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Department of Statistical and Actuarial Sciences
Center of Actuarial Excellence (CAE)
Convocation June 2014
Convocation June 2014

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  • DSAS Professor Mark Reesor's work showcased in Globe and Mail (July 25, 2014)
    Research on new derivative securities known as Contingent Capital Bonds done by DSAS Financial Modelling Professor Mark Reesor, DSAS adjunct professor Adam Metzler, and Western Applied Math PhD student Jingya Li has been profiled in the July 24 edition of the Toronto Globe and Mail's Report on Business.
Events Events
  • PhD Public Lecture - Yaofei Xiong (Friday, August 22, 2014)
    Time: 10:00am-10:40am and Room: WSC 248
    Speaker: Yaofei Xiong
    Title: Perfect and Nearly Perfect Sampling of Work-conserving Queues

    We present sampling-based methods to treat work-conserving queueing systems. A variety of models are studied. Besides the First Come First Serve (FCFS) queues, many efforts are putted on the accumulating priority queue (APQ), where a customer accumulates priority linearly while waiting. APQs have Poisson arrivals, multi-class customers with corresponding service durations, and single or multiple servers.

    Perfect sampling is an approach to draw a sample directly from the steady-state distribution of a Markov chain without explicitly solving for it. Statistical inference can be conducted without initialization bias. If an error can be tolerated within some limit, i.e. the total variation distance between the simulated draw and the stationary distribution can be bounded by a specified number, then we get a so called ``nearly" perfect sampling.

    Coupling From The Past (CFTP) is one approach to perfect sampling, but it usually requires a bounded state space. One strategy for perfect sampling on unbounded state spaces relies on construction of a reversible dominating process. If only the dominating property is guaranteed, then Regenerative Method (RM) becomes an alternative choice. In the case where neither the reversibility nor dominance hold, a nearly perfect sampling method will be proposed. It is a variant of dominated CFTP that we call the CFTP Block Absorption (CFTP-BA) method.

    Time-varying queues with periodic Poisson arrivals are being considered in this thesis. It has been shown that a particular limiting distribution can be obtained for each point in time in the periodic cycle. Because there are no analytical solutions in closed forms, we explore perfect (or nearly perfect) sampling of these systems.

    Joint-supervisors: Dr. Dave Stanford and Dr. ...

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