Multi-homing is a technology used by Internet Service Provider (ISP) to connect to the Internet via multiple networks. This connectivity enhances the network reliability and service quality of the ISP. However, using multi-networks may imply multiple costs on the ISP. To make full use of the underlying networks with minimum cost, a routing strategy is requested by ISPs. Of course, this optimal routing strategy depends on the pricing regime used by network providers. In this study we investigate a relatively new pricing regime – top-percentile pricing. Under top-percentile pricing, network providers divide the charging period into several fixed length time intervals and calculate their cost according to the traffic volume that has been shipped during the θ-th highest time interval. Unlike traditional pricing regimes, the network design under top-percentile pricing has not been fully studied. This paper investigates the optimal routing strategy in case where network providers charge ISPs according to top-percentile pricing. We call this problem the Top-percentile Traffic Routing Problem (TpTRP). As the ISP cannot predict next time interval’s traffic volume in real world application, in our setting up the TpTRP is a multi-stage stochastic optimisation problem. Routing decisions should be made at the beginning of every time period before knowing the amount of traffic that is to be sent. The stochastic nature of the TpTRP forms the critical difficulty of this study. In this paper several approaches are investigated in either the modelling or solving steps of the problem. We begin by exploring several simplifications of the original TpTRP to get an insight of the features of the problem. Some of these allow analytical solutions which lead to bounds on the achievable optimal solution. We also establish bounds by investigating several “naive” routing policies. In the second part of this work, we build the multi-stage stochastic programming model of the TpTRP, which is hard to solve due to the integer variables introduced in the calculation of the top-percentile traffic. A lift-and-project based cutting plane method is investigated in solving the SMIP for very small examples of TpTRP. Nevertheless it is too inefficient to be applicable on large sized instances. As an alternative, we explore the solution of the TpTRP as a Stochastic Dynamic Programming (SDP) problem by a discretization of the state space. This SDP model gives us achievable routing policies on small size instances of the TpTRP, which of course improve the naive routing policies. However, the solution approach based on SDP suffers from the curse of dimensionality which restricts its applicability. To overcome this we suggest using Approximate Dynamic Programming (ADP) which largely avoids the curse of dimensionality by exploiting the structure of the problem to construct parameterized approximations of the value function in SDP and train the model iteratively to get a converged set of parameters. The resulting ADP model with discrete parameter for every time interval works well for medium size instances of TpTRP, though it still requires too long to be trained for large size instances. To make the realistically sized TpTRP problem solvable, we improve on the ADP model by using Bezier Curves/Surfaces to do the aggregation over time. This modification accelerates the efficiency of parameter training in the solution of the ADP model, which makes the realistically sized TpTRP tractable.

The three dimensional distribution of clouds is of great interest to the Air Force, and to the aviation community in general. The Stochastic Cloud Forecast Model (SCFM) is a novel, global cloud model currently operated at the Air Force Weather Agency (AFWA) which diagnoses cloud cover statistically using a minimal set of predictors from global numerical forecasts. Currently the four predictors are pressure, temperature, vertical velocity, and relative humidity. In this thesis, 330 sets of predictors are compared in the SCFM-R, a research version of the model programmed for this thesis. There are some differences in the SCFM and the SCFM-R that yield important information. It is found that the SCFM is very sensitive to how cloud cover in the boundary layer is diagnosed. An analysis of the diagnosis method used to initialize the model revealed a bias for over-diagnosing cloud at lower levels and under-diagnosing cloud at upper levels. Also, it is recommended that AFWA consider exchanging temperature for another predictor more related to moisture, such as cloud water, and that relative humidity is included as relative humidity to the fourth power. Other recommendations include improving the method for diagnosing cloud cover in the boundary layer and improving the model initial condition.

