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440
General state space Markov chains and MCMC algorithm
 PROBABILITY SURVEYS
, 2004
"... This paper surveys various results about Markov chains on general (noncountable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivation and context for the theory which follows. Then, sufficient conditions for geometric and uniform e ..."
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Cited by 114 (27 self)
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This paper surveys various results about Markov chains on general (noncountable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivation and context for the theory which follows. Then, sufficient conditions for geometric and uniform ergodicity are presented, along with quantitative bounds on the rate of convergence to stationarity. Many of these results are proved using direct coupling constructions based on minorisation and drift conditions. Necessary and sufficient conditions for Central Limit Theorems (CLTs) are also presented, in some cases proved via the Poisson Equation or direct regeneration constructions. Finally, optimal scaling and weak convergence results for MetropolisHastings algorithms are discussed. None of the results presented is new, though many of the proofs are. We also describe some Open Problems.
Crosslayer congestion control, routing and scheduling design in ad hoc wireless networks
 Proc. IEEE Infocom
, 2006
"... Abstract — This paper considers jointly optimal design of crosslayer congestion control, routing and scheduling for ad hoc wireless networks. We first formulate the rate constraint and scheduling constraint using multicommodity flow variables, and formulate resource allocation in networks with fixed ..."
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Cited by 98 (11 self)
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Abstract — This paper considers jointly optimal design of crosslayer congestion control, routing and scheduling for ad hoc wireless networks. We first formulate the rate constraint and scheduling constraint using multicommodity flow variables, and formulate resource allocation in networks with fixed wireless channels (or singlerate wireless devices that can mask channel variations) as a utility maximization problem with these constraints. By dual decomposition, the resource allocation problem naturally decomposes into three subproblems: congestion control, routing and scheduling that interact through congestion price. The global convergence property of this algorithm is proved. We next extend the dual algorithm to handle networks with timevarying channels and adaptive multirate devices. The stability of the resulting system is established, and its performance is characterized with respect to an ideal reference system which has the best feasible rate region at link layer. We then generalize the aforementioned results to a general model of queueing network served by a set of interdependent parallel servers with timevarying service capabilities, which models many design problems in communication networks. We show that for a general convex optimization problem where a subset of variables lie in a polytope and the rest in a convex set, the dualbased algorithm remains stable and optimal when the constraint set is modulated by an irreducible finitestate Markov chain. This paper thus presents a step toward a systematic way to carry out crosslayer design in the framework of “layering as optimization decomposition ” for timevarying channel models. I.
Geometric Ergodicity and Hybrid Markov Chains
, 1997
"... Various notions of geometric ergodicity for Markov chains on general state spaces exist. In this paper, we review certain relations and implications among them. We then apply these results to a collection of chains commonly used in Markov chain Monte Carlo simulation algorithms, the socalled hybrid ..."
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Cited by 83 (26 self)
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Various notions of geometric ergodicity for Markov chains on general state spaces exist. In this paper, we review certain relations and implications among them. We then apply these results to a collection of chains commonly used in Markov chain Monte Carlo simulation algorithms, the socalled hybrid chains. We prove that under certain conditions, a hybrid chain will "inherit" the geometric ergodicity of its constituent parts. 1 Introduction A question of increasing importance in the Markov chain Monte Carlo literature (Gelfand and Smith, 1990; Smith and Roberts, 1993) is the issue of geometric ergodicity of Markov chains (Tierney, 1994, Section 3.2; Meyn and Tweedie, 1993, Chapters 15 and 16; Roberts and Tweedie, 1996). However, there are a number of different notions of the phrase "geometrically ergodic", depending on perspective (total variation distance vs. in L 2 ; with reference to a particular V function; etc.). One goal of this paper is to review and clarify the relationship...
Asymptotic results for multiplexing subexponential onoff processes
 Advances in Applied Probability
, 1998
"... Consider an aggregate arrival process AN obtained by multiplexing N OnOff processes with exponential Off periods of rate λ and subexponential On periods τon. As N goes to infinity, with λN → Λ, AN approaches an M/G/ ∞ type process. Both for finite and infinite N, we obtain the asymptotic characteri ..."
