Weighted least squares solutions to general coupled Sylvester matrix equations

This paper is concerned with weighted least squares solutions to general coupled Sylvester matrix equations. Gradient based iterative algorithms are proposed to solve this problem. This type of iterative algorithm includes a wide class of iterative algorithms, and two special cases of them are studied in detail in this paper. Necessary and sufficient conditions guaranteeing the convergence of the proposed algorithms are presented. Sufficient conditions that are easy to compute are also given. The optimal step sizes such that the convergence rates of the algorithms, which are properly defined in this paper, are maximized and established. Several special cases of the weighted least squares problem, such as a least squares solution to the coupled Sylvester matrix equations problem, solutions to the general coupled Sylvester matrix equations problem, and a weighted least squares solution to the linear matrix equation problem are simultaneously solved. Several numerical examples are given to illustrate the effectiveness of the proposed algorithms.     

混合位置分布中分量参数的统计推断

对混合位置分布族,当混合比已知时,提出了关于分量参数的假设检验和区间估计方法,所提出的方法基于广义枢轴模型.在一定的条件下,检验的实际水平等于名义水平,且各置信域的实际覆盖率等于名义覆盖率.在更一般的场合,检验是相合的,并且各置信域的实际覆盖率趋于名义覆盖率.模拟显示所给的方法是令人满意的.     

Progressive censoring from heterogeneous distributions with applications to robustness

Progressively censored order statistics from heterogeneous distributions are introduced and their properties are investigated. After deriving the joint density function, some properties are established. In particular, the case of proportional hazards leads to an interesting connection to the model of generalized order statistics. Finally, the special case of exponential distribution is considered and some known results are generalized to this heterogeneous case, and their implications to robustness are highlighted.     

A large deviation analysis of errors in measurement based admission control to buffered and bufferless resources

In measurement based admission control, measured traffic parameters are used to determine the maximum number of connections that can be admitted to a resource within a given quality constraint. The assumption that the measured parameters are the true ones can compromise admission control; measured parameters are random quantities, causing additional variability. This paper analyzes the impact of measurement error within the framework of Large Deviation theory. For a class of admission controls, large deviation principles are established for the number of admitted connections, and for the attained overflow rates. These are applied to admission to bufferless resources, and buffered resources in both the many sources and large buffer asymptotic. The sampling properties of effective bandwidths are presented, together with a discussion the impact of the temporal extent of individual samples on estimator variability. Sample correlations are shown to increase estimator variance; procedures to make admission control robust with respect to these are described.     

Fitting mixed-effects models when data are left truncated

Damage sizes, i.e. all damages occurring to a policy and not only those that are reported to an insurance company, are modelled as a linear mixed model. Only those damages that are larger than their deductibles are reported to the company, and this fact should be taken into account when analyzing such data. In statistical terms, the problem is to make inference in a linear mixed model with left truncated data. Estimation methods based on a Monte Carlo simulation of the likelihood are proposed, and extensive simulations to evaluate the quality of the methods are reported. The proposed methods are then used to analyze claimsizes for some marine insurance data, where shipowners represent random effects and technical data about the ships represent fixed effects.     

Assessing Markov property in multistate transition models with applications to credit risk modeling

Multistate transition models are increasingly used in credit risk applications as they allow us to quantify the evolution of the process among different states. If the process is Markov, analysis and prediction are substantially simpler, so analysts would like to use these models if they are applicable. In this paper, we develop a procedure for assessing the Markov hypothesis and discuss different ways of implementing the test procedure. One issue when sample size is large is that the statistical test procedures will detect even small deviations from the Markov model when these differences are not of practical interest. To address this problem, we propose an approach to formulate and test the null hypothesis of “weak non‐Markov.” The situation where the transition probabilities are heterogeneous is also examined, and approaches to accommodate this case are indicated. Simulation studies are used extensively to study the properties of the procedures, and two applications are to illustrate the results.     

Capacitated location allocation problem with stochastic location and fuzzy demand: A hybrid algorithm

In this article, a capacitated location allocation problem is considered in which the demands and the locations of the customers are uncertain. The demands are assumed fuzzy, the locations follow a normal probability distribution, and the distances between the locations and the customers are taken Euclidean and squared Euclidean. The fuzzy expected cost programming, the fuzzy β-cost minimization model, and the credibility maximization model are three types of fuzzy programming that are developed to model the problem. Moreover, two closed-form Euclidean and squared Euclidean expressions are used to evaluate the expected distance between customers and facilities. In order to solve the problem at hand, a hybrid intelligent algorithm is applied in which the simplex algorithm, fuzzy simulation, and a modified genetic algorithm are integrated. Finally, in order to illustrate the efficiency of the proposed hybrid algorithm, some numerical examples are presented.     

