具有多类顾客的单服务台流体逼近的收敛速度

本文研究了—个具有多类顾客到达的单服务台排队系统．在流体变换下,我们知道排队模型以概率1在紧集上一致收敛到相应的流体模型．在一致收敛拓扑下,如果到达过程,服务过程在流体变换下以指数速度收敛到相应的流体过程,我们证明了在流体变换下的排队系统中的各个参量以指数速度收敛到流体模型中相应的参量,这些参量包括队长过程,负荷过程,逗留时间过程,离去过程,闲期过程等．     

Steady State Analysis of Finite Fluid Flow Models Using Finite QBDs

The Markov modulated fluid model with finite buffer of size β is analyzed using a stochastic discretization yielding a sequence of finite waiting room queueing models with iid amounts of work distributed as exp (nλ). The n-th approximating queue’s system size is bounded at a value q_n such that the corresponding expected amount of work q_n/(nλ) → β as n → ∞. We demonstrate that as n → ∞, we obtain the exact performance results for the finite buffer fluid model from the processes of work in the system for these queues. The necessary (strong) limit theorems are proven for both transient and steady state results. Algorithms for steady state results are developed fully and illustrated with numerical examples.AMS subject classification: 60J25, 60K25, 60K15, 60K37This revised version was published online in June 2005 with corrected coverdate     

Monotone Finite Difference Schemes for Nonlinear Systems with Mixed Quasi-Monotonicity

Monotone finite difference schemes are proposed for nonlinear systems with mixed quasi-monotonicity. Two monotone iteration processes for the corresponding discrete problems are presented, which converge monotonically to the quasi-solutions of the discrete problems. The limits are the exact solutions under some conditions. A monotone finite difference scheme on uniform mesh with the accuracy of fourth order is constructed. The numerical results coincide with theoretical analysis.     

The Finite Element Method for Computing the Stationary Distribution of an SRBM in a Hypercube with Applications to Finite Buffer Queueing Networks

This paper proposes an algorithm, referred to as BNAfm (Brownian network analyzer with finite element method), for computing the stationary distribution of a semimartingale reflecting Brownian motion (SRBM) in a hypercube. The SRBM serves as an approximate model of queueing networks with finite buffers. Our BNAfm algorithm is based on the finite element method and an extension of a generic algorithm developed by Dai and Harrison [14]. It uses piecewise polynomials to form an approximate subspace of an infinite-dimensional functional space. The BNAfm algorithm is shown to produce good estimates for stationary probabilities, in addition to stationary moments. This is in contrast to the BNAsm algorithm (Brownian network analyzer with spectral method) of Dai and Harrison [14], which uses global polynomials to form the approximate subspace and which sometimes fails to produce meaningful estimates of these stationary probabilities. Extensive computational experiences from our implementation are reported, which may be useful for future numerical research on SRBMs. A three-station tandem network with finite buffers is presented to illustrate the effectiveness of the Brownian approximation model and our BNAfm algorithm.     

Stability of a three‐station fluid network

This paper studies the stability of a three‐station fluid network. We show that, unlike the two‐station networks in Dai and Vande Vate [18], the global stability region of our three‐station network is not the intersection of its stability regions under static buffer priority disciplines. Thus, the “worst” or extremal disciplines are not static buffer priority disciplines. We also prove that the global stability region of our three‐station network is not monotone in the service times and so, we may move a service time vector out of the global stability region by reducing the service time for a class. We introduce the monotone global stability region and show that a linear program (LP) related to a piecewise linear Lyapunov function characterizes this largest monotone subset of the global stability region for our three‐station network. We also show that the LP proposed by Bertsimas et al. [1] does not characterize either the global stability region or even the monotone global stability region of our three‐station network. Further, we demonstrate that the LP related to the linear Lyapunov function proposed by Chen and Zhang [11] does not characterize the stability region of our three‐station network under a static buffer priority discipline. This revised version was published online in June 2006 with corrections to the Cover Date.     

有首次积分的K型单调系统

本文考察Smith[7]意义上的K型单调系统=F(χ)的渐近性质.在假定系统无闭轨且F有一个具有一定单调性质的首次积分的条件下,我们证明了,这类系统在一定区域内的解或者收敛于某一平衡点,或者对于充分大的(?)离开该区域的任一紧子集.     

二维序贯均匀等距设计对跳比单调函数类的有效性

把序贯的思想和均匀设计相结合,提出的“序贯均匀设计”,其目的在于解决多维空间上快速选优问题。已经证明了二维序贯均匀设计对旋转单调函数类的有效性。本文进一步证明了“二维序贯均匀等距设计”对跳比单调函数类的有效性。     

一类单调函数的数学期望

对一类单调可微的有界函数 ,利用相对变化率的概念 ,定义了一种由该函数生成的概率密度函数 ,讨论了有关数学期望的计算和性质 ,并给出了在函数上升或下降速度比较、药动学模型识别中的应用 .     

Order Varieties and Monotone Retractions of Finite Posets

In this paper we introduce a new version of the concept of order varieties. Namely, in addition to closure under retracts and products we require that the class of posets should be closed under taking idempotent subalgebras. As an application we prove that the variety generated by an order-primal algebra on a finite connected poset P is congruence modular if and only if every idempotent subalgebra of P is connected. We give a polynomial time algorithm to decide whether or not a variety generated by an order-primal algebra admits a near unanimity function and so we answer a problem of Larose and Zádori.     

