A Recursive Partitioning Algorithm for Space Information Flow

Size: px
Start display at page:

Download "A Recursive Partitioning Algorithm for Space Information Flow"

Transcription

1 A Recursive Partitioning Algorithm for Space Information Flow Jiaqing Huang Department of Electronics and Information Engineering Huazhong University of Science and Technology, China Zongpeng Li Department of Computer Science University of Calgary, Canada Abstract Space Information Flow (SIF) is a new research paradigm that studies network coding in a geometric space, which is different with Network Information Flow (NIF) that studies network coding in a graph. One of the key open problems at the core of SIF is to design an algorithm that computes optimal SIF solutions. A new heuristic SIF algorithm based on nonuniform recursive space partitioning is proposed in this work, for computing SIF for any density distribution of given terminal nodes in 2-D Euclidean space. Simulation results show that the new algorithm has low computational complexity and converges to optimal solutions promptly. I. INTRODUCTION Space Information Flow (SIF) [1][2], proposed in 2011, studies network coding in a geometric space. Departing from Network Information Flow (NIF) [3] that studies network coding in a graph, SIF allows additional relay nodes to be added for helping the communication (See Figure 1). SIF is also different from routing in space, e.g. Euclidean Steiner Minimal Tree () [4]. The first SIF single multicast example Pentagram [5], as illustrated in Figure 2 demonstrates that the performance of network coding in space (SIF) can be strictly better than that of routing in space (e.g. ). In other words, the cost advantage [6] is strictly bigger than 1, where the cost advantage is defined as the ratio of minimum cost necessary for achieving a target throughput by routing over that of network coding. Fig. 1. Graph Space Butterfly Pentagram Graph Space SIF studies network coding in geometric space The Pentagram example [5] is as follows. Figure 2(a) shows six terminal nodes in a 2-D Euclidean space, where five nodes (A to E) form a regular pentagon centered at node F. The radius of the circumscribed circle is 1. The communication demand is for the source F to multicast messages to the sinks (A to E). We will compare the cost between network coding and routing. Here we define cost in terms of the total number of bitmeters of information transmission required for achieving a 1 B C A A A a a+b 1 a 1 5 a+b E B 2 E B a+b E b a b F F 2 b F a b 4 3 b 3 b a a D C D C D (a) (b) (c) Fig. 2. The multicast example of SIF Pentagram (cost advantage ). (a) six terminal nodes in 2-D Euclidean space; (b) using optimal (cost=4.6400/bit); (c) using network coding in space (cost=4.5677/bit). bit end-to-end throughput. With routing (Figure 2(b)), optimal can be computed [7][8] and the cost is /bit. With network coding (Figure 2(c)), we can introduce five additional relay nodes (nodes 1 to 5) each adjacent to three links that form three 120 angles. The total distance is , while every sink receives 2 bits. The normalized cost is /2=4.5677/bit<4.6400/bit (optimal ). The cost advantage is / >1. Despite the seemingly small difference in cost, this example reveals the fact that network coding in space is a fundamentally different problem than routing in space, with a different combinatorial structure and flavor, and likely different computational complexity. As for the applications of SIF, a potential scenario is the planning of wireless sensors in space. For routing in space, Gilbert et al. [4] studied properties of optimal. The computational complexity of is known to be NP-Hard [9]. There exist Polynomial Time Approximation Schemes (PTAS) [10] for that adopt the geometric partitioning approach, similar to the first phase of our proposed SIF algorithm in this work. Along the new direction of SIF, Li and Wu [2] studied multiple-unicast network coding in space. Yin et al. [11] proved a number of properties of multicast network coding in 2-D Euclidean space. Xiahou et al. [12][13] proposed a unified geometric framework in space to investigate the multiple-unicast network coding conjecture in undirected graphs. Huang et al. [5] proposed a heuristic algorithm for SIF, for the case of single multicast. However, algorithm design targeting optimal multicast SIF remains an open problem, which appears particularly challenging we need to compute not only the number of relay nodes, /14/$ IEEE 1460

2 the exact geometric location of each relay node, but also the best way of interconnecting them, and then the best multicast flow over such an interconnection topology. Such optimal SIF algorithm design is currently one of the most important open problems in the paradigm of SIF. Our contribution in this work is to propose a heuristic SIF algorithm based on recursive non-uniform partitioning of the host space, which can adapt to any density distribution of terminal nodes in 2-D Euclidean space. The algorithm has fast convergence and low computational overhead. The main differences between our new SIF algorithm and an existing SIF algorithm [5] include the follows. (1) The previous SIF algorithm rely on uniform partitioning. It suffers from high complexity for clustered terminals (when terminal density in the input is highly non-uniform). An extreme example appears when the distance between two terminal nodes approaches zero, the partitioning parameter q in [5] approaches infinity, making the algorithm infeasible in practice; (2) Our new SIF algorithm adopts a retention mechanism in terms of Linear Programming (LP) input. That is, the balanced relay nodes in the last round are retained and fed as input into the LP computation together with the candidate relay nodes in the current round. The candidate relay nodes are generated from the non-uniform partitioning. And the balanced relay nodes are obtained by means of equilibrium methods of Phase II and represent the local optimization to some extent. Thus, retaining the local optimization can subsequently speedup the convergence; (3) The candidate relay nodes outside the convex hull determined by the given terminal nodes are removed in order to decrease the LP computation. Since the relay nodes in an optimal solution of SIF should be inside the convex hull according to the SIF property [11]. In the rest of the paper, Section II presents the problem formation and definitions. Section III elaborates the detailed steps of the new SIF algorithm. Section IV presents simulation studies. The final section concludes the paper. II. FORMATION AND DEFINITIONS We focus on the multicast SIF problem, which studies mincost multicast network coding in 2-D Euclidean space. The input includes N terminal nodes in a 2-D Euclidean space and a multicast session from one source to a number of sinks. The goal is to compute a min-cost transmission scheme using SIF, which permits the introduction of extra nodes (a set of relay nodes). Cost is defined as e w(e)f(e), where f(e) is the information flow rate of a link e in space, and w(e) is the weight of link e, which equals the Euclidean distance e of e [1][2]. When a SIF scheme is computed, a network G can be induced. A SIF solution is an embedding of a multicast network G into a 2-D Euclidean space. When f(e) required to be always 1, SIF degrades into the problem. A solution to SIF contains two dimensions: the topology of a solution multicast networks/flow and positions of relay nodes inserted into the topology. The former further includes a flow routing scheme that specifies the flow rate on each link. A bounding box of a set of given terminal nodes is the smallest axis-aligned rectangle enclosing them [10]. III. NEW SIF ALGORITHM Our SIF algorithm includes two phases: Phase I for determining the topology of SIF and Phase II for determining the positions of relay nodes. A. Phase I: Computing Optimal SIF Topology Phase I computes the topology, including the number of relay nodes and their topological connection with the terminal nodes, as well as the flow rates on the connection links. Two key techniques are employed in this phase: non-uniform partitioning and Linear Programming (LP). The former helps obtain the candidate relay nodes, which are the centers of a number of rectangular cells from the non-uniform partitioning. The latter solves the partitioning model in Equation (1) to compute the minimum cost as well as the flow rates. Non-uniform partitioning represents the first significant difference from a previous SIF algorithm [5] that resorts to uniform partitioning. Under non-uniform partitioning, through every terminal node, a vertical line and a horizontal line are drawn; a bounding box and a number of sub-rectangles that of different sizes are constructed; every sub-rectangle is recursively partitioned into q q cells. Non-uniform partitioning is able to deal with any density distribution of terminal nodes, especially for non-uniform distributions. Take nine clustering terminals nodes for instance (Figure 3(a)), if uniform partitioning [5] is adopted, it takes at least five rounds to compute the most sufficient candidate relay nodes. As shown in Figure 3(b), the fourth round (i.e. q q=4 4) does not suffice because there is no candidate relay node in the convex hull determined by the three upside terminal nodes. With non-uniform partitioning (Figure 3(c) and 3(d)), the distribution of the candidate relay nodes is in accord with the terminal nodes, which can speedup the convergence of the algorithm. The second key difference from the previous algorithm [5] is to introduce a retention mechanism. The balanced relay nodes after Phase II in the last round are retained and further fed into the LP computation together with the candidate relay nodes in the current round. This retention mechanism can speedup the convergence since the balanced relay nodes by means of equilibrium methods of Phase II represent local optimization to a certain extent. Furthermore, the minimum cost will decrease monotonically. Due to the retention mechanism, there is no need to distinguish the two LP models (partitioning model and OPT model) as in the previous algorithm [5]. We adopt the partitioning LP model here. Minimize cost q = uv A w( uv)f( uv) Subject to : v V (u) f i( vu) = v V (u) f i( uv) i, u f i ( Ti S)=r i f i ( uv) f( uv) i, (1) uv f( uv) 0,f i ( uv) 0 i, uv 1461

