Technical note: Finite-time regret analysis of Kiefer-Wolfowitz stochastic approximation algorithm and nonparametric multi-product dynamic pricing with unknown demand

We consider the problem of nonparametric multi-product dynamic pricing with unknown demand and show that the problem may be formulated as an online model-free stochastic program, which can be solved by the classical Kiefer-Wolfowitz stochastic approximation (KWSA) algorithm. We prove that the expected cumulative regret of the KWSA algorithm is bounded above by where κ₁, κ₂ are positive constants and T is the number of periods for any T = 1, 2, … . Therefore, the regret of the KWSA algorithm grows in the order of , which achieves the lower bounds known for parametric dynamic pricing problems and shows that the nonparametric problems are not necessarily more difficult to solve than the parametric ones. Numerical experiments further demonstrate the effectiveness and efficiency of our proposed KW pricing policy by comparing with some pricing policies in the literature.     

A multi‐stage stochastic programming approach for network capacity expansion with multiple sources of capacity

In networks, there are often more than one sources of capacity. The capacities can be permanently or temporarily owned by the decision maker. Depending on the nature of sources, we identify the permanent capacity, spot market capacity, and contract capacity. We use a scenario tree to model the uncertainty, and build a multi‐stage stochastic integer program that can incorporate multiple sources and multiple types of capacities in a general network. We propose two solution methodologies for the problem. Firstly, we design an asymptotically convergent approximation algorithm. Secondly, we design a cutting plane algorithm based on Benders decomposition to find tight bounds for the problem. The numerical experiments show superb performance of the proposed algorithms compared with commercial software. © 2016 Wiley Periodicals, Inc. Naval Research Logistics 63: 600–614, 2017     

Optimal switchover times between two activities utilizing the same resource

The “gold‐mining” decision problem is concerned with the efficient utilization of a delicate mining equipment working in a number of different mines. Richard Bellman was the first to consider this type of a problem. The solution found by Bellman for the finite‐horizon, continuous‐time version of the problem with two mines is not overly realistic since he assumed that fractional parts of the same mining equipment could be used in different mines and this fraction could change instantaneously. In this paper, we provide some extensions to this model in order to produce more operational and realistic solutions. Our first model is concerned with developing an operational policy where the equipment may be switched from one mine to the other at most once during a finite horizon. In the next extension we incorporate a cost component in the objective function and assume that the horizon length is not fixed but it is the second decision variable. Structural properties of the optimal solutions are obtained using nonlinear programming. Each model and its solution is illustrated with a numerical example. The models developed here may have potential applications in other areas including production of items requiring the same machine or choosing a sequence of activities requiring the same resource. © 2002 Wiley Periodicals, Inc. Naval Research Logistics 49: 186–203, 2002; DOI 10.1002/nav.10008     

混沌理论在雷达中的应用

混沌动力学作为一门新学科已经引起了世界各国科学界的重视,是近年来非线性科学领域的热门学科,混沌系统初值的敏感性和两个混沌系统间同步的实现,使得混沌用于保密通信成为可能,海杂波的混沌特性使人们开始探索混沌在雷达中的应用.研究表明,混沌在杂波分析与建模、信号检测、目标识别及伪随机码波形设计等领域内取得了可喜的成果.研究了混沌在雷达中的应用,分析了目前混沌在雷达中的应用现状,预测了未来研究发展的趋势.     

一类非线性控制系统模型的数学分析

采用非线性分析的方法,研究了一类非线性控制系统模型,得到解的整体存在性。     

Optimal service and arrival rates in Jackson queueing networks

In this paper we present an algorithm for solving a class of queueing network design problems. Specifically, we focus on determining both service and arrival rates in an open Jackson network of queueing stations. This class of problems has been widely studied and used in a variety of applications, but not well solved due to the difficulty of the resulting optimization problems. As an example, consider the classic application in computer network design which involves determining the minimum cost line capacities and flow assignments while satisfying a queueing performance measure such as an upper limit on transmission delay. Other application areas requiring the selection of both service and arrival rates in a network of queues include the design of communication, manufacturing, and health care systems. These applications yield optimization problems that are difficult to solve because typically they are nonconvex, which means they may have many locally optimal solutions that are not necessarily globally optimal. Therefore, to obtain a globally optimal solution, we develop an efficient branch and bound algorithm that takes advantage of the problem structure. Computational testing on randomly generated problems and actual problems from a health care organization indicate that the algorithm is able to solve realistic sized problems in reasonable computing time on a laptop computer. © 2000 John Wiley & Sons, Inc. Naval Research Logistics 47: 1–17, 2000     

Scheduling for parallel dedicated machines with a single server

This paper examines scheduling problems in which the setup phase of each operation needs to be attended by a single server, common for all jobs and different from the processing machines. The objective in each situation is to minimize the makespan. For the processing system consisting of two parallel dedicated machines we prove that the problem of finding an optimal schedule is N P‐hard in the strong sense even if all setup times are equal or if all processing times are equal. For the case of m parallel dedicated machines, a simple greedy algorithm is shown to create a schedule with the makespan that is at most twice the optimum value. For the two machine case, an improved heuristic guarantees a tight worst‐case ratio of 3/2. We also describe several polynomially solvable cases of the later problem. The two‐machine flow shop and the open shop problems with a single server are also shown to be N P‐hard in the strong sense. However, we reduce the two‐machine flow shop no‐wait problem with a single server to the Gilmore—Gomory traveling salesman problem and solve it in polynomial time. © 2000 John Wiley & Sons, Inc. Naval Research Logistics 47: 304–328, 2000     

一类非线性问题的数值分析

利用Ｌａｐｌａｃｅ方程的基本解,将变系数非齐次Ｈｅｌｍｈｏｌｔｚ偏微分方程的边值问题化为积分方程问题。再用边界无法进行离散,并对区域结点及边界结点的方程耦合求解。文末算例表明本文方法能够达到较高精度。     

Scheduling to minimize the total compression and late costs

We consider a single-machine scheduling model in which the job processing times are controllable variables with linear costs. The objective is to minimize the sum of the cost incurred in compressing job processing times and the cost associated with the number of late jobs. The problem is shown to be NP-hard even when the due dates of all jobs are identical. We present a dynamic programming solution algorithm and a fully polynomial approximation scheme for the problem. Several efficient heuristics are proposed for solving the problem. Computational experiments demonstrate that the heuristics are capable of producing near-optimal solutions quickly. © 1998 John Wiley & Sons, Inc. Naval Research Logistics 45: 67–82, 1998     

非线性干扰观测器的高超声速飞行器自适应反演控制

针对高超声速飞行器参数不确定弹性体模型,提出了一种基于非线性干扰观测器的自适应反演控制器设计方法。将曲线拟合模型表示为严格反馈形式,采用反演方法设计控制器。采用动态面方法获取虚拟控制量的导数,避免了传统反演控制"微分项膨胀"问题。为了增强控制器的鲁棒性,基于二阶跟踪-微分器设计了一种新型非线性干扰观测器,以此对模型不确定项进行自适应估计和补偿。仿真结果表明,控制器对模型不确定性和气动弹性影响具有强鲁棒性,且能实现对速度和高度参考指令的稳定跟踪。