The Sample Average Approximation Method Applied to Stochastic Routing Problems: A Computational Study

The sample average approximation (SAA) method is an approach for solving stochastic optimization problems by using Monte Carlo simulation. In this technique the expected objective function of the stochastic problem is approximated by a sample average estimate derived from a random sample. The resulting sample average approximating problem is then solved by deterministic optimization techniques. The process is repeated with different samples to obtain candidate solutions along with statistical estimates of their optimality gaps.We present a detailed computational study of the application of the SAA method to solve three classes of stochastic routing problems. These stochastic problems involve an extremely large number of scenarios and first-stage integer variables. For each of the three problem classes, we use decomposition and branch-and-cut to solve the approximating problem within the SAA scheme. Our computational results indicate that the proposed method is successful in solving problems with up to 2¹⁶⁹⁴ scenarios to within an estimated 1.0% of optimality. Furthermore, a surprising observation is that the number of optimality cuts required to solve the approximating problem to optimality does not significantly increase with the size of the sample. Therefore, the observed computation times needed to find optimal solutions to the approximating problems grow only linearly with the sample size. As a result, we are able to find provably near-optimal solutions to these difficult stochastic programs using only a moderate amount of computation time.     

A general Hsu-Robbins-Erdős Type estimate of tail probabilities of sums of independent identically distributed random variables

Periodica Mathematica Hungarica - Let X 1,X 2,... be a sequence of independent and identically distributed random variables, and put % MATHTYPE!MTEF!2!1!+-%...     

The Balian-Low theorem and regularity of Gabor systems

For any positive real numbers A, B, and d satisfying the conditions , d>2, we construct a Gabor orthonormal basis for L²(ℝ), such that the generating function g∈L²(ℝ) satisfies the condition:∫_ℝ|g(x)|²(1+|x| ^A )/log ^d (2+|x|)dx < ∞ and .     

Essential dimension of quadrics

Let X be an anisotropic projective quadric over a field F of characteristic not 2. The essential dimension dim_es(X) of X, as defined by Oleg Izhboldin, is dim_es(X)=dim(X)-i(X) +1, where i(X) is the first Witt index of X (i.e., the Witt index of X over its function field).Let Y be a complete (possibly singular) algebraic variety over F with all closed points of even degree and such that Y has a closed point of odd degree over F(X). Our main theorem states that dim_es(X)dim(Y) and that in the case dim_es(X)=dim(Y) the quadric X is isotropic over F(Y).Applying the main theorem to a projective quadric Y, we get a proof of Izhboldins conjecture stated as follows: if an anisotropic quadric Y becomes isotropic over F(X), then dim_es(X)dim_es(Y), and the equality holds if and only if X is isotropic over F(Y). We also solve Knebuschs problem by proving that the smallest transcendence degree of a generic splitting field of a quadric X is equal to dim_es(X). To the memory of Oleg Izhboldin     

Optimal prediction for linear regression with infinitely many parameters

The problem of optimal prediction in the stochastic linear regression model with infinitely many parameters is considered. We suggest a prediction method that outperforms asymptotically the ordinary least squares predictor. Moreover, if the random errors are Gaussian, the method is asymptotically minimax over ellipsoids in ?₂. The method is based on a regularized least squares estimator with weights of the Pinsker filter. We also consider the case of dynamic linear regression, which is important in the context of transfer function modeling.     

<Emphasis Type="Italic">G</Emphasis>-covering subgroup systems for the classes of supersoluble and nilpotent groups

LetF be a class of groups andG a group. We call a set Σ of subgroups ofG aG-covering subgroup system for the classF (or directly aF-covering subgroup system ofG) ifG ∈F whenever every subgroup in Σ is inF. In this paper, we provide some nontrivial sets of subgroups of a finite groupG which are simultaneouslyG-covering subgroup systems for the classes of supersoluble and nilpotent groups. Research of the first author is supported by the NNSF of China (Grant No. 10171086) and QLGCF of Jiangsu Province and a Croucher Fellowship of Hong Kong. Research of the second author is partially supported by a UGC (HK) grant #2060176 (2001/2002).     

The Busemann-Petty problem via spherical harmonics

The Busemann-Petty problem asks whether symmetric convex bodies in with smaller central hyperplane sections necessarily have smaller n-dimensional volume. The solution has recently been completed, and the answer is affirmative if n?4 and negative if n?5. In this article we present a short proof of the affirmative result and its generalization using the Funk-Hecke formula for spherical harmonics.     

The convex hull property and topology of hypersurfaces with nonnegative curvature

We prove that, in Euclidean space, any nonnegatively curved, compact, smoothly immersed hypersurface lies outside the convex hull of its boundary, provided the boundary satisfies certain required conditions. This gives a convex hull property, dual to the classical one for surfaces with nonpositive curvature. A version of this result in the nonsmooth category is obtained as well. We show that our boundary conditions determine the topology of the surface up to at most two choices. The proof is based on uniform estimates for radii of convexity of these surfaces under a clipping procedure, a noncollapsing convergence theorem, and a gluing procedure.     

Continuous modified Newton’s-type method for nonlinear operator equations

A nonlinear operator equation F(x)=0, F:H→H, in a Hilbert space is considered. Continuous Newton’s-type procedures based on a construction of a dynamical system with the trajectory starting at some initial point x ₀ and becoming asymptotically close to a solution of F(x)=0 as t→+∞ are discussed. Well-posed and ill-posed problems are investigated. Received: June 29, 2001; in final form: February 26, 2002?Published online: February 20, 2003 This paper was finished when AGR was visiting Institute for Theoretical Physics, University of Giessen. The author thanks DAAD for support