A model for FMS of unreliable machines

Fulltext link (Conference paper): http://www.wseas.us/e-library/conferences/athens2000/Papers2000/170.pdfDocument Type: ArticleThis paper studies Markovian queueing model for flexible manufacturing system. The manufacturing system consists of multiple unreliable machines. Hedging point policy is applied to the system as production control. We model the machine states and inventory levels of the system as a multi-server queueing system. Fast numerical algorithm is presented to solve the steady state probability distribution of the system. Using the probability distribution, the system performance and the effect of machine reliability and maintainability can be evaluated.link_to_subscribed_fulltex

Finding optimal control policy by using dynamic programming in conjunction with state reduction

In this paper we study the problem of finding optimal control policy for probabilistic Boolean networks (PBNs). Previous works have been done by using dynamic programming-based (DP) method. However, due to the high computational complexity of PBNs, DP method is computationally inefficient for large networks. Inspired by the state reduction strategies studied in [10], we consider using dynamic programming in conjunction with state reduction approach to reduce the computational cost of DP method. Numerical examples are given to demonstrate the efficiency of our proposed method. © 2011 IEEE.published_or_final_versionThe 2011 IEEE International Conference on Systems Biology (ISB), Zhuhai, China, 2-4 September 2011. In Proceedings of ISB, 2011, p. 274-27

A new estimation method for multivariate Markov chain model with application in demand predictions

In this paper, we propose a new estimation method for the parameters of a multivariate Markov chain model. In the new method, we calculate the correlations of the sequences first and establish multivariate Markov chain models for those positively correlated sequences. The parameters are estimated by minimizing the error of prediction. We apply the method to demand predictions for a soft-drink company in Hong Kong. Numerical experiments are given to show the effectiveness of our proposed method. © 2010 IEEE.published_or_final_versionThe 3rd International Conference on Business Intelligence and Financial Engineering (BIFE 2010), Hong Kong, 13-15 August 2010. In Proceedings of the 3rd BIFE, 2010, p. 126-13

The role of Eigen-matrix translation in classification of biological datasets

Driven by the challenge of integrating large amount of experimental data obtained from biological research, computational biology and bioinformatics are growing rapidly. Machine learning methods, especially kernel methods with Support Vector Machines (SVMs) are very popular tools. In the perspective of kernel matrix, a technique namely Eigen-matrix translation has been introduced for protein data classification. The Eigen-matrix translation strategy owns a lot of nice properties while the nature of which needs further exploration. We propose that its importance lies in the dimension reduction of predictor attributes within the data set. This can therefore serve as a novel perspective for future research in dimension reduction problems. © 2012 IEEE.published_or_final_versio

Incentive effects of common and separate queues with multiple servers: The principal-agent perspective

A two-server service network has been studied by Gilbert and Weng [13] fromthe principal-agent perspective. In the model, services are rendered by twoindependent facilities coordinated by an agency. The agency must devise astrategy to allocate customers to the facilities and determine the compensation.A common queue allocation scheme and separate queue allocation scheme are thencompared. It has been shown that the separate queue system gives morecompetition incentives to the independent facilities and induces a higherservice capacity. The main aim of this paper is to extend the results of thetwo-server queueing model to the case of multiple-server queueing model. Ouranalysis shows that in the case of multiple servers the separate queueallocation scheme creates more competition incentives for servers to increasetheir service capacities. In particular, when there are not severe diseconomiesassociated with increasing service capacity, the separate queue allocationscheme gives a lower expected sojourn time in equilibrium. © 2009 IEEE.published_or_final_versionProceedings of the 39th International Conference on Computers and Industrial Engineering (CIE39), Troyes, France, 6-8 July 2009, p. 1249-125

Block diagonal and schur complement preconditioners for block-toeplitz systems with small size blocks

In this paper we consider the solution of Hermitian positive definite block-Toeplitz systems with small size blocks. We propose and study block diagonal and Schur complement preconditioners for such block-Toeplitz matrices. We show that for some block-Toeplitz matrices, the spectra of the preconditioned matrices are uniformly bounded except for a fixed number of outliers where this fixed number depends only on the size of the block. Hence, conjugate gradient type methods, when applied to solving these preconditioned block-Toeplitz systems with small size blocks, converge very fast. Recursive computation of such block diagonal and Schur complement preconditioners is considered by using the nice matrix representation of the inverse of a block-Toeplitz matrix. Applications to block-Toeplitz systems arising from least squares filtering problems and queueing networks are presented. Numerical examples are given to demonstrate the effectiveness of the proposed method. © 2007 Society for Industrial and Applied Mathematics.published_or_final_versio

