Exact Solution of Bayes and Minimax Change-Detection Problems

The challenge of detecting a change in the distribution of data is a sequential decision problem that is relevant to many engineering solutions, including quality control and machine and process monitoring. This dissertation develops techniques for exact solution of change-detection problems with discrete time and discrete observations. Change-detection problems are classified as Bayes or minimax based on the availability of information on the change-time distribution. A Bayes optimal solution uses prior information about the distribution of the change time to minimize the expected cost, whereas a minimax optimal solution minimizes the cost under the worst-case change-time distribution. Both types of problems are addressed. The most important result of the dissertation is the development of a polynomial-time algorithm for the solution of important classes of Markov Bayes change-detection problems. Existing techniques for epsilon-exact solution of partially observable Markov decision processes have complexity exponential in the number of observation symbols. A new algorithm, called constellation induction, exploits the concavity and Lipschitz continuity of the value function, and has complexity polynomial in the number of observation symbols. It is shown that change-detection problems with a geometric change-time distribution and identically- and independently-distributed observations before and after the change are solvable in polynomial time. Also, change-detection problems on hidden Markov models with a fixed number of recurrent states are solvable in polynomial time. A detailed implementation and analysis of the constellation-induction algorithm are provided. Exact solution methods are also established for several types of minimax change-detection problems. Finite-horizon problems with arbitrary observation distributions are modeled as extensive-form games and solved using linear programs. Infinite-horizon problems with linear penalty for detection delay and identically- and independently-distributed observations can be solved in polynomial time via epsilon-optimal parameterization of a cumulative-sum procedure. Finally, the properties of policies for change-detection problems are described and analyzed. Simple classes of formal languages are shown to be sufficient for epsilon-exact solution of change-detection problems, and methods for finding minimally sized policy representations are described.

Approximation Algorithms for Network Design and Orienteering

This thesis presents approximation algorithms for some NP-Hard combinatorial optimization problems on graphs and networks; in particular, we study problems related to Network Design. Under the widely-believed complexity-theoretic assumption that P is not equal to NP, there are no efficient (i.e., polynomial-time) algorithms that solve these problems exactly. Hence, if one desires efficient algorithms for such problems, it is necessary to consider approximate solutions: An approximation algorithm for an NP-Hard problem is a polynomial time algorithm which, for any instance of the problem, finds a solution whose value is guaranteed to be within a multiplicative factor of the value of an optimal solution to that instance. We attempt to design algorithms for which this factor, referred to as the approximation ratio of the algorithm, is as small as possible. The field of Network Design comprises a large class of problems that deal with constructing networks of low cost and/or high capacity, routing data through existing networks, and many related issues. In this thesis, we focus chiefly on designing fault-tolerant networks. Two vertices u,v in a network are said to be k-edge-connected if deleting any set of k − 1 edges leaves u and v connected; similarly, they are k-vertex connected if deleting any set of k − 1 other vertices or edges leaves u and v connected. We focus on building networks that are highly connected, meaning that even if a small number of edges and nodes fail, the remaining nodes will still be able to communicate. A brief description of some of our results is given below. We study the problem of building 2-vertex-connected networks that are large and have low cost. Given an n-node graph with costs on its edges and any integer k, we give an O(log n log k) approximation for the problem of finding a minimum-cost 2-vertex-connected subgraph containing at least k nodes. We also give an algorithm of similar approximation ratio for maximizing the number of nodes in a 2-vertex-connected subgraph subject to a budget constraint on the total cost of its edges. Our algorithms are based on a pruning process that, given a 2-vertex-connected graph, finds a 2-vertex-connected subgraph of any desired size and of density comparable to the input graph, where the density of a graph is the ratio of its cost to the number of vertices it contains. This pruning algorithm is simple and efficient, and is likely to find additional applications. Recent breakthroughs on vertex-connectivity have made use of algorithms for element-connectivity problems. We develop an algorithm that, given a graph with some vertices marked as terminals, significantly simplifies the graph while preserving the pairwise element-connectivity of all terminals; in fact, the resulting graph is bipartite. We believe that our simplification/reduction algorithm will be a useful tool in many settings. We illustrate its applicability by giving algorithms to find many trees that each span a given terminal set, while being disjoint on edges and non-terminal vertices; such problems have applications in VLSI design and other areas. We also use this reduction algorithm to analyze simple algorithms for single-sink network design problems with high vertex-connectivity requirements; we give an O(k log n)-approximation for the problem of k-connecting a given set of terminals to a common sink. We study similar problems in which different types of links, of varying capacities and costs, can be used to connect nodes; assuming there are economies of scale, we give algorithms to construct low-cost networks with sufficient capacity or bandwidth to simultaneously support flow from each terminal to the common sink along many vertex-disjoint paths. We further investigate capacitated network design, where edges may have arbitrary costs and capacities. Given a connectivity requirement R_uv for each pair of vertices u,v, the goal is to find a low-cost network which, for each uv, can support a flow of R_uv units of traffic between u and v. We study several special cases of this problem, giving both algorithmic and hardness results. In addition to Network Design, we consider certain Traveling Salesperson-like problems, where the goal is to find short walks that visit many distinct vertices. We give a (2 + epsilon)-approximation for Orienteering in undirected graphs, achieving the best known approximation ratio, and the first approximation algorithm for Orienteering in directed graphs. We also give improved algorithms for Orienteering with time windows, in which vertices must be visited between specified release times and deadlines, and other related problems. These problems are motivated by applications in the fields of vehicle routing, delivery and transportation of goods, and robot path planning.

Coordinated pricing and inventory management

This dissertation mainly focuses on coordinated pricing and inventory management problems, where the related background is provided in Chapter 1. Several periodic-review models are then discussed in Chapters 2,3,4 and 5, respectively. Chapter 2 analyzes a deterministic single-product model, where a price adjustment cost incurs if the current selling price is changed from the previous period. We develop exact algorithms for the problem under different conditions and find out that computation complexity varies significantly associated with the cost structure. %Moreover, our numerical study indicates that dynamic pricing strategies may outperform static pricing strategies even when price adjustment cost accounts for a significant portion of the total profit. Chapter 3 develops a single-product model in which demand of a period depends not only on the current selling price but also on past prices through the so-called reference price. Strongly polynomial time algorithms are designed for the case without no fixed ordering cost, and a heuristic is proposed for the general case together with an error bound estimation. Moreover, our illustrates through numerical studies that incorporating reference price effect into coordinated pricing and inventory models can have a significant impact on firms' profits. Chapter 4 discusses the stochastic version of the model in Chapter 3 when customers are loss averse. It extends the associated results developed in literature and proves that the reference price dependent base-stock policy is proved to be optimal under a certain conditions. Instead of dealing with specific problems, Chapter 5 establishes the preservation of supermodularity in a class of optimization problems. This property and its extensions include several existing results in the literature as special cases, and provide powerful tools as we illustrate their applications to several operations problems: the stochastic two-product model with cross-price effects, the two-stage inventory control model, and the self-financing model.