535,382 research outputs found

    Marginal productivity index policies for scheduling a multiclass delay-/loss-sensitive queue

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    We address the problem of scheduling a multiclass M/M/1 queue with a finite dedicated buffer for each class. Some classes are delay-sensitive, modeling real-time traffic (e.g. voice, video), whereas others are loss-sensitive, modeling nonreal-time traffic (e.g. data). Different levels of tolerance to delay and loss are modeled by appropriate linear holding cost and rejection cost rates. The goal is to design well-grounded and tractable scheduling policies which nearly minimize the discounted or long-run average expected cost objective. We develop new dynamic index policies, prescribing to give higher service priority to classes with larger index values, where the priority index of a class measures the marginal productivity of work at its current state. To construct the indices, we deploy the theory of marginal productivity indices (MPIs) and PCL-indexability we have introduced in recent work, and further introduce significant extensions to such theory motivated by phenomena observed in the model of concern. The MPI policies are shown to furnish new, insightful structural results, and to exhibit a nearly optimal performance in a computational study

    The impact of credit on income poverty in urban Mexico: An endogeneity-corrected estimation

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    In recent years, an important number of impact studies have attempted to examine the effect of credit on income poverty; however, many of these studies have not paid sufficient attention to the problems of endogeneity and selection bias. The few exceptional cases have employed econometric techniques that work at the village level. The problem is that the concept of village is inappropriate in the urban context where a large percentage of microfinance organisations in the developing world actually operate. This paper presents an econometric approach which controls for endogeneity and self-selection using data from a quasi-experiment designed at the household level, and conducted in three urban settlements in the surroundings of the Metropolitan area of Mexico City. The paper provides an estimation of the impact of credit, employing different equivalence scales in order to measure the sensitivity of the poverty impact to the intra-household distribution of welfare. We find a link between poverty impacts and lending technology. Group-based lending programmes are more effective in reducing the poverty gap but in doing so, they achieve insignificant impacts on the poverty incidence. By contrast, individual lending programmes reported significant and small impacts at the upper limits of deprivation but insignificant impacts on the poverty gap

    Two-stage index computation for bandits with switching penalties I : switching costs

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    This paper addresses the multi-armed bandit problem with switching costs. Asawa and Teneketzis (1996) introduced an index that partly characterizes optimal policies, attaching to each bandit state a "continuation index" (its Gittins index) and a "switching index". They proposed to jointly compute both as the Gittins index of a bandit having 2n states — when the original bandit has n states — which results in an eight-fold increase in O(n^3) arithmetic operations relative to those to compute the continuation index alone. This paper presents a more efficient, decoupled computation method, which in a first stage computes the continuation index and then, in a second stage, computes the switching index an order of magnitude faster in at most n^2+O(n) arithmetic operations. The paper exploits the fact that the Asawa and Teneketzis index is the Whittle, or marginal productivity, index of a classic bandit with switching costs in its restless reformulation, by deploying work-reward analysis and PCL-indexability methods introduced by the author. A computational study demonstrates the dramatic runtime savings achieved by the new algorithm, the near-optimality of the index policy, and its substantial gains against the benchmark Gittins index policy across a wide range of instances

    Two-stage index computation for bandits with switching penalties II : switching delays

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    This paper addresses the multi-armed bandit problem with switching penalties including both costs and delays, extending results of the companion paper [J. Niño-Mora. "Two-Stage Index Computation for Bandits with Switching Penalties I: Switching Costs". Conditionally accepted at INFORMS J. Comp.], which addressed the no switching delays case. Asawa and Teneketzis (1996) introduced an index for bandits with delays that partly characterizes optimal policies, attaching to each bandit state a "continuation index" (its Gittins index) and a "switching index", yet gave no algorithm for it. This paper presents an efficient, decoupled computation method, which in a first stage computes the continuation index and then, in a second stage, computes the switching index an order of magnitude faster in at most (5/2)n^3+O(n) arithmetic operations for an n -state bandit. The paper exploits the fact that the Asawa and Teneketzis index is the Whittle, or marginal productivity, index of a classic bandit with switching penalties in its semi- Markov restless reformulation, by deploying work-reward analysis and LP-indexability methods introduced by the author. A computational study demonstrates the dramatic runtime savings achieved by the new algorithm, the near-optimality of the index policy, and its substantial gains against a benchmark index policy across a wide instance range

