Time consistency for set-valued dynamic risk measures for bounded discrete-time processes

In this paper, we introduce two kinds of time consistent properties for set-valued dynamic risk measures for discrete-time processes that are adapted to a given filtration, named time consistency and multi-portfolio time consistency. Equivalent characterizations of multi-portfolio time consistency are deduced for normalized dynamic risk measures. In the normalized case, multi-portfolio time consistency is equivalent to the recursive form for risk measures as well as a decomposition property for the acceptance sets. The relations between time consistency and multi-portfolio time consistency are addressed. We also provide a way to construct multi-portfolio time consistent versions of any dynamic risk measure. Finally, we investigate the relationship about time consistency and multi-portfolio time consistency between risk measures for processes and risk measures for random vectors on some product space.     

Time step selection for the numerical solution of boundary value problems for parabolic equations

An algorithm is proposed for selecting a time step for the numerical solution of boundary value problems for parabolic equations. The solution is found by applying unconditionally stable implicit schemes, while the time step is selected using the solution produced by an explicit scheme. Explicit computational formulas are based on truncation error estimation at a new time level. Numerical results for a model parabolic boundary value problem are presented, which demonstrate the performance of the time step selection algorithm.     

Limit Theory for Taboo-Regenerative Processes

The paper considers the two-sided taboo limit process that arises when a regenerative process X is conditioned on staying out of a specified set of states (taboo set) over a long period of time. The taboo limit process after time 0 is a version of X, and the time-reversal of the taboo limit process before time 0 is regenerative with tabooed cycles having exponentially biased lengths. The cycle straddling zero has that same bias up to time 0, and is unbiased after time 0. This extends to processes regenerative in the wide sense, and to processes that only regenerate as long as they have not entered the taboo set.     

Piecewise-linearized methods for single degree-of-freedom problems

A piecewise linearization method based on the Taylor series expansion of the nonlinearities and forcing with respect to time, displacement and velocity for the study of smooth single degree-of-freedom problems, is presented. The method provides piecewise analytical solutions which are smooth everywhere, is second-order accurate in time and yields explicit finite difference formulae for the displacement and velocity. The method is applied to nine single degree-of-freedom problems and its accuracy is assessed in terms of the displacement, velocity and energy as functions of the time step, and its results are compared with those of piecewise linearization methods that use Taylor series expansion of the forcing and nonlinearities with respect to time. It is shown that, for nonlinear problems with unknown free frequency and damping, the linearization method presented here is more accurate and robust than linearization techniques based on Taylor series expansions with respect to time. For linear problems with oscillatory forcing, linearization methods that employ fourth-order expansions in time are more accurate than the linearization method proposed here provided that the time step is sufficiently small.     

Due date assignment for multistage assembly systems

This paper is concerned with the study of the constant due-date assignment policy in a multistage assembly system. The multistage assembly system is modeled as an open queueing network. It is assumed that the product order arrives according to a Poisson process. In each service station, there is either one or infinite machine with exponentially distributed processing time. The transport times between every pair of service stations are independent random variables with generalized Erlang distributions. It is assumed that each product has a penalty cost that is some linear function of its due-date and its actual completion time. The due date is found by adding a constant to the time that the order arrives. This constant value is the constant lead time that a product might expect between time of placing the order and time of delivery. By applying the longest path analysis in queueing networks, we obtain the distribution function of manufacturing lead time. Then, the optimal constant lead time is computed by minimizing the expected aggregate cost per product. Finally, the results are verified by Monte Carlo simulation.     

Reliable and efficient error control for an adaptive Galerkin-characteristic method for convection-dominated diffusion problems

An efficient and reliable a-posteriori error estimator is developed for a characteristic-Galerkin finite element method for time-dependent convection-dominated problems. An adaptive algorithm with variable time and space steps is proposed and studied. At each time step in this algorithm grid coarsening occurs solely at the final iteration of the adaptive procedure, meaning that only time and space refinement is allowed before the final iteration. It is proved that at each time step this adaptive algorithm is capable of reducing errors below a given tolerance in a finite number of iteration steps. Numerical results are presented to check the theoretical analysis.     

A Predictive Model for the Police Response Function

The expected response time to a call for service (CFS) for a given configuration of police beats is developed. The effect of downtime calls on the response time to a CFS is determined. Consideration is given to both travel time and waiting time. Travel time and service time distributions are isolated. The model is valid for Poisson arrivals and arbitrary service time distributions. A probabilistic assignment policy is determined for each beat. The fraction of incoming calls arriving in beat k answered by unit l is obtained. Pre-emptive priorities are allowed. Application to the Aurora, Illinois, Police Department is shown.     

