6,505 research outputs found
Efficient Computing Budget Allocation for Simulation-based Optimization with Stochastic Simulation Time
The dynamics of many systems nowadays follow not only physical laws but also
man-made rules. These systems are known as discrete event dynamic systems and
their performances can be accurately evaluated only through simulations.
Existing studies on simulation-based optimization (SBO) usually assume
deterministic simulation time for each replication. However, in many
applications such as evacuation, smoke detection, and territory exploration,
the simulation time is stochastic due to the randomness in the system behavior.
We consider the computing budget allocation for SBO's with stochastic
simulation time in this paper, which has not been addressed in existing
literatures to the author's best knowledge. We make the following major
contribution. The relationship between simulation time and performance
estimation accuracy is quantified. It is shown that when the asymptotic
performance is of interest only the mean value of individual simulation time
matters. Then based on the existing optimal computing budget allocation (OCBA)
method for deterministic simulation time we develop OCBA for stochastic
simulation time (OCBAS), and show that OCBAS is asymptotically optimal.
Numerical experiments are used to discuss the impact of the variance of
simulation time, the impact of correlated simulation time and performance
estimation, and to demonstrate the performance of OCBAS on a smoke detection
problem in wireless sensor network. The numerical results also show that OCBA
for deterministic simulation time is robust even when the simulation time is
stochastic.Comment: 7 pages, 5 figures, technical repor
Photoproduction of dileptons and photons in p-p collisions at Large Hadron Collider energies
The production of large dileptons and photons originating from
photoproduction processes in p-p collisions at Large Hadron Collider energies
is calculated. The comparisons between the exact treatment results and the ones
of the equivalent photon approximation approach are expressed as the
(the virtuality of photon) and distributions. The method developed by
Martin and Ryskin is used for avoiding double counting when the coherent and
incoherent contributions are considered simultaneously. The numerical results
indicate that, the equivalent photon approximation is only effective in small
region and can be used for coherent photoproduction processes with
proper choice of ( the choices or will cause obvious errors), but can not be used for
incoherent photoproduction processes. The exact treatment is needed to deal
accurately with the photoproduction of large dileptons and photons.Comment: 13 pages, 24 figure
An online learning approach to dynamic pricing for demand response
In this paper, the problem of optimal dynamic pricing for retail electricity
with an unknown demand model is considered. Under the day-ahead dynamic pricing
(a.k.a. real time pricing) mechanism, a retailer obtains electricity in a
twosettlement wholesale market and serves its customers in real time. Without
knowledge on the aggregated demand function of its customers, the retailer aims
to maximize its retail surplus by sequentially adjusting its price based on the
behavior of its customers in the past. An online learning algorithm, referred
to as piecewise linear stochastic approximation (PWLSA), is proposed. It is
shown that PWLSA achieves the optimal rate of learning defined by the growth
rate of cumulative regret. In particular, the regret of PWLSA is shown to grow
logarithmically with respect to the learning horizon, and no other on-line
learning algorithm can have the growth rate slower than that of PWLSA.
Simulation studies are presented using traces of actual day-ahead prices, and
PWLSA compares favorably under both static and dynamically changing parameters
Estimating Distances via Received Signal Strength and Connectivity in Wireless Sensor Networks
Distance estimation is vital for localization and many other applications in
wireless sensor networks (WSNs). Particularly, it is desirable to implement
distance estimation as well as localization without using specific hardware in
low-cost WSNs. As such, both the received signal strength (RSS) based approach
and the connectivity based approach have gained much attention. The RSS based
approach is suitable for estimating short distances, whereas the connectivity
based approach obtains relatively good performance for estimating long
distances. Considering the complementary features of these two approaches, we
propose a fusion method based on the maximum-likelihood estimator (MLE) to
estimate the distance between any pair of neighboring nodes in a WSN through
efficiently fusing the information from the RSS and local connectivity.
