Title: Risk-Sensitive Optimal Control of Queues,
Abstract: We consider the problem of designing risk-sensitive optimal control policies
for scheduling packet transmissions in a stochastic wireless network. A single
client is connected to an access point (AP) through a wireless channel. Packet
transmission incurs a cost $C$, while packet delivery yields a reward of $R$
units. The client maintains a finite buffer of size $B$, and a penalty of $L$
units is imposed upon packet loss which occurs due to finite queueing buffer.
We show that the risk-sensitive optimal control policy for such a simple
set-up is of threshold type, i.e., it is optimal to carry out packet
transmissions only when $Q(t)$, i.e., the queue length at time $t$ exceeds a
certain threshold $\tau$. It is also shown that the value of threshold $\tau$
increases upon increasing the cost per unit packet transmission $C$.
Furthermore, it is also shown that a threshold policy with threshold equal to
$\tau$ is optimal for a set of problems in which cost $C$ lies within an
interval $[C_l,C_u]$. Equations that need to be solved in order to obtain
$C_l,C_u$ are also provided.