutions are obtainable using this method, we present computational results for a variety of examples, including queueing network examples that have appeared previously in the literature. [ABSTRACT FROM AUTHOR]