In this paper we consider stochastic flow-shop scheduling with reference to certain lateness-related performance measures. We show that for various assumptions on the distribution of job-processing times of a flow shop, certain scheduling policies following the stochastic analogy of the Earliest Due Date (EDD) rule yield optimal results.

In this work, the discrete event systems called Stochastic Marked Graphs (SMGs) are investigated from a stability point of view. Being a special class of Timed Petri Nets with stochastic firing times, they are studied under general assumptions of stationarity and ergodicity of the firing times and ergodicity of flows of their free strongly connected components. The values of the flows of tokens in an SMG are specified as functions of the intrinsic rates of its free strongly connected components, and various stability issues are discussed.

The standard regenerative method for estimating steady-state parameters is extended to permit cycles that begin and end in different states. This result is established using the Dynkin martingale and a related solution to Poisson's equation. We compare the variance constant that appears in the associated central limit theorem with that arising from cycles that begin and end in the same state. The standard regenerative method has a smaller variance constant than does the alternative.

For a class of performability models with component-interdependent repairs and breakdowns, monotonicity is shown over time for expected availability measures. This result is of interest to justify steady-state bounds.

Bivariate Lomax distribution due to Lindley and Singpurwalla has been characterized through the bivariate extension of a univariate characterizing property of the Lomax distribution.

In this note using the notion of node criticality in Boland, Proschan, and Tong [2] and modular decompositions of coherent systems, we obtain algorithms and guidelines for allocating components in a k-out-of-R parallel modules system to maximize the system reliability. An illustrative example is given to compare a special case of our results with the previous result for series-parallel systems due to El-Neweihi, Proschan, and Sethuraman [5].

This paper considers a variation of the classical full-information best-choice problem. The problem allows success to be obtained even when the best item is not selected, provided the item that is selected is within the allowance of the best item. Under certain regularity conditions on the allowance function, the general nature of the optimal strategy is given as well as an algorithm to determine it exactly. It is also examined how the success probability depends on the allowance function and the underlying distribution of the observed values of the items.

A significant amount of recent research has been focused on the stability of multiclass open networks of queues (MONQs). It has been shown that these networks may be unstable under various queueing disciplines even when at each one of the nodes the arrival rate is less than the service rate. Clearly, in such cases the expected delay and the expected number of customers in the system are infinite. In this paper we propose a new class of scheduling rules that can be used in multiclass queueing networks. We refer to this class as the stable shortfall-based priority (SSBP) rules. This SSBP class itself belongs to a larger class of rules, which we refer to as the shortfall-based priority (SBP) rules. SBP is a generalization of the standard non-preemptive priority rule in which customers of the same priority class are served first-come, first-served (FCFS). Rules from SBP can mimic FCFS as well as the so-called strict or head-of-the-line priority disciplines. We show that the use of any rule from the SSBP class ensures stability in a broad class of MONQs found in practice. We proceed with the construction of a sample path inequality for the work done by an SSBP server and show how this inequality can be used to derive upper bounds for the delay when service times are bounded. Bounds for the expected delay of each class of customers in an MONQ are then obtained under the assumptions that the external arrival processes have i.i.d. interarrival times, the routings are deterministic and the service times at each step of the route are bounded. In order to derive these bounds for the average delay in an MONQ we make use of some of the classical ideas of Kingman.

Efficiently computable bounds are developed for the time to first failure in a communications network with renewable links. The bounds approximate a network with bidirectional or unidirectional links by acyclic networks with unidirectional links.

We study 2-stage game-theoretic problem oriented 3-stage service policy computing, convolutional neural network (CNN) based algorithm design, and simulation for a blockchained buffering system with federated learning. More precisely, based on the game-theoretic problem consisting of both “win-lose” and “win-win” 2-stage competitions, we derive a 3-stage dynamical service policy via a saddle point to a zero-sum game problem and a Nash equilibrium point to a non-zero-sum game problem. This policy is concerning users-selection, dynamic pricing, and online rate resource allocation via stable digital currency for the system. The main focus is on the design and analysis of the joint 3-stage service policy for given queue/environment state dependent pricing and utility functions. The asymptotic optimality and fairness of this dynamic service policy is justified by diffusion modeling with approximation theory. A general CNN based policy computing algorithm flow chart along the line of the so-called big model framework is presented. Simulation case studies are conducted for the system with three users, where only two of the three users can be selected into the service by a zero-sum dual cost game competition policy at a time point. Then, the selected two users get into service and share the system rate service resource through a non-zero-sum dual cost game competition policy. Applications of our policy in the future blockchain based Internet (e.g., metaverse and web3.0) and supply chain finance are also briefly illustrated.

This paper is devoted to the performance analysis and optimization of blood testing procedures. We present a queueing model of two queues in series, representing the two stages of a blood-testing procedure. Service (testing) in stage 1 is performed in batches, whereas it is done individually in stage 2. Since particular elements of blood can only be stored and used within a finite time window, the sojourn time of blood units in the system of two queues in series is an important performance measure, which we study in detail. We also introduce a profit objective function, taking into account blood acquisition and screening costs as well as profits for blood units, which were found uncontaminated and were tested fast enough. We optimize that profit objective function w.r.t. the batch size and the length of the time window.