Pricing exotic options under a high-order markovian regime switching model

We consider the pricing of exotic options when the price dynamics of the underlying risky asset are governed by a discrete-time Markovian regime-switching process driven by an observable, high-order Markov model (HOMM). We assume that the market interest rate, the drift, and the volatility of the underlying risky asset's return switch over time according to the states of the HOMM, which are interpreted as the states of an economy. We will then employ the well-known tool in actuarial science, namely, the Esscher transform to determine an equivalent martingale measure for option valuation. Moreover, we will also investigate the impact of the high-order effect of the states of the economy on the prices of some path-dependent exotic options, such as Asian options, lookback options, and barrier options.published_or_final_versio

A hidden Markov reduced-form risk model

In this paper, we propose a reduced-form credit risk model with a hidden state process. The hidden state process is adopted to model the underlying economic environment with an observable state revealing the delayed and noisy information of the underlying economic state. Our model is a generalization of the work in Gu et al. [1]. Under this framework, we give a computational method to extract the underlying economic state and to find the distribution of multiple default times. Numerical experiment is conducted to illustrate the impact of change in observable state and the contagion effect of defaults.published_or_final_versio

On improving incentive in a supply chain: Wholesale price contract vs quantity dependent contract

Theme: Soft Computing Techniques for Advanced Manufacturing and Service SystemsIn this paper, we first study the performance of a supply chain consisting of one retailer and one supplier. The supplier sets the price scheme of some goods and the retailer then decides the order level and sells the goods in the market. Specifically, a quadratic cost function is assumed here to approximate the U-shape cost curve commonly observed in industries. Two kinds of contracts offered by the supplier are investigated, namely wholesale price contract and quantity dependent contract. Wholesale price is fixed under the first contract but varies depending on order level under the second one. We show that certain wholesale price contract successfully induces the retailer to order at a level such that supply chain profit is maximized, but extra cost in implementation may occur due to supplier's disagreement on this price. Given this, we propose an efficiency measure to show to what extent the wholesale price contract helps to increase supply chain profit. For quantity dependent contract, we show that it can coordinate the supply chain and leads to a proportional division of supply chain profit. We then generalize the analysis to cover the case of multiple retailers and single supplier where similar results are also obtained.published_or_final_versionThe 40th International Conference on Computers and Industrial Engineering, (CIE 2010), Hyogo, Japan, 25-28 July 2010. In Proceedings of the International Conference on Computers & Industrial Engineering, 2010, p. 1-

Inducing optimal service capacities via performance-based allocation of demand in a queueing system with multiple servers

Theme: Soft Computing Techniques for Advanced Manufacturing and Service SystemsIn this paper, we study the use of performance-based allocation of demand in a multiple-server queueing system. The same problem with two servers have been studied in the literature. Specifically, it has been proposed and proved that the linear allocation and mixed threshold allocation policies are, respectively, the optimal state-independent and state-dependent allocation policy in the two-server case. The multiple-server linear allocation has also been shown to be the optimal state-independent policy with multiple servers. In our study, we focus on the use of a multiple-server mixed threshold allocation policy to replicate the demand allocation of a given state-independent policy to achieve a symmetric equilibrium with lower expected sojourn time. Our results indicate that, for any given multiple-server state-independent policy that prohibits server overloading, there exists a multiple-server mixed threshold policy that gives the same demand allocation and thus have the same Nash equilibrium (if any). Moreover, such a policy can be designed so that the expected sojourn time at a symmetric equilibrium is minimized. Therefore, our results concur with previous two-server results and affirm that a trade-off between incentives and efficiency need not exist in the case of multiple servers.published_or_final_versionThe 40th International Conference on Computers and Industrial Engineering, (CIE 2010), Hyogo, Japan, 25-28 July 2010. In Proceedings of the International Conference on Computers & Industrial Engineering, 2010, p. 1-