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Stochastic Systems

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The mathematics of systems that evolve under randomness, modeled as families of random variables indexed by time — from Markov chains and martingales to Brownian motion and stochastic differential equations. The field spans stochastic analysis, filtering and optimal control under uncertainty, ergodic behavior of random dynamics, and concentration of measure, with models reaching across physics, engineering, finance, and biology.

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Markov ChainProbability·Captain: naimengye

Introduction to Stochastic Networks II: Kolmogorov's Criterion for ReversibilityTextbook

Motivation

A Markov process is reversible when, in equilibrium, transitions from xxx to yyy occur at the same average rate as transitions from yyy to xxx. Algebraically this is the detailed balance condition π(x)q(x,y)=π(y)q(y,x)\pi(x)q(x,y)=\pi(y)q(y,x)π(x)q(x,y)=π(y)q(y,x), and it is the single most useful structural property a network process can have: it replaces a global linear system by one equation per pair of states, and it hands you the equilibrium measure as a product of rate ratios rather than as the solution of anything.

The catch is that detailed balance mentions π\piπ, which is exactly what one is trying to find. Chapter 2 of Richard Serfozo's Introduction to Stochastic Networks (Springer, 1999) removes the circularity. Kolmogorov's criterion characterizes reversibility by a condition on the rates alone: around every closed path, the product of the forward rates equals the product of the backward rates. And the proof is constructive — once the criterion holds, the invariant measure is

π(x)=∏i=1nq(xi−1,xi)q(xi,xi−1)\pi(x)=\prod_{i=1}^{n}\frac{q(x_{i-1},x_i)}{q(x_i,x_{i-1})}π(x)=i=1∏n​q(xi​,xi−1​)q(xi−1​,xi​)​

along any path from a fixed origin x0x^0x0 to xxx, the criterion being precisely what makes the answer independent of the path chosen.

Setting

q(x,y)q(x,y)q(x,y) is a non-negative rate function on a state space E\mathbb EE, with the two-way communication property that q(x,y)q(x,y)q(x,y) and q(y,x)q(y,x)q(y,x) are positive together — a process failing this is visibly not reversible, since some transition would be possible but its reverse would not. A path x0,…,xnx_0,\dots,x_nx0​,…,xn​ is a sequence with q(xi−1,xi)>0q(x_{i-1},x_i)>0q(xi−1​,xi​)>0 throughout, and qqq is assumed irreducible: every state is reachable from every other along a path. Write ρ(x,y)=q(x,y)/q(y,x)\rho(x,y)=q(x,y)/q(y,x)ρ(x,y)=q(x,y)/q(y,x) for the rate ratio.

qqq is reversible when some positive π\piπ satisfies the detailed balance equations. Such a π\piπ is automatically an invariant measure, the total balance equations being the sum of the detailed ones.

Formalization targets

Goal — Theorem 2.8, Kolmogorov's criterion and the canonical measure

Three statements are equivalent:

  1. qqq is reversible;
  2. (Kolmogorov's criterion) for every closed sequence x0,…,xn=x0x_0,\dots,x_n=x_0x0​,…,xn​=x0​,
∏i=1nq(xi−1,xi)=∏i=1nq(xi,xi−1);\prod_{i=1}^{n}q(x_{i-1},x_i)=\prod_{i=1}^{n}q(x_i,x_{i-1});i=1∏n​q(xi−1​,xi​)=i=1∏n​q(xi​,xi−1​);
  1. for every path, ∏i=1nρ(xi−1,xi)\prod_{i=1}^n\rho(x_{i-1},x_i)∏i=1n​ρ(xi−1​,xi​) depends on the path only through its endpoints.

And when they hold, fixing any origin x0x^0x0 there is a positive π\piπ with π(x0)=1\pi(x^0)=1π(x0)=1 satisfying detailed balance and given at every state by the product of ratios along any path from x0x^0x0.

