New Results on Online Resource Minimization

We consider the online resource minimization problem in which jobs with hard deadlines arrive online over time at their release dates. The task is to determine a feasible schedule on a minimum number of machines. We rigorously study this problem and derive various algorithms with small constant competitive ratios for interesting restricted problem variants. As the most important special case, we consider scheduling jobs with agreeable deadlines. We provide the first constant ratio competitive algorithm for the non-preemptive setting, which is of particular interest with regard to the known strong lower bound of n for the general problem. For the preemptive setting, we show that the natural algorithm LLF achieves a constant ratio for agreeable jobs, while for general jobs it has a lower bound of Omega(n^(1/3)). We also give an O(log n)-competitive algorithm for the general preemptive problem, which improves upon the known O(p_max/p_min)-competitive algorithm. Our algorithm maintains a dynamic partition of the job set into loose and tight jobs and schedules each (temporal) subset individually on separate sets of machines. The key is a characterization of how the decrease in the relative laxity of jobs influences the optimum number of machines. To achieve this we derive a compact expression of the optimum value, which might be of independent interest. We complement the general algorithmic result by showing lower bounds that rule out that other known algorithms may yield a similar performance guarantee

Symmetrized importance samplers for stochastic differential equations

We study a class of importance sampling methods for stochastic differential equations (SDEs). A small-noise analysis is performed, and the results suggest that a simple symmetrization procedure can significantly improve the performance of our importance sampling schemes when the noise is not too large. We demonstrate that this is indeed the case for a number of linear and nonlinear examples. Potential applications, e.g., data assimilation, are discussed.Comment: Added brief discussion of Hamilton-Jacobi equation. Also made various minor corrections. To appear in Communciations in Applied Mathematics and Computational Scienc

Data-based stochastic model reduction for the Kuramoto--Sivashinsky equation

The problem of constructing data-based, predictive, reduced models for the Kuramoto-Sivashinsky equation is considered, under circumstances where one has observation data only for a small subset of the dynamical variables. Accurate prediction is achieved by developing a discrete-time stochastic reduced system, based on a NARMAX (Nonlinear Autoregressive Moving Average with eXogenous input) representation. The practical issue, with the NARMAX representation as with any other, is to identify an efficient structure, i.e., one with a small number of terms and coefficients. This is accomplished here by estimating coefficients for an approximate inertial form. The broader significance of the results is discussed.Comment: 23 page, 7 figure

Small-noise analysis and symmetrization of implicit Monte Carlo samplers

Implicit samplers are algorithms for producing independent, weighted samples from multi-variate probability distributions. These are often applied in Bayesian data assimilation algorithms. We use Laplace asymptotic expansions to analyze two implicit samplers in the small noise regime. Our analysis suggests a symmetrization of the algo- rithms that leads to improved (implicit) sampling schemes at a rel- atively small additional cost. Computational experiments confirm the theory and show that symmetrization is effective for small noise sampling problems