Sample-path solutions for simulation optimization problems and stochastic variational inequalities

inequality;simulation;optimization

High volume conveyor sortation system analysis

The design and operation of a high volume conveyor sortation system are important due to its high cost, large footprint and critical role in the system. In this thesis, we study the characteristics of the conveyor sortation system from performance evaluation and design perspectives employing continuous modeling approaches. We present two continuous conveyor models (Delay and Stock Model and Batch on Conveyor Model) with different representation accuracy in a unified mathematical framework. Based on the Batch on Conveyor Model, we develop a fast fluid simulation methodology. We address the feasibility of implementing fluid simulation from modeling capabilities, algorithm design and simulation performance in terms of accuracy and simulation time. From a design perspective, we focus on rates determination and accumulation design in the accumulation and merge subsystem. The optimization problem is to find a minimum cost design that satisfies some predefined performance requirements under stochastic conditions. We first transform this stochastic programming problem into a deterministic nonlinear programming problem through sample path based optimization method. A gradient based method is adopted to solve the deterministic problem. Since there is no closed form for performance metric even for a deterministic input stream, we adopt continuous modeling to develop deterministic performance evaluation models and conduct sensitivity analysis on these models. We explore the prospects of using the two continuous conveyor models we presented.Ph.D.Committee Chair: Chen Zhou; Committee Member: Gunter Sharp; Committee Member: Leon F. McGinnis; Committee Member: Spiridon Reveliotis; Committee Member: Yorai Ward

Numerical methods for queues with shared service

A queueing system is a mathematical abstraction of a situation where elements, called customers, arrive in a system and wait until they receive some kind of service. Queueing systems are omnipresent in real life. Prime examples include people waiting at a counter to be served, airplanes waiting to take off, traffic jams during rush hour etc. Queueing theory is the mathematical study of queueing phenomena. As often neither the arrival instants of the customers nor their service times are known in advance, queueing theory most often assumes that these processes are random variables. The queueing process itself is then a stochastic process and most often also a Markov process, provided a proper description of the state of the queueing process is introduced. This dissertation investigates numerical methods for a particular type of Markovian queueing systems, namely queueing systems with shared service. These queueing systems differ from traditional queueing systems in that there is simultaneous service of the head-of-line customers of all queues and in that there is no service if there are no customers in one of the queues. The absence of service whenever one of the queues is empty yields particular dynamics which are not found in traditional queueing systems. These queueing systems with shared service are not only beautiful mathematical objects in their own right, but are also motivated by an extensive range of applications. The original motivation for studying queueing systems with shared service came from a particular process in inventory management called kitting. A kitting process collects the necessary parts for an end product in a box prior to sending it to the assembly area. The parts and their inventories being the customers and queues, we get ``shared service'' as kitting cannot proceed if some parts are absent. Still in the area of inventory management, the decoupling inventory of a hybrid make-to-stock/make-to-order system exhibits shared service. The production process prior to the decoupling inventory is make-to-stock and driven by demand forecasts. In contrast, the production process after the decoupling inventory is make-to-order and driven by actual demand as items from the decoupling inventory are customised according to customer specifications. At the decoupling point, the decoupling inventory is complemented with a queue of outstanding orders. As customisation only starts when the decoupling inventory is nonempty and there is at least one order, there is again shared service. Moving to applications in telecommunications, shared service applies to energy harvesting sensor nodes. Such a sensor node scavenges energy from its environment to meet its energy expenditure or to prolong its lifetime. A rechargeable battery operates very much like a queue, customers being discretised as chunks of energy. As a sensor node requires both sensed data and energy for transmission, shared service can again be identified. In the Markovian framework, "solving" a queueing system corresponds to finding the steady-state solution of the Markov process that describes the queueing system at hand. Indeed, most performance measures of interest of the queueing system can be expressed in terms of the steady-state solution of the underlying Markov process. For a finite ergodic Markov process, the steady-state solution is the unique solution of $N-1$ balance equations complemented with the normalisation condition, $N$ being the size of the state space. For the queueing systems with shared service, the size of the state space of the Markov processes grows exponentially with the number of queues involved. Hence, even if only a moderate number of queues are considered, the size of the state space is huge. This is the state-space explosion problem. As direct solution methods for such Markov processes are computationally infeasible, this dissertation aims at exploiting structural properties of the Markov processes, as to speed up computation of the steady-state solution. The first property that can be exploited is sparsity of the generator matrix of the Markov process. Indeed, the number of events that can occur in any state --- or equivalently, the number of transitions to other states --- is far smaller than the size of the state space. This means that the generator matrix of the Markov process is mainly filled with zeroes. Iterative methods for sparse linear systems --- in particular the Krylov subspace solver GMRES --- were found to be computationally efficient for studying kitting processes only if the number of queues is limited. For more queues (or a larger state space), the methods cannot calculate the steady-state performance measures sufficiently fast. The applications related to the decoupling inventory and the energy harvesting sensor node involve only two queues. In this case, the generator matrix exhibits a homogene block-tridiagonal structure. Such Markov processes can be solved efficiently by means of matrix-geometric methods, both in the case that the process has finite size and --- even more efficiently --- in the case that it has an infinite size and a finite block size. Neither of the former exact solution methods allows for investigating systems with many queues. Therefore we developed an approximate numerical solution method, based on Maclaurin series expansions. Rather than focussing on structural properties of the Markov process for any parameter setting, the series expansion technique exploits structural properties of the Markov process when some parameter is sent to zero. For the queues with shared exponential service and the service rate sent to zero, the resulting process has a single absorbing state and the states can be ordered such that the generator matrix is upper-diagonal. In this case, the solution at zero is trivial and the calculation of the higher order terms in the series expansion around zero has a computational complexity proportional to the size of the state space. This is a case of regular perturbation of the parameter and contrasts to singular perturbation which is applied when the service times of the kitting process are phase-type distributed. For singular perturbation, the Markov process has no unique steady-state solution when the parameter is sent to zero. However, similar techniques still apply, albeit at a higher computational cost. Finally we note that the numerical series expansion technique is not limited to evaluating queues with shared service. Resembling shared queueing systems in that a Markov process with multidimensional state space is considered, it is shown that the regular series expansion technique can be applied on an epidemic model for opinion propagation in a social network. Interestingly, we find that the series expansion technique complements the usual fluid approach of the epidemic literature

