Shift-Generated Random Permutations and The M/D/1 Queue

We consider a simple shift procedure which transforms any mappingf:{0, ..., n}{0, ..., n} into a permutation of 0, ..., n. Westudy this shift under the assumption that the values f(0),..., f(n) are uniformly and independently chosen random numbersin {0, ..., n}. The exact and asymptotic distributions of therequired shift sizes are derived, and a connection to queueingtheory is exhibited. 1991 Mathematics Subject Classification60C05, 60K25.     

Duality of dams via mountain processes

We consider a G/M/1-type dam having finite capacity and a general release rule, and construct a ‘dual’ M/G/1-type dam with state-dependent jump sizes and without dry periods whose content process has the same stationary density (up to some transformation). For the dual dam the stationary distribution can be computed in closed form.     

Some structural properties of a Markovian storage/production system

We consider a storage/production system with state-dependent production rate and state-dependent demand arrival rate. Every arriving demand gives rise to a 'peak' in the trajectory of the content process. We characterize the processes N ₀(x)and N₁(x), defined as the number of peaks and the number of record peaks, respectively, before the content reaches the level x. The results are applied to the virtual waiting time process W(t) of a M/G/1 queue. Assuming that W(0)= x₀, M(x) is defined to be the number of arrivals before the virtual waiting time drops from x₀ to x₀-x(0⩽ x ⩽ x₀) ; in particular, Mx₀)is the number of customers arriving during the first busy period. It is shown that (M(x))(0⩽ x ⩽ x₀)is a compound Poisson process, and its jump size distribution is derived in closed form. This revised version was published online in June 2006 with corrections to the Cover Date.     

Asymptotics of Damped Periodic Motions with Random Initial Speed

We consider motion on the circle, possibly with friction and external forces, the initial velocity being a large random variable. We prove that under various assumptions the probability law of the stopping position of the motion converges to a distribution depending only on the motion equation. Here the time of stopping is either a constant or the first time instant at which the velocity vanishes, and the initial velocity is of the form αU + β, where U is a fixed random variable and α and/or β tend to infinity.     

A full information pricing problem for the sale of several identical commodities

Summary k commodities of the same kind are for sale in a finite time intervalI, and potential customers arrive according to a Poisson process. It is assumed that no customer may buy more than one unit. The seller has to fix, for eacht I, a price for which he is willing to sell a commodity at timet. This decision is based on the knowledge of the probabilities that a customer appearing at timet will accept a price of at mostx monetary units (for allt I andx > 0). There is no possibility of recall of previous customers. We characterize an optimal price function and the maximal expected gain. Further the relation to the persistency problem of Elfving (1967) is exhibited.

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Zusammenfassung k gleichartige Güter sollen in einem endlichen ZeitintervallI an Kunden verkauft werden, deren Ankunftszeitpunkte einen Poisson-Prozeß bilden. Es wird angenommen, daß kein Kunde mehr als eine Einheit kauft. Der Verkäufer muß für jedest I einen Preis angeben, zu dem er eine Einheit zum Zeitpunktt im Falle einer Nachfrage verkaufen würde. Es wird vorausgesetzt, daß er für jedest I und jedesx>0 die Wahrscheinlichkeit kennt, daß ein zur Zeitt eintreffender Kunde höchstens den Preisx für das Gut akzeptiert; die Möglichkeit, auf frühere Kunden zurückzugreifen, ist ausgeschlossen. Für diese Situation wird eine optimale Preisfunktion sowie der zugehörige maximale erwartete Erlös bestimmt. Ferner wird die Beziehung dieses Modells zu einem verwandten Problem von Elfving (1967) herausgestellt.

     

Group testing procedures with incomplete identification and unreliable testing results

We consider multistage group testing with incomplete identification and unreliability features. The objective is to find a cost‐efficient group testing policy to select a prespecified number of non‐defective items from some population in the presence of false‐positive and false‐negative test results, subject to reliability and other constraints. To confirm the status of tested groups, various sequential retesting procedures are suggested. We also extend the model to include the possibility of inconclusive test results. We derive all relevant cost functionals in analytically closed form. Numerical examples are also given. Copyright © 2006 John Wiley & Sons, Ltd.     

The M/G/1 Queue with Finite Workload Capacity

We consider the M/G/1 queueing system in which customers whose admission to the system would increase the workload beyond a prespecified finite capacity limit are not accepted. Various results on the distribution of the workload are derived; in particular, we give explicit formulas for its stationary distribution for M/M/1 and in the general case, under the preemptive LIFO discipline, for the joint stationary distribution of the number of customers in the system and their residual service times. Furthermore, the Laplace transform of the length of a busy period is determined. Finally, for M/D/1 the busy period distribution is derived in closed form.     

Clearing Models for M/G/1 Queues

We consider M/G/1-type queueing systems with disasters, occurring at certain random times and causing an instantaneous removal of the entire residual workload from the system. After such a clearing, the system is assumed to be ready to start working again immediately. We consider clearings at deterministic equidistant times, at random times and at crossings of some prespecified level, and derive the stationary distribution of the workload process for these clearing times and some of their combinations.     

On the relationship of goal programming and utility functions

Summary We solve the problem under which circumstances the set of solutions of a goal program may also be considered as the set of points maximizing a continuous, concave, isotonic utility function. The converse question is also answered, and there are given conditions ensuring the efficiency of the optimal points of a goal program.

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Zusammenfassung Es werden Bedingungen für die Effizienz der Lösungen eines goal program entwickelt, ferner wird gezeigt, wann die Lösungsmenge eines goal program ebenfalls durch Maximierung konkaver, stetiger, isotoner Nutzenfunktionen zu erhalten ist. Schließlich wird die umgekehrte Frage beantwortet, unter welchen Bedingungen an eine Nutzenfunktion die zugehörige Lösungsmenge auch durch ein goal program, das mit einer normerzeugten Metrik arbeitet, induziert wird.

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This research has been supported by the Deutsche Forschungsgemeinschaft, project number 88/3.