Cut sharing for multistage stochastic linear programs with interstage dependency

Multistage stochastic programs with interstage independent random parameters have recourse functions that do not depend on the state of the system. Decomposition-based algorithms can exploit this structure by sharing cuts (outer-linearizations of the recourse function) among different scenario subproblems at the same stage. The ability to share cuts is necessary in practical implementations of algorithms that incorporate Monte Carlo sampling within the decomposition scheme. In this paper, we provide methodology for sharing cuts in decomposition algorithms for stochastic programs that satisfy certain interstage dependency models. These techniques enable sampling-based algorithms to handle a richer class of multistage problems, and may also be used to accelerate the convergence of exact decomposition algorithms. Research leading to this work was partially supported by the Department of Energy Contract DE-FG03-92ER25116-A002; the Office of Naval Research Contract N00014-89-J-1659; the National Science Foundation Grants ECS-8906260, DMS-8913089; and the Electric Power Research Institute Contract RP 8010-09, CSA-4O05335. This author's work was supported in part by the National Research Council under a Research Associateship at the Naval Postgraduate School, Monterey, California.     

State estimation of linear dynamical systems under bounded control

The problem of estimation of all possible states that a linear system under bounded control may take (namely, the reachable or attainable set) is addressed. A number of previously developed Lyapunov techniques for estimating the reachable set of ann-dimensional linear system are extended and compared. The techniques produce over-estimates in the form ofn-dimensional ellipsoids. Illustrative examples are solved.This work was supported by the Natural Sciences and Engineering Research Council of Canada, Operating Grant Nos. A-0621 and A-4080, and by Research Personnel Support from the Dean of Science, Memorial University of Newfoundland, Canada.     

Martinelli-Bochner formula using Clifford analysis

In the even dimensional case the Dirac equation may be reduced to the so-called isotonic Dirac system, in which different Dirac operators appear from both sides in half the dimension. This system is then used to derive the classical Martinelli-Bochner formula for several complex variables. Frank Sommen: Supported by FWO-Krediet aan Navorsers 1.5.065.04. Dixan Pe?a Pe?a: Supported by a Doctoral Grant of the Special Research Fund of Ghent University. Received: 8 March 2006     

Convergence of the newton process to multiple solutions

In 1870, E.Schröder showed that the convergence of the Newton process of successive approximations to a multiple solution of a scalar equation was geometric in character, and that quadratic convergence could be restored by multiplying the ordinary corrections by a constant. Here, this result is extended to finite systems, and it is shown that there exist various subspaces of the given space in which the convergence is geometric with a rate characteristic of the given subspace. Quadratic convergence may be restored by applying a given fixed linear operator to the ordinary corrections. The conditions under which these results apply to equations in infinite-dimensional Banach spaces are given. Numerical examples involving scalar equations and a simple 2 × 2 system are presented.Sponsored by the Mathematics Research Center, United States Army, Madison, Wisconsin, under Contract No. DA-11-022-ORD-2059.     

Optimum matching forests III: Facets of matching forest polyhedra

In [3] we presented a linear system which definesP(G), the convex hull of incidence vectors of matching forests of a mixed graphG. However, many of the inequalities of this system may be redundant. Here we describe the dimension of the facets ofP(G) obtained by setting one inequality of the defining system forP(G) to an equation. This leads to a presentation of a minimal defining linear system forP(G), i.e., to a presentation of the facets ofP(G). This generalizes earlier characterizations of facets of 1-matching polyhedra and of branching polyhedra.Research partially supported by a N.R.C. Canada Postdoctorate Fellowship.     

Fast simulation of buffer overflows in tandem networks ofGI/GI/1 queues

Simply because of their rarity, the estimation of the statistics of buffer overflows in well-dimensioned queueing networks via direct simulation is extremely costly. One technique that can be used to reduce this cost is importance sampling, and it has been shown previously that large deviations theory can be used in conjunction with importance sampling to minimize the required simulation time. In this paper, we obtain results on the fast simulation of tandem networks of queues, and derive an analytic solution to the problem of finding an optimal simulation system for a class of tandem networks ofGI/GI/1 queues.Work supported by Australian Telecommunications and Electronics Research Board (ATERB). The authors wish to acknowledge the funding of the activities of the Cooperative Research Centre for Robust and Adaptive Systems by the Australian Commonwealth Government under the Cooperative Research Centres Program.     