Commande à seuils critiques de la production dans un atelier de fabrication avec machines en tandem non fiables

Éléments de gestion optimale de la production dans les ateliers de fabrication -- Vision de décomposition hiérarchisée des ateliers de fabrication -- Particularités des processus de production en tandem -- État de l'art sur la gestion sous-optimale de la production en tandem -- Optimisation d'une classe de politiques décentralisées de production, à seuils critiques, pour deux machines non fiables en tandem -- Optimisation d'une classe de politiques décentralisées de la production, à seuils critiques, pour M machines en tandem -- Exploration numérique des propriétés des lois de commande décentralisées de la production à seuils critiques

Processing random signals in neuroscience, electrical engineering and operations research

The topic of this dissertation is the study of noise in electrical engineering, neuroscience, biomedical engineering, and operations research through mathematical models that describe, explain, predict and control dynamic phenomena. Noise is modeled through Brownian Motion and the research problems are mathematically addressed by different versions of a generalized Langevin equation. Our mathematical models utilize stochastic differential equations (SDEs) and stochastic optimal control, both of which were born in the soil of electrical engineering. Central to this dissertation is a brain-physics based model of cerebrospinal fluid (CSF) dynamics, whose structure is fundamentally determined by an electrical circuit analogy. Our general Langevin framework encompasses many of the existing equations used in electrical engineering, neuroscience, biomedical engineering and operations research. The generalized SDE for CSF dynamics extends a fundamental model in the field to discover new clinical insights and tools, provides the basis for a nonlinear controller, and suggests a new way to resolve an ongoing controversy regarding CSF dynamics in neuroscience. The natural generalization of the SDE for CSF dynamics is a SDE with polynomial drift. We develop a new analytical algorithm to solve SDEs with polynomial drift, thereby contributing to the electrical engineering literature on signal processing models, many of which are special cases of SDEs with polynomial drift. We make new contributions to the operations research literature on marketing communication models by unifying different types of dynamically optimal trajectories of spending in the framework of a classic model of market response, in which these different temporal patterns arise as a consequence of different boundary conditions. The methodologies developed in this dissertation provide an analytical foundation for the solution of fundamental problems in gas discharge lamp dynamics in power engineering, degradation dynamics of ultra-thin metal oxides in MOS capacitors, and molecular motors in nanotechnology, thereby establishing a rich agenda for future research