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Proximal Point Methods (PPM) can be traced to the pioneer works of Moreau [16], Martinet [14,15] and Rockafellar [19, 20] who used as regularization function the square of the Euclideannorm. In this work, we study PPM in the context of optimization and we derive a class of suchmethods which contains Rockafellar's result. We also present a less stringent criterion to theacceptance of an approximate solution to the subproblems that arise in the inner loops of PPM.Moreover, we introduce a new family of augmented Lagrangian methods for convex constrainedoptimization, that generalizes the PE+ class presented in [2].
The present study proposes an extended opportunity-basedage replacement policy where opportunities occur according to a Poissonprocess. When the age, x of the system satisfies x < S for aprespecified value S, a corrective replacement is conducted if theobjective system fails. In case x satisfies S ≤ x < T foranother prespecified value T, we take an opportunity to preventivelyreplace the system by a new one with probability p, and do not takethe opportunity with probability 1 - p. At the moment x reaches T,a preventive replacement is executed independently of opportunities. Thelong-term average cost of the proposed policy is formulated. Theconditions under which optimal values for S and T exist for aprespecified value of T and S, respectively, are then clarified. Numerical examples are also presented to illustrate the theoreticalunderpinnings of the proposed replacement policy formulation.
The main purpose of this paper is to give a method forconstruction of the reduced reachability graph for Stochastic Petri Nets(SPN), the symbolic graph. This construction is achieved by exploitingthe structural symetries in the net using the theory of bisimulation ofplaces for detecting isomorphic parts in the net. The symbolic graph,being isomorphic to an agregated Markov chain, may be used to provequalitative properties as liveness, boundness, ... Moreover, thisreduced graph make more easy the computation of the performance measuresof interest as the mean number of tokens in a place, the mean number offiring transition ... We have so developped a tool, SSPN (StochasticSymetric Petri nets), for generating the symbolic graph and deducingqualitatives and quantitatives properties.
We focus on performance study of routers in high-speednetwork through a queuing network analytical model. Such a model givesaccurate results about classical performance criteria. For example,analytical study of packet loss probabilities in a router uses aproduct-form queuing network. The analytical results are compared tosimulation results, and they provide routers managers with invaluableinformation for internal memories tuning.
In this paper, we present a new linear time algorithm forscheduling UECT (Unit Execution and Communication Time) trees on twoidentical processors. The chosen criterion is the makespan. The used strategy is based on clustering of tasks. We show that this algorithm builds optimal schedules. Some extensions are discussed for non UECT tasks.
In this paper we give the expression of the multiplecorrelation coefficient in a linear model according to the coefficientsof correlation. This expression makes it possible to analyze from anumerical point of view the instability of estimates in the case ofcollinear explanatory variables in the linear model or in theautoregressive model. This numerical approach, that we show on twoexamples, thus supplements the usual approach of the quasi colinearity,founded on the statistical properties of the estimators.
Most location problems on networks consider discretenodal demand. However, for many problems, demands are betterrepresentedby continuous functions along the edges, in addition to nodaldemands. Several papers consider the optimal location problemof one or more facilities when demands are continuously distributedalong the network, and the objective function dealt with is themedian one. Nevertheless, in location of public services itis desirable to use an equity criterion. One of the latter is varianceofdistance distribution which has been studied only for discrete nodaldemands. In this paper the variance problem has been generalizedto the case where one allows the demand to arisediscretely on the nodes as well as continuously along the edges. Properties and behaviour of the objective function arestudied. Likewise we present an exact algorithm forsolving this problem in a network, which reduces the complexityof the exhaustive procedure.
The solution of a variety of classes of globaloptimisation problemsis required in theimplementation of a framework for sensitivity analysis in multicriteria decision analysis. These problems have linear constraints, some of which have a particularstructure, anda variety of objective functions, which may be smooth or non-smooth. Thecontext in which theyarise implies a need for a single, robust solution method.The literature contains few experimental results relevant to such aneed.We report on our experience with the implementation of threestochastic algorithms for global optimisation: the multi-level singlelinkage algorithm,the topographical algorithm and the simulated annealing algorithm.Issues relating to their implementation and use to solve practicalproblems are discussed. Computational results suggest that, for the class of problems considered, simulated annealing performs well.
In this chapter we will review some applications of dynamic optimization to economics. In Section 1 we develop two models of search to illustrate the use of dynamic programming in a stochastic setting. Section 2 analyzes the decision problem faced by a social planner who maximizes the utility of an infinitely-lived representative agent in a one-good neoclassical economy. In Section 3 we study the optimal investment policy of a competitive firm when the installation of capital is costly. Finally, in Section 4 we develop the Cass-Koopmans model of a dynamic competitive economy and use it to analyze the welfare cost of factor taxes. Section 5 concludes with a series of problems.
Search Models
Search theory provides a simple and yet interesting application of dynamic programming to economics. In the basic search model, wage offers drawn from a given distribution arrive at fixed or random intervals, and an agent simply decides whether to accept one of them and become employed or reject them and continue searching for a better opportunity. We have, then, a very simple problem in stochastic dynamic programming: The control is simply a take-it-or-leave-it decision, and the distribution of the state variables (the offers) is time-invariant and does not depend on either the state or the control.
The first part of this section introduces the basic “microeconomic” model of job search. In addition to its interest as an application of dynamic programming, this model provides a useful counterpoint to the neoclassical model of a competitive labor market.
Much of the time of the average graduate student in economics is spent learning a new language, that of mathematics. Although the investment does eventually pay off in many ways, the learning process can be quite painful. I know because I have been there. I remember the long nights spent puzzling over the mysteries of the Hamiltonian, the frustration of not understanding a single one of the papers in my second macroeconomics reading list, the culture shock that came with the transition from the undergraduate textbooks, with their familiar diagrams and intuitive explanations, into Debreu's Theory of Value, and my despair before the terse and incredibly dry prose of the mathematics texts where I sought enlightenment about the arcane properties of contractions.
This book is an attempt to make the transition into graduate economics somewhat less painful. Although some of my readers may never believe me, I have tried to do a number of things that should make their lives a bit easier. The first has been to collect in one place, with a homogeneous notation, most of the mathematical concepts, results, and techniques that are required to follow the standard first- and second-year theory courses. I have also tried to organize this material into a logical sequence and have illustrated its applications to some of the standard models. And last but not least, I have attempted to provide rigorous proofs for most of the results as a way to get the reader used to formal reasoning.