The Learning Rate of l_2-Coefcient Regularized Classifcation with Strong Loss

In the present paper, we give an investigation on the learning rate ofl2-coefcient regularized classifcation with strong loss and the data dependent kernel functional spaces. The results show that the learning rate is influenced by the strong convexity.     

Monotone iterations for numerical solutions of reaction-diffusion-convection equations with time delay

In this article we use the monotone method for the computation of numerical solutions of a nonlinear reaction-diffusion-convection problem with time delay. Three monotone iteration processes for a suitably formulated finite-difference system of the problem are presented. It is shown that the sequence of iteration from each of these iterative schemes converges from either above or below to a unique solution of the finite-difference system without any monotone condition on the nonlinear reaction function. An analytical comparison result among the three processes of iterations is given. Also given is the application of the iterative schemes to some model problems in population dynamics, including numerical results of a model problem with known analytical solution. © 1998 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 14: 339–351, 1998     

R~2上一类非牛顿流体动力学方程组解的最优衰减率

本文利用Fourier分解方法讨论一类二维不可压缩非牛顿流体动力学方程组弱解的衰减性,证明了弱解在L~2范数下衰减率为(1+t)~(-1/2),和线性热传导方程解的衰减率一致,在此意义下本文的结果是最优的。     

Banach空间有限个极大单调算子公共零点的迭代注记

令E为实光滑、一致凸Banach空间,E*为其对偶空间.令AiE×E*,i=1,2,…,m,为极大单调算子且∩mi=1Ai-10≠φ.将给出一种计算量较小的新迭代算法,并利用Lyapunov泛函与广义投影算子等技巧,证明迭代序列弱收敛于A的公共零点,i=1,2,…,m.     

汽车保险损失率期权定价模型及实证研究

随着汽车保险行业的迅速发展,如何通过证券衍生产品来转嫁汽车保险越发引起人们的重视。本文在Taehan Bae等人的研究基础上给出了当索赔额分布服从指数分布、Γ-分布、混合指数分布、对数正态分布时的汽车保险损失率期权的定价公式,并以太平洋保险公司的有关索赔数据作为样本,利用Γ-分布下的汽车保险损失率期权定价公式对其进行实证研究,得到汽车保险损失率期权价格的近似值,具有很好的理论意义和现实意义。     

Stability of Fluid Networks with Proportional Routing

In this paper we investigate the stability of a class of two-station multiclass fluid networks with proportional routing. We obtain explicit necessary and sufficient conditions for the global stability of such networks. By virtue of a stability theorem of Dai [14], these results also give sufficient conditions for the stability of a class of related multiclass queueing networks. Our study extends the results of Dai and VandeVate [19], who provided a similar analysis for fluid models without proportional routing, which arise from queueing networks with deterministic routing. The models we investigate include fluid models which arise from a large class of two-station queueing networks with probabilistic routing. The stability conditions derived turn out to have an appealing intuitive interpretation in terms of virtual stations and push-starts which were introduced in earlier work on multiclass networks.     

Analyzing a degenerate buffer with general inter-arrival and service times in discrete time

In novel switching approaches such as Optical Burst Switching, the involved buffers can only provide a degenerate waiting room, with delays restricted to multiples of a basic value, the granularity. Although the resulting performance loss was already studied analytically, previous work is either limited by the assumption of independent arrivals, or it involves a matrix with size growing fast with buffer size or arrival process complexity. Overcoming this, we developed a generic and accurate loss performance model for a degenerate GI/G/1 buffer in discrete time, that yields results instantly for any constellation of burst sizes, inter-arrival times, granularity, load and buffer size. This paper presents our model and compares its results to simulations, illustrating the impact of different types of correlation in the arrival process on loss performance. Our basic model is general and accurate, it can thus serve as a basic tool for optical switch design.      

Banach空间中有限个极大单调算子公共零点的迭代格式

令E为实光滑、一致凸Banach空间,E~*为其对偶空间．令A_i,B_i (?) E×E~*,i= 1,2,…,m,为极大单调算子且(?)(A_i~(-1)0∩B_i~(-1)0)≠φ．引入新的迭代算法,并利用Lyapunov泛函,Q_r算子与广义投影算子等技巧,证明迭代序列弱收敛于极大单调算子A_i,B_i,i= 1,2,…,m的公共零点的结论．     

Monotone Control of Queueing Systems with Heterogeneous Servers

A multi-server controllable queueing system with heterogeneous servers is considered. Several monotonicity properties of optimal policies for such a system are proved.     

每个节点具有多服务台的Jackson网络流体逼近的收敛速度

研究一个每个节点具有多服务台的Jackson网络.在服务强度为1的条件下,研究了Jackson网络的泛函重对数率与其流体逼近的收敛速度,证明了如果该网络的外部到达过程,服务过程有泛函重对数率,且在流体变换下以指数速度收敛到其相应的流体模型,则其队长过程、负荷过程、忙期过程等也具有相应的性质.     

Quadratic Convergence of a Long-Step Interior-Point Method for Nonlinear Monotone Variational Inequality Problems

This paper offers an analysis on a standard long-step primal-dual interior-point method for nonlinear monotone variational inequality problems. The method has polynomial-time complexity and its q-order of convergence is two. The results are proved under mild assumptions. In particular, new conditions on the invariance of the rank and range space of certain matrices are employed, rather than restrictive assumptions like nondegeneracy.