Limit theorems for bivariate Appell polynomials. Part II: Non-central limit theorems

Summary. Let (X _t ,t∈Z) be a linear sequence with non-Gaussian innovations and a spectral density which varies regularly at low frequencies. This includes situations, known as strong (or long-range) dependence, where the spectral density diverges at the origin. We study quadratic forms of bivariate Appell polynomials of the sequence (X _t ) and provide general conditions for these quadratic forms, adequately normalized, to converge to a non-Gaussian distribution. We consider, in particular, circumstances where strong and weak dependence interact. The limit is expressed in terms of multiple Wiener-It? integrals involving correlated Gaussian measures. Received: 22 August 1996 / In revised form: 30 August 1997     

Scheduling strategies and long-range dependence

Consider a single server queue with unit service rate fed by an arrival process of the following form: sessions arrive at the times of a Poisson process of rate λ, with each session lasting for an independent integer time τ ⩾ 1, where P(τ = k) = p _k with p _k ~ αk ^−(1+α) L(k), where 1 < α < 2 and L(·) is a slowly varying function. Each session brings in work at unit rate while it is active. Thus the work brought in by each arrival is regularly varying, and, because 1 < α < 2, the arrival process of work is long-range dependent. Assume that the stability condition λE[τ] < 1 holds. By simple arguments we show that for any stationary nonpreemptive service policy at the queue, the stationary sojourn time of a typical session must stochastically dominate a regularly varying random variable having infinite mean; this is true even if the duration of a session is known at the time it arrives. On the other hand, we show that there exist causal stationary preemptive policies, which do not need knowledge of the session durations at the time of arrival, for which the stationary sojourn time of a typical session is stochastically dominated by a regularly varying random variable having finite mean. These results indicate that scheduling policies can have a significant influence on the extent to which long-range dependence in the arrivals influences the performance of communication networks. This revised version was published online in June 2006 with corrections to the Cover Date.     

Tail asymptotics for the queue length in an M/G/1 retrial queue

In this paper, we study the tail behavior of the stationary queue length of an M/G/1 retrial queue. We show that the subexponential tail of the stationary queue length of an M/G/1 retrial queue is determined by that of the corresponding M/G/1 queue, and hence the stationary queue length in an M/G/1 retrial queue is subexponential if the stationary queue length in the corresponding M/G/1 queue is subexponential. Our results for subexponential tails also apply to regularly varying tails, and we provide the regularly varying tail asymptotics for the stationary queue length of the M/G/1 retrial queue. AMS subject classifications: 60J25, 60K25     

IPO estimation of heaviness of the distribution beyond regularly varying tails

Abstract

We introduce a completely novel method for estimation of the parameter which governs the tail behavior of the cumulative distribution function of the observed random variable. We call it Inverse Probabilities for p-Outside values (IPO) estimation method. We show that this approach is applicable for wider class of distributions than the one with regularly varying tails. We demonstrate that IPO method is a valuable competitor to regularly varying tails based estimation methods. Some of the properties of the estimators are derived. The results are illustrated by a convenient simulation study.     

Polynomial time algorithms for some classes of constrained nonconvex quadratic problems

In this paper we consider different classes of noneonvex quadratic problems that can be solved in polynomial time. We present an algorithm for the problem of minimizing the product of two linear functions over a polyhedron P in R ⁿ The complexity of the algorithm depends on the number of vertices of the projection of P onto the R ² space. In the worst-case this algorithm requires an exponential number of steps but its expected computational time complexity is polynomial. In addition, we give a characterization for the number of isolated local minimum areas for problems on this form.

Furthermore, we consider indefinite quadratic problems with variables restricted to be nonnegative. These problems can be solved in polynomial time if the number of negative eigenvalues of the associated symmetric matrix is fixed.     

A Note on the Double Affine Hecke Algebra of Type GL2

We express the double affine Hecke algebra ? associated to the general linear group GL₂(k) (here, k is a field with char(k) ≠ 2) as an amalgamated free product of quadratic extensions over the three-dimensional quantum torus 𝒪_q((k^×)³). With an eye towards proving ring-theoretic results pertaining to ?, a general treatment of amalgamated products of Ore and quadratic extensions is given. We prove an analogue of the Hilbert Basis Theorem for an amalgamated product Q of quadratic extensions and determine conditions for when the one-sided ideals of Q are principal or doubly-generated. Furthermore, we determine sufficient conditions which imply Q is a principal ideal ring. Finally, we construct an explicit isomorphism from ? to the amalgamated free product ring of quadratic extensions over 𝒪_q((k^×)³), a ring known to be noetherian. Therefore, it follows that ? is noetherian.     

