A stochastic algorithm using one sample point per iteration and diminishing stepsizes

A stochastic algorithm for finding stationary points of real-valued functions defined on a Euclidean space is analyzed. It is based on the Robbins-Monro stochastic approximation procedure. Gradient evaluations are done by means of Monte Carlo simulations. At each iteratex _i , one sample point is drawn from an underlying probability space, based on which the gradient is approximated. The descent direction is against the approximation of the gradient, and the stepsize is 1/i. It is shown that, under broad conditions, w.p.1 if the sequence of iteratesx ₁,x ₂,...generated by the algorithm is bounded, then all of its accumulation points are stationary.     

Laguerre expansion on the Heisenberg group and Fourier-Bessel transform on C~n Dedicated to Professor Sheng GONG on the occasion of his 75th birthday

Given a principal value convolution on the Heisenberg group Hn = Cn×R, we study the relation between its Laguerre expansion and the Fourier-Bessel expansion of its limit on Cn. We also calculate the Dirichlet kernel for the Laguerre expansion on the group Hn.     

High energy asymptotics of the scattering amplitude for the Schrödinger equation

We find an explicit function approximating at high energies the kernel of the scattering matrix with arbitrary accuracy. Moreover, the same function gives all diagonal singularities of the kernel of the scattering matrix in the angular variables. This paper is dedicated to Jean-Michel Combes on the occasion of his sixtieth birthday.     

Index Heuristics for Multiclass M/G/1 Systems with Nonpreemptive Service and Convex Holding Costs

We consider the optimal service control of a multiclass M/G/1 queueing system in which customers are served nonpreemptively and the system cost rate is additive across classes and increasing convex in the numbers present in each class. Following Whittle's approach to a class of restless bandit problems, we develop a Langrangian relaxation of the service control problem which serves to motivate the development of a class of index heuristics. The index for a particular customer class is characterised as a fair charge for service of that class. The paper develops these indices and reports an extensive numerical investigation which exhibits strong performance of the index heuristics for both discounted and average costs.     

乌桕类可可脂结晶过程中表现体积变化

为了解乌桕类可可脂(CTCBE)缓冷结晶横向胀罐爆裂原因，研究CTCBE结晶过程中的膨胀特性，采用流体静力法测试了不同等温结晶条件下CTCBE结晶形成的表观密度和表观体积及其横纵向膨胀状况。结果表明，CTCBE缓冷结晶后形成外部和中部两个晶区。在5-25℃的各等温结晶范围内，当结晶温度增加时，外部结晶区域减小、表观密度变化不大；中部结晶区域增大、表观密度明显减小，CTCBE的表观体积、横向、纵向膨胀率均增大，膨胀横向大于纵向。进一步表明CTCBE在自然缓冷固化的表观体积根本上由其结晶温度决定。为有效防止横向胀罐，自然缓冷固化温度应低于10℃。     

Stress concentration and effective stiffness of aligned fiber reinforced composite with anisotropic constituents

The paper addresses the problem of calculation of the local stress field and effective elastic properties of a unidirectional fiber reinforced composite with anisotropic constituents. For this aim, the representative unit cell approach has been utilized. The micro geometry of the composite is modeled by a periodic structure with a unit cell containing multiple circular fibers. The number of fibers is sufficient to account for the micro structure statistics of composite. A new method based on the multipole expansion technique is developed to obtain the exact series solution for the micro stress field. The method combines the principle of superposition, technique of complex potentials and some new results in the theory of special functions. A proper choice of potentials and new results for their series expansions allow one to reduce the boundary-value problem for the multiple-connected domain to an ordinary, well-posed set of linear algebraic equations. This reduction provides high numerical efficiency of the developed method. Exact expressions for the components of the effective stiffness tensor have been obtained by analytical averaging of the strain and stress fields.     

On Non-Continuous Dirichlet Processes

We introduce here some Itô calculus for non-continuous Dirichlet processes. Such calculus extends what was known for continuous Dirichlet processes or for semimartingales. In particular we prove that non-continuous Dirichlet processes are stable under C ¹ transformation.     

NCD系统的数学理论

无索赔折扣系统(No Claim Discount system,简记为NCD系统)是世界各国机动车辆险中广泛采用的一种经验费率厘定机制.本文尝试建立了NCD系统严谨的数学理论, 重点讨论了NCD系统的数学建模和稳态分析.此外,作为本文必要的数学前提,首先在第2节着重探讨了随机矩阵间的随机优序关系,并将所得结论运用至齐次不可约且遍历的马尔科夫链的研究中,这些内容也有其独立的数学上的兴趣.     

The Sample Average Approximation Method Applied to Stochastic Routing Problems: A Computational Study

The sample average approximation (SAA) method is an approach for solving stochastic optimization problems by using Monte Carlo simulation. In this technique the expected objective function of the stochastic problem is approximated by a sample average estimate derived from a random sample. The resulting sample average approximating problem is then solved by deterministic optimization techniques. The process is repeated with different samples to obtain candidate solutions along with statistical estimates of their optimality gaps.We present a detailed computational study of the application of the SAA method to solve three classes of stochastic routing problems. These stochastic problems involve an extremely large number of scenarios and first-stage integer variables. For each of the three problem classes, we use decomposition and branch-and-cut to solve the approximating problem within the SAA scheme. Our computational results indicate that the proposed method is successful in solving problems with up to 2¹⁶⁹⁴ scenarios to within an estimated 1.0% of optimality. Furthermore, a surprising observation is that the number of optimality cuts required to solve the approximating problem to optimality does not significantly increase with the size of the sample. Therefore, the observed computation times needed to find optimal solutions to the approximating problems grow only linearly with the sample size. As a result, we are able to find provably near-optimal solutions to these difficult stochastic programs using only a moderate amount of computation time.     

On Weak Solutions of an Integral Equation Driven by a p-Semimartingale of Special Type

We consider the integral equation driven by a standard Brownian motion and by a fractional Brownian motion. Sufficient conditions under which the equation has a weak solution are obtained.