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Informs 2007 Proceedings informs14th ® Applied Probability Conference July 9–11, 2007 Program Monday July 9, 2007 Track 1 Track 2 Track 3 Track 4 Track 5 Track 6 Track 7 Track 8 Track 9 Room CZ 4 CZ 5 CZ 10 CZ 11 CZ 12 CZ 13 CZ 14 CZ 15 CZ 16 9:00am - 9:15am Opening (Room: Blauwe Zaal) 9:15am - 10:15am Plenary - Peter Glynn (Room: Blauwe Zaal) MA Financial Random Fields Rare Event Asymptotic Scheduling Call Centers 1 MDP 1 Retrial Inventory 1 10:45am - 12:15pm Engineering 1 Simulation 1 Analysis 1 Queues Kou Kaj Dupuis Bassamboo / Borst / Koole Feinberg Artalejo Van Houtum Randhawa Wierman Keppo Scheffler Blanchet Lin Gupta Taylor Bispo Machihara Buyukkaramikli DeGuest Ruiz-Medina Glasserman Tezcan Ayesta Jongbloed Van der Laan Nobel Qiu Peng Kaj Juneja Gurvich Wierman Henderson Haijema Shin Timmer Weber Mahmoodi Dupuis Randhawa Winands Koole Feinberg Artalejo Van Houtum 12:45pm - 1.45pm Tutorial Philippe Robert MB Financial Percolation and Simulation 1 Stability of Stoch. Communication Many-server Games 1 Fluid Queues Search 2:00pm - 3:30pm Engineering 2 Related Topics Networks Systems 1 Models 1 Models Schoutens / Van den Berg Henderson Ramanan Choi Armony Economou Adan Klafter Valdivieso Werker Newman Chick Gamarnik Bae Tezcan Economou Dieker Benichou Koch Newman Haas Reiman Kim Jennings Amir Nazarathy Oshanin Scherer Meester Blanchet Williams Park Ward Dube Margolius Eliazar Valdivieso Kurtz Henderson Zachary Roubos Armony Economou Adan Metzler MC Exit Times Interacting Stoch. Prog. Stoch. Netw. & Flow-Level Markov Control Queueing Inventory 2 4:00pm - 5:30pm Particle Systems & Opt. 1 Diffusions Models Processes Models 1 Rolski Van den Berg Gunawan Budhiraja Prabhakar Van Doorn Lelarge Fralix Yao Pistorius Van der Hofstad Gunawan Ghosh Prabhakar Ferreira Mohamed Kerner Baron De¸bicki Redig Ren Kang Bramson Jaskiewicz´ Yudaeva Ammar Bijvank Palmowski Van den Berg Rubinstein Atar Massoulié Leskelä Cudinaˇ Peköz Yao Rolski Rubinstein Budhiraja Shah Van Doorn Lelarge Fralix Xie 6:00pm - 10:00pm Reception / Dinner (Location: DAF Museum) Contents 1 Welcome Address 5 2 Program Committee and Organizing Committee7 3 Sponsors 9 4 General Information 11 5 Program at a Glance 13 6 Plenaries and Tutorials 15 7 Social Events 19 8 Auditorium Layout 21 9 University Campus Layout 23 10 Sessions 25 11 Abstracts 49 12 Author Index 163 3 CONTENTS 4 1 Welcome Address Dear Participant, It is our pleasure to welcome you to the 14th INFORMS Applied Probability Conference, to be held in the Auditorium of Eindhoven University of Technology. Traditionally, emphasis in this conference is on applications of probability in operations research; typical OR subjects are optimization of logistic networks under uncertainty, control of inventory systems, and per- formance analysis of communication networks. The analysis of the underlying probability models relies predominantly on the theory of Markov chains, stochastic processes, queueing theory, and advanced simu- lation techniques. Due to the strong methodological connections, however, also various other applications are included in the conference, for instance those inspired by finance, physics and biology. We are very pleased that the following researchers, leaders in our field, have agreed to give keynote lectures: Peter Glynn, Frank Kelly and Alain-Sol Sznitman. Another exciting prospect is formed by three tutorials on timely subjects, to be presented by Maury Bramson, Paul Glasserman and Philippe Robert. Furthermore, about 350 twenty-minute talks (roughly as many as the number of registered participants) will be presented in 90 sessions. Each time 9 sessions will run in parallel. We are grateful to the many persons who have assisted us in organizing the conference. In particular, we’d like to mention the Congress Office of Eindhoven University of Technology, the extremely able and helpful staff of EURANDOM, Josine Bruin, Hannie Horvath, Wim Senden, Erik Winands, and last but not least Marko Boon, whose wizardry made the preparation of this Program book almost look easy. We have chosen a schedule that leaves you with ample time to renew acquaintances, to make new friends, and to discuss problems and new ideas. We wish you a pleasant stay in Eindhoven! July 2007 The organizing committee 5 1 – Welcome Address 6 2 Program Committee and Organizing Committee Co-Chairs Onno Boxma (EURANDOM and TU Eindhoven, Eindhoven, The Netherlands, [email protected]) Michel Mandjes (Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Amsterdam, The Netherlands, [email protected]) Program Committee Mor Armony (New York University, New York, USA) Jesus Artalejo (Complutense University of Madrid, Madrid, Spain) Rami Atar (Technion, Haifa, Israel) Francois Baccelli (INRIA & ENS, Paris, France) Sem Borst (Lucent, Murray