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Computing Bounds for the Structured Singular Value via an Interior Point Algorithm
Computing Bounds Structured Singular Value Interior Point Algorithm
2015/7/13
We describe an interior point algorithm for computing the upper bound for the structured singular value described in the paper by Fan, Tits and Doyle, IEEE Trans AC, Jan. 1991. We demonstrate the perf...
Performance Bounds and Suboptimal Policies for Linear Stochastic Control via LMIs
dynamic programming stochastic control convex optimization
2015/7/9
In a recent paper, the authors showed how to compute performance bounds for infinite horizon stochastic control problems with linear system dynamics and arbitrary constraints, objective, and noise dis...
Fluid Heuristics, Lyapunov Bounds, and Efficient Importance Sampling for a Heavy-tailed G/G/1 Queue
State-dependent importance sampling Rare-event simulation Heavy-tails
2015/7/6
We develop a strongly efficient rare-event simulation algorithm for computing the tail of the steady-state waiting time in a single server queue with regularly varying service times. Our algorithm is ...
Simulation-Based Confidence Bounds for Two-Stage Stochastic Programs
Stochastic programming Linear programming Probability theory
2015/7/6
This paper provides a rigorous asymptotic analysis and justification of upper and lower confidence bounds proposed by Dantzig and Infanger (1995) for an iterative sampling-based decomposition algorith...