3 distance of the complete graph consisting of the terminal nodes and the candidate relay nodes). The detailed steps of Phase I are in Algorithm 1. Fig. 3. Example of non-uniform partitioning vs. uniform partitioning. (a) nine given clustering terminal nodes in 2-D Euclidean space; (b) 4 4 uniform partitioning; (c) non-uniform partitioning: through every terminal node, a vertical line and a horizontal line are drawn to obtain a bounding box and a number of sub-rectangles; (d) non-uniform partitioning: every sub-rectangle is partitioned into q q (e.g. q=2) cells. The centers of the cells inside the convex hull (in red) determined by given terminal nodes are taken as the candidate relay nodes. The solid nodes are terminals, hollow nodes are relays. The partitioning model (Equation (1)) is based on an undirected complete graph generated from non-uniform partitioning. The graph is denoted as G =(V,E), where V is the set of N terminal nodes and the candidate relay nodes as well as the balanced relay nodes, E is the set of undirected links. Due to the bi-directed possibilities of transmission in space, we make links bi-directed and denote a set of directed links as A = { uv, vu uv E}. In the LP objective function, the decision variable f( uv) represents the combined effective flow rate on a link uv. Coefficient w( uv) represents the Euclidean distance uv (= vu = uv ). In the LP constraints, f i ( uv) represents the rate of information flow S T i on a link uv. This kinds of information flows are conceptual in that they share instead of compete for available bandwidth of a link [14]. f( uv) equals to the maximum among all f i ( uv). V (u) and V (u) denote upstream and downstream adjacent set of u in V, respectively. r is a multicast rate from the source S to each sink T i. We assume there is a conceptual link from each sink T i back to the source S with the rate r, for concise representation of flow conservation constraints [14]. The third difference from the previous algorithm [5] is to remove the unnecessary relay nodes outside the convex hull determined by the given terminal nodes, for reduced LP computation overhead (the LP requires computing all-pairs Algorithm 1 SIF Algorithm (Phase I) Require: N terminal nodes, a multicast session Ensure: Output resulting relay nodes 1: Initialization: MINCOST I = MINCOST II =+, partitioning q=2; 2: Compute a convex hull for the N given terminal nodes; 3: Crossing every terminal node, draw a vertical line and a horizontal line to obtain a number of sub-rectangles; 4: Partition every sub-rectangle uniformly into q q cells and obtain centers of all cells; The upperbound number of the centers is (N 1) 2 q 2 ; 5: Choose centers that are inside the convex hull as the candidate relay nodes; 6: Construct a complete graph with N terminal nodes and the candidate relay nodes of the current round as well as the balanced relay nodes of the last round; 7: Solve the partitioning LP model based on the complete graph and output the resulting relay nodes; 8: if cost q <MINCOST I then 9: MINCOST I = cost q 10: end if 11: if Flow rates of all resulting relay nodes == 0 then 12: output MINCOST I and stop. 13: end if B. Phase II: Approach Optimal SIF Positions The aim of Phase II is to refining the locations of relays from Phase I, by moving them to balanced positions that satisfy necessary properties of optimal SIF stable at relay [11]. There are two alternative equilibrium methods: the iterative method [5] and the analytic geometric method. We focus on the latter in this work, to compute the exact positions (i.e. coordinates) of the resulting relay nodes from Phase I. There is a 120 condition: if a relay node has three adjacent links each with equal flow rate, then the balanced position of the relay node should result in three 120 angles among its three adjacent links. The analytic geometry method exploits this fact to compute the exact coordinates of the balanced relay nodes. More specifically, we can apply inner product of two vectors to establish equations. Suppose a relay node (x, y) is connected with three adjacent terminal nodes (x 1,y 1 ),(x 2,y 2 ) and (x 3,y 3 ) (See Figure 4(a)). Two unknown variables (i.e x and y) can be solved by two equations: (x 1 x)(x 2 x)+(y 1 y)(y 2 y) (x1 x) 2 +(y 2 = 1 y) (x 2 x) 2 +(y cos120 2 y) 2 (x 1 x)(x 3 x)+(y 1 y)(y 3 y) (x1 x) 2 +(y 1 y) 2 = (2) (x 3 x) 2 +(y cos120 3 y) 2 The number of equations will vary according to the following different cases. If a relay node (x, y) has one adjacent relay node (x,y ) and two adjacent terminal nodes (x 1,y 1 ) and (x 2,y 2 ), there should be four equations with four unknown 1462

4 (x 1, y 1 ) (x 2, y 2 ) (x, y) (a) (x 3, y 3 ) (x 1, y 1 ) (x 4, y 4 ) (x 2, y 2 ) (x, y) (b) (x', y') (x 3, y 3 ) Fig. 4. The analytic geometry method for equilibrium in Phase II. (a) one relay node with three adjacent terminal nodes; (b) two relay nodes that are connected adjacently and four adjacent terminal nodes. variables, because x and y have another two equations. Suppose the relay node (x,y ) has two adjacent terminal nodes (x 3,y 3 ) and (x 3,y 4 ) (See Figure 4(b)). The four unknown variables (i.e. x, y, x and y ) can be solved by four equations. (x 1 x)(x 2 x)+(y 1 y)(y 2 y) (x1 x) 2 +(y 2 = 1 y) (x 2 x) 2 +(y cos120 2 y) 2 (x 1 x)(x x)+(y 1 y)(y y) (x1 x) 2 +(y 2 = 1 y) (x x) 2 +(y y) cos120 2 (x 1 x)/(y 1 y) =(x 3 x )/(y 3 y ) (x 2 x)/(y 2 y) =(x 4 x )/(y 4 y ) The latter two equations come from the two parallel vectors, for instance, the last equation is due to two parallel vectors (x 2 x, y 2 y) and (x 4 x,y 4 y ). This can reduce the computation overhead. If a relay node has two adjacent relay nodes and one adjacent terminal node, there should be six equations with six unknown variables. For each extra relay node (two unknown coordinates), two extra equations arise. The number of unknown variables and the number of equations are always equal. If a resulting relay node does not have three equal-flow links, the new algorithm adopts the iterative method for equilibrium in our previous algorithm [5], i.e. an iterative process that gradually settles down the SIF topology into a balanced state. In detail, execute repeatedly while the resultant force F i of a resulting relay node R i does not approach zero (i.e. less than a small positive rational number ɛ 1 ), the resulting relay node R i will be moved with a stepsize Δ F i. As the method iterates, the stepsize decreases, for the fine-tuning to 1 gradually converge. An example stepsize sequence is 2 i+3, where i is the iteration number. The detailed steps of Phase II are shown in Algorithm 2. IV. SIMULATIONS RESULTS Our simulations are based on C++ programs and use glpk 4.48 for solving LPs, with the help of MATLAB for solving equations. The optimal is computed by GeoSteiner 3.1 that implements an exact algorithm [7]. A. Case of Clustering Terminal Nodes We compare non-uniform and uniform partitioning with regard to the clustering case mentioned in Figure 3(a). Under (3) Algorithm 2 SIF Algorithm (Phase II) Require: resulting relay nodes of Phase I Ensure: Output a SIF solution 1: if Resulting relay nodes satisfy 120 condition then 2: Apply the analytic geometric method for equilibrium: solve equations to obtain the exact coordinates of the balanced relay nodes according to Section III-B; 3: else 4: Apply the iterative method for equilibrium: 5: while Resultant force >ɛ 1 for some relay nodes do 6: while i :1 Relay node do 7: Compute resultant force F i of relay node R i ; 8: if Resultant force F i >ɛ 1 then 9: Fi = F i +Δ F i 10: end if 11: end while 12: end while 13: end if 14: Construct the second complete graph with N terminal nodes and the balanced relay nodes; 15: Solve partitioning LP model based on the second complete graph; 16: if cost q <MINCOST II then 17: MINCOST II = cost q 18: end if 19: if 0 MINCOST I - MINCOST II <ɛ 2 then 20: Output MINCOST II and stop. 21: else 22: q = q +Δq (e.g. Δq=1); Goto step 3 of Algorithm 1; 23: end if Fig. 5. Uniform partitioning N= Fig. 6. Non-uniform partitioning N=9 uniform partitioning, the relationship between min-cost of LP and q is shown in Figure 5. The overall trend of mincost from the partitioning LP model of Phase I approaches the gradually, with some fluctuations that lead to slow convergence. If the non-uniform partitioning is applied, the relationship between min-cost of LP and q is shown in Figure 6. It shows the new algorithm based on non-uniform partitioning can achieve an optimal solution faster than the previous algorithm based on uniform partitioning. That is because of the adoption of the retention mechanism that the minimum cost decreases monotonically. The SIF results of the clustering case are shown in Figure 7. (1) In the first round, the candidate relay nodes are obtained 1463

