Browsing by Subject "Random processes"

Now showing 1 - 20 of 33

Open Access
Adaptive filtering approaches for non-Gaussian stable processes
(IEEE, 1995-05) Arıkan, Orhan; Belge, Murat; Çetin, A. Enis; Erzin, Engin
A large class of physical phenomenon observed in practice exhibit non-Gaussian behavior. In this paper, α-stable distributions, which have heavier tails than Gaussian distribution, are considered to model non-Gaussian signals. Adaptive signal processing in the presence of such kind of noise is a requirement of many practical problems. Since, direct application of commonly used adaptation techniques fail in these applications, new approaches for adaptive filtering for α-stable random processes are introduced.
Open Access
Analysis of reactive scheduling problems in a job shop environment
(Elsevier, 2000) Sabuncuoğlu, İ.; Bayız, M.
In this paper, we study the reactive scheduling problems in a stochastic manufacturing environment. Specifically, we test the several scheduling policies under machine breakdowns in a classical job shop system. In addition, we measure the effect of system size and type of work allocation (uniform and bottleneck) on the system performance. The performance of the system is measured for the mean tardiness and makespan criteria. We also investigate a partial scheduling scheme under both deterministic and stochastic environments for several system configurations.
Open Access
Average error in recovery of sparse signals and discrete fourier transform
(IEEE, 2012-04) Özçelikkale, Ayça; Yüksel, S.; Özaktaş Haldun M.
In compressive sensing framework it has been shown that a sparse signal can be successfully recovered from a few random measurements. The Discrete Fourier Transform (DFT) is one of the transforms that provide the best performance guarantees regardless of which components of the signal are nonzero. This result is based on the performance criterion of signal recovery with high probability. Whether the DFT is the optimum transform under average error criterion, instead of high probability criterion, has not been investigated. Here we consider this optimization problem. For this purpose, we model the signal as a random process, and propose a model where the covariance matrix of the signal is used as a measure of sparsity. We show that the DFT is, in general, not optimal despite numerous results that suggest otherwise. © 2012 IEEE.
Open Access
Cellular manufacturing system design using a holonistic approach
(Taylor & Francis, 2000) Aktürk, M. S.; Türkcan, A.
We propose an integrated algorithm that will solve the part-family and machine-cell formation problem by simultaneously considering the within-cell layout problem. To the best of our knowledge, this is the first study that considers the efficiency of both individual cells and the overall system in monetary terms. Each cell should make at least a certain amount of profit to attain self-sufficiency, while we maximize the total profit of the system using a holonistic approach. The proposed algorithm provides two alternative solutions; one with independent cells and the other one with inter-cell movement. Our computational experiments indicate that the results are very encouraging for a set of randomly generated problems.
Open Access
Collective modes in a quasi-one-dimensional, two-component electron liquid
(Pergamon Press, 1994) Tanatar, Bilal
Under favorable conditions, a new collective mode besides the usual plasmons may exist in degenerate electron-hole liquids. We calculate the dispersion and damping of this new mode (called the acoustic plasmon mode) in a quasi-one-dimensional, two-component electron liquid. We carry out our calculations first within the random-phase approximation, then include the effects of local-field corrections using a Hubbard-like approximation. The latter decreases the acoustic plasmon dispersion. © 1994.
Open Access
Dynamic financial planning: certainty equivalents, stochastic constraints and functional conjugate duality
(Taylor & Francis, 2005) Jefferson, T. R.; Scott, C. H.
This paper studies portfolios under risk and stochastic constraints. Certainty equivalents combine risk aversion and exponential utility to form the objective. Budget and stochastic constraints on the account balance are used to ensure a positive net worth over time. These portfolio models are analyzed by functional conjugate duality for general distributions and by conjugate duality for the normal distribution. All the programs are convex. The duals provide insight into this approach and relate it to other stochastic and financial concepts.
