The derivation of structural properties for unbounded jump Markov processes cannot be done using standard mathematical tools, since the analysis is hindered due to the fact that the system is not uniformizable. We present a promising technique, a smoothed rate truncation method, to overcome the limitations of standard techniques and allow for the derivation of structural properties. We introduce this technique by application to a processor sharing queue with impatient customers that can retry if they renege. We are interested in structural properties of the value function of the system as a function of the arrival rate.
Interpolation involving constrained optima o ers distinctive advantages for linear and non-linear model based predictive control algorithms. For non-linear systems the computation of minima is non-trivial and sub-optimal solutions can be sought through linearization about particular trajectories. Here we show that successive linearizations and locally constrained optimizations can, at a modest extra computation, lead to signi® cant improvements.
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