On attractors of evolutionary inclusions in Banach spaces

We check the existence of attractors of a semidynamical system whose attractors may be noncompact and unbounded. These results are applied to evolutionary inclusions for which we establish sufficient conditions for the existence of compact, arbitrary, and unbounded attractors. The Lyapunov stability of inclusions is investigated.Published in Ukrainskii Matematicheskii Zhurnal, Vol. 47, No. 5, pp. 602–610, May, 1995.The present work was partially supported by the Foundation for Fundamental Research of the Ukrainian State Committee on Science and Technology.     

Some Remarks on Obligatory Subsytems of Uncountably Chromatic Triple Systems

Dedicated to the memory of Paul Erdős An obligatory triple system is one that embeds into every triple system of uncountable chromatic number. It is proved that a triple system is obligatory iff every 2-connected component of it is. Obligatory triple systems are tripartite but not vice versa. Received January 13, 2000 RID="*" ID="*" Research partially supported by Hungarian National Research Grant T 19367.     

Bounding separable recourse functions with limited distribution information

The recourse function in a stochastic program with recourse can be approximated by separable functions of the original random variables or linear transformations of them. The resulting bound then involves summing simple integrals. These integrals may themselves be difficult to compute or may require more information about the random variables than is available. In this paper, we show that a special class of functions has an easily computable bound that achieves the best upper bound when only first and second moment constraints are available.This research has been partially supported by the National Science Foundation under Grants ECS-8304065 and ECS-8815101, by the Office of Naval Research Grant N00014-86-K-0628 and by the National Research Council under a Research Associateship at the Naval Postgraduate School, Monterey, California.     

Some asymptotic properties of the solutions of perturbed nonlinear differential equations

Summary The behavior of the solutions of a class of perturbed nonlinear second order differential equations is studied where the perturbation term may be unbounded in each of its arguments. Upper and lower bounds for solutions and a nonoscillation theorem are included in the results.Research supported by the Mississippi State University Biological and Physical Sciences Research Institute.     

Dealing with degeneracy in reduced gradient algorithms

Many algorithms for linearly constrained optimization problems proceed by solving a sequence of subproblems. In these subproblems, the number of variables is implicitly reduced by using the linear constraints to express certain ‘basic’ variables in terms of other variables. Difficulties may arise, however, if degeneracy is present; that is, if one or more basic variables are at lower or upper bounds. In this situation, arbitrarily small movements along a feasible search direction in the reduced problem may result in infeasibilities for basic variables in the original problem. For such cases, the search direction is typically discarded, a new reduced problem is formed and a new search direction is computed. Such a process may be extremely costly, particularly in large-scale optimization where degeneracy is likely and good search directions can be expensive to compute. This paper is concerned with a practical method for ensuring that directions that are computed in the reduced space are actually feasible in the original problem. It is based on a generalization of the ‘maximal basis’ result first introduced by Dembo and Klincewicz for large nonlinear network optimization problems. Research supported in part by NSF Grant ECS-8119513 and DOT Research Grant CT-06-0011.     

On generalized neighbourhood systems

It is shown in the paper [1] that every generalized topology can be generated by a generalized neighbourhood system. Following the paper [3], we discuss some questions related to this construction. Research supported by Hungarian Foundation for Scientific Research, grant No. T 49786.     

Modified Newton methods for solving a semismooth reformulation of monotone complementarity problems

In this paper, we propose a Newton-type method for solving a semismooth reformulation of monotone complementarity problems. In this method, a direction-finding subproblem, which is a system of linear equations, is uniquely solvable at each iteration. Moreover, the obtained search direction always affords a direction of sufficient decrease for the merit function defined as the squared residual for the semismooth equation equivalent to the complementarity problem. We show that the algorithm is globally convergent under some mild assumptions. Next, by slightly modifying the direction-finding problem, we propose another Newton-type method, which may be considered a restricted version of the first algorithm. We show that this algorithm has a superlinear, or possibly quadratic, rate of convergence under suitable assumptions. Finally, some numerical results are presented. Supported by Research Fellowships of the Japan Society for the Promotion of Science for Young Scientists. Supported in part by the Scientific Research Grant-in-Aid from the Ministry of Education, Science and Culture, Japan.     

Effect of damping on observation spillover instability

The control of a distributed-parameter system can be effected by a transformation to a finite-dimensional discrete system in terms of modal coordinates. If only a limited number of modal coordinates is controlled, then a phenomenon that has come to be known as control and observation spillover occurs. Observation spillover has been demonstrated to cause instability in undamped systems. This paper shows that a minimal amount of damping can eliminate the instability, at least for the case considered.This work was supported by the Naval Research Laboratory, Space Systems Division, Advanced Systems Branch, under ONR Research Grant No. N00014-78-C-0194.     

