Seminar



    Department of Systems Engineering and Engineering Management

            The Chinese University of Hong Kong

 

Title     : Sensitivity Analysis for Diffusion Processes Constrained to an Orthant



Speaker    : Mr. Xuefeng GAO

             School of Industrial and Systems Engineering

             Georgia Institute of Technology



Date       : 5 February 2013 (Tuesday)

Time       : 1:50 p.m. – 3:20 p.m.***Special Time***

Venue      : Room 513

             William M.W. Mong Engineering Building

             CUHK

 

Abstract:

Reflected Brownian motions (RBMs) have been used to approximate stochastic networks when they are heavily loaded. The drift vector of an RBM is determined by the offered load at the various service stations in the corresponding network. Motivated by resource allocation in a stochastic network with shared but limited resources, we study the sensitivity of the drift vector of an RBM on its stationary distribution. The sensitivity analysis helps us understand how changes in service capacities at individual stations in a stochastic network would affect the steady-state queue-length distributions. In this talk, I will present a novel framework for the sensitivity study for a class of constrained diffusion processes that include RBMs as special cases. This is joint work with Ton Dieker.



Biography:

Xuefeng Gao is a Ph.D. student in the Department of Industrial and Systems Engineering at Georgia Tech. His advisors are Professor Jim Dai and Professor Ton Dieker. He is interested in Applied Probability and Stochastic Processes, Queueing Theory, Stochastic Optimization and Market Microstructure. He received B.S. degree in Mathematics from Peking University, Beijing in 2008.





************************* ALL ARE WELCOME ************************



Host:           Prof. Helen Meng

Tel:             (852) 3943-8316



Email:          hmmeng@se.cuhk.edu.hk

Enquiries:      Mrs. Monica Wong

                Department of Systems Engineering

                and Engineering Management

                CUHK

Tel.:           (852) 3943-8315

Email:          dept@se.cuhk.edu.hk