Hill, USA & TU Eindhoven, Eindhoven, The Netherlands) Richard Boucherie (Twente University, Enschede, The Netherlands) B.D. Choi (Korea University, Seoul, Korea) Neil O’Connell (University of Cork, Cork, Ireland) Dee Denteneer (Philips Research, Eindhoven, The Netherlands) Doug Down (McMaster University, Hamilton, Canada) Paul Dupuis (Brown University, Providence, USA) Serguei Foss (Heriot-Watt University, Edinburgh, UK) Geoffrey Grimmett (University of Cambridge, Cambridge, UK) Peter Glynn (Stanford University, Stanford, USA) Shane Henderson (Cornell University, Cornell, USA) Remco van der Hofstad (TU Eindhoven & EURANDOM, Eindhoven, The Netherlands) Ingemar Kaj (Uppsala University, Uppsala, Sweden) Offer Kella (Hebrew University, Jerusalem, Israel) Ger Koole (Vrije Universiteit Amsterdam, Amsterdam, The Netherlands) Dirk Kroese (University of Queensland, Brisbane, Australia) Thomas Mikosch (University of Copenhagen, Copenhagen, Denmark) Ilkka Norros (VTT, Helsinki, Finland) Balaji Prabhakar (Stanford University, Stanford, USA) Kavita Ramanan (Carnegie Mellon University, Pittsburgh, USA) Ulrich Rieder (University Ulm, Ulm, Germany) Wim Schoutens (KU Leuven, Leuven, Belgium) Hanspeter Schmidli (University of Cologne, Cologne, Germany) Mark Squillante (IBM Thomas J. Watson Research Center, Yorktown Heights, USA) Tetsuya Takine (Osaka University, Osaka, Japan) 7 2 – Program Committee and Organizing Committee Peter Taylor (University of Melbourne, Melbourne, Australia) Henk Tijms (Vrije Universiteit Amsterdam, Amsterdam, The Netherlands) Assaf Zeevi (Columbia University, New York, USA) Organizing Committee Ivo Adan (EURANDOM and TU Eindhoven, Eindhoven, The Netherlands) Onno Boxma (EURANDOM and TU Eindhoven, Eindhoven, The Netherlands) Lucienne Coolen (EURANDOM, Eindhoven, The Netherlands) Patty Koorn (EURANDOM, Eindhoven, The Netherlands) Michel Mandjes (Korteweg-de Vries Institute for Mathematics and University of Amsterdam, Amsterdam, The Netherlands) Jacques Resing (TU Eindhoven, Eindhoven, The Netherlands) 8 3 Sponsors The organizers gratefully acknowledge the support of the following organizations: Stichting ABE Co-sponsored by the INFORMS Applied Probability Society and The Institute of Mathematical Statistics. informs ® 9 3 – Sponsors 10 4 General Information Location and Conference Buildings The conference will take place at the Auditorium of Eindhoven University of Technology (see maps in Section8 and9). (Pre-)Registration and Conference Office On Sunday July 8, the Conference Office is located in EURANDOM, which is housed in the Laplace Building (LG on the map in Section9). It will be open from 5:00pm till 7:00pm for pre-registration. Refreshments will be served during this meet and greet session. On Monday, Tuesday and Wednesday the Conference Office is located on the first floor of the Auditorium (see map in Section8). On Monday it is open for registration from 7:30am until 6:00pm. On Tuesday and Wednesday it is open from 8:00am until 6:00pm. Badge You are kindly requested to wear your key cord and badge during the conference as it grants you access to the buildings and use of facilities such as catering, DAF-Museum, film and sports. Computer Facilities Wireless network access is available at several places in the Auditorium opposite the lecture rooms. You can plug in your notebook and get access with the personal login and password that you received, when you registered beforehand for this facility. If you had not registered beforehand, fill in the form “Wire- less Internet Access” in your conference documentation and deliver it at the reception on Monday after 11:00am. If you don’t have a notebook with wireless connection possibility, you may use the EURAN- DOM notebooks, which are available in lecture room CZ 9 (see map in Section8). Refreshments and Meals Coffee, tea and refreshments will be served during the breaks and before the first session of the day near the book stands on Level 1 (see map in Section8). Lunch is being offered in the Senaatszaal on Level 1, just opposite the book stands of Cambridge University Press and Springer. They are included in the registration fee. 11 4 – General Information Parking There are several car parks around the Auditorium. One needs a parking ticket to enter and another one to leave the University premises. Exit tickets can be obtained for free at the registration desk, when you hand in your entrance ticket. Sports Facilities Eindhoven University of Technology has a very well equipped sports center . INFORMS-participants who are interested in using some of these facilities are invited to visit the sports center (it is building SP on the campus map in Section9). Your congress badge, to be shown at the reception desk, grants you access to the building and facilities.
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