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Cited by 70 (19 self)
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Consider an aggregate arrival process AN obtained by multiplexing N OnOff processes with exponential Off periods of rate λ and subexponential On periods τon. As N goes to infinity, with λN → Λ, AN approaches an M/G/ ∞ type process. Both for finite and infinite N, we obtain the asymptotic characterization of the arrival process activity period. Using these results we investigate a fluid queue with the limiting M/G/ ∞ arrival process A ∞ t and capacity c. When On periods are regularly varying (with noninteger exponent), we derive a precise asymptotic behavior of the queue length random variable QP t observed at the beginning of the arrival process activity periods P[Q P t +ρ−c> x] ∼ Λr P[τ c−ρ x/(r+ρ−c) on> u]du x → ∞, where ρ = EA ∞ t < c; r (c ≤ r) is the rate at which the fluid is arriving during an On period. The asymptotic (time average) queuedistributionlower boundis obtained undermoregeneral assumptions on On periods than regular variation. In addition, we analyze a queueing system in which one OnOff process, whose On period belongs to a subclass of subexponential distributions, is multiplexed with independent exponential processes with aggregate expected rate Eet. This system is shown to be asymptotically equivalent to the same queueing system with the exponential arrival processes being replaced by their total mean value Eet.
Power Allocation and Routing in Multibeam Satellites With TimeVarying Channels
 IEEE TRANSACTIONS ON NETWORKING
, 2003
"... We consider power and server allocation in a multibeam satellite downlink which transmits data to different ground locations over timevarying channels. Packets destined for each ground location are stored in separate queues and the server rate for each queue depends on the power ( ) allocated to th ..."
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Cited by 69 (18 self)
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We consider power and server allocation in a multibeam satellite downlink which transmits data to different ground locations over timevarying channels. Packets destined for each ground location are stored in separate queues and the server rate for each queue depends on the power ( ) allocated to that server and the channel state ( ) according to a concave ratepower curve ( ). We establish the capacity region of all arrival rate vectors ( 1 ... ) which admit a stabilizable system. We then develop a powerallocation policy which stabilizes the system whenever the rate vector lies within the capacity region. Such stability is guaranteed even if the channel model and the specific arrival rates are unknown. Furthermore, the algorithm is shown to be robust to arbitrary variations in the input rates and a bound on average delay is established. As a special case, this analysis verifies stability and provides a performance bound for the Choosethe LargestConnectedQueues policy when channels can be in one of two states (ON or OFF) and servers are allocated at every timestep ( ). These results are extended to treat a joint problem of routing and power allocation in a system with multiple users and satellites and a throughput maximizing algorithm for this joint problem is constructed. Finally, we address the issue of interchannel interference and develop a modified policy when power vectors are constrained to feasible activation sets. Our analysis and problem formulation is also applicable to power control for wireless systems.
A survey of maxtype recursive distributional equations
 Annals of Applied Probability 15 (2005
, 2005
"... In certain problems in a variety of applied probability settings (from probabilistic analysis of algorithms to statistical physics), the central requirement is to solve a recursive distributional equation of the form X d = g((ξi,Xi), i ≥ 1). Here(ξi) and g(·) are given and the Xi are independent cop ..."
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Cited by 63 (6 self)
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In certain problems in a variety of applied probability settings (from probabilistic analysis of algorithms to statistical physics), the central requirement is to solve a recursive distributional equation of the form X d = g((ξi,Xi), i ≥ 1). Here(ξi) and g(·) are given and the Xi are independent copies of the unknown distribution X. We survey this area, emphasizing examples where the function g(·) is essentially a “maximum ” or “minimum” function. We draw attention to the theoretical question of endogeny: inthe associated recursive tree process X i,aretheX i measurable functions of the innovations process (ξ i)? 1. Introduction. Write
Convergence rates of Markov chains
, 1995
"... this paper, we attempt to describe various mathematical techniques which have been used to bound such rates of convergence. In particular, we describe eigenvalue analysis, random walks on groups, coupling, and minorization conditions. Connections are made to modern areas of research wherever possibl ..."
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Cited by 62 (4 self)
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this paper, we attempt to describe various mathematical techniques which have been used to bound such rates of convergence. In particular, we describe eigenvalue analysis, random walks on groups, coupling, and minorization conditions. Connections are made to modern areas of research wherever possible. Elements of linear algebra, probability theory, group theory, and measure theory are used, but efforts are made to keep the presentation elementary and accessible. Acknowledgements. I thank Eric Belsley for comments and corrections, and thank Persi Diaconis for introducing me to this subject and teaching me so much. 1. Introduction and motivation.
