相关论文: Doubly Exponential Solution for Randomized Load Ba…
We consider queueing models, where customers arrive according to a continuous-time binomial process on a finite interval. In this arrival process, a total of $K$ customers arrive in the finite time interval $[0,T]$, where arrival times of…
We study a decentralized variant of stochastic approximation, a data-driven approach for finding the root of an operator under noisy measurements. A network of agents, each with its own operator and data observations, cooperatively find the…
Direct simulation of biomolecular dynamics in thermal equilibrium is challenging due to the metastable nature of conformation dynamics and the computational cost of molecular dynamics. Biased or enhanced sampling methods may improve the…
This work focuses on time-inhomogeneous Markov chains with two time scales. Our motivations stem from applications in reliability and dependability, queueing networks, financial engineering and manufacturing systems, where two-time-scale…
In this paper, we analyze a two-queue random time-limited Markov modulated polling model. In the first part of the paper, we investigate the fluid version: Fluid arrives at the two queues as two independent flows with deterministic rate.…
We introduce and analyze Markov Decision Process (MDP) machines to model individual devices which are expected to participate in future demand-response markets on distribution grids. We differentiate devices into the following four types:…
The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…
We present a possible kind of generalization of the notion of ordered pairs of cyclic maps and coupled fixed points and its application in modelling of equilibrium in oligopoly markets. We have obtained sufficient conditions for the…
The applicability of model checking is hindered by the state space explosion problem in combination with limited amounts of main memory. To extend its reach, the large available capacities of secondary storage such as hard disks can be…
In this paper, we study Markov-dependent reflected autoregressive processes, and other related models the analysis of which results in a vector-valued fixed-point functional equation of a certain type. In queueing terms, such processes…
We study a novel large dimensional approximate factor model with regime changes in the loadings driven by a latent first order Markov process. By exploiting the equivalent linear representation of the model, we first recover the latent…
We demonstrate an approach to the numerical solution of nonlinear stochastic differential equations with Markovian switching. Such equations describe the stochastic dynamics of processes where the drift and diffusion coefficients are…
We iteratively derive the product-form solutions of stationary distributions of priority multiclass queueing networks with multi-sever stations. The networks are Markovian with exponential interarrival and service time distributions. These…
Piecewise-deterministic Markov processes (PDMPs) offer a powerful stochastic modeling framework that combines deterministic trajectories with random perturbations at random times. Estimating their local characteristics (particularly the…
Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…
The solution convergence of Markov Decision Processes (MDPs) can be accelerated by prioritized sweeping of states ranked by their potential impacts to other states. In this paper, we present new heuristics to speed up the solution…
We introduce a discrete time microscopic single particle model for kinetic transport. The kinetics is modeled by a two-state Markov chain, the transport by deterministic advection plus a random space step. The position of the particle after…
We consider a meal delivery service fulfilling dynamic customer requests given a set of couriers over the course of a day. A courier's duty is to pick-up an order from a restaurant and deliver it to a customer. We model this service as a…
This is an expository review paper illustrating the ``martingale method'' for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations. Careful treatment is given to an…
We consider a spatially distributed demand for electrical vehicle recharging, that must be covered by a fixed set of charging stations. Arriving EVs receive feedback on transport times to each station, and waiting times at congested ones,…