arXiv subjects

Johan van Leeuwaarden

Publications and source records attributed to Johan van Leeuwaarden.

16 recordsLinked to original sources

arXiv2026

Personalised versus Posted Pricing from Samples

Personalised pricing maximises expected revenue from a market but requires detailed information about individual customers. How much of this revenue can be recovered using a simple posted price based on a finite number of samples from the underlying value distribution? We answer this question by maximising the worst-case ratio between the expected revenues of posted and personalised pricing over the fundamental class of $λ$-regular value distributions. Our results reveal a structural transition as a function of $λ$. For the class of monotone hazard rate (MHR) distributions, corresponding to $λ= 0$, the sample mean is an optimal statistic: the entire sample can be compressed into its average without any loss of revenue. Beyond the MHR class, corresponding to $λ> 0$, this property disappears. We show that the sample mean is no longer optimal, revealing that optimal sample-based pricing rules become substantially more intricate. Nevertheless, we show that a remarkably simple order-statistic based pricing rule is asymptotically optimal as the number of samples $n$ grows, achieving the optimal approximation ratio up to a tight error of order $1/n$. Our analysis combines techniques from probability, approximation theory and optimization, including doubly infinite linear programming, hypergeometric functions, and combinatorial identities involving incomplete Beta functions.

cs.DS↗

arXiv2026

Sample-Based Prophet Inequalities for Random Walks

We study prophet inequalities for a random walk reward stopping problem with sample-based information. The goal is to stop as close as possible to the maximum of a random walk with i.i.d. increments, measuring performance by the ratio between the expected reward when stopping and the expected true maximum. We consider a sample-based model in which the increment distribution is unknown and the decision maker has access to $K$ independent sample paths of the reward process. For the infinite-horizon setting, we establish a sharp prophet inequality with constant $(K/(K+1))^{K+1}$. The guarantee is attained by a randomised stopping rule based on the ladder height decomposition of random walks. As $K\to\infty$, this recovers the classical $1/e$ prophet inequality from the full-information setting. For the finite-horizon setting, where the process terminates after $n$ steps, we first prove a tight no-information prophet inequality with constant $1/H_n$, where $H_n$ is the $n$-th harmonic number. For $K\ge1$ samples, we show that a prophet constant of $1/4$ is attainable. Finally, we prove that, with $K$ samples, the prophet constant is at most $(K/(K+1))^{K+1}+(6+6H_K)/H_n$ for $n\ge 2K^2$, implying convergence to the infinite-horizon constant as $n\to\infty$. Our approach combines random walk theory, including ladder heights and Spitzer's identity, with linear programming duality. Our results contribute to random walk stopping theory and to sample-based prophet inequalities for correlated rewards, an area that remains largely unexplored. To the best of our knowledge, our tight sample-based prophet inequalities are the first whose performance is parameterised exactly, rather than only up to constants, by the number of available samples.

math.OC↗

arXiv2022

Optimal capacity allocation for heavy-traffic fixed-cycle traffic-light queues and intersections

Setting traffic light signals is a classical topic in traffic engineering, and important in heavy-traffic conditions when green times become scarce and longer queues are inevitably formed. For the fixed-cycle traffic-light queue, an elementary queueing model for one traffic light with cyclic signaling, we obtain heavy-traffic limits that capture the long-term queue behavior. We leverage the limit theorems to obtain sharp performance approximations for one queue in heavy traffic. We also consider optimization problems that aim for optimal division of green times among multiple conflicting traffic streams. We show that inserting heavy-traffic approximations leads to tractable optimization problems and close-to-optimal signal prescriptions. The same type of limiting result can be established for several vehicle-actuated strategies which adds to the general applicability of the framework presented in this paper.

math.OC↗

arXiv2022

Optimal Stopping Theory for a Distributionally Robust Seller

Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this knowledge to determine stopping rules that maximize expected welfare. In practice, however, stopping rules must often be determined under partial information, based on scarce data or expert predictions. Consider a seller that has one item for sale and receives successive offers drawn from some value distributions. The decision on whether or not to accept an offer is irrevocable, and the value distributions are only partially known. We therefore let the seller adopt a robust maximin strategy, assuming that value distributions are chosen adversarially by nature to minimize the value of the accepted offer. We provide a general maximin solution to this stopping problem that identifies the optimal (threshold-based) stopping rule for the seller for all possible statistical information structures. We then perform a detailed analysis for various ambiguity sets relying on knowledge about the common mean, dispersion (variance or mean absolute deviation) and support of the distributions. We show for these information structures that the seller's stopping rule consists of decreasing thresholds converging to the common mean, and that nature's adversarial response, in the long run, is to always create an all-or-nothing scenario. The maximin solutions also reveal what happens as dispersion or the number of offers grows large.