Stability,structural stability,and games: Toward a theory of differential hypergames

Differential games (DG's) are investigated from a stability point of view. Several resemblances between the theory of optimal control and that of structural stability suggest a differential game approach in which the operators have conflicting interests regarding the stability of the system only. This qualitative approach adds several interesting new features. The solution of a differential game is defined to be the equilibrium position of a dynamical system in the framework of a given stability theory: this is the differential hypergame (DHG). Three types of DHG are discussed: abstract structural DHG, Liapunov DHG, and Popov DHG. The first makes the connection between DG and the catastrophe theory of Thom; the second makes the connection between the value function approach and Liapunov theory; and the third provides invariant properties for DG's. To illustrate the fact that the theory sketched here may find interesting applications, the up-to-date problem of the world economy is outlined.This research was supported by the National Research Council of Canada.     

Optimal control of a facility with periodic interrupted demand

The system investigated consists of a stochastic periodic stream of raw material, a continuous processing operation with controllable deterministic service rates, and a storage facility. The arrival stream is periodically interrupted and divided into alternating on-off intervals of fixed length. The processing facility is allowed to operate during the off-interval. Superimposed on this system is a cost structure composed of processing and holding costs. Such operations may be found in manufacturing as well as service systems (for example, dry cleaners, machine shops, repair and maintenance shops, printers, information processing centers, etc). A service rate control rule that minimizes the infinite-horizon discounted expected total cost is found. Existence and uniqueness of long-term optimal cost and policy functions is shown. Since the optimal policy cannot be expressed explicitly, an approximate solution was obtained. An error bound on the optimal cost associated with this solution is exhibited. The approximate solution is characterized by a service rate control rule that is a linear function of the level of inventory at the start of each on-interval and a piecewise linear function of inventory at the start of each off-interval. The optimal discounted expected total cost is quadratic in the inventory level at the start of each interval. Computational results indicate relative cost errors in the order of 2–3 percent.This research was performed at the Sanitary Engineering Research Laboratory and Operations Research Center of the University of California, Berkeley. It was made possible by US Public Health Research Grant UI-00547 from the Environmental Control Administration-Bureau of Solid Waste Management and by National Science Foundation Grant GK-1684.The author thanks Professor C. R. Glassey for not only suggesting this research, but for his constant encouragement and suggestions throughout its duration. He also thanks Professors W. S. Jewell and P. H. McGauhey whose comments on the draft were very helpful.     

Relevance of the Bayesian paradigm for “applied probabilists”

This paper is based on an invited lecture given by the author at the ORSA/TIMS Special Interest Group on Applied Probability Conference onStatistical and Computational Problems in Probability Modeling, held at Williamsburg, Virginia, January 7–9, 1985.The theme of this paper is twofold. First, that members of the above group should be seriously concerned with issues of statistical inference — they should not stop short upon proposing a probability model. Second, that inference be undertaken via a strict adherence to the rules of probability — the Bayesian paradigm. To underscore a need for emphasizing the first theme, it may be pertinent to note that an overwhelming majority of the papers dealing with statistical and inferential issues that were presented at this conference were authored by members who did not claim to belong to the ORSA/TIMS Special Interest Group on Applied Probability.The lecture was followed by a panel discussion, with Drs. Lyle Broemeling and Edward Wegman of the Office of Naval Research as discussants. Dr. Robert Launer of the Army Research Office served as a moderator. Discussions from the floor included comments by Professors D. Harrington of Harvard University, E. Parzen of Texas A & M University, and R. Smith of Imperial College, London, England. This paper, and the comments of the panelists, are published in this volume of theAnnals of Operations Research, which is going to serve as a Proceedings of the Conference.Supported by Contract No. N00014-85-K-0202, Office of Naval Research, and Grant No. DAAG 29-84-K-0160, Army Research Office.     

Nonexistence of an a priori bound at the center in terms of anL 1 bound on the boundary for solutions of uniformly elliptic equations on a sphere

Summary Positive solutions on the unit sphere of second order uniformly elliptic nonvariational equations are found which exhibit behavior sharply differing from that of positive harmonic functions, despite the fact that the coefficients may be uniformly arbitrarily close (at least for n=2) to those of the Laplacian. A solution is found whose boundary integral on expanding concentric subspheres tends to zero and another is found for which this boundary iutegral tends to infinity. This work was supported by the Air Force Office of Scientific Research and the National Academy of Sciences through a Postdoctoral Research Fellowship for 1964–1965 at the University of Genova.     

Self-Couplings and the concentration function

The concentration function of a random variable may be estimated using couplings of the variable with itself.Supported by the Göran Gustafsson Foundation for Research in Natural Sciences and Medicine.