Beyond the cμ rule: Dynamic scheduling of a two-class loss queue

We consider scheduling a single server in a two-class M/M/1 queueing system with finite buffers subject to holding costs and rejection costs for rejected jobs. We use dynamic programming to investigate the structural properties of optimal policies. Provided that the delay of serving a job is always less costly than rejecting an arrival, we show that the optimal policy has a monotonic threshold type of switching curve; otherwise, numerical analysis indicates that the threshold structure may not be optimal.