EURO
XXIV
Stochastic Modelling and
Simulation
Stream
of European Conference on Operational
Research
(
Erik Kropat
University der Bundeswehr,
Werner-Heisenberg-Weg 39, 85577
Zeev Volkovich
ORT
Braude Academic College
Yehiam 6, 21823,
Gerhard-Wilhelm Weber
Middle
East Technical University
Ankara,
Turkey
EURO XXIV - the 24th
European Conference on Operational Research was held from 11-14
July
The stream "Stochastic
Modelling and Simulation" consisted of the following 13 sessions:
-
New Achievements in
Stochastic Models and Optimization
-
Stochastic Modelling and
Simulation I, II
-
Markov Chains
-
Queueing Systems
-
Supply Chain Management
-
Simulation and Optimization
of Networks under Uncertainty
-
Complex Systems under
Uncertainty: Networks and Data Mining
-
Decision Analysis in
Marketing and Financial Modelling
-
Data Mining and Knowledge
Representation
-
Graph Theory and
Combinatorial Optimization
-
Stochastic Models and
Queueing Systems
-
Stochastic Models and
Optimization.
Topics and Presentations
-
Markov chains;
-
Financial modelling;
-
Marketing;
-
Queueing systems;
-
Networks;
-
Optimization;
-
Supply Chain Management;
-
Decision analysis;
-
Data mining & Visualization;
-
Stochastic modelling & simulation.
Stochastic Modelling and Simulation
Theoretical and practical
problems in the fields of statistical data analysis and visualization were
addressed in the sessions "Data Mining
and Knowledge Representation" and "Stochastic
Modelling and Simulation I & II".
Presentations
"Fractal dimension cluster validation criteria".
Dvora Toledano-Kitai, Renata Avros, Zeev Barzily, Zeev Volkovich.
"Learning parameter
optimization of stochastic gradient descent with momentum for a stochastic
quadratic".
Memmedaga Memmedli, Engin Tas.
"A randomized algorithm for
estimation number of clusters".
Zeev Volkovich, Oleg Granichin, Dmitry Shalymov, Renata Avros.
"On the number of coincidence
of two homogeneous random walks with positive paces"
V.N.Surikov, I.A.Kravchenko.
"Comparing partitions: visual
aids".
Ana Alexandra Martins, Margarida Cardoso.
"On the efficiency of spectral
clustering: interpretation, parallel computation and results".
Sandrine Mouysset, Joseph Noailles, Danielle Ruiz.
"WhiBo - A platform for
component-based design of partitioning cluster algorithms".
Kathrin Kirchner, Boris Delibasic,
In
the presentation "Fractal dimension cluster validation criteria", Dvora
Toledano-Kitai, Renata Avros, Zeev Barzily and Zeev Volkovich dealt with the
cluster validation problem. Their approach is based on a fractal dimension
cluster quality model. The cluster dimension values in a partition are
repeatedly assessed by means of simulated samples occurrences in groups such
that the proximity of the result obtained is interpreted as partition goodness.
The empirical distribution most concentrated at the origin of the calculated
dimension differences indicates the estimated number of clusters.
An optimization method particularly suited for classification problems
with large and redundant data sets was the subject of the talk "Learning
parameter optimization of stochastic gradient descent with momentum for a
stochastic quadratic" of Memmedaga Memmedli and Engin Tas. The authors
propose to learn the required parameters using the second-order information
embedded in the Hessian. As a result, the convergence speed of stochastic
gradient descent with adaptively tuned learning parameters can be compared with
standard stochastic gradient descent on the Rosenbrock performance function.
The estimation
of the number of clusters in a dataset was addressed by Zeev Volkovich, Oleg
Granichin, Dmitry Shalymov and Renata Avros in their talk "A randomized
algorithm for estimation number of clusters". In the proposed "elbow"
method, the true number of clusters is recognized as the discontinuity point of
the differential risk function, where the position is allocated by a randomized
optimization algorithm. In particular, the numerical experiments demonstrate
the good performance of the method and its low complexity cost in the case of a
high number of clusters.
V.N.Surikov
and I.A.Kravchenko gave a presentation with the title "On the number of
coincidence of two homogeneous random walks with positive paces". Practical
problems connected to genetic objects recognition and complex information
systems monitoring often lead to objects identification tasks. The authors
presented results that can be used to separation hypotheses about the
membership of two samples to the same object in the presence of noisy data or
to close different states of the same object.
