Minimizing total tardiness in a stochastic single machine scheduling problem using approximate dynamic programming

This paper addresses the non-preemptive single machine scheduling problem to minimize total tardiness. We are interested in the online version of this problem, where orders arrive at the system at random times. Jobs have to be scheduled without knowledge of what jobs will come afterwards. The processing times and the due dates become known when the order is placed. The order release date occurs only at the beginning of periodic intervals. A customized approximate dynamic programming method is introduced for this problem. The authors also present numerical experiments that assess the reliability of the new approach and show that it performs better than a myopic policy.

Stochastic stability analysis for the constant-modulus algorithm

We derive an easy-to-compute approximate bound for the range of step-sizes for which the constant-modulus algorithm (CMA) will remain stable if initialized close to a minimum of the CM cost function. Our model highlights the influence, of the signal constellation used in the transmission system: for smaller variation in the modulus of the transmitted symbols, the algorithm will be more robust, and the steady-state misadjustment will be smaller. The theoretical results are validated through several simulations, for long and short filters and channels.

Vibratory noise to the fingertip enhances balance improvement associated with light touch

Light touch of a fingertip on an external stable surface greatly improves the postural stability of standing subjects. The hypothesis of the present work was that a vibrating surface could increase the effectiveness of fingertip signaling to the central nervous system (e.g., by a stochastic resonance mechanism) and hence improve postural stability beyond that achieved by light touch. Subjects stood quietly over a force plate while touching with their right index fingertip a surface that could be either quiescent or randomly vibrated at two low-level noise intensities. The vibratory noise of the contact surface caused a significant decrease in postural sway, as assessed by center of pressure measures in both time and frequency domains. Complementary experiments were designed to test whether postural control improvements were associated with a stochastic resonance mechanism or whether attentional mechanisms could be contributing. A full curve relating body sway parameters and different levels of vibratory noise resulted in a U-like function, suggesting that the improvement in sway relied on a stochastic resonance mechanism. Additionally, no decrease in postural sway was observed when the vibrating contact surface was attached to the subject`s body, suggesting that no attentional mechanisms were involved. These results indicate that sensory cues obtained from the fingertip need not necessarily be associated with static contact surfaces to cause improvement in postural stability. A low-level noisy vibration applied to the contact surface could lead to a better performance of the postural control system.

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

Generalized Coupled Algebraic Riccati Equations for Discrete-time Markov Jump with Multiplicative Noise Systems

In this paper we consider the existence of the maximal and mean square stabilizing solutions for a set of generalized coupled algebraic Riccati equations (GCARE for short) associated to the infinite-horizon stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a sufficient condition, based only on some positive semi-definite and kernel restrictions on some matrices, under which there exists the maximal solution and a necessary and sufficient condition under which there exists the mean square stabilizing solution fir the GCARE. We also present a solution for the discounted and long run average cost problems when the performance criterion is assumed be composed by a linear combination of an indefinite quadratic part and a linear part in the state and control variables. The paper is concluded with a numerical example for pension fund with regime switching.

SELF-SIMILARITY AND LAMPERTI CONVERGENCE FOR FAMILIES OF STOCHASTIC PROCESSES

We define a new type of self-similarity for one-parameter families of stochastic processes, which applies to certain important families of processes that are not self-similar in the conventional sense. This includes Hougaard Levy processes such as the Poisson processes, Brownian motions with drift and the inverse Gaussian processes, and some new fractional Hougaard motions defined as moving averages of Hougaard Levy process. Such families have many properties in common with ordinary self-similar processes, including the form of their covariance functions, and the fact that they appear as limits in a Lamperti-type limit theorem for families of stochastic processes.