5 from non-uniform partitioning (q=2) as shown in Figure 7(a). Nodes outside the convex hull are removed for reducing the LP computation overhead. The resulting relay nodes from the LP computation of Phase I are shown in Figure 7(b). After Phase II, the balanced relay nodes are obtained (See Figure 7(c)). (2) In the second round, the candidate relay nodes from onuniform partitioning (q=3) are shown in Figure 7(d), as well as retained balanced relay nodes of Phase II from the first round. The resulting relay nodes from the LP computation of Phase I are shown in Figure 7(e). After Phase II, the balanced relay nodes are obtained (See Figure 7(f)). After the second round, the min-cost does not change. In this case, SIF degrades to. (a) (b) (c) Fig. 8. Uniform partitioning N= Fig. 9. Non-uniform partitioning N=6 10(a). The resulting relay nodes from the LP computation of Phase I are shown in Figure 10(b). After Phase II, the balanced relay nodes are obtained (See Figure 10(c)). (2) In the second round, the candidate relay nodes from the nonuniform partitioning (q=3) are shown in Figure 10(d), as well as retained balanced relay node of Phase II from the first round. The resulting relay nodes from the LP computation of Phase I are shown in Figure 10(e). After Phase II, the balanced relay nodes are obtained (See Figure 10(f)). After the second round, the min-cost does not change. It is shown from Figure 9 that the SIF algorithm can achieve a smaller value than the optimal. In this case, the SIF can be strictly better than the optimal. (d) (e) (f) Fig. 7. SIF results of Clustering case when N=9. (a) 1 st round: candidate relay nodes from non-uniform partitioning (q=2) of Phase I; (b) 1 st round: resulting relay nodes from the LP computation of Phase I; (c) 1 st round: balanced relay nodes of Phase II; (d) 2 nd round: candidate relay nodes from non-uniform partitioning (q=3) with retained balanced relay nodes; (e) 2 nd round: resulting relay nodes from the LP computation of Phase I; (f) 2 nd round: balanced relay nodes of Phase II. (a) (b) (c) B. The Pentagram Network We compare non-uniform and uniform partitioning with regard to the Pentagram network (Figure 2(a)) where SIF is strictly better than the optimal. Under uniform partitioning, the relationship between min-cost of LP and q is shown in Figure 8. There is a downward fluctuating trend in the min-cost from the partitioning LP model of Phase I. In addition, the min-cost of SIF can be smaller than the after q=6. Under non-uniform partitioning, the relationship between min-cost of LP and q is shown in Figure 9. In the first round, the SIF algorithm can achieve a value that is smaller than. In the second round, the SIF algorithm can achieve a lower value, which does not change in the following rounds. Thus, the new SIF algorithm can achieve an optimal value faster than the previous algorithm. The SIF results of the Pentagram case are shown in Figure 10. (1) In the first round, the candidate relay nodes are obtained from the non-uniform partitioning (q=2) as shown in Figure (d) (e) (f) Fig. 10. SIF results of Pentagram network when N=6. (a) 1 st round: candidate relay nodes from non-uniform partitioning (q=2) of Phase I; (b) 1 st round: resulting relay nodes from the LP computation of Phase I; (c) 1 st round: balanced relay nodes of Phase II; (d) 2 nd round: candidate relay nodes from non-uniform partitioning (q=3) with retained balanced relay nodes; (e) 2 nd round: resulting relay nodes from the LP computation of Phase I; (f) 2 nd round: balanced relay nodes of Phase II. C. The Ladder Network With regard to a Ladder [15] network, the optimal can be computed by GeoSteiner (See Figure 11(a)). Under uniform partitioning, it takes more than ten rounds to approach the ; under non-uniform partitioning, the solution arrives at the optimal in the third round (q=4) (Figure 11(b)). After that, the min-cost does not change. In this case, the SIF 1464

6 degrades to. The new SIF algorithm can achieve an optimal faster than the previous algorithm in [5]. Note, the min-cost value of optimal SIF is unique, while the optimal solutions of SIF may be multiple. (a) (b) Fig. 11. Ladder network when N=10. (a) optimal by GeoSteiner (b) SIF result in the third round (q=4). Furthermore, there are eight resulting relay nodes from the LP computation of Phase I, which are connected together. They satisfy the 120 condition. Thus, we apply the analytic geometry method according to Section III-B to compute the coordinates of the balanced relay nodes by means of establishing 16 equations. D. Random Networks We apply the new SIF algorithm to random networks, which are generated by the Waxman model [16]. In most such random settings, the observed cost advantage equals 1. For instance, the SIF result for N=7 in the third round is shown in Figure 12(b), which equals the optimal (See Figure 12(a)). The new SIF algorithm can achieve the optimal faster than the previous algorithm in [5]. (a) Fig. 12. Random network when N=7. (a) optimal by GeoSteiner (b) SIF result in the third round (q=4). Throughout our simulations, we observed that the resulting relay nodes from LP computation of Phase I satisfy the (b) 120 condition, with no exception. Thus, Phase II of the SIF algorithm can quickly and exactly find the balanced positions of the relay nodes by means of the analytic geometry method. From these observations, Phase II of the proposed algorithm has polynomial complexity; a theoretically proof for such polynomial complexity is left as future work. We conjecture that in all optimal SIF solutions, a relay node always has degree three, with three equal-flow adjacent links, which then have to meet at three 120 angles. A proof of this conjecture will help with a rigorous complexity analysis of our Phase II. V. CONCLUSIONS Multicast SIF is an interesting new problem that studies optimal multicast (with network coding) in space instead of in a graph or network. A key open problem in SIF is to design efficient algorithms that compute optimal SIF solutions. This work combines a recursive non-partitioning method with the linear programming method for a new heuristic SIF algorithm that are empirically shown to always converge to optimal SIF solutions promptly. A natural next step is rigorous theoretical analysis of the algorithm proposed. Our future work include network codes construction and distributed implementation. ACKNOWLEDGMENT This research was supported by National Natural Science Foundation of China(No ). The first author thanks Min Peng, Sijia Gu and Wei Xiong for their helpful discussion. REFERENCES [1] Z. Li. Space information flow. space-information-flow, [2] Z. Li and C. Wu. Space information flow: Multiple unicast. In IEEE ISIT, [3] R. Ahlswede, N. Cai, S.Y.R. Li, and R.W. Yeung. Network information flow. IEEE Trans. on Information Theory, 46(4): , [4] E.N. Gilbert and H.O. Pollak. Steiner minimal trees. SIAM Journal on Applied Mathematics, 16(1):1 29, [5] J. Huang, X. Yin, X. Zhang, X. Du, and Z. Li. On space information flow: Single multicast. In NetCod, [6] S. Maheshwar, Z. Li, and B. Li. Bounding the coding advantage of combination network coding in undirected networks. IEEE Trans. on Information Theory, 58(2): , [7] P. Winter and M. Zachariasen. Euclidean steiner minimum trees: An improved exact algorithm. Networks, 30(3): , [8] J.F. Weng and R.S. Booth. Steiner minimal trees on regular polygons with centre. Discrete Mathematics, 141(1): , [9] J.W. Van Laarhoven. Exact and Heuristic Algorithms for the Euclidean Steiner Tree Problem. PhD thesis, University of Iowa, [10] S. Arora. Polynomial time approximation schemes for euclidean traveling salesman and other geometric problems. Journal of the ACM, 45(5): , [11] X. Yin, Y. Wang, X. Wang, X. Xue, and Z. Li. Min-cost multicast network in euclidean space. In IEEE ISIT, [12] T. Xiahou, C. Wu, J. Huang, and Z. Li. A geometric framework for investigating the multiple unicast network coding conjecture. In NetCod, [13] T. Xiahou, Z. Li, C. Wu, and J. Huang. A geometric perspective to multiple-unicast network coding. IEEE Transactions on Information Theory, 60(5): , [14] Z. Li. Min-cost multicast of selfish information flows. In IEEE INFOCOM, pages , [15] F.R.K. Chung and R.L. Graham. Steiner trees for ladders. Ann. Discrete Math, 2: , [16] B.M. Waxman. Routing of multipoint connections. IEEE J. Select. Areas Commun., 6(9): ,