econ.TH↗

arXiv2020

Optimal Hyper-Scalable Load Balancing with a Strict Queue Limit

Load balancing plays a critical role in efficiently dispatching jobs in parallel-server systems such as cloud networks and data centers. A fundamental challenge in the design of load balancing algorithms is to achieve an optimal trade-off between delay performance and implementation overhead (e.g. communication or memory usage). This trade-off has primarily been studied so far from the angle of the amount of overhead required to achieve asymptotically optimal performance, particularly vanishing delay in large-scale systems. In contrast, in the present paper, we focus on an arbitrarily sparse communication budget, possibly well below the minimum requirement for vanishing delay, referred to as the hyper-scalable operating region. Furthermore, jobs may only be admitted when a specific limit on the queue position of the job can be guaranteed. The centerpiece of our analysis is a universal upper bound for the achievable throughput of any dispatcher-driven algorithm for a given communication budget and queue limit. We also propose a specific hyper-scalable scheme which can operate at any given message rate and enforce any given queue limit, while allowing the server states to be captured via a closed product-form network, in which servers act as customers traversing various nodes. The product-form distribution is leveraged to prove that the bound is tight and that the proposed hyper-scalable scheme is throughput-optimal in a many-server regime given the communication and queue limit constraints. Extensive simulation experiments are conducted to illustrate the results.

cs.PF↗

arXiv2020

Tight tail probability bounds for distribution-free decision making

Chebyshev's inequality provides an upper bound on the tail probability of a random variable based on its mean and variance. While tight, the inequality has been criticized for only being attained by pathological distributions that abuse the unboundedness of the underlying support and are not considered realistic in many applications. We provide alternative tight lower and upper bounds on the tail probability given a bounded support, mean and mean absolute deviation of the random variable. We obtain these bounds as exact solutions to semi-infinite linear programs. We leverage the bounds for distribution-free analysis of the newsvendor model, monopolistic pricing, and stop-loss reinsurance. We also exploit the bounds for safe approximations of sums of correlated random variables, and to find convex reformulations of single and joint ambiguous chance constraints that are ubiquitous in distributionally robust optimization.

math.OC↗

arXiv2019

Hyper-Scalable JSQ with Sparse Feedback

Load balancing algorithms play a vital role in enhancing performance in data centers and cloud networks. Due to the massive size of these systems, scalability challenges, and especially the communication overhead associated with load balancing mechanisms, have emerged as major concerns. Motivated by these issues, we introduce and analyze a novel class of load balancing schemes where the various servers provide occasional queue updates to guide the load assignment. We show that the proposed schemes strongly outperform JSQ($d$) strategies with comparable communication overhead per job, and can achieve a vanishing waiting time in the many-server limit with just one message per job, just like the popular JIQ scheme. The proposed schemes are particularly geared however towards the sparse feedback regime with less than one message per job, where they outperform corresponding sparsified JIQ versions. We investigate fluid limits for synchronous updates as well as asynchronous exponential update intervals. The fixed point of the fluid limit is identified in the latter case, and used to derive the queue length distribution. We also demonstrate that in the ultra-low feedback regime the mean stationary waiting time tends to a constant in the synchronous case, but grows without bound in the asynchronous case.

math.PR↗

arXiv2017

Analysis of structured Markov processes

Markov processes are popular mathematical models, studied by theoreticians for their intriguing properties, and applied by practitioners for their flexible structure. With this book we teach how to model and analyze Markov processes. We classify Markov processes based on their structural properties, which in turn determine which analytic methods are required for solving them. In doing so, we start in each chapter with specific examples that naturally lead up to general theory and general methods. In this way the reader learns about Markov processes on the job. By studying this book, the reader becomes acquainted with the basic analytic methods that come into play when systems are modeled as structured Markov processes. These basic methods will likely prove useful, in real-time when studying the examples at hand, but more importantly for future encounters with Markov processes not covered in this book. Methods are more important than examples. The methods have a large scope of application, even outside the scope of Markov processes, in areas like probability theory, industrial engineering, mechanical engineering, physics and financial mathematics.

math.PR↗

arXiv2017

Load Balancing in Large-Scale Systems with Multiple Dispatchers

Load balancing algorithms play a crucial role in delivering robust application performance in data centers and cloud networks. Recently, strong interest has emerged in Join-the-Idle-Queue (JIQ) algorithms, which rely on tokens issued by idle servers in dispatching tasks and outperform power-of-$d$ policies. Specifically, JIQ strategies involve minimal information exchange, and yet achieve zero blocking and wait in the many-server limit. The latter property prevails in a multiple-dispatcher scenario when the loads are strictly equal among dispatchers. For various reasons it is not uncommon however for skewed load patterns to occur. We leverage product-form representations and fluid limits to establish that the blocking and wait then no longer vanish, even for arbitrarily low overall load. Remarkably, it is the least-loaded dispatcher that throttles tokens and leaves idle servers stranded, thus acting as bottleneck. Motivated by the above issues, we introduce two enhancements of the ordinary JIQ scheme where tokens are either distributed non-uniformly or occasionally exchanged among the various dispatchers. We prove that these extensions can achieve zero blocking and wait in the many-server limit, for any subcritical overall load and arbitrarily skewed load profiles. Extensive simulation experiments demonstrate that the asymptotic results are highly accurate, even for moderately sized systems.