Scheduling jobs with different,job-dependent earliness and tardiness penalties using the SLK method

The single machine job scheduling problem, where due dates are assigned using the SLK due date determination method, is examined assuming different penalties for the early and tardy jobs. These penalties are assumed to be job-dependent, proportional to the processing times of jobs raised to an integer, non-negative power. The objective function is the total weighted lateness. Several cases are examined and four algorithms providing the optimal sequences for these cases are presented. Examples are given and conclusions are drawn.     

The systems approach and fuzzy set theory bridging the gap between mathematical and language-oriented economists

Ideas are presented to show how fuzzy mathematics can be applied in macro-economics in combination with the systems approach in order to bridge the gap between mathematical and language-oriented economists.Two reasons are given.From a mathematical point of view, fuzzy sets, fuzzy relations and fuzzy logic are not fuzzy at all. They are all well defined, but tend to be more complicated than traditional, mathematical concepts used in economics.From a language-oriented economist's point of view, fuzzy sets, etc. are used to express mathematically the type of concepts which are typical in language and most valuable in dealing with complex systems like an economy.The paper deals with economics in general terms, but examples are provided to illustrate the ideas.     

Planes and processes

This article presented to Combinatorics 2006 is a survey of finite projective planes and the processes used to construct them. All non-translation planes are described, fundamental processes in translation planes are defined and some of these are used to connect semi-field flocks with symplectic spreads. Hermitian ovoids are connected to extensions of derivable nets, and three types of ‘lifting’ methods are discussed. Furthermore, hyperbolic fibrations and ‘regulus-inducing’ central collineation groups are connected to flocks of quadratic cones. Finally, hyper-reguli and multiple hyper-regulus replacement are considered.     

Matrix-valued polynomials generated by the scalar-type Rodrigues’ formulas

The properties of matrix-valued polynomials generated by the scalar-type Rodrigues’ formulas are analyzed. A general representation of these polynomials is found in terms of products of simple differential operators. The recurrence relations, leading coefficients, completeness are established, as well as, in the commutative case, the second order equations for which these polynomials are eigenfunctions and the corresponding eigenvalues, and ladder operators.A new, direct proof is given to the conjecture of Durán and Grünbaum that if the weights are self-adjoint and positive semidefinite then they are necessarily of scalar type.Commutative classes of orthogonal polynomials (corresponding to weights that are self-adjoint but not positive semidefinite) are found, which satisfy all the properties usually associated to orthogonal polynomials, and are not of scalar type.     

Mathematical analysis of the two-color partial rainbow options

In this article, two-color partial rainbow options (TCPROs) are proposed. Such options allow holders to choose between the two underlying vanilla options at a specified time before expiry. Examples of benefits of TCPROs to both holders and issuers are given. Pricing formulae for such options are derived. The extra premium due to the choosing feature of a TCPRO, called the price of choice, is a nonnegative decreasing function of the correlation coefficient of the two underlying assets and the remaining time to choose. Numerical results are obtained to show that while TCPROs are more valuable than the underlying vanilla options, their risk parameters such as delta and gamma are smaller.     

Translation Ovoids and Spreads of the Generalized Hexagon H(q)

Ovoids of the finite classical generalized hexagon H(q) that are translation with respect to a point are classified. By duality, translation spreads with respect to a line are classified when the characteristic is three. When the characteristic is not equal to three, it is shown that there are no ovoids that are translation with respect to a flag.     

Modelling and analysis of thermal networks through subnetworks for multizone passive solar buildings

An efficient method is presented for the computer analysis in the frequency domain of multizone passive solar buildings. This method models heat conduction and convection between rooms, heat flows which are often not accounted for in order to reduce computation time. Heat transfer through a building is modelled by a thermal network. Massive walls are represented as two-port elements, analogous to non-inductive electrical transmission lines. Nodes representing exterior surfaces, whose temperatures do not have to be explicitly determined, are eliminated by the Norton theorem. The resulting simplified, but still complex networks, are split into subnetworks corresponding to rooms by removing a few simple components; the solutions for the subnetworks are found by means of the nodal formulation and are then coupled to give the system solution, without ever having to solve directly the initial complex network. There are no errors introduced by this decomposition process. This significantly simplifies the analysis of the building network and provides physical insight into the modelling and coupling of its subsystems.     