Supporting levels

The canonical form (2.2), that qqq is reversible with respect to π\piπ exactly when q(x,y)=γ(x,y)/π(x)q(x,y)=\gamma(x,y)/\pi(x)q(x,y)=γ(x,y)/π(x) for a symmetric non-negative γ\gammaγ; Example 2.1, the birth–death process with π(x)=∏n=1xλ(n−1)/μ(n)\pi(x)=\prod_{n=1}^{x}\lambda(n-1)/\mu(n)π(x)=∏n=1x​λ(n−1)/μ(n); Theorem 2.2, that a process whose communication graph is a tree is reversible; and Theorem 2.5, the time-reversal criterion, which identifies a stationary distribution from a candidate reversed rate function without mentioning reversibility at all.

Significance

The results themselves. Kolmogorov's criterion is the working test. It is how one checks that a birth–death process, a random walk on a tree, a reversible Jackson network or a Whittle network with reversible routing is reversible, and it is a finite check on cycles rather than a search for an unknown measure. The ratio form (iii) is what gets used in practice: it says the product of ratios along a path is a well-defined function of the endpoints, which is exactly what licenses defining π\piπ by that product.

Theorem 2.2 is the structural special case with no computation at all — a tree has no cycles, so the criterion is vacuous and reversibility is automatic. Theorem 2.5 points in a different direction: it identifies a stationary distribution from a guess at the time-reversed rates, and it is the tool Serfozo uses later to prove the Whittle equilibrium theorem a second way and to establish that departure processes from networks are Poisson.

Formalizing them. Mathlib has no reversibility theory for Markov processes: no detailed balance, no Kolmogorov criterion, no time reversal of a rate function. It has SimpleGraph.IsTree, which the tree item uses, and nothing else that bears on this chapter. The whole apparatus is contributed here.

Difficulty

The goal is a genuine equivalence with a constructive core, and the three implications are of quite different character.

(i) ⇒\Rightarrow⇒ (ii) is the easy one: multiply the detailed balance equations around the closed path and cancel the π\piπ's, which is legitimate because the π\piπ values are positive. Note the criterion is asserted for arbitrary closed sequences, not only for paths; the two-way property is what makes both sides vanish together when some rate is zero.

(ii) ⇔\Leftrightarrow⇔ (iii) is a cycle-splicing argument: two paths with the same endpoints concatenate, one reversed, into a closed path, and the criterion says its forward and backward products agree, which is the equality of ratio products.

(ii) ⇒\Rightarrow⇒ (i) is where the construction lives. Fix an origin x0x^0x0; irreducibility gives a path to every state; define π\piπ by the ratio product; (iii) makes it well defined; and then detailed balance at an edge follows by extending a path by that edge. Serfozo's Remark 2.9 gives the same construction as a recursion over the sets En\mathbb E_nEn​ of states reachable in nnn steps, which may be the easier route to organize.

The birth–death item is a telescoping recursion, π(x+1)μ(x+1)=π(x)λ(x)\pi(x+1)\mu(x+1)=\pi(x)\lambda(x)π(x+1)μ(x+1)=π(x)λ(x), and the observation that the two families of detailed balance equations — for y=x+1y=x+1y=x+1 and for y=x−1y=x-1y=x−1 — are the same family. Theorem 2.2 is a cut argument: removing an edge of a tree splits the state space into two pieces joined by that edge alone, so the flow balance across the cut is the detailed balance equation for that edge. Theorem 2.5 is two lines of rearrangement once the sums are known to converge.

Formalization scope

The state space is an arbitrary type and qqq is an arbitrary non-negative real rate function; nothing here needs a process, a measure space or even countability, because reversibility as Serfozo defines it "applies to any nonnegative rates or probabilities as an algebraic property, not necessarily associated with a stochastic process". The same statements therefore cover discrete-time chains with qqq read as transition probabilities, which is what the book points out.