This thesis describes an inventory-theoretic approach to the study of the demand for money. It aims to connect money demand theory with optimal inventory theory on the one hand and with time series empirical evidence on the other. Thus it incorporates recent advances in inventory theory and extends these to allow the interest rate to follow a stochastic process. The problem of minimising the expected, discounted suns of cash-management costs is ascribed to an agent. Through the use of continuous-time, stochastic, optimal control an optimal cash-management policy is shown to exist and be of a familiar target-threshold form. Closed-form expressions for the forward-looking time-varying targets and thresholds are derived in special cases. The steady-state, Baumol-Tabin model, a further special case, also is examined in detail. The theory implies that expected future interest rates may influence money holdings despite the absence of strictly convex adjustment costs. A distributed-1ag expression for these holdings is proposed in which the adjustment and expectations dynamics are derived front theory. Aggregation over time and, to a lesser extent, over agents is treated explicitly. The econometric issues involved in testing models of the demand for money with rational expectations are outlined and simulation evidence on the predictions of the theory is provided. The theory gives rise to new predictions concerning expectations effects and variable adjustment speeds. It can also account for the findings of empirical research. In particular, it largely resolves the problem of slow adjustment in empirical money demand equations.

Operations Managers of manufacturing systems, distribution systems, and supply chains address lot sizing and scheduling problems as part of their duties. These problems are concerned with decisions related to the size of orders and their schedule. In general, products share or compete for common resources and thus require coordination of their replenishment decisions whether replenishment involves manufacturing operations or not. This research is concerned with joint replenishment problems (JRPs) which are part of multi-item lot sizing and scheduling problems in manufacturing and distribution systems in single echelon/stage systems. The principal purpose of this research is to develop three new periodic review policies for stochastic joint replenishment problem. It also highlights the lack of research on joint replenishment problems with different demand classes (DSJRP). Therefore, periodic review policy is developed for this problem where the inventory system faces different demand classes that are deterministic demand and stochastic demand. Heuristic Algorithms have been developed to obtain (near) optimal parameters for the three policies as well as a heuristic algorithm has been developed for DSJRP. Numerical tests against literature benchmarks have been presented.

This thesis studies three models: Multi-type TASEP in discrete time, long-range last- passage percolation on the line and convoy formation in a travelling servers model. All three models are relatively easy to state but they show a very rich and interesting behaviour. The TASEP is a basic model for a one-dimensional interacting particle system with non-reversible dynamics. We study some aspects of the TASEP in discrete time and compare the results to recently obtained results for the TASEP in continuous time. In particular we focus on stationary distributions for multi-type models, speeds of second- class particles, collision probabilities and the speed process. We consider various natural update rules.

Master of Science / Department of Industrial & Manufacturing Systems Engineering / Todd W. Easton / The possibility of becoming a millionaire attracts over 200,000 daily fantasy sports (DFS) contest entries each Sunday of the NFL season. Millions of people play fantasy sports and the companies sponsoring daily fantasy sports are worth billions of dollars. This thesis develops optimization models for daily fantasy sports with an emphasis on tiered contests. A tiered contest has many different payout values, including the highly sought after million-dollar prize. The primary contribution of this thesis is the first model to optimize the expected payout of a tiered DFS contest. The stochastic integer program, MMIP, takes into account the possibility that selected athletes will earn a distribution of fantasy points, rather than a single predetermined value. The players are assumed to have a normal distribution and thus the team’s fantasy points is a normal distribution. The standard deviation of the team’s performance is approximated through a piecewise linear function, and the probabilities of earning cumulative payouts are calculated. MMIP solves quickly and easily fits the majority of daily fantasy sports contests. Additionally, daily fantasy sports have landed in a tense political climate due to contestants hopes of winning the million-dollar prize. Through two studies that compare the performance of randomly selected fantasy teams with teams chosen by strategy, this thesis conclusively determines that daily fantasy sports are not games of chance and should not be considered gambling. Besides creating the first optimization model for DFS tiered contests, this thesis also provides methods and techniques that can be applied to other stochastic integer programs. It is the author’s hope that this thesis not only opens the door for clever ways of modeling, but also inspires sports fans and teams to think more analytically about player selection.