THE TRAVELING SALESMAN PROBLEM FOR MOVING POINTS ON A LINE

THE TRAVELING SALESMAN PROBLEM FOR MOVING POINTS ON A LINE THE TRAVELING SALESMAN PROBLEM FOR MOVING POINTS ON A LINE GÜNTER ROTE Abstract. A salesperson wants to visit each of n objects that move on a line at given constant speeds in the shortest possible time,

More information

Essays on Some Combinatorial Optimization Problems with Interval Data

Essays on Some Combinatorial Optimization Problems with Interval Data Essays on Some Combinatorial Optimization Problems with Interval Data a thesis submitted to the department of industrial engineering and the institute of engineering and sciences of bilkent university

More information

Richardson Extrapolation Techniques for the Pricing of American-style Options

Richardson Extrapolation Techniques for the Pricing of American-style Options Richardson Extrapolation Techniques for the Pricing of American-style Options June 1, 2005 Abstract Richardson Extrapolation Techniques for the Pricing of American-style Options In this paper we re-examine

More information

Characterization of the Optimum

Characterization of the Optimum ECO 317 Economics of Uncertainty Fall Term 2009 Notes for lectures 5. Portfolio Allocation with One Riskless, One Risky Asset Characterization of the Optimum Consider a risk-averse, expected-utility-maximizing

More information

The Complexity of Simple and Optimal Deterministic Mechanisms for an Additive Buyer. Xi Chen, George Matikas, Dimitris Paparas, Mihalis Yannakakis

The Complexity of Simple and Optimal Deterministic Mechanisms for an Additive Buyer. Xi Chen, George Matikas, Dimitris Paparas, Mihalis Yannakakis The Complexity of Simple and Optimal Deterministic Mechanisms for an Additive Buyer Xi Chen, George Matikas, Dimitris Paparas, Mihalis Yannakakis Seller has n items for sale The Set-up Seller has n items

More information

Mechanism Design For Set Cover Games When Elements Are Agents

Mechanism Design For Set Cover Games When Elements Are Agents Mechanism Design For Set Cover Games When Elements Are Agents Zheng Sun, Xiang-Yang Li 2, WeiZhao Wang 2, and Xiaowen Chu Hong Kong Baptist University, Hong Kong, China, {sunz,chxw}@comp.hkbu.edu.hk 2

More information

Martingale Pricing Theory in Discrete-Time and Discrete-Space Models

Martingale Pricing Theory in Discrete-Time and Discrete-Space Models IEOR E4707: Foundations of Financial Engineering c 206 by Martin Haugh Martingale Pricing Theory in Discrete-Time and Discrete-Space Models These notes develop the theory of martingale pricing in a discrete-time,

More information

Copula-Based Pairs Trading Strategy

Copula-Based Pairs Trading Strategy Copula-Based Pairs Trading Strategy Wenjun Xie and Yuan Wu Division of Banking and Finance, Nanyang Business School, Nanyang Technological University, Singapore ABSTRACT Pairs trading is a technique that

More information

Economics 2010c: Lecture 4 Precautionary Savings and Liquidity Constraints

Economics 2010c: Lecture 4 Precautionary Savings and Liquidity Constraints Economics 2010c: Lecture 4 Precautionary Savings and Liquidity Constraints David Laibson 9/11/2014 Outline: 1. Precautionary savings motives 2. Liquidity constraints 3. Application: Numerical solution

More information

Approximate Composite Minimization: Convergence Rates and Examples

Approximate Composite Minimization: Convergence Rates and Examples ISMP 2018 - Bordeaux Approximate Composite Minimization: Convergence Rates and S. Praneeth Karimireddy, Sebastian U. Stich, Martin Jaggi MLO Lab, EPFL, Switzerland sebastian.stich@epfl.ch July 4, 2018

More information

Optimal prepayment of Dutch mortgages*

Optimal prepayment of Dutch mortgages* 137 Statistica Neerlandica (2007) Vol. 61, nr. 1, pp. 137 155 Optimal prepayment of Dutch mortgages* Bart H. M. Kuijpers ABP Investments, P.O. Box 75753, NL-1118 ZX Schiphol, The Netherlands Peter C. Schotman

More information

BARUCH COLLEGE MATH 2003 SPRING 2006 MANUAL FOR THE UNIFORM FINAL EXAMINATION

BARUCH COLLEGE MATH 2003 SPRING 2006 MANUAL FOR THE UNIFORM FINAL EXAMINATION BARUCH COLLEGE MATH 003 SPRING 006 MANUAL FOR THE UNIFORM FINAL EXAMINATION The final examination for Math 003 will consist of two parts. Part I: Part II: This part will consist of 5 questions similar

More information

Strong Subgraph k-connectivity of Digraphs

Strong Subgraph k-connectivity of Digraphs Strong Subgraph k-connectivity of Digraphs Yuefang Sun joint work with Gregory Gutin, Anders Yeo, Xiaoyan Zhang yuefangsun2013@163.com Department of Mathematics Shaoxing University, China July 2018, Zhuhai

More information

EC316a: Advanced Scientific Computation, Fall Discrete time, continuous state dynamic models: solution methods

EC316a: Advanced Scientific Computation, Fall Discrete time, continuous state dynamic models: solution methods EC316a: Advanced Scientific Computation, Fall 2003 Notes Section 4 Discrete time, continuous state dynamic models: solution methods We consider now solution methods for discrete time models in which decisions

More information

Sublinear Time Algorithms Oct 19, Lecture 1

Sublinear Time Algorithms Oct 19, Lecture 1 0368.416701 Sublinear Time Algorithms Oct 19, 2009 Lecturer: Ronitt Rubinfeld Lecture 1 Scribe: Daniel Shahaf 1 Sublinear-time algorithms: motivation Twenty years ago, there was practically no investigation

More information

Yao s Minimax Principle

Yao s Minimax Principle Complexity of algorithms The complexity of an algorithm is usually measured with respect to the size of the input, where size may for example refer to the length of a binary word describing the input,

More information

ELEMENTS OF MONTE CARLO SIMULATION

ELEMENTS OF MONTE CARLO SIMULATION APPENDIX B ELEMENTS OF MONTE CARLO SIMULATION B. GENERAL CONCEPT The basic idea of Monte Carlo simulation is to create a series of experimental samples using a random number sequence. According to the