Tensor products and discriminants of unital quadratic forms over commutative rings

A tensor product for unital quadratic forms is introduced which extends the product of separable quadratic algebras and is naturally associative and commutative. It admits a multiplicative functor vdis, the vector discriminant, with values in symmetric bilinear forms. We also compute the usual (signed) discriminant of the tensor product in terms of the discriminants of the factors. The orthogonal group scheme of a nonsingular unital quadratic formQ of even rank is isomorphic toZ ₂×SO(Q ⁰) whereQ ⁰ is the restriction of –Q to the space of trace zero elements. We use cohomology to interpret the action of separable quadratic algebras on unital quadratic forms, and to determine which forms of odd rank can be realized asQ ⁰.     

Tail Behaviour of the Area Under the Queue Length Process of the Single Server Queue with Regularly Varying Service Times

This paper considers a stable GI∨GI∨1 queue with a regularly varying service time distribution. We derive the tail behaviour of the integral of the queue length process Q(t) over one busy period. We show that the occurrence of a large integral is related to the occurrence of a large maximum of the queueing process over the busy period and we exploit asymptotic results for this variable. We also prove a central limit theorem for ∫₀^t Q(s) ds.AMS subject classification: 60K25, 90B22.     

Singular values of the Rogers-Ramanujan continued fraction

Let z∊ C be imaginary quadratic in the upper half plane. Then the Rogers-Ramanujan continued fraction evaluated at q = e ^{2π iz} is contained in a class field of Q(z). Ramanujan showed that for certain values of z, one can write these continued fractions as nested radicals. We use the Shimura reciprocity law to obtain such nested radicals whenever z is imaginary quadratic. 2000 Mathematics Subject Classification Primary—11Y65; Secondary—11Y40     

Multivariate Markov-switching ARMA processes with regularly varying noise

The tail behaviour of stationary R^d-valued Markov-switching ARMA (MS-ARMA) processes driven by a regularly varying noise is analysed. It is shown that under appropriate summability conditions the MS-ARMA process is again regularly varying as a sequence. Moreover, it is established that these summability conditions are satisfied if the sum of the norms of the autoregressive parameters is less than one for all possible values of the parameter chain, which leads to feasible sufficient conditions.Our results complement in particular those of Saporta [Tail of the stationary solution of the stochastic equation Y_n+1=a_nY_n+b_n with Markovian coefficients, Stochastic Process. Appl. 115 (2005) 1954-1978.] where regularly varying tails of one-dimensional MS-AR(1) processes coming from consecutive large values of the parameter chain were studied.     

Resolutions of 2 and 3 Dimensional Rings of Invariants for Cyclic Groups

Let G be the cyclic group of order n, and suppose F is a field containing a primitive nth root of unity. We consider the ring of invariants F[W] ^G of a three dimensional representation W of G where G ? SL(W). We describe minimal generators and relations for this ring and prove that the lead terms of the relations are quadratic. These minimal generators for the relations form a Gröbner basis with a surprisingly simple combinatorial structure. We describe the graded Betti numbers for a minimal free resolution of F[W] ^G . The case where W is any two dimensional representation of G is also handled.     

Pipes, Cigars, and Kreplach: the Union of Minkowski Sums in Three Dimensions

Let Ω be a set of pairwise-disjoint polyhedral obstacles in R ³ with a total of n vertices, and let B be a ball in R ³. We show that the combinatorial complexity of the free configuration space F of B amid Ω:, i.e., (the closure of) the set of all placements of B at which B does not intersect any obstacle, is O(n ^2+ε ), for any ε >0; the constant of proportionality depends on ε. This upper bound almost matches the known quadratic lower bound on the maximum possible complexity of F . The special case in which Ω is a set of lines is studied separately. We also present a few extensions of this result, including a randomized algorithm for computing the boundary of F whose expected running time is O(n ^2+ε ). Received July 6, 1999, and in revised form April 25, 2000. Online publication August 18, 2000.     