Multi-grid dynamic iteration for parabolic equations

We study the method which is obtained when a multi-grid method (in space) is first applied directly to a parabolic intitial-boundary value problem, and discretization in time is done only afterwards. This approach is expected to be well-suited to parallel computation. Further, time marching can be done using different time step-sizes in different parts of the spatial domain.     

Time operator for diffusion

We extend the concept of time operator for general semigroups and construct a non-self-adjoint time operator for the diffusion equation which is intertwined with the unilateral shift. We obtain the spectral resolution, the age eigenstates and a new shift representation of the solution of the diffusion equation. Based on previous work we obtain similarly a self-adjoint time operator for Relativistic Diffusion.     

Wavelet-based Methods for Multirate PDAEs

We present an adaptive envelope method for the transient simulation of problems with widely separated time scales. Typical applications are circuits where a periodic carrier signal is modulated by a slower signal. The presented method is specifically designed to work even in the case of steep gradients due to digital-like signal structures. Using different independent variables for the slow and the fast time scales the original system is transformed to a hyperbolic multi-rate differential-algebraic system, from which the solution of the original system can be reconstructed. After discretising the slow time scale a periodic boundary value problems in the fast time scale has to be solved for each slow time step. These are solved by wavelet collocation using piecewise linear ansatz-functions. To adapt the grid the solution is represented in terms of a hierarchical set of biorthogonal wavelets to detect the areas with rapidly changing solutions and to coarse or refine the grid. The performance of the method is illustrated by a circuit example. (© 2010 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

A time finite element method for structural dynamics

A time (Galerkin) finite element method (time FEM) for structural dynamics is proposed in this paper. The key lies in a variational formulation that is well-posed and equivalent to the conventional strong form of governing equations of structural dynamics. Based on the variational formulation, a time finite element formulation is naturally established and its convergence property is easily derived through an a priori error analysis. Technical details on practical implementation of the time FEM are presented. Numerical examples are studied to verify the proposed time FEM.     

Optimization for discretized switched systems

Switching time optimization is a crucial topic in the optimal control of hybrid systems. Since it is rare that such problems can be solved analytically, the use of numerical discretization schemes for the integration of state and adjoint systems is indispensable. Thus, in this contribution, the switching time optimization problem is studied in a discretized formulation directly from the beginning. An analysis of the discretized problem reveals that smoothness of the original (continuous time) problem is lost, i.e. the problem will in general become nondifferentiable in discrete time. This has to be taken into account when deriving an adjoint-based formula for the optimization of the discretized problem. A hybrid double pendulum example is used for illustration of the results. (© 2013 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Mixture distributions for modelling demand during lead time

A mixture distribution approach to modelling demand during lead time in a continuous-review inventory model is described. Using this approach, both lead time and demand per unit time can follow state-dependent distributions. By using mixtures of truncated exponentials functions to approximate these distributions, mixture distributions that can be easily manipulated in closed form can be constructed as the marginal distributions for lead time and demand per unit time. These are then used to approximate the mixture of compound distributions for demand during lead time. The technique is illustrated by first applying it to a ‘normal-gamma’ inventory problem, then by modelling a problem with empirical distributions for lead time and demand per unit time.     

Algorithms for effective transfer of ballast for an oil installation

The problem considered is to transfer ballast (water) between ballast tanks in an offshore production platform in a fast and efficient way, and at the same time maintain certain criteria regarding the platform’s safety, stability and strength. In case of an emergency situation, the algorithm must return a solution in short time. Two alternative algorithms are evaluated; one mixed integer programming (MIP) model and one heuristic algorithm. It is shown that the much simpler heuristic algorithm yields satisfactory solutions in almost no time, while the MIP model takes up to several minutes to come to a solution. The heuristic algorithm is installed in control systems for a platform operating in the North Sea and the experience so far has been good.     

