22 research outputs found
On the area between a L\'evy process with secondary jump inputs and its reflected version
We study the the stochastic properties of the area under some function of the
difference between (i) a spectrally positive L\'evy process that jumps
to a level whenever it hits zero, and (ii) its reflected version .
Remarkably, even though the analysis of each of these processes is challenging,
we succeed in attaining explicit expressions for their difference. The main
result concerns the Laplace-Stieltjes transform of the integral of (a
function of) the distance between and until hits zero.
This result is extended in a number of directions, including the area between
and and a Gaussian limit theorem. We conclude the paper with an
inventory problem for which our results are particularly useful
Fuelling the zero-emissions road freight of the future: routing of mobile fuellers
The future of zero-emissions road freight is closely tied to the sufficient availability of new and clean fuel options such as electricity and Hydrogen. In goods distribution using Electric Commercial Vehicles (ECVs) and Hydrogen Fuel Cell Vehicles (HFCVs) a major challenge in the transition period would pertain to their limited autonomy and scarce and unevenly distributed refuelling stations. One viable solution to facilitate and speed up the adoption of ECVs/HFCVs by logistics, however, is to get the fuel to the point where it is needed (instead of diverting the route of delivery vehicles to refuelling stations) using "Mobile Fuellers (MFs)". These are mobile battery swapping/recharging vans or mobile Hydrogen fuellers that can travel to a running ECV/HFCV to provide the fuel they require to complete their delivery routes at a rendezvous time and space. In this presentation, new vehicle routing models will be presented for a third party company that provides MF services. In the proposed problem variant, the MF provider company receives routing plans of multiple customer companies and has to design routes for a fleet of capacitated MFs that have to synchronise their routes with the running vehicles to deliver the required amount of fuel on-the-fly. This presentation will discuss and compare several mathematical models based on different business models and collaborative logistics scenarios
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Exploring Probability Measures with Markov Processes
In many domains where mathematical modelling is applied, a deterministic description of the system at hand is insufficient, and so it is useful to model systems as being in some way stochastic. This is often achieved by modeling the state of the system as being drawn from a probability measure, which is usually given algebraically, i.e. as a formula. While this representation can be useful for deriving certain characteristics of the system, it is by now well-appreciated that many questions about stochastic systems are best-answered by looking at samples from the associated probability measure. In this thesis, we seek to develop and analyse efficient techniques for generating samples from a given probability measure, with a focus on algorithms which simulate a Markov process with the desired invariant measure.
The first work presented in this thesis considers the use of Piecewise-Deterministic Markov Processes (PDMPs) for generating samples. In contrast to usual approaches, PDMPs are i) defined as continuous-time processes, and ii) are typically non-reversible with respect to their invariant measure. These distinctions pose computational and theoretical challenges for the design, analysis, and implementation of PDMP-based samplers. The key contribution of this work is to develop a transparent characterisation of how one can construct a PDMP (within the class of trajectorially-reversible processes) which admits the desired invariant measure, and to offer actionable recommendations on how these processes should be designed in practice.
The second work presented in this thesis considers the task of sampling from a probability measure on a discrete space. While work in recent years has made it possible to apply sampling algorithms to probability measures with differentiable densities on continuous spaces in a reasonably generic way, samplers on discrete spaces are still largely derived on a case-by-case basis. The contention of this work is that this is not necessary, and that one can in fact define quite generally-applicable algorithms which can sample efficiently from discrete probability measures. The contributions are then to propose a small collection of algorithms for this task, and verify their efficiency empirically. Building
on the previous chapter’s work, our samplers are again defined in continuous time and non-reversible, each of which offer noticeable benefits in efficiency.
The third work presented in this thesis concerns a theoretical study of a particular class of Markov Chain-based sampling algorithms which make use of parallel computing resources. The Markov Chains which are produced by this algorithm are mathematically equivalent to a standard Metropolis-Hastings chain, but their real-time convergence properties are affected nontrivially by the application of parallelism. The contribution of this work is to analyse the convergence behaviour of these chains, and to use the ‘optimal scaling’ framework (as developed by Roberts, Rosenthal, and others) to make recommendations concerning the tuning of such algorithms in practice.
The introductory chapters provide a general overview on the task of generating samples from a probability measure, with particular focus on methods involving Markov processes. There is also an interlude on the relative benefits of i) continuous-time and ii) non-reversible Markov processes for sampling, which are intended to provide additional context for the reading of the first two works.PhD Studentship paid for by Cantab Capital Institute for the Mathematics of Informatio
Using MapReduce Streaming for Distributed Life Simulation on the Cloud
Distributed software simulations are indispensable in the study of large-scale life models but often require the use of technically complex lower-level distributed computing frameworks, such as MPI. We propose to overcome the complexity challenge by applying the emerging MapReduce (MR) model to distributed life simulations and by running such simulations on the cloud. Technically, we design optimized MR streaming algorithms for discrete and continuous versions of Conway’s life according to a general MR streaming pattern. We chose life because it is simple enough as a testbed for MR’s applicability to a-life simulations and general enough to make our results applicable to various lattice-based a-life models. We implement and empirically evaluate our algorithms’ performance on Amazon’s Elastic MR cloud. Our experiments demonstrate that a single MR optimization technique called strip partitioning can reduce the execution time of continuous life simulations by 64%. To the best of our knowledge, we are the first to propose and evaluate MR streaming algorithms for lattice-based simulations. Our algorithms can serve as prototypes in the development of novel MR simulation algorithms for large-scale lattice-based a-life models.https://digitalcommons.chapman.edu/scs_books/1014/thumbnail.jp