Effective bandwidths: call admission, traffic policing, and filtering for atm networks, Queueing Systems 20
, 1995
"... In this paper we review and extend the e ective bandwidth results of Kelly [28], and Kesidis, Walrand and Chang [29, 6]. These results provide a framework for call admission schemes which are sensitive to constraints on the mean delay or the tail distribution of the workload in bu ered queues. We pr ..."
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Cited by 61 (8 self)
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In this paper we review and extend the e ective bandwidth results of Kelly [28], and Kesidis, Walrand and Chang [29, 6]. These results provide a framework for call admission schemes which are sensitive to constraints on the mean delay or the tail distribution of the workload in bu ered queues. We present results which are valid for a wide variety of tra c streams and discuss their applicability for tra c management inATM networks. We discuss the impact of tra c policing schemes, such as thresholding and ltering, on the e ective bandwidth of sources. Finally we discuss e ective bandwidth results for Brownian tra c models for which explicit results reveal the interaction arising in nite bu ers. Short title: E ective Bandwidths
The CrossEntropy Method for Combinatorial and Continuous Optimization
, 1999
"... We present a new and fast method, called the crossentropy method, for finding the optimal solution of combinatorial and continuous nonconvex optimization problems with convex bounded domains. To find the optimal solution we solve a sequence of simple auxiliary smooth optimization problems based on ..."
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Cited by 55 (6 self)
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We present a new and fast method, called the crossentropy method, for finding the optimal solution of combinatorial and continuous nonconvex optimization problems with convex bounded domains. To find the optimal solution we solve a sequence of simple auxiliary smooth optimization problems based on KullbackLeibler crossentropy, importance sampling, Markov chain and Boltzmann distribution. We use importance sampling as an important ingredient for adaptive adjustment of the temperature in the Boltzmann distribution and use KullbackLeibler crossentropy to find the optimal solution. In fact, we use the mode of a unimodal importance sampling distribution, like the mode of beta distribution, as an estimate of the optimal solution for continuous optimization and Markov chains approach for combinatorial optimization. In the later case we show almost surely convergence of our algorithm to the optimal solution. Supporting numerical results for both continuous and combinatorial optimization problems are given as well. Our empirical studies suggest that the crossentropy method has polynomial in the size of the problem running time complexity.
Waitingtime tail probabilities in queues with longtail servicetime distributions
 QUEUEING SYSTEMS
, 1994
"... We consider the standard GI/G/1 queue with unlimited waiting room and the firstin firstout service discipline. We investigate the steadystate waitingtime tail probabilities P(W> x) when the servicetime distribution has a longtail distribution, i.e., when the servicetime distribution fails to ..."
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Cited by 55 (21 self)
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We consider the standard GI/G/1 queue with unlimited waiting room and the firstin firstout service discipline. We investigate the steadystate waitingtime tail probabilities P(W> x) when the servicetime distribution has a longtail distribution, i.e., when the servicetime distribution fails to have a finite moment generating function. We have developed algorithms for computing the waitingtime distribution by Laplace transform inversion when the Laplace transforms of the interarrivaltime and servicetime distributions are known. One algorithm, exploiting Pollaczek’s classical contourintegral representation of the Laplace transform, does not require that either of these transforms be rational. To facilitate such calculations, we introduce a convenient twoparameter family of longtail distributions on the positive half line with explicit Laplace transforms. This family is a Pareto mixture of exponential (PME) distributions. These PME distributions have monotone densities and Paretolike tails, i.e., are of order x − r for r> 1. We use this family of longtail distributions to investigate the quality of approximations based on asymptotics for P(W> x) as x → ∞. We show that the asymptotic approximations with these longtail servicetime distributions can be remarkably inaccurate for typical x values of interest. We also derive multiterm asymptotic expansions for the waitingtime tail probabilities in the M/G/1 queue. Even three terms of this expansion can be remarkably inaccurate for typical x values of interest. Thus, we evidently must rely on numerical algorithms for determining the waitingtime tail probabilities in this case. When working with servicetime data, we suggest using empirical Laplace transforms.