Phase-type distributions for failure times

Phase-type distributions describe the random time taken for a Markov process to reach an absorbing state. In the context of component failure, sequential movement through the transient states (phases) of such a system could describe the ageing process with movement out of these states (absorption) corresponding to failure. Thus, the lifetime of a component is the absorption time and the probability distribution of these times can be written in terms of the solution of a system of differential equations for which there are many convenient computational algorithms. A variety of different distributions is possible by varying the parameters of the process and hazard rates of various shapes can be constructed, allowing different patterns of variation in observed data to be modelled. These distributions are applied to some industrial data-sets and further features of the processes discussed.     

Log-concavity of compound distributions with applications in stochastic optimization

Compound distributions come up in many applications (telecommunication, hydrology, insurance, etc.), where some of the typical problems are of optimization type. The log-concavity property is paramount in these respects to ensure convexity. In this paper, we prove the log-concavity of some compound Poisson and other compound distributions.     

Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit

We consider state-dependent stochastic networks in the heavy-traffic diffusion limit represented by reflected jump-diffusions in the orthant ℝ₊ ⁿ with state-dependent reflection directions upon hitting boundary faces. Jumps are allowed in each coordinate by means of independent Poisson random measures with jump amplitudes depending on the state of the process immediately before each jump. For this class of reflected jump-diffusion processes sufficient conditions for the existence of a product-form stationary density and an ergodic characterization of the stationary distribution are provided. Moreover, such stationary density is characterized in terms of semi-martingale local times at the boundaries and it is shown to be continuous and bounded. A central role is played by a previously established semi-martingale local time representation of the regulator processes. F.J. Piera’s research supported in part by CONICYT, Chile, FONDECYT Project 1070797. R.R. Mazumdar’s research supported in part by NSF, USA, Grant 0087404 through Networking Research Program, and a Discovery Grant from NSERC, Canada.     

Compartmental models with phase-type residence-time distributions

Phase-type (PH) probability distributions provide a versatile class of distributions, and are shown to fit naturally into a Markovian compartmental system, where “individuals” or “particles” move between a series of compartments, so that phase-type compartmental residence-time distributions can be incorporated simply by increasing the size of the system. Examples of PH distributions covering a variety of behaviours are given, and an application involving data analysis is included.     

Ranking paths in stochastic time-dependent networks

In this paper we address optimal routing problems in networks where travel times are both stochastic and time-dependent. In these networks, the best route choice is not necessarily a path, but rather a time-adaptive strategy that assigns successors to nodes as a function of time. Nevertheless, in some particular cases an origin–destination path must be chosen a priori, since time-adaptive choices are not allowed. Unfortunately, finding the a priori shortest path is an NP-hard problem.     

Applying the progressive hedging algorithm to stochastic generalized networks

The introduction of uncertainty to mathematical programs greatly increases the size of the resulting optimization problems. Specialized methods that exploit program structures and advances in computer technology promise to overcome the computational complexity of certain classes of stochastic programs. In this paper we examine the progressive hedging algorithm for solving multi-scenario generalized networks. We present computational results demonstrating the effect of various internal tactics on the algorithm's performance. Comparisons with alternative solution methods are provided.Research supported in part by grants from the National Science Foundation (DCR-861-4057) and the Mathematical and Analytics Computation Center of IBM Corporation, New York.     

Circulant preconditioners for stochastic automata networks

Summary. Stochastic Automata Networks (SANs) are widely used in modeling communication systems, manufacturing systems and computer systems. The SAN approach gives a more compact and efficient representation of the network when compared to the stochastic Petri nets approach. To find the steady state distribution of SANs, it requires solutions of linear systems involving the generator matrices of the SANs. Very often, direct methods such as the LU decomposition are inefficient because of the huge size of the generator matrices. An efficient algorithm should make use of the structure of the matrices. Iterative methods such as the conjugate gradient methods are possible choices. However, their convergence rates are slow in general and preconditioning is required. We note that the MILU and MINV based preconditioners are not appropriate because of their expensive construction cost. In this paper, we consider preconditioners obtained by circulant approximations of SANs. They have low construction cost and can be inverted efficiently. We prove that if only one of the automata is large in size compared to the others, then the preconditioned system of the normal equations will converge very fast. Numerical results for three different SANs solved by CGS are given to illustrate the fast convergence of our method. Received March 17, 1998 / Revised version received August 16, 1999 / Published online July 12, 2000     