In the
presentation "Comparing partitions: visual aids", Ana Alexandra Martins
and Margarida Cardoso addressed the problem of clustering evaluation and the
visualization of the relationship between two partitions as well as the
distance between the corresponding groups. In the proposed approach, the
association between two partitions is depicted by a contingency table
reflecting the similarities between two partitions. Multidimensional scaling is
then applied for the visualization of the relationships between the partitions.
Sandrine
Mouysset, Joseph Noailles and Danielle Ruiz gave new insights in spectral
clustering in their talk "On the efficiency of spectral clustering:
interpretation, parallel computation and results". In this approach, data
points are clustered in a low dimensional data space by selecting dominant
eigenvectors of a Gaussian affinity matrix. The authors reformulated the
spectral clustering algorithm as an eigenvalues problem. In addition, a domain
decomposition strategy for parallel spectral clustering was proposed.
In the
presentation "WhiBo - A platform for component-based design of partitioning
cluster algorithms", Kathrin Kirchner, Boris Delibasic, Milos Jovanovic,
Milan Vukicevic and Johannes Ruhland proposed the design of new clustering
algorithms by structuring and combining existing ones as sets of reusable
components. For an evaluation the system was integrated in a white box machine
learning platform for RapidMiner.
Queueing
Systems
During EURO XXIV much
attention was given to contributions to queueing systems. In the stream "Stochastic Modelling and Simulation",
the sessions "Queueing Systems",
"Stochastic Models and Queueing
Systems" and "New Achievements
in Stochastic Models and Optimization" were dedicated to this topic.
Presentations
"Analytical study of a queueing system with non-geometric tail behavior".
Mark van Lokeren, Bart Steyaert, Herwig Bruneel.
"Queueing system simulation
and efficiency evaluation by Petri nets and data envelopment analysis".
Dragana Makajic-Nikolic, Gordana Savic, Mirko Vujosevic, Novak Novokmet.
"Queues with boundary
assistance and the many effects of truncation".
Giang Nguyen, Peter Taylor, Guy Latouche.
"The effect of the number of
servers in quasi-random-input queues".
Moshe Eben-Chaime.
"The effect of correlation in
make-to-order systems".
Michael Zazanis.
"Equilibrium and socially
optimal strategies in the M/G/1 queue with vacations".
Antonio Gomez-Corral.
Queueing systems
with nongeometric tail behavior were analyzed by Mark van Lokeren, Bart
Steyaert and Herwig Bruneel. In the system under consideration, two types of
customers with different arriving behavior are involved. A customer of type A
enters the system surely, whereas customers of type B show a so-called
discouraged arrival, that means, the probability that an customer of type B
enters the system depends on the total number of customers already present in
the system. The authors discussed the non-geometric tail behavior of the total
number of customers in the system and presented several performance measures.
Dragana Makajic-Nikolic,
Gordana Savic, Mirko Vujosevic, Novak Novokmet presented their model of postal
service queues with two channels based on Petri nets. Several scenarios for
distinct rules of additional channel activation were simulated and data
envelopment analysis was applied for efficiency evaluation.
The presentation
of Giang Nguyen, Peter Taylor and Guy Latouche was concerned with queues with
boundary assistance that can be modeled by a quasi-birth-and-death process. A
simple example of such a queueing system is a model with two queues, where each
queue has its own Poisson-stream of customers and its own server with an
exponentially distributed service time. In this model, a free server can serve
a neighboring customer, providing boundary assistance.
The effect of
the number of servers in quasi-random input queues was addressed by Moshe
Eben-Chaime. The finite source population of quasi-random input queues creates
state dependent arrival rates. Since probabilities and performance measures
admit no closed form expression, analytical results are difficult to obtain.
The author presented new results and demonstrated the monotone effect of the
number of servers on most performance measures.
The effect of
correlations in the processing times of make-to-order systems was studied by
Michael Zazanis. The analysis was based on Markovian queueing models and
matrix-geometric techniques. In particular, correlated processes with
exponential marginals derived from the Kibble-Moran-Downton bivariate
exponential distribution were considered. In addition, assemble-to-order systems
with correlated demands were analyzed.
