We introduce an original application of Suprathreshold Stochastic Resonance (SSR). Given a noise-corrupted signal, we induce SSR in effort to filter the effect of the corrupting noise. This will yield a clearer version of the signal we desire to detect. We propose a financial application that can help forecast returns generated by big orders. We assume there exist return signals that correspond...

In this paper, we study the newsvendor game with supply uncertainty, where multiple retailers form a coalition to cooperate to place orders to minimize the cost and share risk facing uncertain supplies and demands. After the orders are delivered and the demands are realized, the actual arrival quantities are allocated among the retailers to minimize the total cost. We compute the cost functions...

This paper presents an efficient multiscale stochastic framework for uncertainty quantification in modeling of flow through porous media with multiple rock types. The governing equations are based on Darcy’s law with nonstationary stochastic permeability represented as a sum of local Karhunen-Loève expansions. The approximation uses stochastic collocation on either a tensor product or a sparse ...

The spectrum of the evolution operator associated with a nonlinear stochastic flow with additive noise is evaluated by diagonalization in a polynomial basis. The method works for arbitrary noise strength. In the weak noise limit we formulate a new perturbative expansion for the spectrum of the stochastic evolution operator in terms of expansions around the classical periodic orbits. The diagona...

Facing uncertain future customer orders, a pull-based available-to-promise (ATP) mechanism will deteriorate the overall profit since it allocates critical resources only to current orders. To prevent less-profitable orders from over-consuming resources, this study investigates push–pull based ATP problem with two time stages and three margin levels, develops dynamic resource reservation policy ...

We consider a single-location inventory system with periodic review and stochastic demand. It places replenishment orders to raise the inventory position—that is, inventory on hand plus inventory in transit—to exactly S at the beginning of every period. The lead time associated with each of these orders is random. However, the lead-time process is such that these orders do not cross. Demand tha...

Today’s industries need more flexible scheduling systems able to produce new valid schedule in response to the modifications concerning orders, production processes and deliveries of materials. This paper introduces a multi-agent system applied to a job shop dynamic scheduling problem in which new production orders or deliveries arrive continuously and affect the already scheduled plan. We have...

Today’s industries need more flexible scheduling systems able to produce new valid schedule in response to the modifications concerning orders, production processes and deliveries of materials. This paper introduces a multi-agent system applied to a job shop dynamic scheduling problem in which new production orders or deliveries arrive continuously and affect the already scheduled plan. We have...

Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the assumption of IID random order flow, and analyze it using simulation, dimensional analysis, and theoretical tools based on mean field approximations. The model make...

Recent Accomplishments A new, nonlinear optimization algorithm called Stochastic Region Contraction (SRC), has been developed and has been applied to the microphone placement problem, talker location, and talker characterization. We have found that SRC is nearly two orders of magnitude faster than was simulated annealing. Our current research array system has been "hardened", and recal-time, ti...