Additionally, the method is reported under the practical log-normal shadowing
model, and the associated Cramer-Rao lower bound (CRLB) is also derived for
performance analysis. Both simulations and experiments based on practical
measurements are carried out, and demonstrate that the proposed method
outperforms any single approach and approaches to the CRLB as well
Trading Strategy with Stochastic Volatility in a Limit Order Book Market
In this paper, we employ the Heston stochastic volatility model to describe
the stock's volatility and apply the model to derive and analyze the optimal
trading strategies for dealers in a security market. We also extend our study
to option market making for options written on stocks in the presence of
stochastic volatility. Mathematically, the problem is formulated as a
stochastic optimal control problem and the controlled state process is the
dealer's mark-to-market wealth. Dealers in the security market can optimally
determine their ask and bid quotes on the underlying stocks or options
continuously over time. Their objective is to maximize an expected profit from
transactions with a penalty proportional to the variance of cumulative
inventory cost
On Optimal Pricing Model for Multiple Dealers in a Competitive Market
In this paper, the optimal pricing strategy in Avellande-Stoikov's for a
monopolistic dealer is extended to a general situation where multiple dealers
are present in a competitive market. The dealers' trading intensities, their
optimal bid and ask prices and therefore their spreads are derived when the
dealers are informed the severity of the competition. The effects of various
parameters on the bid-ask quotes and profits of the dealers in a competitive
market are also discussed. This study gives some insights on the average
spread, profit of the dealers in a competitive trading environment
Plasma q-plate for generation and manipulation of intense optical vortices
An optical vortex is a light wave with a twisting wavefront around its
propagation axis and null intensity in the beam center. Its unique spatial
structure of field lends itself to a broad range of applications, including
optical communication, quantum information, superresolution microscopy, and
multi-dimensional manipulation of particles. However, accessible intensity of
optical vortices have been limited to material ionization threshold. This
limitation might be removed by using the plasma medium. Here we propose the
design of suitably magnetized plasmas which, functioning as a q-plate, leads to
a direct convertion from a high-intensity Gaussian beam into a twisted beam. A
circularly polarized laser beam in the plasma accumulates an
azimuthal-angle-dependent phase shift and hence forms a twisting wavefront. Our
three-dimensional particle-in-cell simulations demonstrate extremely high power
conversion efficiency. The plasma q-plate can work in a large range of
frequencies spanning from terahertz to the optical domain
Optimal Liquidation Problems in a Randomly-Terminated Horizon
In this paper, we study optimal liquidation problems in a randomly-terminated
horizon. We consider the liquidation of a large single-asset portfolio with the
aim of minimizing a combination of volatility risk and transaction costs
arising from permanent and temporary market impact. Three different scenarios
are analyzed under Almgren-Chriss's market impact model to explore the relation
between optimal liquidation strategies and potential inventory risk arising
from the uncertainty of the liquidation horizon. For cases where no closed-form
solutions can be obtained, we verify comparison principles for viscosity
solutions and characterize the value function as the unique viscosity solution
of the associated Hamilton-Jacobi-Bellman (HJB) equation
General PT-Symmetric Matrices
Three ways of constructing a non-Hermitian matrix with possible all real
eigenvalues are discussed. They are PT symmetry, pseudo-Hermiticity, and
generalized PT symmetry. Parameter counting is provided for each class. All
three classes of matrices have more real parameters than a Hermitian matrix
with the same dimension. The generalized PT-symmetric matrices are most general
among the three. All self-adjoint matrices process a generalized PT symmetry.
For a given matrix, it can be both PT-symmetric and P'-pseudo-Hermitian with
respect to some P' operators. The relation between corresponding P and P'
operators is established. The Jordan block structures of each class are
discussed. Explicit examples in 2x2 are shown.Comment: 27 page
Speeding Up Classical and Quantum Adiabatic Processes: Implications for Work Functions and Heat Engine Designs
Adiabatic processes are important for studying the dynamics of a
time-dependent system. Conventionally, the adiabatic processes can only be
achieved by varying the system slowly. We speed up both classical and quantum
adiabatic processes by adding control protocols. In classical systems, we work
out the control protocols by analyzing the classical adiabatic approximation.
In quantum systems, we follow the idea of transitionless driving by Berry [J.
Phys. A: Math. Theor. Vol.42 365303 (2009)]. Such fast-forward adiabatic
processes can be performed at arbitrary fast speed, and in the meanwhile reduce
the work fluctuation. In both systems, we use a time-dependent harmonic
oscillator model to work out explicitly the work function and the work
fluctuation in three types of processes: fast-forward adiabatic processes,
adiabatic processes, and non-adiabatic processes. We show the significant
reduction on work fluctuation in fast-forward adiabatic process. We further
illustrate how the fast-forward process improved the converging rate of the
Jarzynski equality between the work function and the free energy. As an
application, we show that the fast-forward process not only maximizes the
output power but also improve the efficiency of a quantum engine.Comment: This is a rough progress report. Manuscripts are being prepared for
submission for publicatio
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