Reliability properties associated with the classic models of systems with age replacement have been a usual topic of research. Most previous works have checked the aging properties of the lifetime of the working units using stochastic comparisons among the systems with age replacement at different times. However, from a practical point of view, it would also be interesting to deduce to which aging classes the lifetime of the system belongs, making use of the aging properties of the lifetime of its working units. The first part of this article deals with this problem. Further along, stochastic orderings are established between the systems with replacement at the same time using several stochastic comparisons among the lifetimes of their working units. In addition, the lifetimes of two systems with age replacement are compared as well. This is performed assuming stochastic orderings between the number of replacement until failure, and the lifetimes of their working units conditioned to be less or equal than the replacement time. Similar comparisons are accomplished considering two systems with age replacement where the replacements occur at a random time. Illustrative examples are presented throughout the paper.

The goal of this work is twofold. We show the following:

1. 1. In spite of the common consensus on the classic Markov chain Monte Carlo (MCMC) as a universal tool for generating samples on complex sets, it fails to generate points uniformly distributed on discrete ones, such as that defined by the constraints of integer programming. In fact, we will demonstrate empirically that not only does it fail to generate uniform points on the desired set, but typically it misses some of the points of the set.

2. 2. The splitting, also called the cloning method – originally designed for combinatorial optimization and for counting on discrete sets and presenting a combination of MCMC, like the Gibbs sampler, with a specially designed splitting mechanism—can also be efficiently used for generating uniform samples on these sets. Without introducing the appropriate splitting mechanism, MCMC fails. Although we do not have a formal proof, we guess (conjecture) that the main reason that the classic MCMC is not working is that its resulting chain is not irreducible. We provide valid statistical tests supporting the uniformity of generated samples by the splitting method and present supportive numerical results.

Consider a group of players playing a sequence of games. There are k players, having arbitrary initial fortunes. Each game consists of each remaining player putting 1 in a pot, which is then won (with equal probability) by one of them. Players whose fortunes drop to 0 are eliminated. Let T(i) be the number of games played by i, and let T=max iT(i). For the case k=3, martingale stopping theory can be used to derive E[T] and E[T(i)]. When k>3, we obtain upper bounds on E[T] and, in the case in which all players have the same initial fortune, on E[T(i)]. Efficient simulation methods for estimating E[T] and E[T(i)] are discussed.

In this study, we consider option pricing under a Markov regime-switching GARCH-jump (RS-GARCH-jump) model. More specifically, we derive the risk neutral dynamics and propose a lattice algorithm to price European and American options in this framework. We also provide a method of parameter estimation in our RS-GARCH-jump setting using historical data on the underlying time series. To measure the pricing performance of the proposed algorithm, we investigate the convergence of the tree-based results to the true option values and show that this algorithm exhibits good convergence. By comparing the pricing results of RS-GARCH-jump model with regime-switching GARCH (RS-GARCH) model, GARCH-jump model, GARCH model, Black–Scholes (BS) model, and Regime-Switching (RS) model, we show that accommodating jump effect and regime switching substantially changes the option prices. The empirical results also show that the RS-GARCH-jump model performs well in explaining option prices and confirm the importance of allowing for both jump components and regime switching.

In this paper we consider the use of coupling ideas in efficiently computing a certain class of transient performance measures. Specifically, we consider the setting in which the stationary distribution is unknown, and for which no exact means of generating stationary versions of the process is known. In this context, we can approximate the stationary distribution from empirical data obtained from a first-stage steady-state simulation. This empirical approximation is then used in place of the stationary distribution in implementing our coupling-based estimator. In addition to the empirically based coupling estimator itself, we also develop an associated confidence interval procedure.

Almost stochastic dominance has been receiving a great amount of attention in the financial and economic literatures. In this paper, we characterize the properties of almost first-order stochastic dominance (AFSD) via distorted expectations and investigate the conditions under which AFSD is preserved under a distortion transform. The main results are also applied to establish stochastic comparisons of order statistics and receiver operating characteristic curves via AFSD.

Two-part framework and the Tweedie generalized linear model (GLM) have traditionally been used to model loss costs for short-term insurance contracts. For most portfolios of insurance claims, there is typically a large proportion of zero claims that leads to imbalances, resulting in lower prediction accuracy of these traditional approaches. In this article, we propose the use of tree-based methods with a hybrid structure that involves a two-step algorithm as an alternative approach. For example, the first step is the construction of a classification tree to build the probability model for claim frequency. The second step is the application of elastic net regression models at each terminal node from the classification tree to build the distribution models for claim severity. This hybrid structure captures the benefits of tuning hyperparameters at each step of the algorithm; this allows for improved prediction accuracy, and tuning can be performed to meet specific business objectives. An obvious major advantage of this hybrid structure is improved model interpretability. We examine and compare the predictive performance of this hybrid structure relative to the traditional Tweedie GLM using both simulated and real datasets. Our empirical results show that these hybrid tree-based methods produce more accurate and informative predictions.

G-Network queueing network models, and in particular the random neural network (RNN), are useful tools for decision making in complex systems, due to their ability to learn from measurements in real time, and in turn provide real-time decisions regarding resource and task allocation. In particular, the RNN has led to the design of the cognitive packet network (CPN) decision tool for the routing of packets in the Internet, and for task allocation in the Cloud. Thus in this paper, we present recent research on how to dynamically create the means for quality of service (QoS) to end users of the Internet and in the Cloud. The approach is based on adapting the decisions so as to benefit users as the conditions in the Internet and in Cloud servers vary due to changing traffic and workload. We present an overview of the algorithms that were designed based on the RNN, and also detail the experimental results that were obtained in three areas: (i) traffic routing for real-time applications, which have strict QoS constraints; (ii) routing approaches, which operate at the overlay level without affecting the Internet infrastructure; and (iii) the routing of tasks across servers in the Cloud through the Internet.