- Excursion to Lucca (a medioeval town close to Pisa), and social
dinner on Wednesday from 15:00 to 23:00.
- Business meeting on thursday afternoon at 16:30.
- Short course on Matrix Analytic Methods for Fluid Flow Models by V. Ramaswami in Aula Faedo
on Friday afternoon (15:00-17:00).
Abstract of the course.
Stochastic fluid flow models have been used extensively in a variety
of areas such as dam and storage theories, insurance risk, and
performance modeling. The canonical model of this type assumes a
random environment governed by a finite state Markov chain which
modulates the linear rate of change of the fluid level such that when
the Markov chain is in state i, the fluid changes at rate ci per unit
Noting the model's similarity to a QBD, in 1999 I developed a steady
state analysis of fluid flow models pursuing ideas similar to those in
matrix geometric methods for Quasi-birth-and-death
processes. Subsequently this theory has been developed further by me
in several papers with Soohan Ahn. Overall, the approach has proven to
be quite powerful in a variety of ways: (a) it reduces the continuous
time, continuous state space problem to the consideration of a
discrete state space QBD in discrete time; (b) it provides powerful
algorithms that do not appear to suffer from the numerical
instabilities of other types of methods; (c) it provides a systematic
framework to analyze fluid flows and is based on probabilistic methods
and path properties. The method is particularly interesting as it
offers a potential for significant generalization and thereby opens up
several interesting areas for further research.
The goal of this tutorial is to review the basic ideas and methods
behind the matrix-geometric approach to fluid flow models. While key
results can be derived by elementary methods, a rigorous approach
justifying the steps necessitates some advanced tools like stochastic
discretization, stochastic coupling, and stochastic process limits; we
shall therefore also provide an intuitive understanding of this
interplay with probability enabling an easier reading of the set of
our papers in this area.
You can download here the presentation of the tutorial.
List of References
- V. Ramaswami, Matrix Analytic Methods for Stochastic Fluid Flows.
- Soohan Ahn, V. Ramaswami, Fluid Flow Models and Queues. A Connection by Stochastic Computing, Stochastic Models, 2003.
- Soohan Ahn, V. Ramaswami, Transient Analysis of Fluid Flow Models via Stochastic Coupling to a Queue, Stochastic Models, 2004.
- Soohan Ahn, V. Ramaswami, Efficient algorithms for transient analysis of stochastic fluid flow models, Applied Probability Trust, 2005.
- Soohan Ahn, V. Ramaswami, Bilateral Phase Type Distributions.
- Soohan Ahn, V. Ramaswami, Transient Analysis of Fluid Models via Elementary Level Crossing Arguments.
- V. Ramaswami, Passage Times in Fluid models with Application to Risk Processes.
- Soohan Ahn, J. Jeon, V. Ramaswami, Steady State Analysis of Finite Fluid Flow Models using Finite QBDs.
- V. Ramaswami, Algorithmic Analysis of Stochastic Models. The Changing Face of Mathematics.
- V. Ramaswami, David Poole, Soohan Ahn, Simon Byers, Alan Kaplan, Ensuring Access to Emergency Services in the Presence of Long Internet Dial-Up Calls.
- V. Ramaswami, David Poole, Soohan Ahn, Simon Byers, Alan Kaplan, Containing the Effects of Long Holding Times due to Internet Dial-up Connections.
- Guy Latouche, V. Ramaswami, Spatial Point Patterns of Phase Type.