This paper considers a problem where multiple users make repeated decisions based on their own observed events. The events and decisions at each time step determine the values of a utility function and a collection of penalty functions. The goal is to make distributed decisions over time to maximize time average utility subject to time average constraints on the penalties. An example is a collection of power constrained sensor nodes that repeatedly report their own observations to a fusion center. Maximum time average utility is fundamentally reduced because users do not know the events observed by others. Optimality is characterized for this distributed context. It is shown that optimality is achieved by correlating user decisions through a commonly known pseudorandom sequence. An optimal algorithm is developed that chooses pure strategies at each time step based on a set of time-varying weights.
Recent work in @cite_17 derives structural results for distributed optimization in Markov decision systems with delayed information. Such problems exhibit gaps between centralized and distributed scheduling. The use of in @cite_17 is similar in spirit to the assumption in the current paper that each user observes its own random event @math . The work @cite_17 derives a sufficient statistic for dynamic programming. It does not consider time average constraints and its solutions do not involve correlated scheduling via a pseudorandom sequence. Recent work in @cite_19 considers distributed reporting of events with different qualities, but considers a more restrictive class of policies that do not use correlated scheduling. The current paper treats a different model than @cite_17 and @cite_19 , and shows that correlated scheduling is necessary in systems with constraints. Further, the current paper provides complexity reduction results under a preferred action property (Section ) and provides an online algorithm that does not require a-priori knowledge of event probabilities (Section ).
@cite_19 @cite_17
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We consider the scheduling problem in downlink wireless networks with heterogeneous, Markov-modulated, ON OFF channels. It is well-known that the performance of scheduling over fading channels heavily depends on the accuracy of the available Channel State Information (CSI), which is costly to acquire. Thus, we consider the CSI acquisition via a practical ARQ-based feedback mechanism whereby channel states are revealed at the end of only scheduled users' transmissions. In the assumed presence of temporally-correlated channel evolutions, the desired scheduler must optimally balance the exploitation-exploration trade-off, whereby it schedules transmissions both to exploit those channels with up-to-date CSI and to explore the current state of those with outdated CSI. In earlier works, Whittle's Index Policy had been suggested as a low-complexity and high-performance solution to this problem. However, analyzing its performance in the typical scenario of statistically heterogeneous channel state processes has remained elusive and challenging, mainly because of the highly-coupled and complex dynamics it possesses. In this work, we overcome these difficulties to rigorously establish the asymptotic optimality properties of Whittle's Index Policy in the limiting regime of many users. More specifically: (1) we prove the local optimality of Whittle's Index Policy, provided that the initial state of the system is within a certain neighborhood of a carefully selected state; (2) we then establish the global optimality of Whittle's Index Policy under a recurrence assumption that is verified numerically for the problem at hand. These results establish, for the first time to the best of our knowledge, that Whittle's Index Policy possesses analytically provable optimality characteristics for scheduling over heterogeneous and temporally-correlated channels. These lecture notes highlight the mathematical and computational structure relating to the formulation of, and development of algorithms for, the Bayesian approach to inverse problems in differential equations. This approach is fundamental in the quantification of uncertainty within applications in volving the blending of mathematical models with data. The finite dimensional situation is described first, along with some motivational examples. Then the development of probability measures on separable Banach space is undertaken, using a random series over an infinite set of functions to construct draws; these probability measures are used as priors in the Bayesian approach to inverse problems. Regularity of draws from the priors is studied in the natural Sobolev or Besov spaces implied by the choice of functions in the random series construction, and the Kolmogorov continuity theorem is used to extend regularity considerations to the space of Holder continuous functions. Bayes’ theorem is de rived in this prior setting, and here interpreted as finding conditions under which the posterior is absolutely continuous with respect to the prior, and determining a formula for the Radon-Nikodym derivative in terms of the likelihood of the data. Having established the form of the posterior, we then describe various properties common to it in the infinite dimensional setting. These properties include well-posedness, approximation theory, and the existence of maximum a posteriori estimators. We then describe measure-preserving dynamics, again on the infinite dimensional space, including Markov chain-Monte C arlo and sequential Monte Carlo methods, and measure-preserving reversible stochastic differential equations. By formulating the theory and algorithms on the underlying infinite dimensional space, we obtain a framework suitable for rigorous analysis of the accuracy of reconstructions, of computational complexity, as well as naturally constructing algorithms which perform well under mesh refinement, since they are inherently well-defined in infinite dimensions.