The Results of a Complex Analysis of the Modified Pratt-Yaskorskiy Performance Metrics Based on the Two-Dimensional Markov-Renewal-Process

2016 ◽  
pp. 187-196
Author(s):  
Viktor Geringer ◽  
Dmitry Dubinin ◽  
Alexander Kochegurov
Keyword(s):  
Renewal Process ◽  
Complex Analysis ◽  
Performance Metrics ◽  
Markov Renewal Process ◽  
Two Dimensional

A two-dimensional Markov renewal process

2011 ◽  
Vol 22 (1) ◽  
pp. 98-108
Author(s):  
Katherine F. Davies ◽  
W. John Braun
Keyword(s):  
Renewal Process ◽  
Markov Renewal Process ◽  
Two Dimensional

scholarly journals Non-Homogeneous Semi-Markov and Markov Renewal Processes and Change of Measure in Credit Risk

Mathematics ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 55
Author(s):  
P.-C.G. Vassiliou
Keyword(s):  
Markov Chain ◽  
Probability Measure ◽  
Renewal Process ◽  
Markov Chain Model ◽  
Markov Renewal Process ◽  
Renewal Processes ◽  
Chain Model ◽  
Markov Renewal Processes ◽  
Risky Bonds ◽  
Markov Structure

For a G-inhomogeneous semi-Markov chain and G-inhomogeneous Markov renewal processes, we study the change from real probability measure into a forward probability measure. We find the values of risky bonds using the forward probabilities that the bond will not default up to maturity time for both processes. It is established in the form of a theorem that the forward probability measure does not alter the semi Markov structure. In addition, foundation of a G-inhohomogeneous Markov renewal process is done and a theorem is provided where it is proved that the Markov renewal process is maintained under the forward probability measure. We show that for an inhomogeneous semi-Markov there are martingales that characterize it. We show that the same is true for a Markov renewal processes. We discuss in depth the calibration of the G-inhomogeneous semi-Markov chain model and propose an algorithm for it. We conclude with an application for risky bonds.

Application of Nature Inspired Algorithms to Optimize Multi-objective Two-Dimensional Rectangle Packing Problem

2019 ◽  
Vol 04 (04) ◽  
pp. 1950010
Author(s):  
Amandeep Kaur Virk ◽  
Kawaljeet Singh
Keyword(s):  
Production Process ◽  
Bin Packing ◽  
Performance Metrics ◽  
Packing Problem ◽  
Flower Pollination Algorithm ◽  
Two Dimensional ◽  
Due Dates ◽  
Utilization Factor ◽  
Multi Objective ◽  
Metaheuristic Techniques

This paper considers two-dimensional non-guillotine rectangular bin packing problem with multiple objectives in which small rectangular parts are to be arranged optimally on a large rectangular sheet. The optimization of rectangular parts is attained with respect to three objectives involving maximization of (1) utilization factor, minimization of (2) due dates of rectangles and (3) number of cuts. Three nature based metaheuristic algorithms — Cuckoo Search, Bat Algorithm and Flower Pollination Algorithm — have been used to solve the multi-objective packing problem. The purpose of this work is to consider multiple industrial objectives for improving the overall production process and to explore the potential of the recent metaheuristic techniques. Benchmark test data compare the performance of recent approaches with the popular approaches and also of the different objectives used. Different performance metrics analyze the behavior/performance of the proposed technique. Experimental results obtained in this work prove the effectiveness of the recent metaheuristic techniques used. Also, it was observed that considering multiple and independent factors as objectives for the production process does not degrade the overall performance and they do not necessarily conflict with each other.

scholarly journals Theory of semiregenerative phenomena

1988 ◽  
Vol 25 (A) ◽  
pp. 257-274
Author(s):  
N. U. Prabhu
Keyword(s):  
Markov Chains ◽  
Discrete Time ◽  
Renewal Process ◽  
Renewal Theory ◽  
Markov Renewal Process ◽  
Discrete Time Case ◽  
Markov Renewal Theory

We develop a theory of semiregenerative phenomena. These may be viewed as a family of linked regenerative phenomena, for which Kingman [6], [7] developed a theory within the framework of quasi-Markov chains. We use a different approach and explore the correspondence between semiregenerative sets and the range of a Markov subordinator with a unit drift (or a Markov renewal process in the discrete-time case). We use techniques based on results from Markov renewal theory.

scholarly journals A note on repeated sequences in Markov chains

1987 ◽  
Vol 19 (03) ◽  
pp. 739-742 ◽  
Author(s):  
J. D. Biggins
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
Renewal Process ◽  
Transition Matrix ◽  
Repeated Sequences ◽  
Markov Renewal Process ◽  
Conditional Mean ◽  
Sojourn Times

If (non-overlapping) repeats of specified sequences of states in a Markov chain are considered, the result is a Markov renewal process. Formulae somewhat simpler than those given in Biggins and Cannings (1987) are derived which can be used to obtain the transition matrix and conditional mean sojourn times in this process.

Extremes for shot noise processes with heavy tailed amplitudes

1997 ◽  
Vol 34 (03) ◽  
pp. 643-656 ◽  
Author(s):  
William P. McCormick
Keyword(s):  
Point Process ◽  
Shot Noise ◽  
Renewal Process ◽  
Poisson Point Process ◽  
Point Processes ◽  
Extremal Index ◽  
Two Dimensional ◽  
Limiting Behavior ◽  
Local Maxima ◽  
Heavy Tailed

Extreme value results for a class of shot noise processes with heavy tailed amplitudes are considered. For a process of the form, , where {τ k } are the points of a renewal process and {Ak } are i.i.d. with d.f. having a regularly varying tail, the limiting behavior of the maximum is determined. The extremal index is computed and any value in (0, 1) is possible. Two-dimensional point processes of the form are shown to converge to a compound Poisson point process limit. As a corollary to this result, the joint limiting distribution of high local maxima is obtained.

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