A Nonstationary Model of Newborn EEG

The detection of seizure in the newborn is a critical aspect of neurological research. Current automatic detection techniques are difficult to assess due to the problems associated with acquiring and labelling newborn electroencephalogram (EEG) data. A realistic model for newborn EEG would allow confident development, assessment and comparison of these detection techniques. This paper presents a model for newborn EEG that accounts for its self-similar and non-stationary nature. The model consists of background and seizure sub-models. The newborn EEG background model is based on the short-time power spectrum with a time-varying power law. The relationship between the fractal dimension and the power law of a power spectrum is utilized for accurate estimation of the short-time power law exponent. The newborn EEG seizure model is based on a well-known time-frequency signal model. This model addresses all significant time-frequency characteristics of newborn EEG seizure which include; multiple components or harmonics, piecewise linear instantaneous frequency laws and harmonic amplitude modulation. Estimates of the parameters of both models are shown to be random and are modelled using the data from a total of 500 background epochs and 204 seizure epochs. The newborn EEG background and seizure models are validated against real newborn EEG data using the correlation coefficient. The results show that the output of the proposed models has a higher correlation with real newborn EEG than currently accepted models (a 10% and 38% improvement for background and seizure models, respectively).

Modeling ex vivo hematopoiesis using chemical engineering metaphors

Ex vivo hematopoiesis is increasingly used for clinical applications. Models of ex vivo hematopoiesis are required to better understand the complex dynamics and to optimize hematopoietic culture processes. A general mathematical modeling framework is developed which uses traditional chemical engineering metaphors to describe the complex hematopoietic dynamics. Tanks and tubular reactors are used to describe the (pseudo-) stochastic and deterministic elements of hematopoiesis, respectively. Cells at any point in the differentiation process can belong to either an immobilized, inert phase (quiescent cells) or a mobile, active phase (cycling cells). The model describes five processes: (1) flow (differentiation), (2) autocatalytic formation (growth),(3) degradation (death), (4) phase transition from immobilized to mobile phase (quiescent to cycling transition), and (5) phase transition from mobile to immobilized phase (cycling to quiescent transition). The modeling framework is illustrated with an example concerning the effect of TGF-beta 1 on erythropoiesis. (C) 1998 Published by Elsevier Science Ltd. All rights reserved.

Cost functions and duality for stochastic technologies

Cost functions dual to stochastic production technologies are derived and their properties are discussed. These cost functions are shown to be consistent with expected-utility maximization without placing serious structural restrictions on the underlying technology.

Modeling the fluid-flow-induced stress and collapse in a dendritic network

An analytical approach to the stress development in the coherent dendritic network during solidification is proposed. Under the assumption that stresses are developed in the network as a result of the friction resisting shrinkage-induced interdendritic fluid flow, the model predicts the stresses in the solid. The calculations reflect the expected effects of postponed dendrite coherency, slower solidification conditions, and variations of eutectic volume fraction and shrinkage. Comparing the calculated stresses to the measured shear strength of equiaxed mushy zones shows that it is possible for the stresses to exceed the strength, thereby resulting in reorientation or collapse of the dendritic network.

A new approach to current and noise in double quantum dot systems

We use a quantum master equation to describe transport in double-dot devices. The coherent dot-to-dot coupling affects the noise spectra strongly. For phonon-assisted tunneling, the calculated current spectra are consistent with those of experiments. The model shows that quantum stochastic theory may he applied to some advantage in mesoscopic electronic systems. (C) 2000 Elsevier Science B.V. All rights reserved.

Optimal release strategies for biological control agents: an application of stochastic dynamic programming to population management

1. Establishing biological control agents in the field is a major step in any classical biocontrol programme, yet there are few general guidelines to help the practitioner decide what factors might enhance the establishment of such agents. 2. A stochastic dynamic programming (SDP) approach, linked to a metapopulation model, was used to find optimal release strategies (number and size of releases), given constraints on time and the number of biocontrol agents available. By modelling within a decision-making framework we derived rules of thumb that will enable biocontrol workers to choose between management options, depending on the current state of the system. 3. When there are few well-established sites, making a few large releases is the optimal strategy. For other states of the system, the optimal strategy ranges from a few large releases, through a mixed strategy (a variety of release sizes), to many small releases, as the probability of establishment of smaller inocula increases. 4. Given that the probability of establishment is rarely a known entity, we also strongly recommend a mixed strategy in the early stages of a release programme, to accelerate learning and improve the chances of finding the optimal approach.

Macroscopic test of quantum mechanics versus stochastic electrodynamics

We identify a test of quantum mechanics versus macroscopic local realism in the form of stochastic electrodynamics. The test uses the steady-state triple quadrature correlations of a parametric oscillator below threshold.