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Stochastic allocation of resources in the context of wireless systems ultimately demands reactive decision making for meaningfully optimizing network-wide random utilities, while respecting certain resource constraints. Standard ergodic-optimal policies are however susceptible to the statistical variability of fading, often leading to systems which are severely unreliable and spectrally wasteful. On the flip side, minimax/outage-optimal policies are too pessimistic and often hard to determine.We propose a new risk-aware formulation of the resource allocation problem for standard multi-user point-to-point power-constrained communication with no cross-interference, by employing the Conditional Value-at-Risk (CV@R) as a measure of fading risk. A remarkable feature of this approach is that it is a convex generalization of the ergodic setting while inducing robustness and reliability in a fully tunable way, thus bridging the gap between the (naive) ergodic and (conservative) minimax approaches. We provide a closed-form expression for the CV@R-optimal policy given primal/dual variables, extending the classical stochastic waterfilling policy.We then develop a primal-dual tail-waterfilling scheme to recursively learn a globally optimal risk-aware policy. The effectiveness of the approach is verified via detailed simulations.
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Stochastic Resource Allocation via Dual Tail Waterfilling
Optimal resource allocation in wireless systems still stands as a rather challenging task due to the inherent statistical characteristics of channel fading. On the one hand, minimax/outage-optimal policies are often overconservative and analytically intractable, despite advertising maximally reliable system performance. On the other hand, ergodic-optimal resource allocation policies are often susceptible to the statistical dispersion of heavy-tailed fading channels, leading to relatively frequent drastic performance drops. We investigate a new risk-aware formulation of the classical stochastic resource allocation problem for point-to-point power-constrained communication networks over fading channels with no cross-interference, by leveraging the Conditional Value-at-Risk (CV@R) as a coherent measure of risk. We rigorously derive closed-form expressions for the CV@R-optimal risk-aware resource allocation policy, as well as the optimal associated quantiles of the corresponding user rate functions by capitalizing on the underlying fading distribution, parameterized by dual variables. We then develop a purely dual tail waterfilling scheme, achieving significantly more rapid and assured convergence of dual variables, as compared with the primal-dual tail waterfilling algorithm, recently proposed in the literature. The effectiveness of the proposed scheme is also readily confirmed via detailed numerical simulations.
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- Award ID(s):
- 2242215
- PAR ID:
- 10527528
- Publisher / Repository:
- IEEE
- Date Published:
- ISBN:
- 979-8-3503-6929-8
- Page Range / eLocation ID:
- 1 to 6
- Format(s):
- Medium: X
- Location:
- Princeton, NJ, USA
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Conference Paper:
- https://doi.org/10.1109/CISS59072.2024.10480205