More information

Overnight Index Rate: Model, calibration and simulation

Overnight Index Rate: Model, calibration and simulation Research Article Overnight Index Rate: Model, calibration and simulation Olga Yashkir and Yuri Yashkir Cogent Economics & Finance (2014), 2: 936955 Page 1 of 11 Research Article Overnight Index Rate: Model,

More information

Markov Decision Processes

Markov Decision Processes Markov Decision Processes Robert Platt Northeastern University Some images and slides are used from: 1. CS188 UC Berkeley 2. AIMA 3. Chris Amato Stochastic domains So far, we have studied search Can use

More information

Forecast Horizons for Production Planning with Stochastic Demand

Forecast Horizons for Production Planning with Stochastic Demand Forecast Horizons for Production Planning with Stochastic Demand Alfredo Garcia and Robert L. Smith Department of Industrial and Operations Engineering Universityof Michigan, Ann Arbor MI 48109 December

More information

Game Theory: Normal Form Games

Game Theory: Normal Form Games Game Theory: Normal Form Games Michael Levet June 23, 2016 1 Introduction Game Theory is a mathematical field that studies how rational agents make decisions in both competitive and cooperative situations.

More information

Single Machine Inserted Idle Time Scheduling with Release Times and Due Dates

Single Machine Inserted Idle Time Scheduling with Release Times and Due Dates Single Machine Inserted Idle Time Scheduling with Release Times and Due Dates Natalia Grigoreva Department of Mathematics and Mechanics, St.Petersburg State University, Russia n.s.grig@gmail.com Abstract.

More information

CS227-Scientific Computing. Lecture 6: Nonlinear Equations

CS227-Scientific Computing. Lecture 6: Nonlinear Equations CS227-Scientific Computing Lecture 6: Nonlinear Equations A Financial Problem You invest $100 a month in an interest-bearing account. You make 60 deposits, and one month after the last deposit (5 years

More information

Designing efficient market pricing mechanisms

Designing efficient market pricing mechanisms Designing efficient market pricing mechanisms Volodymyr Kuleshov Gordon Wilfong Department of Mathematics and School of Computer Science, McGill Universty Algorithms Research, Bell Laboratories August

More information

Prentice Hall Connected Mathematics 2, 7th Grade Units 2009 Correlated to: Minnesota K-12 Academic Standards in Mathematics, 9/2008 (Grade 7)

Prentice Hall Connected Mathematics 2, 7th Grade Units 2009 Correlated to: Minnesota K-12 Academic Standards in Mathematics, 9/2008 (Grade 7) 7.1.1.1 Know that every rational number can be written as the ratio of two integers or as a terminating or repeating decimal. Recognize that π is not rational, but that it can be approximated by rational

More information

Optimal Satisficing Tree Searches

Optimal Satisficing Tree Searches Optimal Satisficing Tree Searches Dan Geiger and Jeffrey A. Barnett Northrop Research and Technology Center One Research Park Palos Verdes, CA 90274 Abstract We provide an algorithm that finds optimal

More information

Maximum Weighted Independent Set of Links under Physical Interference Model

Maximum Weighted Independent Set of Links under Physical Interference Model Maximum Weighted Independent Set of Links under Physical Interference Model Xiaohua Xu, Shaojie Tang, and Peng-Jun Wan Illinois Institute of Technology, Chicago IL 60616, USA Abstract. Interference-aware

More information

6.896 Topics in Algorithmic Game Theory February 10, Lecture 3

6.896 Topics in Algorithmic Game Theory February 10, Lecture 3 6.896 Topics in Algorithmic Game Theory February 0, 200 Lecture 3 Lecturer: Constantinos Daskalakis Scribe: Pablo Azar, Anthony Kim In the previous lecture we saw that there always exists a Nash equilibrium

More information

Large-Scale SVM Optimization: Taking a Machine Learning Perspective

Large-Scale SVM Optimization: Taking a Machine Learning Perspective Large-Scale SVM Optimization: Taking a Machine Learning Perspective Shai Shalev-Shwartz Toyota Technological Institute at Chicago Joint work with Nati Srebro Talk at NEC Labs, Princeton, August, 2008 Shai

More information

Constrained Sequential Resource Allocation and Guessing Games

Constrained Sequential Resource Allocation and Guessing Games 4946 IEEE TRANSACTIONS ON INFORMATION THEORY, VOL. 54, NO. 11, NOVEMBER 2008 Constrained Sequential Resource Allocation and Guessing Games Nicholas B. Chang and Mingyan Liu, Member, IEEE Abstract In this

More information

Q1. [?? pts] Search Traces

Q1. [?? pts] Search Traces CS 188 Spring 2010 Introduction to Artificial Intelligence Midterm Exam Solutions Q1. [?? pts] Search Traces Each of the trees (G1 through G5) was generated by searching the graph (below, left) with a

More information

On the Number of Permutations Avoiding a Given Pattern

On the Number of Permutations Avoiding a Given Pattern On the Number of Permutations Avoiding a Given Pattern Noga Alon Ehud Friedgut February 22, 2002 Abstract Let σ S k and τ S n be permutations. We say τ contains σ if there exist 1 x 1 < x 2

More information

16 MAKING SIMPLE DECISIONS

16 MAKING SIMPLE DECISIONS 247 16 MAKING SIMPLE DECISIONS Let us associate each state S with a numeric utility U(S), which expresses the desirability of the state A nondeterministic action A will have possible outcome states Result

More information

Integer Programming Models

Integer Programming Models Integer Programming Models Fabio Furini December 10, 2014 Integer Programming Models 1 Outline 1 Combinatorial Auctions 2 The Lockbox Problem 3 Constructing an Index Fund Integer Programming Models 2 Integer

More information

INTER-ORGANIZATIONAL COOPERATIVE INNOVATION OF PROJECT-BASED SUPPLY CHAINS UNDER CONSIDERATION OF MONITORING SIGNALS

INTER-ORGANIZATIONAL COOPERATIVE INNOVATION OF PROJECT-BASED SUPPLY CHAINS UNDER CONSIDERATION OF MONITORING SIGNALS ISSN 176-459 Int j simul model 14 (015) 3, 539-550 Original scientific paper INTER-ORGANIZATIONAL COOPERATIVE INNOVATION OF PROJECT-BASED SUPPLY CHAINS UNDER CONSIDERATION OF MONITORING SIGNALS Wu, G.-D.

More information

CS364B: Frontiers in Mechanism Design Lecture #18: Multi-Parameter Revenue-Maximization

CS364B: Frontiers in Mechanism Design Lecture #18: Multi-Parameter Revenue-Maximization CS364B: Frontiers in Mechanism Design Lecture #18: Multi-Parameter Revenue-Maximization Tim Roughgarden March 5, 2014 1 Review of Single-Parameter Revenue Maximization With this lecture we commence the

More information

CS599: Algorithm Design in Strategic Settings Fall 2012 Lecture 6: Prior-Free Single-Parameter Mechanism Design (Continued)

CS599: Algorithm Design in Strategic Settings Fall 2012 Lecture 6: Prior-Free Single-Parameter Mechanism Design (Continued) CS599: Algorithm Design in Strategic Settings Fall 2012 Lecture 6: Prior-Free Single-Parameter Mechanism Design (Continued) Instructor: Shaddin Dughmi Administrivia Homework 1 due today. Homework 2 out

More information

Lecture 11: Bandits with Knapsacks

Lecture 11: Bandits with Knapsacks CMSC 858G: Bandits, Experts and Games 11/14/16 Lecture 11: Bandits with Knapsacks Instructor: Alex Slivkins Scribed by: Mahsa Derakhshan 1 Motivating Example: Dynamic Pricing The basic version of the dynamic

More information

Multirate Multicast Service Provisioning I: An Algorithm for Optimal Price Splitting Along Multicast Trees