    Restless bandit marginal productivity indices I: singleproject case and optimal control of a make-to-stock M/G/1 queue

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    This paper develops a framework based on convex optimization and economic ideas to formulate and solve by an index policy the problem of optimal dynamic effort allocation to a generic discrete-state restless bandit (i.e. binary-action: work/rest) project, elucidating a host of issues raised by Whittle (1988)Žs seminal work on the topic. Our contributions include: (i) a unifying definition of a projectŽs marginal productivity index (MPI), characterizing optimal policies; (ii) a complete characterization of indexability (existence of the MPI) as satisfaction by the project of the law of diminishing returns (to effort); (iii) sufficient indexability conditions based on partial conservation laws (PCLs), extending previous results of the author from the finite to the countable state case; (iv) application to a semi-Markov project, including a new MPI for a mixed longrun-average (LRA)/ bias criterion, which exists in relevant queueing control models where the index proposed by Whittle (1988) does not; and (v) optimal MPI policies for service-controlled make-to-order (MTO) and make-to-stock (MTS) M/G/1 queues with convex back order and stock holding cost rates, under discounted and LRA criteria

    The impact of credit on income poverty in urban Mexico: An endogeneity-corrected estimation

    Get PDF
    In recent years, an important number of impact studies have attempted to examine the effect of credit on income poverty; however, many of these studies have not paid sufficient attention to the problems of endogeneity and selection bias. The few exceptional cases have employed econometric techniques that work at the village level. The problem is that the concept of village is inappropriate in the urban context where a large percentage of microfinance organisations in the developing world actually operate. This paper presents an econometric approach which controls for endogeneity and self-selection using data from a quasi-experiment designed at the household level, and conducted in three urban settlements in the surroundings of the Metropolitan area of Mexico City. The paper provides an estimation of the impact of credit, employing different equivalence scales in order to measure the sensitivity of the poverty impact to the intra-household distribution of welfare. We find a link between poverty impacts and lending technology. Group-based lending programmes are more effective in reducing the poverty gap but in doing so, they achieve insignificant impacts on the poverty incidence. By contrast, individual lending programmes reported significant and small impacts at the upper limits of deprivation but insignificant impacts on the poverty gap

    Restless bandit marginal productivity indices II: multiproject case and scheduling a multiclass make-to-order/-stock M/G/1 queue

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    This paper develops a framework based on convex optimization and economic ideas to formulate and solve approximately a rich class of dynamic and stochastic resource allocation problems, fitting in a generic discrete-state multi-project restless bandit problem (RBP). It draws on the single-project framework in the author's companion paper "Restless bandit marginal productivity indices I: Single-project case and optimal control of a make-to-stock M/G/1 queue", based on characterization of a project's marginal productivity index (MPI). Our framework significantly expands the scope of Whittle (1988)'s seminal approach to the RBP. Contributions include: (i) Formulation of a generic multi-project RBP, and algorithmic solution via single-project MPIs of a relaxed problem, giving a lower bound on optimal cost performance; (ii) a heuristic MPI-based hedging point and index policy; (iii) application of the MPI policy and bound to the problem of dynamic scheduling for a multiclass combined MTO/MTS M/G/1 queue with convex backorder and stock holding cost rates, under the LRA criterion; and (iv) results of a computational study on the MPI bound and policy, showing the latter's near-optimality across the cases investigated

    A parameterization of flow separation over subaqueous dunes

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    Flow separation plays a key role in the development of dunes, and modeling the complicated flow behavior inside the flow separation zone requires much computational effort. To make a first step toward modeling dune development at reasonable temporal and spatial scales, a parameterization of the shape of the flow separation zone over two-dimensional dunes is proposed herein, in order to avoid modeling the complex flow inside the flow separation zone. Flow separation behind dunes, with an angle-of-repose slip face, is characterized by a large circulating leeside eddy, where a separation streamline forms the upper boundary of the recirculating eddy. Experimental data of turbulent flow over two-dimensional subaqueous bed forms are used to parameterize this separation streamline. The bed forms have various heights and height to length ratios, and a wide range of flow conditions is analyzed. This paper shows that the shape of the flow separation zone can be approximated by a third-order polynomial as a function of the distance away from the flow separation point. The coefficients of the polynomial can be estimated, independent of flow conditions, on the basis of bed form shape at the flow separation point and a constant angle of the separation streamline at the flow reattachment point. \ud \u
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