A nearly-optimal index rule for scheduling of users with abandonment

We analyze a comprehensive model for multi-class job scheduling accounting for user abandonment, with the objective of minimizing the total discounted or time-average sum of linear holding costs and abandonment penalties. We assume geometric service times and Bernoulli abandonment probabilities. We solve analytically the case in which there are 1 or 2 users in the system to obtain an optimal index rule. For the case with more users we use recent advances from the restless bandits literature to obtain a new simple index rule, denoted by AJN, which we propose to use also in the system with arrivals. In the problem without abandonment, the proposed rule recovers the cμ-rule which is well-known to be optimal both without and with arrivals. Under certain conditions, our rule is equivalent to the cμ/θ-rule, which was recently proposed and shown to be asymptotically optimal in a multi-server system with overload conditions. We present results of an extensive computational study that suggest that our rule is almost always superior or equivalent to other rules proposed in the literature, and is often optimal.