"Everything should be made as simple as possible, but not simpler." - Albert Einstein

Seminar Announcement

Sensitivity Analysis for Diffusion Processes Constrained to an Orthant

Ton Dieker, Georgia Tech University

Monday,November 28, 2011

4:00 p.m., room 223, Weber Bldg

ABSTRACT

We study optimization and sensitivity analysis for stochastic networks (e.g., to make staffing decisions). Our initial results are for a heavy traffic setting, and we investigate changes with respect to the drift of a given diffusion approximation. Our main results are: (1) the process and its infinitesimal-change process jointly satisfy a dynamic linear complementarily problem, and (2) the steady-state distribution of the joint process satisfies a linear equation akin to the basic adjoint relation.
Joint work with Xuefeng Gao (Georgia Tech).