Related papers: A Matrix-Analytic Solution for Randomized Load Bal…
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical results. Finally, we provide an outlook on…
We consider a general load balancing problem on parallel machines. Our machine environment in particular generalizes the standard models of identical machines, and the model of uniformly related machines, as well as machines with a constant…
To efficiently manage serverless computing platforms, a key aspect is the auto-scaling of services, i.e., the set of computational resources allocated to a service adapts over time as a function of the traffic demand. The objective is to…
A weighted version of the parareal method for parallel-in-time computation of time dependent problems is presented. Linear stability analysis for a scalar weighing strategy shows that the new scheme may enjoy favorable stability properties…
This is a first step in counting the number of multiple solutions in certain glassy random matrix models introduced in refs. \cite{d02}. We are able to do this by reducing the problem of counting the multiple solutions to that of a moment…
Multivariate spatio-temporal data arise more and more frequently in a wide range of applications; however, there are relatively few general statistical methods that can readily use that incorporate spatial, temporal and variable…
We present a machine learning (ML)-assisted framework bridging manifold learning, neural networks, Gaussian processes, and Equation-Free multiscale modeling, for (a) detecting tipping points in the emergent behavior of complex systems, and…
The ever increasing penetration of plug-in hybrid electric vehicles in distribution systems has triggered the need for a more accurate and at the same time fast solution to probabilistic distribution power flow problem. In this paper a…
The modeling of multi-energy systems (MES) is the basic task of analyzing energy systems integration. The variable energy efficiencies of the energy conversion and storage components in MES introduce nonlinearity to the model and thus…
This paper presents a new method for studying electromechanical transients in power systems using three phase, combined transmission and distribution models (hybrid models). The methodology models individual phases of an electric network…
We analyze the latency or sojourn time L(m,n) for the last customer in a batch of n customers to exit from the m-th queue in a tandem of m queues in the setting where the queues are in equilibrium before the batch of customers arrives at…
A multiscale numerical method is proposed for the solution of semi-linear elliptic stochastic partial differential equations with localized uncertainties and non-linearities, the uncertainties being modeled by a set of random parameters. It…
We study a discrete time queueing system where deterministic arrivals have i.i.d. exponential delays $\xi_{i}$. The standard deviation $\sigma$ of the delay is finite, but its value is much larger than the deterministic unit service time.…
This paper investigates a sample-based solution to the hybrid mode control problem across non-differentiable and algorithmic hybrid modes. Our approach reasons about a set of hybrid control modes as an integer-based optimization problem…
We consider several stochastic service systems, and study the asymptotic behavior of the moments of various quantities that have application to models for random interval graphs and algorithms for searching for an idle server or empty…
A new approach to the steady state detection in the uniformization method of solving continuous time Markov chains is introduced. The method is particularly useful in solving inhomogenous CTMC's in multiple steps, where the desired error…
Robotized warehouses are deployed to automatically distribute millions of items brought by the massive logistic orders from e-commerce. A key to automated item distribution is to plan paths for robots, also known as task planning, where…
A conversion matrix approach to solving network problems involving time-varying circuit components is applied to the method of moments for electromagnetic scattering analysis. Detailed formulations of this technique's application to the…
We consider the problem of approximating the stationary distribution of an ergodic Markov chain given a set of sampled transitions. Classical simulation-based approaches assume access to the underlying process so that trajectories of…
We show that the semiclassical approach to chaotic quantum transport in the presence of time-reversal symmetry can be described by a matrix model, i.e. a matrix integral whose perturbative expansion satisfies the semiclassical diagrammatic…