In this article a new branch & bound method is described. It uses an artificial target to improve its bounding capabilities. Therefore the new approach is faster compared to the classical one. It is applied to the stochastic problem of optimal scenario tree reduction. The aspects of global optimization are emphasized here. All necessary components for that problem are developed and some experimental results underline the benefits of the new approach. (author's abstract) / Series: Working Papers on Information Systems, Information Business and Operations

<p>Storage systems play a vital part in modern IT systems. As the volume of data grows explosively and greater requirement on storage performance and reliability is put forward, effective and efficient design and operation of storage systems become increasingly complicated. </p><p>Such efforts would benefit significantly from the availability of quantitative analysis techniques that facilitate comparison of different system designs and configurations and provide projection of system behavior under potential operational scenarios. The techniques should be able to capture the system details that are relevant to the system measures of interest with adequate accuracy, and they should allow efficient solution so that they can be employed for multiple scenarios and for dynamic system reconfiguration. </p><p>This dissertation develops a set of quantitative analysis methods for modern storage systems using stochastic modeling techniques. The presented models cover several of the most prevalent storage technologies, including RAID, cloud storage and replicated storage, and investigate some major issues in modern storage systems, such as storage capacity planning, provisioning and backup planning. Quantitative investigation on important system measures such as reliability, availability and performance is conducted, and for this purpose a variety of modeling formalisms and solution methods are employed based on the matching of the underlying model assumptions and nature of the system aspects being studied. One of the primary focuses of the model development is on solution efficiency and scalability of the models to large systems. The accuracy of the developed models are validated through extensive simulation.</p> / Dissertation

The market for mortgage backed securities (MBS) was active and fast growing from the issuance of the first MBS in 1981. This enabled financial firms to transform risky individual mortgages into liquid and tradable market instruments. The subprime mortgage crisis of 2007 shows the need for a better understanding and development of mathematical models for these securities. The aim of this thesis is to develop a model for MBS that is flexible enough to capture both regular and subprime MBS. The thesis considers two models, one for a single mortgage in an intensity based framework and the second for mortgage backed securities using a stochastic partial differential equation approach. In the model for a single mortgage, we capture the prepayment and default incentives of the borrower using intensity processes. Using the minimum of the two intensity processes, we develop a nonlinear equation for the mortgage rate and solve it numerically and present some case studies. In modelling of an MBS in a structural framework using stochastic PDEs (SPDEs), we consider a large number of individuals in a mortgage pool and assume that the wealth of each individual follows a stochastic process, driven by two Brownian mo- tions, one capturing the idiosyncratic noise of each individual and the second a common market factor. By defining the empirical measure of a large pool of these individuals we study the evolution of the limit empirical measure and derive an SPDE for the evolution of the density of the limit empirical measure. We numerically solve the SPDE to demonstrate its flexibility in different market environments. The calibration of the model to financial data is the focus of the final part of thesis. We discuss the different parameters and demonstrate how many can be fitted to observed data. Finally, for the key model parameters, we present a strategy to estimate them given observations of the loss function and use this to determine implied model parameters of ABX.HE.

<p>Various engineering systems have become rapidly automated and intelligent as sensing, communication, and computing technologies have been increasingly advanced. The dynamical behaviors of such systems have also become complicated as they need to meet requirements on performance and safety in various operating conditions. Due to the heterogeneity in its behaviors for different operating modes, it is not appropriate to use a single dynamical model to describe its dynamics, which motivates the development of the stochastic hybrid system (SHS). The SHS is defined as a dynamical system which contains interacting time-evolving continuous state and event-driven discrete state (also called a mode) with uncertainties. Due to its flexibility and effectiveness, the SHS has been widely used for modeling complex engineering systems in many applications such as air traffic control, sensor networks, biological systems, and etc.</p><p>One of the key research areas related to the SHS is the inference or estimation of the states of the SHS, which is also known as the hybrid state estimation. This task is very challenging because both the continuous and discrete states need to be inferred from noisy measurements generated from mixed time-evolving and event-driven behavior of the SHS. This becomes even more difficult when the dynamical behavior or measurement contains nonlinearity, which is the case in many engineering systems that can be modeled as the SHS.</p><p>This research aims to 1) propose a stochastic nonlinear hybrid system model and develop novel nonlinear hybrid state estimation algorithms that can deal with the aforementioned challenges, and 2) apply them to safety-critical applications in air traffic control systems such as aircraft tracking and estimated time of arrival prediction, and unmanned aircraft system traffic management.</p>