Open Access
Dynamic lot sizing and tool management in automated manufacturing systems
(Elsevier, 2002) Aktürk, M. S.; Önen, S.
The overall aim of this study is to show that there is a critical interface between the lot sizing and tool management decisions, and these two problems cannot be viewed in isolation. We propose "ve alternative algorithms to solve lot sizing, tool allocation and machining conditions optimization problems simultaneously. The "rst algorithm is an exact algorithm which "nds the global optimum solution, and the others are heuristics equipped with a look-ahead mechanism to guarantee at least local optimality. The computational results indicate that the amount of improvement is statistically signi"cant for a set of randomly generated problems. The magnitude of cost savings is dependent on the system parameters.
Open Access
Dynamical screening effects in hot-electron scattering from electron-hole plasma and LO-phonon modes in quantum wires
(Elsevier, 1996) Bennett, C. R.; Tanatar, Bilal; Constantinou, N. C.
We present a fully dynamical and finite temperature study of the hot-electron momentum relaxation rate and the power loss in a coupled system of electron-hole plasma and bulk LO-phonons in a quantum wire structure. Interactions of the scattered electron with neutral plasma components and phonons are treated on an equal footing within the random-phase approximation. Coupled mode effects substantially change the transport properties of the system at low temperatures. Particularly, the "plasmon-like" and "LO-phonon-like" excitations yield comparable rates which, as a consequence of the singular nature of the ID density of states, can be large at the threshold. This is in contrast to room temperature results where only the LO-phonon mode contributes significantly to the rate. The density and temperature dependence of the power loss reveals that dynamical screening effects are important, and energy-momentum conservation cannot be satisfied above a certain density for a given initial energy.
Open Access
Exploring exchange rate returns at different time horizons
(Elsevier, 2002) Nekhili, R.; Altay-Salih, A.; Gençay, R.
The performance of the well-known stochastic processes used for the empirical distribution of the exchange rate returns at different time scales was discussed. The parameters of the candidate processes at different time scales were estimated and proceed with simulating the empirical distributions of exchange rate returns from selected candidate processes. Results showed that the empirical distribution of returns behaves differently at different frequencies.
Open Access
Free float and stochastic volatility: the experience of a small open economy
(Elsevier BV, 2004) Selçuk, F.
Following a dramatic collapse of a fixed exchange rate based inflation stabilization program, Turkey moved into a free floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign exchange rate in Turkey is estimated for the floating period. It is shown that there is a positive relation between the exchange return and its volatility. Particularly, an increase in the return at time t results in an increase in volatility at time t+1. However, the effect is asymmetric: a decrease in the exchange rate return at time t causes a relatively less decrease in volatility at time t+1. The results imply that a central bank with a volatility smoothing policy would be biased in viewing the shocks to the exchange rate in favor of appreciation. The bias would increase if the bank is also following an inflation targeting policy. © 2004 Elsevier B.V. All rights reserved.
Open Access
Guessing with lies
(IEEE, 2002-06-07) Arıkan, Erdal; Boztaş, S.
A practical algorithm was obtained for directly generating an optimal guessing sequence for guessing under lies. An optimal guessing strategy was defined as one which minimizes the number of average number of guesses in determining the correct value of a random variable. The information-theoretic bounds on the average number of guesses for optimal strategies were also derived.
Open Access
A hierarchical model for the cell loading problem of cellular manufacturing systems
(Taylor & Francis, 1998) Aktürk, M. S.; Wilson, G. R.
A hierarchical cell loading approach is proposed to solve the production planning problem in cellular manufacturing systems. Our aim is to minimize the variable cost of production subject to production and inventory balance constraints for families and items, and capacity feasibility constraints for group technology cells and resources over the planning horizon. The computational results indicated that the proposed algorithm was very efficient in finding an optimum solution for a set of randomly generated problems.
Open Access
Implementing the Han-Kobayashi scheme using low density parity check codes over Gaussian interference channels
(Institute of Electrical and Electronics Engineers Inc., 2015) Sharifi S.; Tanc, A. K.; Duman, T. M.
