Sequential Importance Sampling Algorithms for Dynamic Stochastic Programming

This paper gives a comprehensive treatment of EVPI-based sequential importance sampling algorithms for dynamic (multistage) stochastic programming problems. Both theory and computational algorithms are discussed. Under general assumptions it is shown that both an expected value of perfect information (EVPI) process and the corresponding marginal EVPI process (the supremum norm of the conditional expectation of its generalized derivative) are nonanticipative nonnegative supermartingales. These processes are used as importance criteria in the class of sampling algorithms treated in the paper. When their values are negligible at a node of the current sample problem scenario tree, scenarios descending from the node are replaced by a single scenario at the next iteration. On the other hand, high values lead to increasing the number of scenarios descending from the node. Both the small sample and asymptotic properties of the sample problem estimates arising from the algorithms are established, and the former are evaluated numerically in the context of a financial planning problem. Finally, current and future research is described. Bibliography: 49 titles. __________ Published in Zapiski Nauchnykh Seminarov POMI, Vol. 312, 2004, pp. 94–129.     

Periodic Integrable Systems with Delta-Potentials

In this paper we study root system generalizations of the quantum Bose-gas on the circle with pair-wise delta-function interactions. The underlying symmetry structures are shown to be governed by the associated graded algebra of Cherednik's (suitably filtered) degenerate double affine Hecke algebra, acting by Dunkl-type differential-reflection operators. We use Gutkin's generalization of the equivalence between the impenetrable Bose-gas and the free Fermi-gas to derive the Bethe ansatz equations and the Bethe ansatz eigenfunctions.     

Chaos and hyperchaos in a gyrotron

We study oscillation in a gyrotron with allowance for reflections from an output horn. Regions with different system behaviors, such as stationary oscillation, self-modulation, and complex-dynamics regimes are found in the parameter plane. The scenarios of appearance of chaotic oscillations are considered. It is shown that they can emerge via either a sequence of period-doubling bifurcations or destruction of quasiperiodic motion. For chaotic attractors, Lyapunov exponents are calculated and their dimensions are estimated on the basis of the Kaplan-Yorke formula. The dimension values turn out to be anomalously large, which is stipulated by the presence of a large number of high-Q eigenmodes in the gyrotron cavity due to operation near the cutoff frequency of an electrodynamic system. __________ Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 49, No. 10, pp. 887–899, October 2006.     

On iteration semigroups of mean-type mappings and invariant means

Summary. Iteration semigroups of weighted quasi-arithmetic mean-type mappings are considered. Existence and uniqueness of a mean which is invariant with respect to a continuous semigroup of mean-type mapping is proved.     

Coxeter Transformation and Quasiquivers

Mathematical Notes -     

Numerical solutions of the shallow water equations with discontinuous bed topography

A simple scheme is developed for treatment of vertical bed topography in shallow water flows. The effect of the vertical step on flows is modelled with the shallow water equations including local energy loss terms. The bed elevation is denoted with z_b^‐ for the left and z_b⁺ for the right values at each grid point, hence exactly representing a discontinuity in the bed topography. The surface gradient method (SGM) is generalized to reconstruct water depths at cell interfaces involving a vertical step so that the fluxes at the cell interfaces can accurately be calculated with a Riemann solver. The scheme is verified by predicting a surge crossing a step, a tidal flow over a step and dam‐break flows on wet/dry beds. The results have shown good agreements compared with analytical solutions and available experimental data. The scheme is efficient, robust, and may be used for practical flow calculations. Copyright © 2002 John Wiley & Sons, Ltd.     

Effect of trapping centers of luminescent properties of bismuth orthogermanate

Translated from Zhurnal Prikladnoi Spektroskopii, Vol. 54, No. 6, pp. 970–975, June, 1991.     

Strictly majorizing tests in problems with nuisance parameters

An existence theorem is proved for a strictly majorizing test of composite hypotheses. Statistical corollaries of the theorem are explored.Translated from Statisticheskie Metody Otsenivaniya i Proverki Gipotez, pp. 73–78, 1986.