Heterochain model for simultaneous long‐chain branching and crosslinking. III. Multicomponent polymerization

The matrix formula developed in the context of heterochain theory, M?_w = M?_wp + WF ( I ? M )^?1 S , was applied to describe the molecular weight development during free‐radical multicomponent polymerization. All of the required probabilistic parameters are expressed in terms of the kinetic‐rate constants and the various concentrations associated with them. In free‐radical polymerization, the number of heterochain types, N, needs to be extrapolated to infinity, and such extrapolation is conducted with only three different N values. This matrix formula can be used as a benchmark test if other approximate approaches can give reasonable estimates of the weight‐average molecular weights. The moment equations with the average pseudo‐kinetic‐rate constants for branching and crosslinking reactions may provide poor estimates when the copolymer composition drift during polymerization is very significant. © 2004 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 42: 2801–2812, 2004     

BMAP/G/1 queue with correlated arrivals of customers and disasters

We consider a single server queue with disasters where the arrivals of customers and disasters are correlated. When a disaster occurs, it removes all the customers in the system and there requires repair time for the system to be operated normally. The stationary queue length distribution at the embedded points and at an arbitrary time are presented.     

An explicit solution to a tandem queueing model

We consider two queues in tandem, each with an exponential server, and with deterministic arrivals to the first queue. We obtain an explicit solution for the steady state distribution of the process (N₁(t), N₂(t), Y(t)), where N_j(t) is the queue length in the jth queue and Y(t) measures the time elapsed since the last arrival. Then we obtain the marginal distributions of (N₁(t), N₂(t)) and of N₂(t). We also evaluate the solution in various limiting cases, such as heavy traffic. This revised version was published online in June 2006 with corrections to the Cover Date.     

Delay-dependent stochastic stability of delayed Hopfield neural networks with Markovian jump parameters

In this paper, the problem of stochastic stability for a class of time-delay Hopfield neural networks with Markovian jump parameters is investigated. The jumping parameters are modeled as a continuous-time, discrete-state Markov process. Without assuming the boundedness, monotonicity and differentiability of the activation functions, some results for delay-dependent stochastic stability criteria for the Markovian jumping Hopfield neural networks (MJDHNNs) with time-delay are developed. We establish that the sufficient conditions can be essentially solved in terms of linear matrix inequalities.     

On the Erlang Loss Model with Time Dependent Input

We consider the M(t)/M(t)/m/m queue, where the arrival rate λ(t) and service rate μ(t) are arbitrary (smooth) functions of time. Letting p_n(t) be the probability that n servers are occupied at time t (0≤ n≤ m, t > 0), we study this distribution asymptotically, for m→∞ with a comparably large arrival rate λ(t) = O(m) (with μ(t) = O(1)). We use singular perturbation techniques to solve the forward equation for p_n(t) asymptotically. Particular attention is paid to computing the mean number of occupied servers and the blocking probability p_m(t). The analysis involves several different space-time ranges, as well as different initial conditions (we assume that at t = 0 exactly n₀ servers are occupied, 0≤ n₀≤ m). Numerical studies back up the asymptotic analysis. AMS subject classification: 60K25,34E10 Supported in part by NSF grants DMS-99-71656 and DMS-02-02815     

On bulk-service MAP/PH L,N /1/N G-Queues with repeated attempts

We consider a retrial queue with a finite buffer of size N, with arrivals of ordinary units and of negative units (which cancel one ordinary unit), both assumed to be Markovian arrival processes. The service requirements are of phase type. In addition, a PH^L,N bulk service discipline is assumed. This means that the units are served in groups of size at least L, where 1≤ L≤ N. If at the completion of a service fewer than L units are present at the buffer, the server switches off and waits until the buffer length reaches the threshold L. Then it switches on and initiates service for such a group of units. On the contrary, if at the completion of a service L or more units are present at the buffer, all units enter service as a group. Units arriving when the buffer is full are not lost, but they join a group of unsatisfied units called “orbit”. Our interest is in the continuous-time Markov chain describing the state of the queue at arbitrary times, which constitutes a level dependent quasi-birth-and-death process. We start by analyzing a simplified version of our queueing model, which is amenable to numerical calculation and is based on spatially homogeneous quasi-birth-and-death processes. This leads to modified matrix-geometric formulas that reveal the basic qualitative properties of our algorithmic approach for computing performance measures. AMS Subject Classification: Primary 60K25 Secondary 68M20 90B22.     

Stability of Markovian structure observed in high frequency foreign exchange data

Contrary to the common sense in economics and financial engineering, price fluctuations at very fine level of motion exhibit various evidences against the efficient market hypothesis. We attempt to investigate this issue by studying extensive amount of foreign currency exchange data for over five years at the finest level of resolution. We specifically focus on the proposed stability in binomial conditional probabilities originally found in much smaller examples of financial time series. In order to handle very large data, we have written an efficient program in C that automatically generates those conditional probabilities. It is found that the stability is maintained for extremely large time duration that covers almost the entire period. Based on the length of conditions for which the conditional probabilities are distinguishable each other, we identify the length of memory being less than 3 movements.     

Vessel Arrival Process and Queueing in Marine Ports Handling Bulk Materials

We study the vessel arrival process in bulk ports handling either cargo containers or minerals. Then we introduce the SHIP/G/1 queue to be able to study the queueing behavior at the port. We present approximations for the asymptotic probabilities of delay and the number of vessels at the port. Numerical examples show the accuracy of the approximations. In appendices, we provide details of the analysis of the number of vessels at the port and the correlation properties of the vessel arrival process.     

Robust H∞ control for linear Markovian jump systems with unknown nonlinearities

This paper studies the problem of stochastic stability and disturbance attenuation for a class of linear continuous-time uncertain systems with Markovian jumping parameters. The uncertainties are assumed to be nonlinear and state, control and external disturbance dependent. A sufficient condition is provided to solve the above problem. An H_∞ controller is designed such that the resulting closed-loop system is stochastically stable and has a disturbance attenuation γ for all admissible uncertainties. It is shown that the control law is in terms of the solutions of a set of coupled Riccati inequalities. A numerical example is included to demonstrate the potential of the proposed technique.