We focus on Gaussian interference channels (GICs) and study the Han-Kobayashi coding strategy for the two-user case with the objective of designing implementable (explicit) channel codes. Specifically, low-density parity-check codes are adopted for use over the channel, their benefits are studied, and suitable codes are designed. Iterative joint decoding is used at the receivers, where independent and identically distributed channel adapters are used to prove that log-likelihood-ratios exchanged among the nodes of the Tanner graph enjoy symmetry when BPSK or QPSK with Gray coding is employed. This property is exploited in the proposed code optimization algorithm adopting a random perturbation technique. Code optimization and convergence threshold computations are carried out for different GICs employing finite constellations by tracking the average mutual information. Furthermore, stability conditions for the admissible degree distributions under strong and weak interference levels are determined. Via examples, it is observed that the optimized codes using BPSK or QPSK with Gray coding operate close to the capacity boundary for strong interference. For the case of weak interference, it is shown that nontrivial rate pairs are achievable via the newly designed codes, which are not possible by single user codes with time sharing. Performance of the designed codes is also studied for finite block lengths through simulations of specific codes picked with the optimized degree distributions with random constructions, where, for one instance, the results are compared with those of some structured designs. © 1972-2012 IEEE.
Open Access
An inequality on guessing and its application to sequential decoding
(Institute of Electrical and Electronics Engineers, 1996-01) Arikan, E.
Let (X,Y) be a pair of discrete random variables with X taking one of M possible values, Suppose the value of X is to be determined, given the value of Y, by asking questions of the form "Is X equal to x?" until the answer is "Yes". Let G(x|y) denote the number of guesses in any such guessing scheme when X=x, Y=y. We prove that E[G(X|Y)/sup /spl rho//]/spl ges/(1+lnM)/sup -/spl rho///spl Sigma//sub y/[/spl Sigma//sub x/P/sub X,Y/(x,y)/sup 1/1+/spl rho//]/sup 1+/spl rho// for any /spl rho//spl ges/0. This provides an operational characterization of Renyi's entropy. Next we apply this inequality to the estimation of the computational complexity of sequential decoding. For this, we regard X as the input, Y as the output of a communication channel. Given Y, the sequential decoding algorithm works essentially by guessing X, one value at a time, until the guess is correct. Thus the computational complexity of sequential decoding, which is a random variable, is given by a guessing function G(X|Y) that is defined by the order in which nodes in the tree code are hypothesized by the decoder. This observation, combined with the above lower bound on moments of G(X|Y), yields lower bounds on moments of computation in sequential decoding. The present approach enables the determination of the (previously known) cutoff rate of sequential decoding in a simple manner; it also yields the (previously unknown) cutoff rate region of sequential decoding for multiaccess channels. These results hold for memoryless channels with finite input alphabets.
Open Access
Inventory control under substitutable demand: A stochastic game application
(John Wiley & Sons, 2002) Avsşr, Z. M.; Baykal-Gürsoy, M.
Substitutable product inventory problem is analyzed using the concepts of stochastic game theory. It is assumed that there are two substitutable products that are sold by different retailers and the demand for each product is random. Game theoretic nature of this problem is the result of substitution between products. Since retailers compete for the substitutable demand, ordering decision of each retailer depends on the ordering decision of the other retailer. Under the discounted payoff criterion, this problem is formulated as a two‐person nonzero‐sum stochastic game. In the case of linear ordering cost, it is shown that there exists a Nash equilibrium characterized by a pair of stationary base stock strategies for the infinite horizon problem. This is the unique Nash equilibrium within the class of stationary base stock strategies.
Open Access
An inventory problem with two randomly available suppliers
(Institute for Operations Research and the Management Sciences, 1997) Gürler, Ü.; Parlar, M.
