### Book

## Исследование операций. Линейное программирование и стохастические модели.

Contents of the book is divided into 2 parts of deterministic and stochastic models of Operations Research.

The first part of "Deterministic models of Operations Research" - is the base section, in which the emphasis is on linear programming.

The second part - "Stochastic models of Operations Research" includes a model of reliability and queuing models. This is original material.

The textbook can be useful to students of undergraduate and graduate programs in areas of training in "Applied Mathematics", "Applied Mathematics and Computer Science", "Information systems and technologies", as well as graduate students and science teachers who are interested in the problems of optimization in stochastic models

The volume is dedicated to Boris Mirkin on the occasion of his 70th birthday. In addition to his startling PhD results in abstract automata theory, Mirkin’s ground breaking contributions in various fields of decision making and data analysis have marked the fourth quarter of the 20th century and beyond. Mirkin has done pioneering work in group choice, clustering, data mining and knowledge discovery aimed at finding and describing non-trivial or hidden structures—first of all, clusters, orderings, and hierarchies—in multivariate and/or network data.

This volume contains a collection of papers reflecting recent developments rooted in Mirkin's fundamental contribution to the state-of-the-art in group choice, ordering, clustering, data mining, and knowledge discovery. Researchers, students, and software engineers will benefit from new knowledge discovery techniques and application directions.

The paper discusses a new approach to developing tools for quantitatively analyzing the financial behavior of small and medium price-taking traders each possessing abilities to predict share price values for a set of financial securities traded in a stock exchange. Tools for forming and managing a trader’s portfolio of securities from this set are proposed. Particularly, it is shown that when the trader can treat share price values from the portfolio as random variables with known (to her) distributions, an optimal portfolio composition is found by solving a linear programming problem. Otherwise, this optimal composition is found as the trader’s equilibrium strategy in an antagonistic two-person game with the stock exchange being the other player. In this game on polyhedra of disjoint player strategies, described by systems of linear equations and inequalities of a balance kind, calculating saddle points is reduced to solving linear programming problems forming a dual pair.

Financial Decision Making Using Computational Intelligence covers all the recent developments in complex financial decision making through computational intelligence approaches. Computational intelligence has evolved rapidly in recent years and it is now one of the most active fields in operations research and computer science. The increasing complexity of financial problems and the enormous volume of financial data often make it difficult to apply traditional modeling and algorithmic procedures. In this context, the field of computational intelligence provides a wide range of useful techniques, including new modeling tools for decision making under risk and uncertainty, data mining techniques for analyzing complex data bases, and powerful algorithms for complex optimization problems.

We consider finite Markov decision processes (MDPs) with undiscounted total effective payoff. We show that there exist uniformly optimal pure stationary strategies that can be computed by solving a polynomial number of linear programs. We apply this result to two-player zero-sum stochastic games with perfect information and undiscounted total effective payoff, and derive the existence of a saddle point in uniformly optimal pure stationary strategies.

This book constitutes the proceedings of the 9th International Conference on Discrete Optimization and Operations Research, DOOR 2016, held in Vladivostok, Russia, in September 2016.

The 39 full papers presented in this volume were carefully reviewed and selected from 181 submissions. They were organized in topical sections named: discrete optimization; scheduling problems; facility location; mathematical programming; mathematical economics and games; applications of operational research; and short communications.

The maximin of a function being the minimum function of a sum of two bilinear functions with one and the same first vector argument belonging to a polyhedron is considered on a polyhedron of connected variables forming two second vector arguments of the bilinear functions. It is shown that finding the exact lower estimate of this maximin is reducible to solving a quadratic programming problem.

The issue of using the MathCAD software package in a university educational course for learning to solve optimization problems is considered. The advantage of working with this program is shown and its main features are discussed in the appendix to this course.

