Stochastic Systems最新文献

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Open Problem—Weakly Interacting Particle Systems on Dense Random Graphs 开放问题——稠密随机图上的弱相互作用粒子系统
Stochastic Systems Pub Date : 2019-09-18 DOI: 10.1287/stsy.2019.0049
Ruoyu Wu
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引用次数: 1
Open Problem—Size-Based Scheduling with Estimation Errors 开放问题——具有估计误差的基于规模的调度
Stochastic Systems Pub Date : 2019-09-18 DOI: 10.1287/stsy.2019.0041
D. Down
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引用次数: 4
Open Problem—Iterative Schemes for Stochastic Optimization: Convergence Statements and Limit Theorems 开放问题——随机优化的迭代格式:收敛性陈述和极限定理
Stochastic Systems Pub Date : 2019-09-17 DOI: 10.1287/stsy.2019.0043
A. Jalilzadeh, J. Lei, U. Shanbhag
{"title":"Open Problem—Iterative Schemes for Stochastic Optimization: Convergence Statements and Limit Theorems","authors":"A. Jalilzadeh, J. Lei, U. Shanbhag","doi":"10.1287/stsy.2019.0043","DOIUrl":"https://doi.org/10.1287/stsy.2019.0043","url":null,"abstract":"Central limit theorems represent among the most celebrated of limit theorems in probability theory (Lindeberg 1922, Feller 1945). It may be recalled that the sum of n independent and identically di...","PeriodicalId":36337,"journal":{"name":"Stochastic Systems","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1287/stsy.2019.0043","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41843310","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Open Problem—M/G/1 Scheduling with Preemption Delays 开放问题- m /G/1具有抢占延迟的调度
Stochastic Systems Pub Date : 2019-09-17 DOI: 10.1287/stsy.2019.0047
Ziv Scully
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引用次数: 1
Open Problem—Regarding Static Priority Scheduling for Many-Server Queues with Reneging 开放问题——关于带违约的多服务器队列的静态优先级调度
Stochastic Systems Pub Date : 2019-09-17 DOI: 10.1287/stsy.2019.0048
Amy R. Ward
{"title":"Open Problem—Regarding Static Priority Scheduling for Many-Server Queues with Reneging","authors":"Amy R. Ward","doi":"10.1287/stsy.2019.0048","DOIUrl":"https://doi.org/10.1287/stsy.2019.0048","url":null,"abstract":"We study the many-server queue shown in Figure 1(a). Customers from class j ∈ {1, 2} arrive according to renewal processes having rate λj > 0 and request processing. There are N ∈ {1, 2,…} servers,...","PeriodicalId":36337,"journal":{"name":"Stochastic Systems","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1287/stsy.2019.0048","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45636690","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Open Problem—Convergence and Asymptotic Optimality of the Relative Value Iteration in Ergodic Control 开放问题——遍历控制中相对值迭代的收敛性和渐近最优性
Stochastic Systems Pub Date : 2019-09-17 DOI: 10.1287/stsy.2019.0040
A. Arapostathis
{"title":"Open Problem—Convergence and Asymptotic Optimality of the Relative Value Iteration in Ergodic Control","authors":"A. Arapostathis","doi":"10.1287/stsy.2019.0040","DOIUrl":"https://doi.org/10.1287/stsy.2019.0040","url":null,"abstract":"The relative value iteration scheme (RVI) for Markov decision processes (MDP) dates back to White (1963), a seminal work, which introduced an algorithm for solving the ergodic dynamic programming e...","PeriodicalId":36337,"journal":{"name":"Stochastic Systems","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1287/stsy.2019.0040","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41500468","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Minimizing the Maximum Expected Waiting Time in a Periodic Single-Server Queue with a Service-Rate Control 使用服务速率控制最小化周期性单服务器队列中的最大期望等待时间
Stochastic Systems Pub Date : 2019-09-05 DOI: 10.1287/stsy.2018.0027
Ni Ma, W. Whitt
{"title":"Minimizing the Maximum Expected Waiting Time in a Periodic Single-Server Queue with a Service-Rate Control","authors":"Ni Ma, W. Whitt","doi":"10.1287/stsy.2018.0027","DOIUrl":"https://doi.org/10.1287/stsy.2018.0027","url":null,"abstract":"We consider a single-server queue with unlimited waiting space, the first-come, first-served discipline, a periodic arrival-rate function, and independent and identically distributed service requir...","PeriodicalId":36337,"journal":{"name":"Stochastic Systems","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1287/stsy.2018.0027","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45913483","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions 反映布朗运动的半鞅稀有事件的分割算法
Stochastic Systems Pub Date : 2019-03-15 DOI: 10.1287/stsy.2021.0076
K. Leder, Xin Liu, Zicheng Wang
{"title":"Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions","authors":"K. Leder, Xin Liu, Zicheng Wang","doi":"10.1287/stsy.2021.0076","DOIUrl":"https://doi.org/10.1287/stsy.2021.0076","url":null,"abstract":"We study rare event simulations of semimartingale reflecting Brownian motions (SRBMs) in an orthant. The rare event of interest is that a d-dimensional positive recurrent SRBM enters the set [Formula: see text] before hitting a small neighborhood of the origin [Formula: see text] as [Formula: see text] with a starting point outside the two sets and of order o(n). We show that, under two regularity conditions (the Dupuis–Williams stability condition of the SRBM and the Lipschitz continuity assumption of the associated Skorokhod problem), the probability of the rare event satisfies a large deviation principle. To study the variational problem (VP) for the rare event in two dimensions, we adapt its exact solution from developed by Avram, Dai, and Hasenbein in 2001. In three and higher dimensions, we construct a novel subsolution to the VP under a further assumption that the reflection matrix of the SRBM is a nonsingular [Formula: see text]-matrix. Based on the solution/subsolution, particle-based simulation algorithms are constructed to estimate the probability of the rare event. Our estimator is asymptotically optimal for the discretized problem in two dimensions and has exponentially superior performance over standard Monte Carlo in three and higher dimensions. In addition, we establish that the growth rate of the relative bias term arising from discretization is subexponential in all dimensions. Therefore, we can estimate the probability of interest with subexponential complexity growth in two dimensions. In three and higher dimensions, the computational complexity of our estimators has a strictly smaller exponential growth rate than the standard Monte Carlo estimators.","PeriodicalId":36337,"journal":{"name":"Stochastic Systems","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48925143","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Applied Probability Society Student Paper Competition: Abstracts of 2018 Finalists 应用概率学会学生论文竞赛:2018年入围者摘要
Stochastic Systems Pub Date : 2019-03-01 DOI: 10.1287/stsy.2018.0025
{"title":"Applied Probability Society Student Paper Competition: Abstracts of 2018 Finalists","authors":"","doi":"10.1287/stsy.2018.0025","DOIUrl":"https://doi.org/10.1287/stsy.2018.0025","url":null,"abstract":"","PeriodicalId":36337,"journal":{"name":"Stochastic Systems","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1287/stsy.2018.0025","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43880451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Applied Probability Society Student Paper Competition: Abstracts of 2017 Finalists 应用概率学会学生论文竞赛:2017年入围者摘要
Stochastic Systems Pub Date : 2018-12-01 DOI: 10.1287/stsy.2018.0024
{"title":"Applied Probability Society Student Paper Competition: Abstracts of 2017 Finalists","authors":"","doi":"10.1287/stsy.2018.0024","DOIUrl":"https://doi.org/10.1287/stsy.2018.0024","url":null,"abstract":"","PeriodicalId":36337,"journal":{"name":"Stochastic Systems","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1287/stsy.2018.0024","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49386648","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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