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.     

On f-injective modules

In this paper, the notions of f-injective and f^*-injective modules are introduced. Elementary properties of these modules are given. For instance, a ring R is coherent iff any ultraproduct of f-injective modules is absolutely pure. We prove that the class S^* \Sigma^* of f^*-injective modules is closed under ultraproducts. On the other hand, S^* \Sigma^* is not axiomatisable. For coherent rings R, S^* \Sigma^* is axiomatisable iff every c₀ \chi_0 -injective module is f^*-injective. Further, it is shown that the class S \Sigma of f-injective modules is axiomatisable iff R is coherent and every c₀ \chi_0 -injective module is f-injective. Finally, an f-injective module H, such that every module embeds in an ultraprower of H, is given.     

Unconditional Bases, the Matrix Muckenhoupt Condition, and Carleson Series in a Spectrum

Two families of functions constructed by a system of n scalar Muckenhoupt weights are studied. Criteria are given under which these families are unconditional bases. From the point of view of the spectral operator theory, the problem is reduced to the study of the structure of n-dimensional perturbations of the integration operator. Weighted estimates for the Hilbert transform in the spaces of vector-functions are applied to construct an operator mapping functions of the studied families to vector-valued rational functions. The concept of the Carleson series is used in the study of the following problem: when do vector-valued rational functions form an unconditional basis? Bibliography: 8 titles.     

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.     

Higher-dimensional homogeneous cosmological models as autonomous dynamical systems

The field equations for homogeneous models in an arbitrary number of dimensions form a Hamiltonian system with constraint forces. Due to the monotonic behavior of the determinant of the induced metric, the evolution of the system can be interpreted as the motion of a particle in an explicitly time-dependent potential. Considering vacuum models, we show that this explicit time-dependence can be eliminated. Using the scaling properties of the Ricci tensor we obtain an autonomous system, for which we can also find a Liapunov function in terms of the n-dimensional Ricci curvature.     

Solving the problem of contact equilibrium of a punch and an elastic body

The variational problem of contact equilibrium of a punch and an elastic body is considered. An equivalent formulation of the problem is given in variational inequality form. Existence and uniqueness of the solution is investigated in a particular case. A penalty method is proposed for approximate solution of the problem.Translated from Vychislitel'naya i Prikladnaya Matematika, No. 56, pp. 97–103, 1985.     

Numerical analysis of near electromagnetic fields of a parabolic cylinder and a paraboloid of revolution

Translated from Chislennye Metody Resheniya Obratnykh Zadach Matematicheskoi Fiziki, pp. 119–127.