Antonio
Gomez-Corral studied the balking behavior of customers in the single-server
queue with vacations. In the model under consideration, arriving customers can
decide whether to enter the system or balk. This decision is based on a
reward-cost structure that includes both the desire for service and the
unwillingness to wait. The author identifies equilibrium strategies and
socially optimal strategies.
Markov
chains and decision analysis in marketing and financial modelling
Markov chains and decision
support systems are useful tools for modelling in almost all fields of
modern Operations Research. In the sessions "Markov Chains" and "New
Achievements in Stochastic Models and Optimization" several authors
presented their studies on both theoretical and practical aspects of these
important statistical modelling approaches.
Presentations
"Modelling operational decisions in start-up firms".
Thomas Archibald, Kuangyi Liu.
"Hamiltonicity-trace
conjecture for singularly perturbed Markov chains".
Vladimir Ejov, Nelly Litvak, Giang Nguyen, Peter Taylor.
"Prospective customer equity
measurement and monitoring".
Nadine Losch, Klaus Möller.
"Strategic investment timing
under asymmetric access charge regulation in telecommunications".
Takashi Shibata.
"On some antagonistic game
related to majority voting".
Michael Khachay.
In
the session on Markov Chains, Thomas Archibald and Kuangyi Liu presented a
general Markov decision model for operations management of start-up firms
addressing inventory, capacity expansion and marketing decisions. The profit
maximizing objective is extended to a survival maximizing objective with a
constraint on capital that can be more suitable for start-up firms.
In
a presentation on theoretical aspects of Markov chains, Vladimir Ezhov and his
co-authors Nelly Litvak, Giang Nguyen and Peter Taylor analyzed singularly
perturbations of a Markov chain that correspond to a stochastic policy. They
proved that the trace of the fundamental matrix is minimized at policies
corresponding to Hamiltonian cycles.
Nadine
Losch and Klaus Möller proposed a Markov chain approach to model the
dynamics of customer equity. As a particular feature, a segment specific
customer equity based on classification and regression trees was used.
Liberalized
telecommunication markets were reviewed under the aspect of decision analysis
in marketing and financial modelling by Takashi Shibata. The author
investigated the effects of an asymmetric access charge regulation on
competitive investment strategies. Since entrants of such a market have
disadvantages at incumbents, an asymmetric access charge regulation for such
asymmetric firms can stimulate competitive investment. In particular, it is
shown that an entrant with a cost disadvantage has an incentive to invest as a
leader under an asymmetric access charge regulation.
In the presentation "On some antagonistic game
related to majority voting", Michael Khachay investigated the stability of
collective decisions. The author gave the example of simple majority voting as
a classical approach to aggregation of individual decisions suggested by a
committee of experts. The stability of such a decision, subject to an exclusion
of a fixed number of experts, was analyzed.
Supply Chain Management, Stochastic Models in Finance
and Production
Supply chain
management and stochastic models in finance are two of the most active fields
in modern Operations Research and presentations on these topics are always an
essential part of the EURO-conferences. Presentations related to these fields
were given in the sessions "Supply
Chain Management", "Stochastic
Models and Optimization" and "New
Achievements in Stochastic Models and Optimization".
Presentations
"Design and planning of green supply chains: A fuzzy approach".
Tânia Pinto-Varela, Augusto Novais.
"Interaction analysis of
participants in supply chains".
Ivana Kovacevic, Biljana Panic.
"An application of the revised
weighting method in vendor selection with price breaks".
Tunjo Perić, Zoran Babic.
"Operating overall production
under chance constraints".
Baruch Keren, Zohar Laslo, Gregory Gurevich.
"Rollover
optimization under uncertain regulatory approval date for products with bass
demand rate".
Hiba El Khoury, Christian van Delft, Laoucine Kerbache.
"Inflation derivatives: HJM
framework and market models".
Kwai-sun Leung, Lixin Wu.
As consumers become
more and more aware of environmental issues, companies might think about a
re-evaluation of their supply chain and the implementation of green policies. A
restructuring of the manufacturing processes and an improved environmental
performance might lead directly to financial gains. In addition, companies can
find cost savings by reducing the environmental impact of their business processes.
