Augmented Lagrangian algorithms for linear programming

We introduce new augmented Lagrangian algorithms for linear programming which provide faster global convergence rates than the augmented algorithm of Polyak and Treti'akov. Our algorithm shares the same properties as the Polyak-Treti'akov algorithm in that it terminates in finitely many iterations and obtains both primal and dual optimal solutions. We present an implementable version of the algorithm which requires only approximate minimization at each iteration. We provide a global convergence rate for this version of the algorithm and show that the primal and dual points generated by the algorithm converge to the primal and dual optimal set, respectively.     

Some properties of bivariate Gumbel Type A distributions with proportional hazard rates

We call a set of univariate distributions with the same mathematical form but different parameter values a family $\text{J}$. Consider a bivariate Gumbel Type A survival distribution, S₁₂(x₁, x₂), defined in (2.1), for which both marginal distributions, S₁(x₁), S₂(x₂), belong to the same family, $\text{J}$ of distributions. It is proved in this paper that subject to weak conditions, the crude hazard rates, h₁(t) and h₂(t), are proportional if and only if the marginal hazard rates, λ₁(t) and λ₂(t), are proportional (Theorem 1). It is also shown that the survival functions of W = min(X₁, X₂), and of the identified minimum, W_i = X_i, for X_i < X_j, j ≠ i, belong to the same family $\text{J}$ as do S₁(x₁), S₂(x₂) (Corollary 1). Counter-examples of distributions other than Gumbel Type A, for which these properties do not hold, are given. Some applications to the analysis of competing risks, using a family of Gompertz distributions, are discussed.     

On the convergence of policy iteration for controlled diffusions

The convergence of an approximation scheme known as policy iteration has been demonstrated for controlled diffusions by Fleming, Puterman, and Bismut. In this paper, we show that this approximation scheme is equivalent to the Newton-Kantorovich iteration for solving the optimality equation and exploit this equivalence to obtain a new proof of convergence. Estimates of the rate of convergence of this procedure are also obtained.This research was partially supported by NRC Grant No. A-3609.     

Biased lattice gases with correlated equilibrium states

The approach to and structure of the equilibrium state is studied for a 7-bit lattice gas with biased forward and backward transition rates by means of mean field theory and computer simulations. If the rate constants obey the factorizability and the detailed balance conditions, the occupations of different velocity directions are uncorrelated, anH-theorem is valid, and a nonuniversal equilibrium state exists that depends explicitly on the transition rates. In case the above conditions are not satisfied, theH-theorem is no longer valid, and mean field theory also predicts nontrivial velocity correlations in postcollision states. The simulations are mainly concentrated on the time dependence of pre- and postcollision velocity correlations on a single node, and on slowly increasing fluctuations that might indicate metastable behavior.     

On a class of Bayesian nonparametric estimates: II. Hazard rate estimates

The Bayes estimation of hazard rates for a family of multiplicative point processes is considered. We study the model for which a hazard rate can be linearly parametrized by a freely varied measure. The weighted gamma process is assumed to be the prior distribution of this measure; the posterior distributions and the posterior means are given in explicit forms. Examples of the evaluation of posterior means are given.The research of this author is supported in part by NSF Grant MCS 81-02523-01.     

Notes on the dynamics of pension funding

The authors follow up some previous work on the dynamics of pension funding by three notes. The first of these concerns contribution rates consisting of the normal cost plus a generalized amortization method for unfunded supplemental present value (actuarial accrued liability). The second note examines aggregate cost funding for active members when there exist consistent difference between the assumed and the actual rates of interest and of growth. The third note explores the operation of a variable annuity system in the context of our general model for pension funding dynamics.     

A supplement to precise asymptotics in the law of the iterated logarithm

Let be a sequence of real-valued i.i.d. random variables with E(X)=0 and E(X²)=1, and set , n?1. This paper studies the precise asymptotics in the law of the iterated logarithm. For example, using a result on convergence rates for probabilities of moderate deviations for obtained by Li et al. [Internat. J. Math. Math. Sci. 15 (1992) 481-497], we prove that, for every b∈(−1/2,1],

     

Using the Banach Contraction Principle to Implement the Proximal Point Method for Multivalued Monotone Variational Inequalities

We apply the Banach contraction-mapping fixed-point principle for solving multivalued strongly monotone variational inequalities. Then, we couple this algorithm with the proximal-point method for solving monotone multivalued variational inequalities. We prove the convergence rate of this algorithm and report some computational results.This work was completed during the stay of the second author at the Department of Mathematics, University of Namur, Namur, Belgium, 2003.     

The Boltzmann equation for a polyatomic gas

A formulation of the kinetic theory of dilute, classical polyatomic gases is given which parallels the Waldmann development for structureless molecules. In the first section the Boltzmann equation is written in terms of the specific rates of inelastic collision processes and then the properties of these rates and those of the corresponding collision cross sections are examined. The dependence of the distribution function on the dynamical variables is discussed and the equations of change for the gas are derived. Finally, a study is made of the properties of the linearized Boltzmann collision operation. In the second section the Boltzmann equation is deduced from a rigorous statistical-mechanical point of view and discussed in terms of the basic ideas of Bogoliubov. The computationally important special case of impulsive interactions is then considered.This research was supported in part by a grant from the National Science Foundation and in part by the Ames Laboratory of the U. S. Atomic Energy Commission. Contribution No. 2554.     

SU(3)下的美介子半轻子衰变

强相互作用中近似成立的SU(3)对称性被用来分析美介子半轻子三体和四体衰变,获得了衰变宽度之间的一些SU(3)联系.这些联系可以为了解美介子半轻子衰变中产生的各种动力学效应的性质提供一些信息.