Multirate Multicast Service Provisioning I: An Algorithm for Optimal Price Splitting Along Multicast Trees Mathematical Methods of Operations Research manuscript No. (will be inserted by the editor) Multirate Multicast Service Provisioning I: An Algorithm for Optimal Price Splitting Along Multicast Trees Tudor

More information

PAULI MURTO, ANDREY ZHUKOV

PAULI MURTO, ANDREY ZHUKOV GAME THEORY SOLUTION SET 1 WINTER 018 PAULI MURTO, ANDREY ZHUKOV Introduction For suggested solution to problem 4, last year s suggested solutions by Tsz-Ning Wong were used who I think used suggested

More information

Distributed Function Calculation via Linear Iterations in the Presence of Malicious Agents Part I: Attacking the Network

Distributed Function Calculation via Linear Iterations in the Presence of Malicious Agents Part I: Attacking the Network 8 American Control Conference Westin Seattle Hotel, Seattle, Washington, USA June 11-13, 8 WeC34 Distributed Function Calculation via Linear Iterations in the Presence of Malicious Agents Part I: Attacking

More information

Multirate Multicast Service Provisioning II: A Tâtonnement Process for Rate Allocation

Multirate Multicast Service Provisioning II: A Tâtonnement Process for Rate Allocation Mathematical Methods of Operations Research manuscript No. (will be inserted by the editor) Multirate Multicast Service Provisioning II: A Tâtonnement Process for Rate Allocation Tudor Mihai Stoenescu

More information

F A S C I C U L I M A T H E M A T I C I

F A S C I C U L I M A T H E M A T I C I F A S C I C U L I M A T H E M A T I C I Nr 38 27 Piotr P luciennik A MODIFIED CORRADO-MILLER IMPLIED VOLATILITY ESTIMATOR Abstract. The implied volatility, i.e. volatility calculated on the basis of option

More information

Neural Network Prediction of Stock Price Trend Based on RS with Entropy Discretization

Neural Network Prediction of Stock Price Trend Based on RS with Entropy Discretization 2017 International Conference on Materials, Energy, Civil Engineering and Computer (MATECC 2017) Neural Network Prediction of Stock Price Trend Based on RS with Entropy Discretization Huang Haiqing1,a,

More information

A distributed Laplace transform algorithm for European options

A distributed Laplace transform algorithm for European options A distributed Laplace transform algorithm for European options 1 1 A. J. Davies, M. E. Honnor, C.-H. Lai, A. K. Parrott & S. Rout 1 Department of Physics, Astronomy and Mathematics, University of Hertfordshire,

More information

Stochastic Optimization Methods in Scheduling. Rolf H. Möhring Technische Universität Berlin Combinatorial Optimization and Graph Algorithms

Stochastic Optimization Methods in Scheduling. Rolf H. Möhring Technische Universität Berlin Combinatorial Optimization and Graph Algorithms Stochastic Optimization Methods in Scheduling Rolf H. Möhring Technische Universität Berlin Combinatorial Optimization and Graph Algorithms More expensive and longer... Eurotunnel Unexpected loss of 400,000,000

More information

Finding Equilibria in Games of No Chance

Finding Equilibria in Games of No Chance Finding Equilibria in Games of No Chance Kristoffer Arnsfelt Hansen, Peter Bro Miltersen, and Troels Bjerre Sørensen Department of Computer Science, University of Aarhus, Denmark {arnsfelt,bromille,trold}@daimi.au.dk

More information

An Adjusted Trinomial Lattice for Pricing Arithmetic Average Based Asian Option

An Adjusted Trinomial Lattice for Pricing Arithmetic Average Based Asian Option American Journal of Applied Mathematics 2018; 6(2): 28-33 http://www.sciencepublishinggroup.com/j/ajam doi: 10.11648/j.ajam.20180602.11 ISSN: 2330-0043 (Print); ISSN: 2330-006X (Online) An Adjusted Trinomial

More information

Empirical Study on Short-Term Prediction of Shanghai Composite Index Based on ARMA Model

Empirical Study on Short-Term Prediction of Shanghai Composite Index Based on ARMA Model Empirical Study on Short-Term Prediction of Shanghai Composite Index Based on ARMA Model Cai-xia Xiang 1, Ping Xiao 2* 1 (School of Hunan University of Humanities, Science and Technology, Hunan417000,

More information

An Algorithm for Distributing Coalitional Value Calculations among Cooperating Agents

An Algorithm for Distributing Coalitional Value Calculations among Cooperating Agents An Algorithm for Distributing Coalitional Value Calculations among Cooperating Agents Talal Rahwan and Nicholas R. Jennings School of Electronics and Computer Science, University of Southampton, Southampton

More information

EFFECT OF IMPLEMENTATION TIME ON REAL OPTIONS VALUATION. Mehmet Aktan

EFFECT OF IMPLEMENTATION TIME ON REAL OPTIONS VALUATION. Mehmet Aktan Proceedings of the 2002 Winter Simulation Conference E. Yücesan, C.-H. Chen, J. L. Snowdon, and J. M. Charnes, eds. EFFECT OF IMPLEMENTATION TIME ON REAL OPTIONS VALUATION Harriet Black Nembhard Leyuan

More information

Is Greedy Coordinate Descent a Terrible Algorithm?

Is Greedy Coordinate Descent a Terrible Algorithm? Is Greedy Coordinate Descent a Terrible Algorithm? Julie Nutini, Mark Schmidt, Issam Laradji, Michael Friedlander, Hoyt Koepke University of British Columbia Optimization and Big Data, 2015 Context: Random

More information

BACKGROUND KNOWLEDGE for Teachers and Students

BACKGROUND KNOWLEDGE for Teachers and Students Pathway: Agribusiness Lesson: ABR B4 1: The Time Value of Money Common Core State Standards for Mathematics: 9-12.F-LE.1, 3 Domain: Linear, Quadratic, and Exponential Models F-LE Cluster: Construct and

More information

Discrete Mathematics for CS Spring 2008 David Wagner Final Exam

Discrete Mathematics for CS Spring 2008 David Wagner Final Exam CS 70 Discrete Mathematics for CS Spring 2008 David Wagner Final Exam PRINT your name:, (last) SIGN your name: (first) PRINT your Unix account login: Your section time (e.g., Tue 3pm): Name of the person

More information

1 Overview. 2 The Gradient Descent Algorithm. AM 221: Advanced Optimization Spring 2016

1 Overview. 2 The Gradient Descent Algorithm. AM 221: Advanced Optimization Spring 2016 AM 22: Advanced Optimization Spring 206 Prof. Yaron Singer Lecture 9 February 24th Overview In the previous lecture we reviewed results from multivariate calculus in preparation for our journey into convex

More information

APPROXIMATING FREE EXERCISE BOUNDARIES FOR AMERICAN-STYLE OPTIONS USING SIMULATION AND OPTIMIZATION. Barry R. Cobb John M. Charnes

APPROXIMATING FREE EXERCISE BOUNDARIES FOR AMERICAN-STYLE OPTIONS USING SIMULATION AND OPTIMIZATION. Barry R. Cobb John M. Charnes Proceedings of the 2004 Winter Simulation Conference R. G. Ingalls, M. D. Rossetti, J. S. Smith, and B. A. Peters, eds. APPROXIMATING FREE EXERCISE BOUNDARIES FOR AMERICAN-STYLE OPTIONS USING SIMULATION

More information

UCLA Department of Economics Ph.D. Preliminary Exam Industrial Organization Field Exam (Spring 2010) Use SEPARATE booklets to answer each question

UCLA Department of Economics Ph.D. Preliminary Exam Industrial Organization Field Exam (Spring 2010) Use SEPARATE booklets to answer each question Wednesday, June 23 2010 Instructions: UCLA Department of Economics Ph.D. Preliminary Exam Industrial Organization Field Exam (Spring 2010) You have 4 hours for the exam. Answer any 5 out 6 questions. All

More information

Game theory for. Leonardo Badia.