Burn-in considering yield loss and reliability gain for integrated circuits

This paper presents burn-in effects on yield loss and reliability gain for a lifetime distribution developed from a negative binomial defect density distribution and a given defect size distribution, after assuming that the rate of defect growth is proportional to the power of the present defect size. While burn-in always results in yield loss, it creates reliability gain only if either defects grow fast or the field operation time is long. Otherwise, burn-in for a short time could result in reliability loss. The optimal burn-in time for maximizing reliability is finite if defects grow linearly in time and is infinite if defects grow nonlinearly in time. The optimal burn-in time for minimizing cost expressed in terms of both yield and reliability increases in the field operation time initially but becomes constant as the field operation time is long enough. It is numerically shown that increasing mean defect density or defect clustering increases the optimal burn-in time.     

一种计算工作时间参数新方法

为了编制和优化施工进度计划,计算构成施工项目的各项工作最早开始时间、最迟开始时间、最早完成时间、最迟完成时间、总时差和自由时差等时间参数十分重要.提出了一种计算工作时间参数新方法.该方法以工作完成时间为决策变量,通过建立和求解线性规划模型来得到各种工作时间参数.其建模思路清晰,不需绘制网络图,能用通用办公软件EXCEL求解.模拟计算表明,用该方法与用标准网络计划技术计算出的工作时间参数完全一致.     

Lower bounds for covering times for reversible Markov chains and random walks on graphs

For simple random walk on aN-vertex graph, the mean time to cover all vertices is at leastcN log(N), wherec>0 is an absolute constant. This is deduced from a more general result about stationary finite-state reversible Markov chains. Under weak conditions, the covering time for such processes is at leastc times the covering time for the corresponding i.i.d. process.     

Investigation of various solution strategies for the time-spectral method for incompressible,viscous flows

Time-spectral methods show a huge potential for decreasing computation time of time-periodic flows. While time-spectral methods are often used for compressible flows, applications to incompressible flows are rare. This paper presents an extension of the time-spectral method (TSM) to incompressible, viscous fluid flows using a pressure-correction algorithm in a finite volume flow solver.Several algorithmic treatments of the time-spectral operator in a pressure-correction algorithm have been investigated. Initially the single time instances were solved using the Jacobi method as preconditioner. While the existing fluid code is easily adapted, the solver shows a fast degradation in stability. Thus the solution matrix was reordered with respect to time and a block Gauss–Seidel preconditioner was applied. The single time blocks were directly solved using the Cholesky algorithm. The solver is more robust, but the current implementation is inefficient. To alleviate this problem an approach, coupling all time instances and control volumes, was developed. For the complete time and spatial system two different treatments in the preconditioner were researched.To outline the advantages and disadvantages of the proposed solution strategies the laminar flow around the pitching NACA0012 airfoil was investigated. Moreover, unsteady simulations using first and second order time-stepping techniques were used and the time-spectral results were compared to regular time-stepping approaches. It is shown that the time-spectral implementations solving the whole temporal-spatial system are faster than the regular time-stepping schemes. The efficiency of the time-spectral solver decreases with increasing number of harmonics. Furthermore, with a small number of harmonics the lift coefficient over time is not accurately predicted.     

Arrival times for the wave equation

We establish a definition of arrival time of a wavefront for a propagating wave in anisotropic media that is initially at rest and where the governing partial differential equation is the anisotropic wave equation. This definition of arrival time is not the same as the one in [8, 12]; it eliminates pathological discontinuities that can occur with the older definition and is still consistent with physical intuition. What is substantively new here is that we show that the newly defined arrival time is locally Lipschitz‐continuous. Then following the method in [8, 12] we establish that it satisfies the eikonal equation. Furthermore, in the isotropic case we establish that the arrival time, as defined here, is the unique viscosity solution of the eikonal equation. Our motivation for this work is to use this arrival time at points in the interior of a physical or biological material, which is estimated from displacement measurements, to determine properties of the medium that are represented as functions in the eikonal equation; see [8, 10, 11, 12]. © 2010 Wiley Periodicals, Inc.     

Extended optimal inspection policies for a system in storage

A system such as missiles and spare parts of aircraft has to perform a normal operation in a severe environment at any time when it is used. However, the system is in storage for a long time from the delivery to the usage and its reliability goes down with time. Thus, a system in storage should be inspected and maintained at periodic times to hold a higher reliability than is prespecified.The following inspection model is considered: A system has three types of units, where unit 1 is maintained, unit 21 is not maintained but is replaced and unit 22 is neither maintained nor replaced. The system is overhauled if its reliability becomes lower than a prespecified probability. The number of replacements and time until overhaul are derived. Using these results, the average cost is obtained and both an optimal inspection time and an optimal replacement time to minimize it are numerically discussed.