Paths are functions {0,…,n}→E\{0,\dots,n\}\to\mathbb E{0,…,n}→E with positive consecutive rates. A path of length zero is a single state and its ratio product is the empty product 111, which is consistent with π(x0)=1\pi(x^0)=1π(x0)=1.

Kolmogorov's criterion is stated for arbitrary closed sequences, exactly as the book states it, not only for closed paths. Under two-way communication the two readings agree — if one rate in the sequence vanishes then so does its reverse and both products are zero — but the book's form is the one that is directly checkable.

The canonical measure is not defined by a choice function. Instead the conclusion asserts the existence of a positive π\piπ with π(x0)=1\pi(x^0)=1π(x0)=1 satisfying detailed balance and agreeing with the ratio product along every path from the origin. That is the content of (2.9) without needing to pick a path for each state.

Theorem 2.2 is stated for a finite state space. Serfozo assumes the process is ergodic, and the cut-flow argument then sums the balance equations over one side of the cut; on an infinite state space that summation needs an integrability condition that the book leaves implicit in "ergodic". Finiteness makes the rearrangement unconditional and the statement clearly true; the general case is listed under contributions.

Theorem 2.5 is stated as the conclusion that π\piπ satisfies the balance equations, with explicit summability hypotheses for the three families of sums involved. That π\piπ is the stationary distribution additionally requires it to be normalized and the process to be ergodic, neither of which is part of the algebraic content.

Contributions welcome beyond the listed items: Theorem 2.4, the characterization of reversibility by invariance of the finite-dimensional distributions under time reversal; Remark 2.9's recursive construction of the canonical measure; Theorem 2.22 on reversible network processes with batch movements; Theorem 2.31 and the partition-reversible processes of Sections 2.8 and 2.9; and the reversibility criteria for Jackson and Whittle networks in Examples 2.24 and 2.25.

Selected references

  • Richard Serfozo, Introduction to Stochastic Networks, Applications of Mathematics 44, Springer, 1999, chapter 2, pp. 44–51; (2.1), (2.2), Example 2.1, Theorems 2.2, 2.5 and 2.8, Remark 2.9. DOI 10.1007/978-1-4612-1482-3
  • A. N. Kolmogoroff, Zur Theorie der Markoffschen Ketten, Mathematische Annalen 112 (1936), 155–160. DOI 10.1007/BF01565412
  • F. P. Kelly, Reversibility and Stochastic Networks, Wiley, 1979; reissued Cambridge University Press, 2011, chapter 1. DOI 10.1017/CBO9781139226424
  • P. Whittle, Systems in Stochastic Equilibrium, Wiley, 1986, chapters 1 and 10.
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AnalysisProbability·Captain: naimengye

Probability Theory and Examples V: Blumenthal's 0-1 Law and the Local Behaviour of Brownian PathsTextbook

Motivation

A Brownian path is continuous, and that is essentially all it is. It has no derivative anywhere, it crosses zero infinitely often in every interval (0,ϵ)(0,\epsilon)(0,ϵ), and it becomes positive and negative immediately after time zero. None of this is visible from the finite-dimensional distributions; it is a statement about the germ of the path at a point, and the tool that unlocks it is a zero-one law.

Chapter 7 of Rick Durrett's Probability: Theory and Examples (Version 5, 2019) develops that tool. The natural filtration Fs0=σ(Br:r≤s)\mathcal F^{0}_{s}=\sigma(B_r:r\le s)Fs0​=σ(Br​:r≤s) is enlarged to Fs+=⋂t>sFt0\mathcal F^{+}_{s}=\bigcap_{t>s}\mathcal F^{0}_{t}Fs+​=⋂t>s​Ft0​, which allows "an infinitesimal peek at the future" — a quantity like lim sup⁡t↓s(Bt−Bs)/f(t−s)\limsup_{t\downarrow s}(B_t-B_s)/f(t-s)limsupt↓s​(Bt​−Bs​)/f(t−s) is Fs+\mathcal F^{+}_{s}Fs+​-measurable but not Fs0\mathcal F^{0}_{s}Fs0​-measurable. Blumenthal's 0-1 law (Theorem 7.2.3) says that at s=0s=0s=0 this enlargement buys nothing probabilistically: the germ σ\sigmaσ-field F0+\mathcal F^{+}_{0}F0+​ is trivial.

