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Circulant preconditioners for failure prone manufacturing systems

Circulant preconditioners for failure prone manufacturing systems
Circulant preconditioners for failure prone manufacturing systems
This paper studies the application of preconditioned conjugate-gradient methods in solving for the steady-state probability distribution of manufacturing systems. We consider the optimal hedging policy for a failure prone one-machine system. The machine produces one type of product, and its demand has finite batch arrival. The machine states and the inventory levels are modeled as Markovian processes. We construct the generator matrix for the machine-inventory system. The preconditioner is constructed by taking the circulant approximation of the near-Toeplitz structure of the generator matrix. We prove that the preconditioned linear system has singular values clustered around one when the number of inventory levels tends to infinity. Hence conjugate-gradient methods will converge very fast when applied to solving the preconditioned linear system. Numerical examples are given to verify our claim. The average running cost for the system can be written in terms of the steady state probability distribution. The optimal hedging point can then be obtained by varying different values of the hedging point.
0024-3795
161-180
Ching, Wai Ki
cfee9d26-97e3-42ce-a4e9-b91e6d8aeef7
Ching, Wai Ki
cfee9d26-97e3-42ce-a4e9-b91e6d8aeef7

Ching, Wai Ki (1997) Circulant preconditioners for failure prone manufacturing systems. Linear Algebra and Its Applications, 266, 161-180. (doi:10.1016/S0024-3795(97)00001-3).

Record type: Article

Abstract

This paper studies the application of preconditioned conjugate-gradient methods in solving for the steady-state probability distribution of manufacturing systems. We consider the optimal hedging policy for a failure prone one-machine system. The machine produces one type of product, and its demand has finite batch arrival. The machine states and the inventory levels are modeled as Markovian processes. We construct the generator matrix for the machine-inventory system. The preconditioner is constructed by taking the circulant approximation of the near-Toeplitz structure of the generator matrix. We prove that the preconditioned linear system has singular values clustered around one when the number of inventory levels tends to infinity. Hence conjugate-gradient methods will converge very fast when applied to solving the preconditioned linear system. Numerical examples are given to verify our claim. The average running cost for the system can be written in terms of the steady state probability distribution. The optimal hedging point can then be obtained by varying different values of the hedging point.

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Published date: 1997
Organisations: Operational Research

Identifiers

Local EPrints ID: 29739
URI: http://eprints.soton.ac.uk/id/eprint/29739
ISSN: 0024-3795
PURE UUID: d6e10370-7ee8-4d5d-85ef-aa40d021b823

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Date deposited: 01 May 2007
Last modified: 15 Mar 2024 07:34

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Author: Wai Ki Ching

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