A new statistical approach to alignment (finding the longest common subsequence) of two random RNA-type sequences is proposed. We have constructed a generalized ‘dynamic programming’ algorithm for finding the extreme value of the free energy of two noncoding RNAs. In our procedure, we take into account the binding free energy of two random heteropolymer chains which are capable of forming the cloverleaf-like spatial structures typical for RNA molecules. The algorithm is based on two observations: (i) the standard alignment problem can be considered as a zero-temperature limit of a more general statistical problem of binding of two associating heteropolymer chains; (ii) this last problem can be generalized naturally to consider sequences with hierarchical cloverleaf-like structures (i.e. of RNA type). The approach also permits us to perform a ‘secondary structure recovery’. Namely, we can predict the optimal secondary structures of interacting RNAs in a zero-temperature limit knowing only their primary sequences.

A model for organizing cargo transportation between two node stations connected by a railway line which contains a certain number of intermediate stations is considered. The movement of cargo is in one direction. Such a situation may occur, for example, if one of the node stations is located in a region which produce raw material for manufacturing industry located in another region, and there is another node station. The organization of freight traﬃc is performed by means of a number of technologies. These technologies determine the rules for taking on cargo at the initial node station, the rules of interaction between neighboring stations, as well as the rule of distribution of cargo to the ﬁnal node stations. The process of cargo transportation is followed by the set rule of control. For such a model, one must determine possible modes of cargo transportation and describe their properties. This model is described by a ﬁnite-dimensional system of diﬀerential equations with nonlocal linear restrictions. The class of the solution satisfying nonlocal linear restrictions is extremely narrow. It results in the need for the “correct” extension of solutions of a system of diﬀerential equations to a class of quasi-solutions having the distinctive feature of gaps in a countable number of points. It was possible numerically using the Runge–Kutta method of the fourth order to build these quasi-solutions and determine their rate of growth. Let us note that in the technical plan the main complexity consisted in obtaining quasi-solutions satisfying the nonlocal linear restrictions. Furthermore, we investigated the dependence of quasi-solutions and, in particular, sizes of gaps (jumps) of solutions on a number of parameters of the model characterizing a rule of control, technologies for transportation of cargo and intensity of giving of cargo on a node station.

Let k be a field of characteristic zero, let G be a connected reductive algebraic group over k and let g be its Lie algebra. Let k(G), respectively, k(g), be the field of k- rational functions on G, respectively, g. The conjugation action of G on itself induces the adjoint action of G on g. We investigate the question whether or not the field extensions k(G)/k(G)^G and k(g)/k(g)^G are purely transcendental. We show that the answer is the same for k(G)/k(G)^G and k(g)/k(g)^G, and reduce the problem to the case where G is simple. For simple groups we show that the answer is positive if G is split of type A_n or C_n, and negative for groups of other types, except possibly G_2. A key ingredient in the proof of the negative result is a recent formula for the unramified Brauer group of a homogeneous space with connected stabilizers. As a byproduct of our investigation we give an affirmative answer to a question of Grothendieck about the existence of a rational section of the categorical quotient morphism for the conjugating action of G on itself.

Let G be a connected semisimple algebraic group over an algebraically closed field k. In 1965 Steinberg proved that if G is simply connected, then in G there exists a closed irreducible cross-section of the set of closures of regular conjugacy classes. We prove that in arbitrary G such a cross-section exists if and only if the universal covering isogeny Ĝ → G is bijective; this answers Grothendieck's question cited in the epigraph. In particular, for char k = 0, the converse to Steinberg's theorem holds. The existence of a cross-section in G implies, at least for char k = 0, that the algebra k[G]G of class functions on G is generated by rk G elements. We describe, for arbitrary G, a minimal generating set of k[G]G and that of the representation ring of G and answer two Grothendieck's questions on constructing generating sets of k[G]G. We prove the existence of a rational (i.e., local) section of the quotient morphism for arbitrary G and the existence of a rational cross-section in G (for char k = 0, this has been proved earlier); this answers the other question cited in the epigraph. We also prove that the existence of a rational section is equivalent to the existence of a rational W-equivariant map T- - - >G/T where T is a maximal torus of G and W the Weyl group.