Fictitious play in stochastic games

In this paper we examine an extension of the fictitious play process for bimatrix games to stochastic games. We show that the fictitious play process does not necessarily converge, not even in the 2 × 2 × 2 case with a unique equilibrium in stationary strategies. Here 2 × 2 × 2 stands for 2 players, 2 states, 2 actions for each player in each state.     

A new heuristic for resource-constrained project scheduling in stochastic networks using critical chain concept

This paper presents a newly developed resource-constrained project scheduling method in stochastic networks by merging the new and traditional resource management methods. In each project, the activities consume various types of resources with fixed capacities. The duration of each activity is a random variable with a given density function. Since the backward pass method is implemented for feeding-in resources. The problem is to determine the finish time of each activity instead of its start time. The objective of the presented model is defined as minimizing the multiplication of expected project duration and its variance. The values of activities finish times are determined at decision points when at least one activity is ready to be operated and there are available resources. If at a certain point of time, more than one activity is ready to be operated but available resources are lacking, a competition among ready activities is carried out in order to select the activities which must be operated first. This paper suggests a competition routine by implementing a policy to maximize the total contribution of selected activities in reducing the expected project duration and its variance. In this respect, a heuristic algorithm is developed and compared with the other existing methods.     

Meta-heuristic approaches with memory and evolution for a multi-product production/distribution system design problem

We consider a multi-product two-stage production/distribution system design problem (PDSD) where a fixed number of capacitated distribution centers are to be located with respect to capacitated suppliers (plants) and retail locations (customers) while minimizing the total costs in the system. We present a mixed-integer problem formulation that facilitates the development of efficient heuristic procedures. We provide meta-heuristic procedures, including a population-based scatter search with path relinking and trajectory-based local and tabu search, for the solution of the problem. We also develop efficient construction heuristics and transshipment heuristics that are incorporated into the heuristic procedures for the solution of subproblems. We present extensive computational results that show the high performance of the solution approaches. We obtain smaller than 1.0% average optimality gaps with acceptable runtimes, even for relatively large problems. The computational results also demonstrate the effectiveness of the construction and transshipment heuristics that impact the solution quality and overall runtimes.     

含社会地位的随机内生经济增长模型

本文在考虑产出波动的前提下,将个人的社会地位纳入消费者的效用函数,建立连续时间内的随机内生经济增长模型,利用随机最优化方法,分析随机波动和个人资本存量的变化对经济增长的影响.     

Diversification strategies in tabu search algorithms for the maximum clique problem

The purpose of this study is to develop some understanding of the benefits that can be derived from the inclusion of diversification strategies in tabu search methods. To do so, we discuss the implementation of various diversification strategies in several tabu search heuristics developed for the maximum clique problem. Computational results on a large set of randomly generated test problems are reported and compared to assess the impact of these techniques on solution quality and running time.     

Reciprocal cooperation in the Prisoner's Dilemma repeated with random horizon

Summary A standard assumption on the Iterated Prisoner's Dilemma is that the probability of further interaction is constant. Then, cooperation via reciprocity can be guaranteed if and only if this probability is sufficiently high. In this paper we analyze a more realistic model: a discrete random variable, not necessarily geometric, governs the number of interactions. We obtain necessary conditions and sufficient conditions for reciprocal cooperation based on the use of TFT strategy by both players. The obtained conditions are particularized to classes of distributions with monotonous failure rate and to some relevant probability models.     

Some stochastic aspects of quantization

From the advent of quantum mechanics, various types of stochastic-dynamical approach to quantum mechanics have been tried. We discuss how to utilize Nelson’s stochastic quantum mechanics to analyze the tunneling phenomena, how to derive relativistic field equations via the Poisson process and how to describe a quantum dynamics of open systems by the use of quantum state diffusion, or the stochastic Schrödinger equation.     

A heuristic approach for airport gate assignments for stochastic flight delays

To make good flight to gate assignments, not only do all the relevant constraints have to be considered, but stochastic flight delays that occur in actual operations also have to be taken into account. In past research, airport gate assignments and stochastic disturbances have often been handled in the planning and the real-time stages separately, meaning that the interrelationship between these stages, as affected by such delays, has been neglected. In this research, we develop a heuristic approach embedded in a framework designed to help the airport authorities make airport gate assignments that are sensitive to stochastic flight delays. The framework includes three components, a stochastic gate assignment model, a real-time assignment rule, and two penalty adjustment methods. The test results are based on data supplied by a Taiwan international airport, and show that the proposed framework performs better than the current manual assignment process and the traditional deterministic model.     

Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers

We consider a production planning problem for a jobshop with unreliable machines producing a number of products. There are upper and lower bounds on intermediate parts and an upper bound on finished parts. The machine capacities are modelled as finite state Markov chains. The objective is to choose the rate of production so as to minimize the total discounted cost of inventory and production. Finding an optimal control policy for this problem is difficult. Instead, we derive an asymptotic approximation by letting the rates of change of the machine states approach infinity. The asymptotic analysis leads to a limiting problem in which the stochastic machine capacities are replaced by their equilibrium mean capacities. The value function for the original problem is shown to converge to the value function of the limiting problem. The convergence rate of the value function together with the error estimate for the constructed asymptotic optimal production policies are established.     

Backtracking Adaptive Search: Distribution of Number of Iterations to Convergence

Backtracking adaptive search is a simplified stochastic optimiza-tion procedure which permits the acceptance of worsening objective function values. It generalizes the hesitant adaptive search, which in turn is a gener-alization of the pure adaptive search. In this paper, we use ideas from the theory of stochastic processes to determine the full distribution of the number of iterations to convergence for the backtracking adaptive search.Communicated by P. M. PardalosThe authors thank theMarsden Fund of the Royal Society of New Zealand for support of this research. The fourth author was supported by a Bright Future Scholarship administered by the Foundation for Research, Science and Technology.