This paper considers a stochastic inventory model in which supply availability is subject to random fluctuations that may arise due to machine breakdowns, strikes, embargoes, etc. It is assumed that the inventory manager deals with two suppliers who may be either individually ON (available) or OFF (unavailable). Each supplier's availability is modeled as a semi-Markov (alternating renewal) process. We assume that the durations of the ON periods for the two suppliers are distributed as Erlang random variables. The OFF periods for each supplier have a general distribution. In analogy with queuing notation, we call this an Es1[Es2]/G1[G2] system. Since the resulting stochastic process is non-Markovian, we employ the "method of stages" to transform the process into a Markovian one, albeit at the cost of enlarging the state space. We identify the regenerative cycles of the inventory level process and use the renewal reward theorem to form the long-run average cost objective function. Finite time transition functions for the semi-Markov process are computed numerically using a direct method of solving a system of integral equations representing these functions. A detailed numerical example is presented for the E2[E2]/M[M] case. Analytic solutions are obtained for the particular case of "large" (asymptotic) order quantity, in which case the objective function assumes a very simple form that can be used to analyze the optimality conditions. The paper concludes with the discussion of an alternative inventory policy for modeling the random supply availability problem.
Open Access
Marginal allocation algorithm for nonseparable functions
(Taylor & Francis, 1999) Yüceer, Ü.
Marginal allocation algorithm is implemented to discrete allocation problems with nonseparable objective functions subject to a single linear constraint. A Lagrangian analysis shows that the algorithm generates a sequence of undominated allocations under the condition of discretely convex objective functions and Lagrangian functions. The case of separable functions is proven to be a special case. An application is provided to illustrate the method and various size randomly chosen problems are run to demonstrate the efficiency of the marginal allocation algorithm.
Open Access
Markov modulated periodic arrival process offered to an ATM multiplexer
(IEEE, 1993-11-12) Akar, Nail; Arıkan, Erdal
When a superposition of on/off sources is offered to a deterministic server, a particular queueing system arises whose analysis has a significant role in ATM based networks. Periodic cell generation during active times is a major feature of these sources. In this paper a new analytical method is provided to solve for this queueing system via an approximation to the transient behavior of the nD/D/1 queue. The solution to the queue length distribution is given in terms of a solution to a linear differential equation with variable coefficients. The technique proposed here has close similarities with the fluid flow approximations and is amenable to extension for more complicated queueing systems with such correlated arrival processes. A numerical example for a packetized voice multiplexer is finally given to demonstrate our results.
Open Access
Near-optimal modified base stock policies for the capacitated inventory problem with stochastic demand and fixed cost
(World Scientific Publishing, 2014) Özener, O. Ö.; Güllü, R.; Erkip, N.
In this study, we investigate a single-item, periodic-review inventory problem where the production capacity is limited and unmet demand is backordered. We assume that customer demand in each period is a stationary, discrete random variable. Linear holding and backorder cost are charged per unit at the end of a period. In addition to the variable cost charged per unit ordered, a positive fixed ordering cost is incurred with each order given. The optimization criterion is the minimization of the expected cost per period over a planning horizon. We investigate the infinite horizon problem by modeling the problem as a discrete-time Markov chain. We propose a heuristic for the problem based on a particular solution of this stationary model, and conduct a computational study on a set of instances, providing insight on the performance of the heuristic.
Open Access
A new dominance rule for the total weighted tardiness problem
(Taylor & Francis, 1999) Aktürk, M. S.; Yıldırım, M. B.
We present a new dominance rule for the single machine total weighted tardiness problem with job dependent penalties. The proposed dominance rule provides a sufficient condition for local optimality. We show that if any sequence violates the dominance rule, then switching the violating jobs either lowers the total weighted tardiness or leaves it unchanged. We also develop a new algorithm based on the dominance rule, which is compared to a number of competing heuristics for a set of randomly generated problems. Our computational results of over 40000 problems indicate that the proposed algorithm dominates the competing heuristics in all runs.