math.PR↗

arXiv2016

Networks of fixed-cycle intersections

We present an algorithmic method for analyzing networks of intersections with static signaling, with as primary example a line network that allows traffic flow over several intersections in one main direction. The method decomposes the network into separate intersections and treats each intersection in isolation using an extension of the fixed-cycle traffic-light (FCTL) queue. The network effects are modeled by matching the output process of one intersection with the input process of the next (downstream) intersection. This network analysis provides insight into wave phenomena due to vehicles experiencing progressive cascades of green lights and sheds light on platoon forming in case of imperfections. Our algorithm is shown to match results from extensive discrete-event simulations and can also be applied to more complex network structures.

math.PR↗

arXiv2016

The snowball effect of customer slowdown in critical many-server systems

Customer slowdown describes the phenomenon that a customer's service requirement increases with experienced delay. In healthcare settings, there is substantial empirical evidence for slowdown, particularly when a patient's delay exceeds a certain threshold. For such threshold slowdown situations, we design and analyze a many-server system that leads to a two-dimensional Markov process. Analysis of this system leads to insights into the potentially detrimental effects of slowdown, especially in heavy-traffic conditions. We quantify the consequences of underprovisioning due to neglecting slowdown, demonstrate the presence of a subtle bistable system behavior, and discuss in detail the snowball effect: A delayed customer has an increased service requirement, causing longer delays for other customers, who in turn due to slowdown might require longer service times.

math.PR↗

arXiv2016

Scaling limits for infinite-server systems in a random environment

This paper studies the effect of an overdispersed arrival process on the performance of an infinite-server system. In our setup, a random environment is modeled by drawing an arrival rate $Λ$ from a given distribution every $Δ$ time units, yielding an i.i.d. sequence of arrival rates $Λ_1,Λ_2, \ldots$. Applying a martingale central limit theorem, we obtain a functional central limit theorem for the scaled queue length process. We proceed to large deviations and derive the logarithmic asymptotics of the queue length's tail probabilities. As it turns out, in a rapidly changing environment (i.e., $Δ$ is small relative to $Λ$) the overdispersion of the arrival process hardly affects system behavior, whereas in a slowly changing random environment it is fundamentally different; this general finding applies to both the central limit and the large deviations regime. We extend our results to the setting where each arrival creates a job in multiple infinite-server queues.

math.PR↗

arXiv2013

Stability of Random Admissible-Set Scheduling in Spatially Continuous Wireless Systems

We examine the stability of wireless networks whose users are distributed over a compact space. A subset of users is called {\it admissible} when their simultaneous activity obeys the prevailing interference constraints and, in each time slot, an admissible subset of users is selected uniformly at random to transmit one packet. We show that, under a mild condition, this random admissible-set scheduling mechanism achieves maximum stability in a broad set of scenarios, and in particular in symmetric cases. The proof relies on a description of the system as a measure-valued process and the identification of a Lyapunov function.

math.PR↗

arXiv2013

Delay Performance and Mixing Times in Random-Access Networks

We explore the achievable delay performance in wireless random-access networks. While relatively simple and inherently distributed in nature, suitably designed queue-based random-access schemes provide the striking capability to match the optimal throughput performance of centralized scheduling mechanisms in a wide range of scenarios. The specific type of activation rules for which throughput optimality has been established, may however yield excessive queues and delays. Motivated by that issue, we examine whether the poor delay performance is inherent to the basic operation of these schemes, or caused by the specific kind of activation rules. We derive delay lower bounds for queue-based activation rules, which offer fundamental insight in the cause of the excessive delays. For fixed activation rates we obtain lower bounds indicating that delays and mixing times can grow dramatically with the load in certain topologies as well.

cs.NI↗

arXiv2012

Energy minimisation of repelling particles on a toric grid

We explore the minimum energy configurations of repelling particles distributed over n possible locations forming a toric grid. We conjecture that the most energy-efficient way to distribute n/2 particles over this space is to place them in a checkerboard pattern. Numerical experiments validate this conjecture for reasonable choices of the repelling force. In the present paper, we prove this conjecture in a large number of special cases---most notably, when the sizes of the torus are either two or multiples of four in all dimensions and the repelling force is a completely monotonic function of the Lee distance between the particles.

math.OC↗

arXiv2009

Scaling limits for critical inhomogeneous random graphs with finite third moments

We identify the scaling limits for the sizes of the largest components at criticality for inhomogeneous random graphs when the degree exponent $τ$ satisfies $τ>4$. We see that the sizes of the (rescaled) components converge to the excursion lengths of an inhomogeneous Brownian motion, extending results of \cite{Aldo97}. We rely heavily on martingale convergence techniques, and concentration properties of (super)martingales. This paper is part of a programme to study the critical behavior in inhomogeneous random graphs of so-called rank-1 initiated in \cite{Hofs09a}.

math.PR↗