Applications of SMP Bounds to Multi-class Traffic in High-speed Networks

In this paper, we consider the stochastic fluid-flow model of a single node in a high-speed telecommunication network handling multi-class traffic. The node has multiple buffers, one for each class of traffic. The contents of these buffers are multiplexed onto a single output channel using one of the service scheduling policies: the Timed Round Robin Policy or the Static Priority Service Policy. The Quality of Service requirements for each class are based on cell loss probabilities. Using effective bandwidth methodologies and the recently developed bounds for semi-Markov modulated traffic, we solve call admission control problems for the two service scheduling policies at this node. We compare the performance of the effective bandwidth methodologies and the SMP bounds technique. We also numerically compare the performance of the two service scheduling policies.     

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采用了通用高速A/D采集器采集信号数据,用软件的方法开发出了具备多道能谱脉冲识别和计数分析能力的软件.用此软件实现了每次托卡马克放电后,在较短的时间内从庞大的原始采集数据中提取出能谱脉冲数据,计算和显示能谱图,这为下一步测量电子温度打下了基础,并同时实现了数据共享.     

Pricing strategies for perishable products: the case of Vienna and the hotel reservation system hrs.com

Consider a retailer who sells perishable products for which there is uncertain demand. Yield management with dynamic pricing is a standard practice that firms use for revenue management. For perishable products, recent analysis has focused on the distribution of flight capacity, referred to as ticket sales. Other non- storable, non-transportable, immaterial hospitality products include hotel capacity. The article discusses the extent to which hotel pricing strategies vary within the internet distribution system hrs.com. This study focuses on the distribution of hotel rooms available for booking on the internet for Vienna and gives an outlook to Euroland capitals. The main research interests are the underlying pricing models and the setting of the end price. Data was taken from hrs.com, which is the most important specialist for hotel room internet distribution in Germany according to recent studies by KMPG and others. The results include the identification of different pricing strategy clusters with regard to hotel category and hotel availability over a 22-day period for Vienna and one city from all Euroland countries (the capitals were studied for all cases except for the Netherlands, for which data was collected for Amsterdam). The study took the arrival days Mondays, Tuesdays, Wednesdays and Thursdays into account, and used data for all these days from the 11th of July, 2005, to the 10th of October, 2005, for Vienna, and the first and the last of these dates as a comparison base for the other Euroland cities.     

GI~X/M~b/1/N排队系统

本文主要研究了顾客一般独立批到达、指数批服务、缓冲器容量有限的单个服务器的排队系统，本文首先使用补充变量和嵌入马氏链的方法，在部分拒绝和全部拒绝情形下，得到系统排队队长的稳态分布，进而得到相应的性能指标，如系统的平均排队长、平均等待时间、损失概率等．其次对等待时间进行了分析．     

Intertemporal service pricing with strategic customers

We study a two-period intertemporal pricing game in a single-server service system with forward-looking strategic customers who make their purchase decision based on current information and anticipated future gains. Subgame perfect Nash equilibrium (SPNE) prices are derived. A comparison between revenue-maximizing equilibrium prices and welfare-maximizing equilibrium prices is conducted and the impact on the system’s performance of misunderstanding customers’ type is evaluated.     

Machine interference in automated cells

This paper presents a simulation and an analytical modeling of the machine interference problem in manufacturing cells. Each machine experiences two types of stoppage which are to be served by a robot. Several combinations of the distributions of the stoppages, service distributions, and service disciplines are studied. We determine the optimal number of machines assigned to the robot under different operating conditions such that the expected total cost of the manufacturing cell is minimized.This research is based on Mr. Norton's M.S. thesis, which was conducted at Rutgers.     

Analysis of effective service time with age dependent interruptions and its application to optimal rollback policy for database management

A stochastic model is developed describing a service system subject to inhomogeneous Poisson interruptions with age dependent interruption periods. By studying the probabilistic flow of the underlying multivariate Markov process, the Laplace transform of the effective service time is explicitly obtained. For general renewal interruptions, only the expected effective service time is derived. As an application, an optimal checkpoint policy is examined for database management. It is shown that an optimal policy maximizing the ergodic availability of the database is to implement a checkpoint as soon as the cumulative uptime of the database reaches a prespecified constantk ^*. A computational procedure is then developed for findingk ^* and numerical results are exhibited.This work was supported in part by the National Science Foundation under Grant No. ECS-8600992 and by the IBM Program of Support for Education in the Management of Information Systems.     

On coordinate transformation and grid stretching for sparse grid pricing of basket options

We evaluate two coordinate transformation techniques in combination with grid stretching for pricing basket options in a sparse grid setting. The sparse grid technique is a basic technique for solving a high-dimensional partial differential equation. By creating a small hypercube sub-grid in the ‘composite’ sparse grid we can also determine hedge parameters accurately. We evaluate these techniques for multi-asset examples with up to five underlying assets in the basket.     

Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity

We present a new approach to estimate the risk-neutral probability density function (pdf) of the future prices of an underlying asset from the prices of options written on the asset. The estimation is carried out in the space of cubic spline functions, yielding appropriate smoothness. The resulting optimization problem, used to invert the data and determine the corresponding density function, is a convex quadratic or semidefinite programming problem, depending on the formulation. Both of these problems can be efficiently solved by numerical optimization software.     

Third-order extensions of Lo’s semiparametric bound for European call options

Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. We extend classical results in this area. Specifically, we derive closed-form semiparametric bounds for the payoff of a European call option, given up to third-order moment (i.e., mean, variance, and skewness) information on the underlying asset price. We analyze how these bounds tighten the corresponding bounds, when only second-order moment (i.e., mean and variance) information is provided. We describe applications of these results in the context of option pricing; as well as in other areas such as inventory management, and actuarial science.