In the presentation "Design and planning of green supply chains: A fuzzy
approach", Tânia Pinto-Varela and Augusto Novais addressed the
optimal design and planning of logistic structures with regard to the trade-off
between profit and environmental impacts. As a generic mathematical framework a
so-called Resource-Task Network was proposed. For an analysis of the
corresponding bi-level optimization a symmetric fuzzy linear programming
approach was applied.
The role of the
uncertain interaction and the impact of communication between the participants
of a supply chain were discussed in the presentation "Interaction analysis
of participants in supply chains" of Ivana Kovacevic and Biljana Panic.
Transactional analysis was used to describe and reveal the behavioral patterns
and social interactions of participants.
The problem of
vendor selection and quantities supplied with price breaks was analyzed in the
presentation "An application of the revised weighting method in vendor
selection with price breaks" of Tunjo Perić and Zoran Babic. The
authors investigated the possibility of an application of the revised weighting
method and tested the proposed method on the example of flour purchase.
The manufacturing process of a
single product in a certain number of plants with heterogeneous characteristics
and specific stochastic production capabilities was analyzed by Baruch Keren,
Zohar Laslo, Gregory Gurevich in the presentation "Operating overall
production under chance constraints". The authors presented a model that
can be used to determine the required budget and its distribution among the
plants in order to ensure the fulfillment of the periodic demands of the
product according to due dates and pre-given confidence levels.
In
the presentation "Rollover optimization under uncertain regulatory approval
date for products with bass demand rate", Hiba El Khoury, Christian van
Delft and Laoucine Kerbache were concerned with the decision problem of a
company that plans to phase-in a new product and to phase-out an existing one.
The production of the existing product should be neither stopped to early nor
to late, because of potential losses in profit or unnecessary costs. The
authors studied the rollover of products that follow a Bass demand rate, with
the new product subject to an uncertain regulatory approval date. In
particular, the costs associated with the rollover are minimized and optimal
rollover strategies are determined.
Kwai-sun Leung and
Lixin Wu established in their talk "Inflation derivatives: HJM framework and
market models" a Heath-Jarrow-Morton type framework that governs the
co-evolution of the term structure of both nominal and inflation rates. Based
on this framework, the authors proposed a market model with forward inflation
rates using displaced diffusion processes. This resulted in a closed-form
pricing for inflation caplets and inflation swaptions.
Complex
Systems and Networks under Uncertainty
One particular focus of the
stream on "Stochastic Modelling and
Simulation" was set on OR-Methods and applications for complex networks
under uncertainty. Various topics related to simulation, optimization,
forecasting and data mining were addressed in the sessions "Simulation and Optimization of Networks
under Uncertainty", "Complex
Systems under Uncertainty: Networks and Data Mining" and "Graph Theory and Combinatorial
Optimization".
Presentations
"Extinction probabilities of decomposable branching processes".
Sophie Hautphenne.
"Search of the best alliance
composition in an interdomain network".
Daniel Villa Monteiro, Thierry Mautor, Dominique Barth.
"Quantitative release planning
in extreme programming".
Tommi Tervonen, Gert van Valkenhoef, Bert de Brock, Douwe Postmus.
"Synergic process of speech
signal energy transmission".
Vladimir Zhuravlev, Dorovshykh Anatoliy.
The presentation of
Sophie Hautphenne was concerned with extinction probabilities of decomposable
branching processes. Such processes arise for example in telecommunication and
biological systems when some types of individuals are not able to generate
other types. In this situation, partial extinction of some classes can occur
whereas the whole process may not necessarily become extinct. The authors
established criteria for partial as well as total extinction and analyzed in
detail the partial (total) extinction probability.
Daniel Villa
Monteiro and his co-authors Thierry Mautor and Dominique Barth addressed the
problem on how to find an optimal alliance composition in an interdomain
network. In this particular network, the domains have to satisfy service
requests. A subset of domains, where members share knowledge and provide a
routing service to other members is considered as an alliance. Both heuristics
and exact solution methods have been applied to find the best alliance that
gives to the members the highest increase in service satisfaction.
Tommi Tervonen and
his co-authors Gert van Valkenhoef, Bert de Brock and Douwe Postmus addressed "Quantitative
release planning in extreme programming". This methodology tries to improve
software quality with regard to changing customer requirements and is
considered as a particular agile software development methodology with frequent
releases in short development cycles. The authors provided a multiple knapsack
model to assist release planning where the selected plan maximizes the expected
business value.