Semi-analytic integration of hypersingular Galerkin BIEs for three-dimensional potential problems

An accurate and efficient semi-analytic integration technique is developed for three-dimensional hypersingular boundary integral equations of potential theory. Investigated in the context of a Galerkin approach, surface integrals are defined as limits to the boundary and linear surface elements are employed to approximate the geometry and field variables on the boundary. In the inner integration procedure, all singular and non-singular integrals over a triangular boundary element are expressed exactly as analytic formulae over the edges of the integration triangle. In the outer integration scheme, closed-form expressions are obtained for the coincident case, wherein the divergent terms are identified explicitly and are shown to cancel with corresponding terms from the edge-adjacent case. The remaining surface integrals, containing only weak singularities, are carried out successfully by use of standard numerical cubatures. Sample problems are included to illustrate the performance and validity of the proposed algorithm.     

Second-order sensitivity analysis in factorable programming: Theory and applications

Second-order sensitivity analysis methods are developed for analyzing the behavior of a local solution to a constrained nonlinear optimization problem when the problem functions are perturbed slightly. Specifically, formulas involving third-order tensors are given to compute second derivatives of components of the local solution with respect to the problem parameters. When in addition, the problem functions are factorable, it is shown that the resulting tensors are polyadic in nature.Research sponsored by contract N00014-86-K-0052, US Office of Naval Research.     

Solving nonlinear programming problems with very many constraints

For solving the smooth constrained nonlinear programming problem, sequential quadratic programming (SQP) methods are considered to be the standard tool, as long as they are applicable. However one possible situation preventing the successful solution by a standard SQP-technique, arises if problems with a very large number of constraints are to be solved. Typical applications are semi-infinite or min-max optimization, optimal control or mechanical structural optimization. The proposed technique proceeds from a user defined number of linearized constraints, that is to be used internally to determine the size of the quadratic programming subproblem. Significant constraints are then selected automatically by the algorithm. Details of the numerical implementation and some experimental results are presented     

Nonlinear control of systems with multiple equilibria and unknown sinusoidal disturbance

In this paper, nonlinear systems having multiple equilibrium points and low order dynamics are investigated. Roll motions of ships are studied by means of modern nonlinear techniques to exemplify the behavior of such nonlinear systems in the case when they are under the influence of external sinusoidal disturbances with unknown amplitudes. The main objective is to analyze the performance of this system at different operating conditions, including those giving rise to chaos, and to design a controller with an overparameterized structure to stabilize the system at the origin. A nonlinear recursive backstepping controller is proposed and the transient performance is investigated. Lyapunov-based techniques are used to force systematic following of a reference model while introducing a nonlinear parameter estimator to guarantee adaptivity. Robustness problems as well as ways to tune the controller parameters are examined. Simulation results are submitted for the uncontrolled and controlled cases, verifying the effectiveness of the proposed controller. Finally, a discussion and conclusions are given with possible future extensions.     

Multi-machine scheduling with deteriorating jobs and scheduled maintenance

In this paper, we investigate a multi-machine scheduling problem in which job processing times are increasing functions of their starting times and machines are not always available. Job processing times are assumed to follow simple linear deteriorations. Moreover, each machine is assumed to have a maintenance period which is known in advance. Both the resumable and non-resumable cases are discussed with the objective of minimizing the makespan. A lower bound and a heuristic algorithm are derived for each case. Numerical results are also provided to evaluate the efficiency of the proposed procedures.     

Mixed convection boundary layer flow over a permeable vertical surface with prescribed wall heat flux

The effects of suction/injection on the laminar mixed convection boundary-layer flow on a vertical wall with a prescribed heat flux are considered. The conditions which allow the equations to be reduced to similarity form are derived and numerical solutions of the resulting equations are obtained for a range of values of the suction/injection and buoyancy parameters. Two specific cases, corresponding to a stagnation point flow and uniform wall heat flux, are treated in detail. Results are presented in terms of the skin friction and wall temperature with a selection of velocity and temperature profiles also being given. Dual solutions are found to exist for assisting flow, these are an addition to what has been reported previously for opposing flows. Solutions for some limiting values of the parameters are also derived.