On the U-Invariant of P-Adic Function Fields

ABSTRACT

We show that a quadratic form defined over the rational function field ?(x ₁ , …, _{x n} ) of dimension at least 4.2 ⁿ  + 1 is isotropic over all fields ? _p (x ₁ , …, _{x n} ), except for finitely many primes. Partial results concerning the u-invariant of p-adic function fields are also shown.     

Self-dual codes over the Kleinian four group

We introduce self-dual codes over the Kleinian four group K=Z ₂×Z ₂ for a natural quadratic form on K ⁿ and develop the theory. Topics studied are: weight enumerators, mass formulas, classification up to length 8, neighbourhood graphs, extremal codes, shadows, generalized t-designs, lexicographic codes, the Hexacode and its odd and shorter cousin, automorphism groups, marked codes. Kleinian codes form a new and natural fourth step in a series of analogies between binary codes, lattices and vertex operator algebras. This analogy will be emphasized and explained in detail.     

Geometric interpretation of Hamiltonian cycles problem via singularly perturbed Markov decision processes

We consider the Hamiltonian cycle problem (HCP) embedded in a singularly perturbed Markov decision process (MDP). More specifically, we consider the HCP as an optimization problem over the space of long-run state-action frequencies induced by the MDP's stationary policies. We also consider two quadratic functionals over the same space. We show that when the perturbation parameter, ? is sufficiently small the Hamiltonian cycles of the given directed graph are precisely the maximizers of one of these quadratic functionals over the frequency space intersected with an appropriate (single) contour of the second quadratic functional. In particular, all these maximizers have a known Euclidean distance of z _m (?) from the origin. Geometrically, this means that Hamiltonian cycles, if any, are the points in the frequency polytope where the circle of radius z _m (?) intersects a certain ellipsoid.     

On the renewal measure for Gaussian sequences

A form for U(t), the expected number of times a Gaussian sequence falls below a level of t, is given in terms of the mean M(x) and the variance V²(x) functions. It is shown that under general conditions U(t) ∼ M⁽⁻¹⁾(t), t → ∞. Moreover, if M and V are regularly varying at infinity functions, then U(t) − M⁽⁻¹⁾(t) is also regularly varying at infinity. A renewal theorem for stationary Gaussian sequences is given, where it is shown that the asymptotic behavior of U(t) − t/μ is determined by the asymptotic behavior of V²(t)/t.     

Hydrodynamical limit for spatially heterogeneous simple exclusion processes

Summary.   We prove hydrodynamical limit for spatially heterogeneous, asymmetric simple exclusion processes on Z ^d . The jump rate of particles depends on the macroscopic position x through some nonnegative, smooth velocity profile α(x). Hydrodynamics are described by the entropy solution to a spatially heterogeneous conservation law of the form

Two Extensions to Finsler's Recurring Theorem

Finsler's theorem asserts the equivalence of (i) and (ii) for pairs of real quadratic forms f and g on R ⁿ : (i) f( ξ ) >0 for all ξ≠ 0 with g( ξ ) =0; (ii) f-λ g>0 for some λ∈ R. We prove two extensions: 1. We admit a vector-valued quadratic form g: R ⁿ → R ^k , for which we show that (i) implies that f-λ . . . g>0 on an ( n-k+1 ) -dimensional subspace Y R ⁿ for some λ∈ R ^k . 2. In the nonstrict version of Finsler's theorem for indefinite g we replace R ⁿ by a real vector space X . Accepted 22 February 1998     

Indefinite higher Riesz transforms

Stein’s higher Riesz transforms are translation invariant operators on L ²(R ⁿ ) built from multipliers whose restrictions to the unit sphere are eigenfunctions of the Laplace–Beltrami operators. In this article, generalizing Stein’s higher Riesz transforms, we construct a family of translation invariant operators by using discrete series representations for hyperboloids associated to the indefinite quadratic form of signature (p,q). We prove that these operators extend to L ^r -bounded operators for 1<r<∞ if the parameter of the discrete series representations is generic.     

A NEW TRUST REGION DOGLEG METHOD FOR UNCONSTRAINED OPTIMIZATION

Abstract. This paper presents a new trust region dogleg method for unconstrained optimization.The method can deal with the case when the Hessian B of quadratic models is indefinite. It isproved that the method is globally convergent and has a quadratic convergence rate if Under certain conditions, the solution obtained by the method is even a second order