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作者：Mikosch, Thomas; Samorodnitsky, Gennady
作者单位：University of Copenhagen; Cornell University
摘要：We study different scaling behavior of very general telecommunications cumulative input processes. The activities of a telecommunication system are described by a marked-point process ((T-n, Z(n)))(n is an element of z), where T-n is the arrival time of a packet brought to the system or the starting time of the activity of an individual source, and the mark Z(n) is the amount of work brought to the system at time T-n. This model includes the popular ON/OFF process and the infinite-source Poiss...
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作者：Gupta, Anupam; Ravi, R.; Sinha, Amitabh
作者单位：Carnegie Mellon University; Carnegie Mellon University; University of Michigan System; University of Michigan
摘要：We study the Steiner tree problem and the single-cable single-sink network design problem under a two-stage stochastic model with recourse and finitely many scenarios. In these models, some edges are purchased in a first stage when only probabilistic information about the second stage is available. In the second stage, one of a finite number of specified scenarios is realized, which results in the set of terminals becoming known and the opportunity to purchase additional edges (under an inflat...
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作者：Asmussen, Soren; Pihlsgard, Mats
作者单位：Aarhus University
摘要：We consider a Levy process that is reflected at 0 and at K > 0. The reflected process is obtained by adding the difference between the local time at 0 and the local time at K to the sum of the feeding Levy process and an initial condition. We define the loss rate to be the expectation of the local time at K at time I under stationary conditions. The main result of the paper is the identification of the loss rate in terms of the stationary measure of the reflected process and the characteristic...
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作者：Bouza, Gemayqzel; Still, Georg
作者单位：Universidad de la Habana
摘要：In this paper, optimization problems P with complementarity constraints are considered. Characterizations for local minimizers (x) over bar of P of Orders 1 and 2 are presented. We analyze a parametric smoothing approach for solving these programs in which P is replaced by a perturbed problem P-tau depending on a (small) parameter tau. We are interested in the convergence behavior of the feasible set F-tau and the convergence of the solutions (x) over bar (7) of P-tau for tau -> 0. In particul...
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作者：Horst, Ulrich; Mueller, Matthias
作者单位：University of British Columbia
摘要：We propose a method of pricing financial securities written on nontradable underlyings such as temperature or precipitation levels. To this end, we analyze a financial market where agents are exposed to financial and nonfinancial risk factors. The agents hedge their financial risk in the stock market and trade a risk bond issued by an insurance company. From the issuer's point of view the bond's primary purpose is to shift insurance risks related to noncatastrophic weather events to financial ...
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作者：Mordukhovich, Boris S.
作者单位：Wayne State University
摘要：This paper is devoted to applications of modem methods of variational analysis to constrained optimization and control problems generally formulated in infinite-dimensional spaces. The main focus is on the study of problems with nonsmooth structures, which require the usage of advanced tools of generalized differentiation. In this way we derive new necessary optimality conditions in optimization problems with functional and operator constraints and then apply them to optimal control problems g...
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作者：Bonet, Blai
作者单位：Simon Bolivar University
摘要：We establish a bound on the convergence time of the value iteration algorithm on stochastic shortest-path problems. The bound. which applies for admissible initial vectors as, for example, J 0, implies a polynomial-time convergence of value iteration for all problems with polynormally bounded ||J*||/g. This result gives a partial answer to the open problem of bounding the convergence time of value iteration on arbitrary initial vectors. The proof is obtained by analyzing a stochastic process a...
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作者：Moulin, Herve
作者单位：Rice University
摘要：A deterministic server is shared by users with identical linear waiting costs, requesting jobs of arbitrary lengths. Shortest jobs are served first for efficiency. The server can monitor the length of a job but not the identity of the job's user, thus merging, splitting, or partially transferring jobs offer cooperative strategic opportunities. Can we design cash transfers to neutralize such manipulations? We prove that mergeproofness and splitproofness are not compatible, and that it is simila...
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作者：Debicki, K.; Dieker, A. B.; Rolski, T.
作者单位：University of Wroclaw; Centrum Wiskunde & Informatica (CWI); University of Twente
摘要：We study stochastic tree fluid networks driven by a multidimensional Levy process. We are interested in (the joint distribution of) the steady-state content in each of the buffers, the busy periods, and the idle periods. To investigate these fluid networks, we relate the above three quantities to fluctuations of the input Levy process by solving a multidimensional Skorokhod reflection problem. This leads to the analysis of the distribution of the componentwise maximums, the corresponding epoch...
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作者：Kiwiel, Krzysztof C.; Larsson, Torbjoern; Lindberg, P. O.
作者单位：Polish Academy of Sciences; Systems Research Institute of the Polish Academy of Sciences; Linkoping University
摘要：We exhibit useful properties of ballstep subgradient methods for convex optimization using level controls for estimating the optimal value. Augmented with simple averaging schemes, they asymptotically find objective and constraint subgradients involved in optimality conditions. When applied to Lagrangian relaxation of convex programs, they find both primal and dual solutions, and have practicable stopping criteria. Up until now, similar results have only been known for proximal bundle methods,...