Time-adaptive and history-adaptive multicriterion routing in stochastic, time-dependent networks

We compare two different models for multicriterion routing in stochastic time-dependent networks: the classic “time-adaptive” model and the more flexible “history-adaptive” one. We point out several properties of the sets of efficient solutions found under the two models. We also devise a method for finding supported history-adaptive solutions.     

Control parameters in Boolean networks and cellular automata revisited from a logical and a sociological point of view

The use of “control parameters” as applied to describe the dynamics of complex mathematical systems within models of real social systems is discussed. Whereas single control parameters cannot sufficiently characterize the dynamics of such systems it is suggested that domains of values of certain sets of parameters are appropriately denoting necessary conditions for highly disordered dynamics of social systems. Various of those control parameters permit a straightforward interpretation in terms of properties of social rules and structures. © 1999 John Wiley & Sons, Inc.     

Perturbation analysis of communication networks with feedback control using stochastic hybrid models

Communication networks may be abstracted through Stochastic Fluid Models (SFM) with the node dynamics described by switched flow equations as various events take place, thus giving rise to hybrid automaton models with stochastic transitions. The inclusion of feedback mechanisms complicates these dynamics. In a tandem setting, a typical feedback mechanism is the control of a node processing rate as a threshold-based function of the downstream node’s buffer level. We consider the problem of controlling the threshold parameters so as to optimize performance metrics involving average workload and packet loss and show how Infinitesimal Perturbation Analysis (IPA) can be used to analyze congestion propagation through a network and develop gradient estimators of such metrics.     

Synchronization control for the competitive complex networks with time delay and stochastic effects

The synchronization control problem for the competitive complex network with time delay and stochastic effects is investigated by using the stochastic technique and Lyapunov stability theory. The competitive complex network means that the dynamical varying rate of a part of nodes is faster than other nodes. Some synchronization criteria are derived by the full controller and pinning controller, respectively, and these criteria are convenient to be used for concision. A numerical example is provided to illustrate the effectiveness of the method proposed in this paper.     

Differential equations in spaces of abstract stochastic distributions

We develop the theory of stochastic distributions with values in a separable Hilbert space, and apply this theory to the investigation of abstract stochastic evolution equations with additive noise.     

A new heuristic for resource-constrained project scheduling in stochastic networks using critical chain concept

This paper presents a newly developed resource-constrained project scheduling method in stochastic networks by merging the new and traditional resource management methods. In each project, the activities consume various types of resources with fixed capacities. The duration of each activity is a random variable with a given density function. Since the backward pass method is implemented for feeding-in resources. The problem is to determine the finish time of each activity instead of its start time. The objective of the presented model is defined as minimizing the multiplication of expected project duration and its variance. The values of activities finish times are determined at decision points when at least one activity is ready to be operated and there are available resources. If at a certain point of time, more than one activity is ready to be operated but available resources are lacking, a competition among ready activities is carried out in order to select the activities which must be operated first. This paper suggests a competition routine by implementing a policy to maximize the total contribution of selected activities in reducing the expected project duration and its variance. In this respect, a heuristic algorithm is developed and compared with the other existing methods.     