Game theory for. Leonardo Badia. Game theory for information engineering Leonardo Badia leonardo.badia@gmail.com Zero-sum games A special class of games, easier to solve Zero-sum We speak of zero-sum game if u i (s) = -u -i (s). player

More information

Optimal Search for Parameters in Monte Carlo Simulation for Derivative Pricing

Optimal Search for Parameters in Monte Carlo Simulation for Derivative Pricing Optimal Search for Parameters in Monte Carlo Simulation for Derivative Pricing Prof. Chuan-Ju Wang Department of Computer Science University of Taipei Joint work with Prof. Ming-Yang Kao March 28, 2014

More information

Properties of IRR Equation with Regard to Ambiguity of Calculating of Rate of Return and a Maximum Number of Solutions

Properties of IRR Equation with Regard to Ambiguity of Calculating of Rate of Return and a Maximum Number of Solutions Properties of IRR Equation with Regard to Ambiguity of Calculating of Rate of Return and a Maximum Number of Solutions IRR equation is widely used in financial mathematics for different purposes, such

More information

[D7] PROBABILITY DISTRIBUTION OF OUTSTANDING LIABILITY FROM INDIVIDUAL PAYMENTS DATA Contributed by T S Wright

[D7] PROBABILITY DISTRIBUTION OF OUTSTANDING LIABILITY FROM INDIVIDUAL PAYMENTS DATA Contributed by T S Wright Faculty and Institute of Actuaries Claims Reserving Manual v.2 (09/1997) Section D7 [D7] PROBABILITY DISTRIBUTION OF OUTSTANDING LIABILITY FROM INDIVIDUAL PAYMENTS DATA Contributed by T S Wright 1. Introduction

More information

Hints on Some of the Exercises

Hints on Some of the Exercises Hints on Some of the Exercises of the book R. Seydel: Tools for Computational Finance. Springer, 00/004/006/009/01. Preparatory Remarks: Some of the hints suggest ideas that may simplify solving the exercises

More information

Accelerated Option Pricing Multiple Scenarios

Accelerated Option Pricing Multiple Scenarios Accelerated Option Pricing in Multiple Scenarios 04.07.2008 Stefan Dirnstorfer (stefan@thetaris.com) Andreas J. Grau (grau@thetaris.com) 1 Abstract This paper covers a massive acceleration of Monte-Carlo

More information

Approximations of Stochastic Programs. Scenario Tree Reduction and Construction

Approximations of Stochastic Programs. Scenario Tree Reduction and Construction Approximations of Stochastic Programs. Scenario Tree Reduction and Construction W. Römisch Humboldt-University Berlin Institute of Mathematics 10099 Berlin, Germany www.mathematik.hu-berlin.de/~romisch

More information

2 Comparison Between Truthful and Nash Auction Games

2 Comparison Between Truthful and Nash Auction Games CS 684 Algorithmic Game Theory December 5, 2005 Instructor: Éva Tardos Scribe: Sameer Pai 1 Current Class Events Problem Set 3 solutions are available on CMS as of today. The class is almost completely

More information

Definition 4.1. In a stochastic process T is called a stopping time if you can tell when it happens.

Definition 4.1. In a stochastic process T is called a stopping time if you can tell when it happens. 102 OPTIMAL STOPPING TIME 4. Optimal Stopping Time 4.1. Definitions. On the first day I explained the basic problem using one example in the book. On the second day I explained how the solution to the

More information

The assignment game: Decentralized dynamics, rate of convergence, and equitable core selection

The assignment game: Decentralized dynamics, rate of convergence, and equitable core selection 1 / 29 The assignment game: Decentralized dynamics, rate of convergence, and equitable core selection Bary S. R. Pradelski (with Heinrich H. Nax) ETH Zurich October 19, 2015 2 / 29 3 / 29 Two-sided, one-to-one

More information

2.1 Mathematical Basis: Risk-Neutral Pricing

2.1 Mathematical Basis: Risk-Neutral Pricing Chapter Monte-Carlo Simulation.1 Mathematical Basis: Risk-Neutral Pricing Suppose that F T is the payoff at T for a European-type derivative f. Then the price at times t before T is given by f t = e r(t

More information

Algorithmic Game Theory (a primer) Depth Qualifying Exam for Ashish Rastogi (Ph.D. candidate)

Algorithmic Game Theory (a primer) Depth Qualifying Exam for Ashish Rastogi (Ph.D. candidate) Algorithmic Game Theory (a primer) Depth Qualifying Exam for Ashish Rastogi (Ph.D. candidate) 1 Game Theory Theory of strategic behavior among rational players. Typical game has several players. Each player

More information

Lecture 5: Iterative Combinatorial Auctions

Lecture 5: Iterative Combinatorial Auctions COMS 6998-3: Algorithmic Game Theory October 6, 2008 Lecture 5: Iterative Combinatorial Auctions Lecturer: Sébastien Lahaie Scribe: Sébastien Lahaie In this lecture we examine a procedure that generalizes

More information

CS224W: Social and Information Network Analysis Jure Leskovec, Stanford University

CS224W: Social and Information Network Analysis Jure Leskovec, Stanford University CS224W: Social and Information Network Analysis Jure Leskovec, Stanford University http://cs224w.stanford.edu 10/27/16 Jure Leskovec, Stanford CS224W: Social and Information Network Analysis, http://cs224w.stanford.edu

More information

Single Price Mechanisms for Revenue Maximization in Unlimited Supply Combinatorial Auctions

Single Price Mechanisms for Revenue Maximization in Unlimited Supply Combinatorial Auctions Single Price Mechanisms for Revenue Maximization in Unlimited Supply Combinatorial Auctions Maria-Florina Balcan Avrim Blum Yishay Mansour February 2007 CMU-CS-07-111 School of Computer Science Carnegie

More information

Math 416/516: Stochastic Simulation

Math 416/516: Stochastic Simulation Math 416/516: Stochastic Simulation Haijun Li lih@math.wsu.edu Department of Mathematics Washington State University Week 13 Haijun Li Math 416/516: Stochastic Simulation Week 13 1 / 28 Outline 1 Simulation

More information

UNIT 2. Greedy Method GENERAL METHOD

UNIT 2. Greedy Method GENERAL METHOD UNIT 2 GENERAL METHOD Greedy Method Greedy is the most straight forward design technique. Most of the problems have n inputs and require us to obtain a subset that satisfies some constraints. Any subset

More information

CS Homework 4: Expectations & Empirical Distributions Due Date: October 9, 2018

CS Homework 4: Expectations & Empirical Distributions Due Date: October 9, 2018 CS1450 - Homework 4: Expectations & Empirical Distributions Due Date: October 9, 2018 Question 1 Consider a set of n people who are members of an online social network. Suppose that each pair of people

More information

MATH 181-Quadratic Equations (7 )

MATH 181-Quadratic Equations (7 ) MATH 181-Quadratic Equations (7 ) 7.1 Solving a Quadratic Equation by Factoring I. Factoring Terms with Common Factors (Find the greatest common factor) a. 16 1x 4x = 4( 4 3x x ) 3 b. 14x y 35x y = 3 c.

More information

Support Vector Machines: Training with Stochastic Gradient Descent

Support Vector Machines: Training with Stochastic Gradient Descent Support Vector Machines: Training with Stochastic Gradient Descent Machine Learning Spring 2018 The slides are mainly from Vivek Srikumar 1 Support vector machines Training by maximizing margin The SVM

More information

Optimizing the Omega Ratio using Linear Programming

Optimizing the Omega Ratio using Linear Programming Optimizing the Omega Ratio using Linear Programming Michalis Kapsos, Steve Zymler, Nicos Christofides and Berç Rustem October, 2011 Abstract The Omega Ratio is a recent performance measure. It captures

More information

1. Introduction 2. Model Formulation 3. Solution Approach 4. Case Study and Findings 5. On-going Research

1. Introduction 2. Model Formulation 3. Solution Approach 4. Case Study and Findings 5. On-going Research 1. Introduction 2. Model Formulation 3. Solution Approach 4. Case Study and Findings 5. On-going Research Natural disasters have caused: Huge amount of economical loss Fatal injuries Through effective

More information

ON THE MAXIMUM AND MINIMUM SIZES OF A GRAPH

ON THE MAXIMUM AND MINIMUM SIZES OF A GRAPH Discussiones Mathematicae Graph Theory 37 (2017) 623 632 doi:10.7151/dmgt.1941 ON THE MAXIMUM AND MINIMUM SIZES OF A GRAPH WITH GIVEN k-connectivity Yuefang Sun Department of Mathematics Shaoxing University

More information

DM559/DM545 Linear and integer programming

DM559/DM545 Linear and integer programming Department of Mathematics and Computer Science University of Southern Denmark, Odense May 22, 2018 Marco Chiarandini DM559/DM55 Linear and integer programming Sheet, Spring 2018 [pdf format] Contains Solutions!

