Stochastic Algorithms for Discrete Parameter Simulation Optimization

We present two efficient discrete parameter simulation optimization (DPSO) algorithms for the long-run average cost objective. One of these algorithms uses the smoothed functional approximation (SFA) procedure, while the other is based on simultaneous perturbation stochastic approximation (SPSA). The use of SFA for DPSO had not been proposed previously in the literature. Further, both algorithms adopt an interesting technique of random projections that we present here for the first time. We give a proof of convergence of our algorithms. Next, we present detailed numerical experiments on a problem of admission control with dependent service times. We consider two different settings involving parameter sets that have moderate and large sizes, respectively. On the first setting, we also show performance comparisons with the well-studied optimal computing budget allocation (OCBA) algorithm and also the equal allocation algorithm. Note to Practitioners-Even though SPSA and SFA have been devised in the literature for continuous optimization problems, our results indicate that they can be powerful techniques even when they are adapted to discrete optimization settings. OCBA is widely recognized as one of the most powerful methods for discrete optimization when the parameter sets are of small or moderate size. On a setting involving a parameter set of size 100, we observe that when the computing budget is small, both SPSA and OCBA show similar performance and are better in comparison to SFA, however, as the computing budget is increased, SPSA and SFA show better performance than OCBA. Both our algorithms also show good performance when the parameter set has a size of 10(8). SFA is seen to show the best overall performance. Unlike most other DPSO algorithms in the literature, an advantage with our algorithms is that they are easily implementable regardless of the size of the parameter sets and show good performance in both scenarios.

Single-machine scheduling with past-sequence-dependent setup times and learning effects: a parametric analysis

In this article, we consider the single-machine scheduling problem with past-sequence-dependent (p-s-d) setup times and a learning effect. The setup times are proportional to the length of jobs that are already scheduled; i.e. p-s-d setup times. The learning effect reduces the actual processing time of a job because the workers are involved in doing the same job or activity repeatedly. Hence, the processing time of a job depends on its position in the sequence. In this study, we consider the total absolute difference in completion times (TADC) as the objective function. This problem is denoted as 1/LE, (Spsd)/TADC in Kuo and Yang (2007) ('Single Machine Scheduling with Past-sequence-dependent Setup Times and Learning Effects', Information Processing Letters, 102, 22-26). There are two parameters a and b denoting constant learning index and normalising index, respectively. A parametric analysis of b on the 1/LE, (Spsd)/TADC problem for a given value of a is applied in this study. In addition, a computational algorithm is also developed to obtain the number of optimal sequences and the range of b in which each of the sequences is optimal, for a given value of a. We derive two bounds b* for the normalising constant b and a* for the learning index a. We also show that, when a < a* or b > b*, the optimal sequence is obtained by arranging the longest job in the first position and the rest of the jobs in short processing time order.

Support Vector Machine Approach to Downscale Precipitation in Climate Change Scenarios

Concern over changes in global climate has increased in recent years with improvement in understanding of atmospheric dynamics and growth in evidence of climate link to long‐term variability in hydrologic records. Climate impact studies rely on climate change information at fine spatial resolution. Towards this, the past decade has witnessed significant progress in development of downscaling models to cascade the climate information provided by General Circulation Models (GCMs) at coarse spatial resolution to the scale relevant for hydrologic studies. While a plethora of downscaling models have been applied successfully to mid‐latitude regions, a few studies are available on tropical regions where the atmosphere is known to have more complex behavior. In this paper, a support vector machine (SVM) approach is proposed for statistical downscaling to interpret climate change signals provided by GCMs over tropical regions of India. Climate variables affecting spatio‐temporal variation of precipitation at each meteorological sub‐division of India are identified. Following this, cluster analysis is applied on climate data to identify the wet and dry seasons in each year. The data pertaining to climate variables and precipitation of each meteorological sub‐division is then used to develop SVM based downscaling model for each season. Subsequently, the SVM based downscaling model is applied to future climate predictions from the second generation Coupled Global Climate Model (CGCM2) to assess the impact of climate change on hydrological inputs to the meteorological sub‐divisions. The results obtained from the SVM downscaling model are then analyzed to assess the impact of climate change on precipitation over India.

Carnatic music analysis: Shadja, swara identification and rAga verification in AlApana using stochastic models

We analyze the AlApana of a Carnatic music piece without the prior knowledge of the singer or the rAga. AlApana is ameans to communicate to the audience, the flavor or the bhAva of the rAga through the permitted notes and its phrases. The input to our analysis is a recording of the vocal AlApana along with the accompanying instrument. The AdhAra shadja(base note) of the singer for that AlApana is estimated through a stochastic model of note frequencies. Based on the shadja, we identify the notes (swaras) used in the AlApana using a semi-continuous GMM. Using the probabilities of each note interval, we recognize swaras of the AlApana. For sampurNa rAgas, we can identify the possible rAga, based on the swaras. We have been able to achieve correct shadja identification, which is crucial to all further steps, in 88.8% of 55 AlApanas. Among them (48 AlApanas of 7 rAgas), we get 91.5% correct swara identification and 62.13% correct R (rAga) accuracy.

Optimal maintenance policy of a machine subject to failure

Optimal maintenance policies for a machine with degradation in performance with age and subject to failure are derived using optimal control theory. The optimal policies are shown to be, normally, of bang-coast nature, except in the case when probability of machine failure is a function of maintenance. It is also shown, in the deterministic case that a higher depreciation rate tends to reverse this policy to coast-bang. When the probability of failure is a function of maintenance, considerable computational effort is needed to obtain an optimal policy and the resulting policy is not easily implementable. For this case also, an optimal policy in the class of bang-coast policies is derived, using a semi-Markov decision model. A simple procedure for modifying the probability of machine failure with maintenance is employed. The results obtained extend and unify the recent results for this problem along both theoretical and practical lines. Numerical examples are presented to illustrate the results obtained.

Modeling stochastic hybrid systems

Stochastic hybrid systems arise in numerous applications of systems with multiple models; e.g., air traffc management, flexible manufacturing systems, fault tolerant control systems etc. In a typical hybrid system, the state space is hybrid in the sense that some components take values in a Euclidean space, while some other components are discrete. In this paper we propose two stochastic hybrid models, both of which permit diffusion and hybrid jump. Such models are essential for studying air traffic management in a stochastic framework.

Analysis and design of machine foundations at resonance

The design of machine foundations are done on the basis of two principal criteria viz., vibration amplitude should be within the permissible limits and natural frequency of machine-foundation-soil system should be away from the operating frequency (i.e. avoidance of resonance condition). In this paper the nondimensional amplitude factor M-m or M-r m and the nondimensional frequency factor a(o m) at resonance are related using elastic half space theory and is used as a new approach for a simplified design procedure for the design of machine foundations for all the modes of vibration fiz. vertical, horizontal, rocking and torsional for rigid base pressure distribution and weighted average displacement condition. The analysis show that one need not know the value of Poisson's ratio for rotating mass system for all the modes of vibration.

A stochastic dynamical system for image segmentation

Image segmentation is formulated as a stochastic process whose invariant distribution is concentrated at points of the desired region. By choosing multiple seed points, different regions can be segmented. The algorithm is based on the theory of time-homogeneous Markov chains and has been largely motivated by the technique of simulated annealing. The method proposed here has been found to perform well on real-world clean as well as noisy images while being computationally far less expensive than stochastic optimisation techniques