In the presentation
"Synergic process of speech signal energy transmission", Vladimir
Zhuravlev and Dorovshykh Anatoliy analyzed the imperfect adequacy of speech and
hearing process theories. They propose a mathematical model for speech signal
energy generation and receiving that is based on synergic analysis of speech
signal informational components in communication channel energy transfer speed
and substance carriers.
Assignment
Problems, Graph Theory and Combinatorial Optimization
A variety of theoretical
contributions ranging from assignment problems and graph-theoretical models to
combinatorial spaces were presented in the sessions on "Complex Systems under Uncertainty: Networks and Data Mining"
and "Stochastic Modelling and
Simulation I &II".
Presentations
Pavlo Krokhmal.
"Probabilistic analysis of multidimensional assignment problems".
"Approximation algorithms for
the general multi assignment problem".
Ron Adany, Sarit Kraus, Fernando Ordonez.
"On the cubical dimension of
four new classes of trees".
Kamal Kabyl, Abdelhafid Berrachedi.
"On defining a combinatorial
space"
Sergii Sirenko.
"On goodness-of-fit tests for random combinatorial objects".
Alexander Kolodzey.
"Identification of local
distortions in random sequences".
Alexander Grusho, Elena Timonina, Zeev Volkovich.
In the presentation
"Probabilistic analysis of multidimensional assignment problems" Pavlo
Krokhmal investigated a generalization of linear and quadratic assignment
problems. Properties of large-scale randomized instances of multidimensional
assignment problems under the assumption that their assignment costs are
independent and identically distributed random variables are considered.
Multidimensional assignment
problems were also addressed in the presentation "Approximation algorithms
for the general multi assignment problem" of Ron Adany, Sarit Kraus and
Fernando Ordonez. The authors presented a problem where personalized
advertisements have to be assigned to viewers in order to maximize revenue. It
is assumed that each viewer has a limited capacity and each advertisement has a
given length whereas a revenue is obtained if is assigned to a certain number
of viewers. Two bi-criteria approximation algorithms of the Ads Packing Problem
were presented: Extra-Packing and Deep-Search-Replacer.
In a theoretical contribution,
Kamal Kabyl and his co-author Abdelhafid Berrachedi considered the embedding of
trees in a hypercube. The major goal is to find the smallest dimension of a hypercube
in which a given tree is embeddable. In particular, the authors identified four
new classes of trees for which the cubical dimension is established.
In another presentation on
theoretical aspects of combinatorial optimization, Sergii Sirenko introduced a
new formal approach for defining important notions such as a combinatorial
optimization problem, a combinatorial space and combinatorial objects. With
this new perspective countable combinatorial spaces can be considered. In
addition, with the proposed definition of directed segments it is possible to
provide constructive mechanisms for solving of combinatorial optimization
problems.
Alexander Kolodzey gave a
presentation on "On goodness-of-fit tests for random combinatorial objects".
The author studied random combinatorial objects which possess the decomposition
property of the individual components. The weight of the objects equals the sum
of the components weights. In addition, a joint distribution of the number of
components with a given weight can be represented as the joint conditional
distribution of several independent Poisson random variables.
In the talk "Identification
of local distortions in random sequences", Alexander Grusho, Elena Timonina
and Zeev Volkovich consider sequences of consistent random distributions. As
the main result, the authors demonstrate that it is possible to find local
distortions in a random sequence, where the corresponding distribution is
well-defined.
Conclusion
With our stream
"Stochastic Modelling and Simulation" at EURO 2010 we contributed to
a vibrant field of modern OR that is characterized by its connections to all
the other areas of OR, in theory, methods and applications. Herewith, we
organizers hope to having contributed to a closer exchange inside of the OR
communities and between its scientists from all over the world. We are thankful
to EURO, the EURO Working Groups and to IFORS, for their continuous support,
and we would be glad if our stream became and will become a precious
contribution to academia and to overcoming of the OR community's and
humankind's future challenges.
Related links
Website of 24th European
Conference on Operational Research (EURO XXIV)
EURO - The Association of
European Operational Research Societies within IFORS
IFORS - The International Federation
of Operational Research Societies www.ifors.org
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