Using Fractional Primal-Dual to Schedule Split Intervals with Demands

2005 ◽  
pp. 714-725 ◽  
Author(s):  
Reuven Bar-Yehuda ◽  
Dror Rawitz
Keyword(s):  
Primal Dual

Routing Optimization with Efficient Second Order Distributed Approach Using Congestion Control Rules

2017 ◽  
Vol 7 (7) ◽  
pp. 363
Author(s):  
Jaya Pratha Sebastiyar ◽  
Martin Sahayaraj Joseph
Keyword(s):  
Congestion Control ◽  
Second Order ◽  
Back Pressure ◽  
Order Method ◽  
Delay Performance ◽  
Routing Optimization ◽  
Distributed Approach ◽  
Control Rules ◽  
Primal Dual ◽  
Queue Stability

Distributed joint congestion control and routing optimization has received a significant amount of attention recently. To date, however, most of the existing schemes follow a key idea called the back-pressure algorithm. Despite having many salient features, the first-order sub gradient nature of the back-pressure based schemes results in slow convergence and poor delay performance. To overcome these limitations, the present study was made as first attempt at developing a second-order joint congestion control and routing optimization framework that offers utility-optimality, queue-stability, fast convergence, and low delay.  Contributions in this project are three-fold. The present study propose a new second-order joint congestion control and routing framework based on a primal-dual interior-point approach and established utility-optimality and queue-stability of the proposed second-order method. The results of present study showed that how to implement the proposed second-order method in a distributed fashion.

scholarly journals An Algorithm for Nonparametric Estimation of a Multivariate Mixing Distribution with Applications to Population Pharmacokinetics

Pharmaceutics ◽  
2020 ◽  
Vol 13 (1) ◽  
pp. 42
Author(s):  
Walter M. Yamada ◽  
Michael N. Neely ◽  
Jay Bartroff ◽  
David S. Bayard ◽  
James V. Burke ◽  
...  
Keyword(s):  
Drug Development ◽  
Population Pharmacokinetics ◽  
Empirical Bayes ◽  
Applied Mathematics ◽  
Grid Method ◽  
Bayes Estimation ◽  
Population Pharmacokinetic ◽  
Support Points ◽  
Primal Dual ◽  
Log Normal

Population pharmacokinetic (PK) modeling has become a cornerstone of drug development and optimal patient dosing. This approach offers great benefits for datasets with sparse sampling, such as in pediatric patients, and can describe between-patient variability. While most current algorithms assume normal or log-normal distributions for PK parameters, we present a mathematically consistent nonparametric maximum likelihood (NPML) method for estimating multivariate mixing distributions without any assumption about the shape of the distribution. This approach can handle distributions with any shape for all PK parameters. It is shown in convexity theory that the NPML estimator is discrete, meaning that it has finite number of points with nonzero probability. In fact, there are at most N points where N is the number of observed subjects. The original infinite NPML problem then becomes the finite dimensional problem of finding the location and probability of the support points. In the simplest case, each point essentially represents the set of PK parameters for one patient. The probability of the points is found by a primal-dual interior-point method; the location of the support points is found by an adaptive grid method. Our method is able to handle high-dimensional and complex multivariate mixture models. An important application is discussed for the problem of population pharmacokinetics and a nontrivial example is treated. Our algorithm has been successfully applied in hundreds of published pharmacometric studies. In addition to population pharmacokinetics, this research also applies to empirical Bayes estimation and many other areas of applied mathematics. Thereby, this approach presents an important addition to the pharmacometric toolbox for drug development and optimal patient dosing.

scholarly journals Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations

2020 ◽  
Vol 26 (2) ◽  
pp. 131-161
Author(s):  
Florian Bourgey ◽  
Stefano De Marco ◽  
Emmanuel Gobet ◽  
Alexandre Zhou
Keyword(s):  
Monte Carlo ◽  
Lower Bounds ◽  
Asymptotic Optimality ◽  
Upper Bounds ◽  
Upper And Lower Bounds ◽  
Independent Random Variables ◽  
Outer Function ◽  
Control Problems ◽  
Multilevel Monte Carlo ◽  
Primal Dual

AbstractThe multilevel Monte Carlo (MLMC) method developed by M. B. Giles [Multilevel Monte Carlo path simulation, Oper. Res. 56 2008, 3, 607–617] has a natural application to the evaluation of nested expectations {\mathbb{E}[g(\mathbb{E}[f(X,Y)|X])]}, where {f,g} are functions and {(X,Y)} a couple of independent random variables. Apart from the pricing of American-type derivatives, such computations arise in a large variety of risk valuations (VaR or CVaR of a portfolio, CVA), and in the assessment of margin costs for centrally cleared portfolios. In this work, we focus on the computation of initial margin. We analyze the properties of corresponding MLMC estimators, for which we provide results of asymptotic optimality; at the technical level, we have to deal with limited regularity of the outer function g (which might fail to be everywhere differentiable). Parallel to this, we investigate upper and lower bounds for nested expectations as above, in the spirit of primal-dual algorithms for stochastic control problems.

Saddle-Point Convergence of Constrained Primal-Dual Dynamics

2021 ◽  
Vol 5 (4) ◽  
pp. 1357-1362
Author(s):  
Ambrose A. Adegbege ◽  
Mun Y. Kim
Keyword(s):  
Saddle Point ◽  
Primal Dual
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