Abstract: | Suppose that the state of a queueing system is described by a Markov process { Yt, t ≥ 0}, and the profit from operating it up to a time t is given by the function f(Yt). We operate the system up to a time T, where the random variable T is a stopping time for the process Yt. Optimal stochastic control is achieved by choosing the stopping time T that maximizes Ef(YT) over a given class of stopping times. In this paper a theory of stochastic control is developed for a single server queue with Poisson arrivals and general service times. |