Delay-dependent stochastic stability of delayed Hopfield neural networks with Markovian jump parameters

In this paper, the problem of stochastic stability for a class of time-delay Hopfield neural networks with Markovian jump parameters is investigated. The jumping parameters are modeled as a continuous-time, discrete-state Markov process. Without assuming the boundedness, monotonicity and differentiability of the activation functions, some results for delay-dependent stochastic stability criteria for the Markovian jumping Hopfield neural networks (MJDHNNs) with time-delay are developed. We establish that the sufficient conditions can be essentially solved in terms of linear matrix inequalities.     

A Laplace transform method for order statistics from nonidentical random variables and its application in Phase-type distribution

In this paper, we derive a method for obtaining the Laplace transform of order statistics (o.s.) arising from general independent nonidentically distributed random variables (r.v.’s). A survey of the most important properties, applications and the o.s. of a Phase-type (PH) distribution are also presented. Two illustrative examples are provided.     

Mean square global asymptotic stability of stochastic recurrent neural networks with distributed delays

By constructing suitable Lyapunov functionals and combining with matrix inequality technique, a new simple sufficient condition is presented for the global asymptotic stability in the mean square of delayed neural networks.     

Exponential synchronization of stochastic fuzzy cellular neural networks with time delay in the leakage term and reaction-diffusion

Separate studies have been published on the stability of fuzzy cellular neural networks with time delay in the leakage term and synchronization issue of coupled chaotic neural networks with stochastic perturbation and reaction-diffusion effects. However, there have not been studies that integrate the two fields. Motivated by the achievements from both fields, this paper considers the exponential synchronization problem of coupled chaotic fuzzy cellular neural networks with stochastic noise perturbation, time delay in the leakage term and reaction-diffusion effects using linear feedback control. Lyapunov stability theory combining with stochastic analysis approaches are employed to derive sufficient criteria ensuring the coupled chaotic fuzzy neural networks to be exponentially synchronized. This paper also presents an illustrative example and uses simulated results of this example to show the feasibility and effectiveness of the proposed scheme.     

Exponential synchronization of stochastic perturbed complex networks with time-varying delays via periodically intermittent pinning

In this paper, the exponential synchronization is investigated for stochastic complex networks with time-varying delays via periodically intermittent pinning control. By utilizing the Lyapunov stability theory, stochastic analysis theory as well as linear matrix inequalities (LMI), the sufficient conditions are derived to guarantee the exponential synchronization. Furthermore, the complex networks considered in this paper are more general than the models in previous works. Therefore, the application scope is enlarged. And the result is computationally efficient for the obtained condition. The numerical simulation is provided to show the effectiveness of the theoretical results.     

Finite-time stochastic synchronization of complex networks

In this paper, we study the finite-time stochastic synchronization problem for complex networks with stochastic noise perturbations. By using finite-time stability theorem, inequality techniques, the properties of Weiner process and adding suitable controllers, sufficient conditions are obtained to ensure finite-time stochastic synchronization for the complex networks. The effects of control parameters on synchronization speed and time are also analyzed. The results of this paper are applicable to both directed and undirected weighted networks while do not need to know any information about eigenvalues of coupling matrix. Since finite-time synchronization means the optimality in convergence time and has better robustness and disturbance rejection properties, the results of this paper are important. A numerical example shows the effectiveness of our new results.     

Diffusion approximation for signaling stochastic networks

This paper introduces an unified approach to diffusion approximations of signaling networks. This is accomplished by the characterization of a broad class of networks that can be described by a set of quantities which suffer exchanges stochastically in time. We call this class stochastic Petri nets with probabilistic transitions, since it is described as a stochastic Petri net but allows a finite set of random outcomes for each transition. This extension permits effects on the network which are commonly interpreted as “routing” in queueing systems. The class is general enough to include, for instance, G-networks with negative customers and triggers as a particular case. With this class at hand, we derive a heavy traffic approximation, where the processes that drive the transitions are given by state-dependent Poisson-type processes and where the probabilities of the random outcomes are also state-dependent. The objective of this approach is to have a diffusion approximation which can be readily applied in several practical problems. We illustrate the use of the results with some numerical experiments.