More information

Ellipsoid Method. ellipsoid method. convergence proof. inequality constraints. feasibility problems. Prof. S. Boyd, EE392o, Stanford University

Ellipsoid Method. ellipsoid method. convergence proof. inequality constraints. feasibility problems. Prof. S. Boyd, EE392o, Stanford University Ellipsoid Method ellipsoid method convergence proof inequality constraints feasibility problems Prof. S. Boyd, EE392o, Stanford University Challenges in cutting-plane methods can be difficult to compute

More information

16 MAKING SIMPLE DECISIONS

16 MAKING SIMPLE DECISIONS 253 16 MAKING SIMPLE DECISIONS Let us associate each state S with a numeric utility U(S), which expresses the desirability of the state A nondeterministic action a will have possible outcome states Result(a)

More information

THE NON - STOCK EXCHANGE DEALS OPTIMIZATION USING NETFLOW METHOD. V.B.Gorsky, V.P.Stepanov. Saving Bank of Russian Federation,

THE NON - STOCK EXCHANGE DEALS OPTIMIZATION USING NETFLOW METHOD. V.B.Gorsky, V.P.Stepanov. Saving Bank of Russian Federation, THE NON - STOCK EXCHANGE DEALS OPTIMIZATION USING NETFLOW METHOD. V.B.Gorsky, V.P.Stepanov. Saving Bank of Russian Federation, e-mail: dwhome@sbrf.ru Abstract. We would like to present the solution of

More information

Lecture 17: More on Markov Decision Processes. Reinforcement learning

Lecture 17: More on Markov Decision Processes. Reinforcement learning Lecture 17: More on Markov Decision Processes. Reinforcement learning Learning a model: maximum likelihood Learning a value function directly Monte Carlo Temporal-difference (TD) learning COMP-424, Lecture

More information

Analyzing Pricing and Production Decisions with Capacity Constraints and Setup Costs

Analyzing Pricing and Production Decisions with Capacity Constraints and Setup Costs Erasmus University Rotterdam Bachelor Thesis Logistics Analyzing Pricing and Production Decisions with Capacity Constraints and Setup Costs Author: Bianca Doodeman Studentnumber: 359215 Supervisor: W.

More information

Chapter 7 A Multi-Market Approach to Multi-User Allocation

Chapter 7 A Multi-Market Approach to Multi-User Allocation 9 Chapter 7 A Multi-Market Approach to Multi-User Allocation A primary limitation of the spot market approach (described in chapter 6) for multi-user allocation is the inability to provide resource guarantees.

More information

Single Price Mechanisms for Revenue Maximization in Unlimited Supply Combinatorial Auctions

Single Price Mechanisms for Revenue Maximization in Unlimited Supply Combinatorial Auctions Single Price Mechanisms for Revenue Maximization in Unlimited Supply Combinatorial Auctions Maria-Florina Balcan Avrim Blum Yishay Mansour December 7, 2006 Abstract In this note we generalize a result

More information

February 2 Math 2335 sec 51 Spring 2016

February 2 Math 2335 sec 51 Spring 2016 February 2 Math 2335 sec 51 Spring 2016 Section 3.1: Root Finding, Bisection Method Many problems in the sciences, business, manufacturing, etc. can be framed in the form: Given a function f (x), find

More information

CEC login. Student Details Name SOLUTIONS

CEC login. Student Details Name SOLUTIONS Student Details Name SOLUTIONS CEC login Instructions You have roughly 1 minute per point, so schedule your time accordingly. There is only one correct answer per question. Good luck! Question 1. Searching

More information

More Advanced Single Machine Models. University at Buffalo IE661 Scheduling Theory 1

More Advanced Single Machine Models. University at Buffalo IE661 Scheduling Theory 1 More Advanced Single Machine Models University at Buffalo IE661 Scheduling Theory 1 Total Earliness And Tardiness Non-regular performance measures Ej + Tj Early jobs (Set j 1 ) and Late jobs (Set j 2 )

More information

CS364A: Algorithmic Game Theory Lecture #14: Robust Price-of-Anarchy Bounds in Smooth Games

CS364A: Algorithmic Game Theory Lecture #14: Robust Price-of-Anarchy Bounds in Smooth Games CS364A: Algorithmic Game Theory Lecture #14: Robust Price-of-Anarchy Bounds in Smooth Games Tim Roughgarden November 6, 013 1 Canonical POA Proofs In Lecture 1 we proved that the price of anarchy (POA)

More information

While the story has been different in each case, fundamentally, we ve maintained:

While the story has been different in each case, fundamentally, we ve maintained: Econ 805 Advanced Micro Theory I Dan Quint Fall 2009 Lecture 22 November 20 2008 What the Hatfield and Milgrom paper really served to emphasize: everything we ve done so far in matching has really, fundamentally,

More information

Scenario tree generation for stochastic programming models using GAMS/SCENRED

Scenario tree generation for stochastic programming models using GAMS/SCENRED Scenario tree generation for stochastic programming models using GAMS/SCENRED Holger Heitsch 1 and Steven Dirkse 2 1 Humboldt-University Berlin, Department of Mathematics, Germany 2 GAMS Development Corp.,

More information

not to be republished NCERT Chapter 2 Consumer Behaviour 2.1 THE CONSUMER S BUDGET

not to be republished NCERT Chapter 2 Consumer Behaviour 2.1 THE CONSUMER S BUDGET Chapter 2 Theory y of Consumer Behaviour In this chapter, we will study the behaviour of an individual consumer in a market for final goods. The consumer has to decide on how much of each of the different

More information

Name Class Date. Adding and Subtracting Polynomials

Name Class Date. Adding and Subtracting Polynomials 8-1 Reteaching Adding and Subtracting Polynomials You can add and subtract polynomials by lining up like terms and then adding or subtracting each part separately. What is the simplified form of (3x 4x

More information

arxiv: v1 [math.pr] 6 Apr 2015

arxiv: v1 [math.pr] 6 Apr 2015 Analysis of the Optimal Resource Allocation for a Tandem Queueing System arxiv:1504.01248v1 [math.pr] 6 Apr 2015 Liu Zaiming, Chen Gang, Wu Jinbiao School of Mathematics and Statistics, Central South University,

More information

Bounds on some contingent claims with non-convex payoff based on multiple assets

Bounds on some contingent claims with non-convex payoff based on multiple assets Bounds on some contingent claims with non-convex payoff based on multiple assets Dimitris Bertsimas Xuan Vinh Doan Karthik Natarajan August 007 Abstract We propose a copositive relaxation framework to

More information

Chapter 2 Uncertainty Analysis and Sampling Techniques

Chapter 2 Uncertainty Analysis and Sampling Techniques Chapter 2 Uncertainty Analysis and Sampling Techniques The probabilistic or stochastic modeling (Fig. 2.) iterative loop in the stochastic optimization procedure (Fig..4 in Chap. ) involves:. Specifying

More information

Analysis of Utility Theory on VLSI Cell Placement

Analysis of Utility Theory on VLSI Cell Placement Appl. Math. Inf. Sci. 8, No. 4, 1611-1616 (2014) 1611 Applied Mathematics & Information Sciences An International Journal http://dx.doi.org/10.12785/amis/080415 Analysis of Utility Theory on VLSI Cell

More information