Displaying similar documents to “Optimal and Near-Optimal (s,S) Inventory Policies for Levy Demand Processes”

Optimal Policies for a Database System with Two Backup Schemes

Cunhua Qian, Yu Pan, Toshio Nakagawa (2010)

RAIRO - Operations Research

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This paper considers two backup schemes for a database system: a database is updated at a nonhomogeneous Poisson process and an amount of updated files accumulates additively. To ensure the safety of data, full backups are performed at time or when the total updated files have exceeded a threshold level , and between them, cumulative backups as one of incremental backups are made at periodic times ). Using the theory of cumulative processes, the expected cost is...

Numerical analysis of parallel replica dynamics

Gideon Simpson, Mitchell Luskin (2013)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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Parallel replica dynamics is a method for accelerating the computation of processes characterized by a sequence of infrequent events. In this work, the processes are governed by the overdamped Langevin equation. Such processes spend much of their time about the minima of the underlying potential, occasionally transitioning into different basins of attraction. The essential idea of parallel replica dynamics is that the exit distribution from a given well for a single process can be approximated...

An Extended Opportunity-Based Age Replacement Policy

Bermawi P. Iskandar, Hiroaki Sandoh (2010)

RAIRO - Operations Research

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The present study proposes an extended opportunity-based age replacement policy where opportunities occur according to a Poisson process. When the age, of the system satisfies for a prespecified value , a corrective replacement is conducted if the objective system fails. In case satisfies for another prespecified value , we take an opportunity to preventively replace the system by a new one with probability , and do not take the opportunity with probability . At the moment reaches...

Simulation and approximation of Lévy-driven stochastic differential equations

Nicolas Fournier (2011)

ESAIM: Probability and Statistics

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We consider the approximate Euler scheme for Lévy-driven stochastic differential equations. We study the rate of convergence in law of the paths. We show that when approximating the small jumps by Gaussian variables, the convergence is much faster than when simply neglecting them. For example, when the Lévy measure of the driving process behaves like ||d near , for some ∈ (1,2), we obtain an error of order 1/√ with a computational cost of order . For a similar error when neglecting...

An Improved Algorithm for a Bicriteria Batching Scheduling Problem

Cheng He, Xiumei Wang, Yixun Lin, Yundong Mu (2013)

RAIRO - Operations Research - Recherche Opérationnelle

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This note is concerned with the bicriteria scheduling problem on a series-batching machine to minimize maximum cost and makespan. An ( ) algorithm has been established previously. Here is an improved algorithm which solves the problem in ( ) time.

A generalized mean-reverting equation and applications

Nicolas Marie (2014)

ESAIM: Probability and Statistics

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Consider a mean-reverting equation, generalized in the sense it is driven by a 1-dimensional centered Gaussian process with Hölder continuous paths on [0] (> 0). Taking that equation in rough paths sense only gives local existence of the solution because the non-explosion condition is not satisfied in general. Under natural assumptions, by using specific methods, we show the global existence and uniqueness of the solution, its integrability, the continuity and differentiability...