Everything local follows. If the path had any chance of staying non-positive on some interval (0,ϵ)(0,\epsilon)(0,ϵ), that would be a germ event of probability at least 1/21/21/2 by symmetry, so it has probability one — and the path enters (0,∞)(0,\infty)(0,∞) immediately. Continuity then forces it to return to zero immediately as well. Combined with the time inversion Xt=tB(1/t)X_t=tB(1/t)Xt​=tB(1/t), which turns the germ at 000 into the tail at ∞\infty∞, the same law gives lim sup⁡t→∞Bt/t=∞\limsup_{t\to\infty}B_t/\sqrt t=\inftylimsupt→∞​Bt​/t​=∞ and the recurrence of one-dimensional Brownian motion.

Setting

Let (Ω,F,P)(\Omega,\mathcal F,\mathbb P)(Ω,F,P) be a probability space and B:R≥0→Ω→RB:\mathbb R_{\ge0}\to\Omega\to\mathbb RB:R≥0​→Ω→R a Brownian motion: its finite-dimensional laws are centred Gaussian with covariance cov⁡(Bs,Bt)=s∧t\operatorname{cov}(B_s,B_t)=s\wedge tcov(Bs​,Bt​)=s∧t, and almost every path is continuous. In particular B0=0B_0=0B0​=0 almost surely, so this is Durrett's P0\mathbb P_0P0​.

Three σ\sigmaσ-fields organize the chapter:

Ft0=σ(Bs:s≤t),F0+=⋂t>0Ft0,T=⋂t≥0σ(Bs:s≥t).\mathcal F^{0}_{t}=\sigma(B_s:s\le t),\qquad \mathcal F^{+}_{0}=\bigcap_{t>0}\mathcal F^{0}_{t},\qquad \mathcal T=\bigcap_{t\ge0}\sigma(B_s:s\ge t).Ft0​=σ(Bs​:s≤t),F0+​=t>0⋂​Ft0​,T=t≥0⋂​σ(Bs​:s≥t).

The first is the past, the second the germ at time zero, the third the tail at infinity.

A path fff is Lipschitz at the point sss with constant CCC when ∣f(t)−f(s)∣≤C∣t−s∣|f(t)-f(s)|\le C|t-s|∣f(t)−f(s)∣≤C∣t−s∣ for all ttt within some positive distance of sss. A path differentiable at sss is Lipschitz at sss, so failing this at every point and for every constant is a strong form of nowhere differentiability.

Formalization targets

Goal — Theorem 7.2.3, Blumenthal's 0-1 law

A∈F0+⟹P(A)∈{0,1}.A\in\mathcal F^{+}_{0}\quad\Longrightarrow\quad \mathbb P(A)\in\{0,1\}.A∈F0+​⟹P(A)∈{0,1}.

In words: the germ σ\sigmaσ-field is trivial. Nothing about the path in an arbitrarily short initial interval is genuinely random.

Supporting levels

Theorem 7.1.5, that Brownian paths are Hölder continuous of every exponent γ<1/2\gamma<1/2γ<1/2 on every bounded interval; Theorem 7.1.6, that with probability one they are not Lipschitz at any point, hence nowhere differentiable — the Paley–Wiener–Zygmund theorem in the proof of Dvoretsky, Erdős and Kakutani; Theorem 7.2.4, that the path enters (0,∞)(0,\infty)(0,∞) immediately; Theorem 7.2.5, that its zero set accumulates at 000; and Theorem 7.2.8, that lim sup⁡t→∞Bt/t=+∞\limsup_{t\to\infty}B_t/\sqrt t=+\inftylimsupt→∞​Bt​/t​=+∞ and lim inf⁡t→∞Bt/t=−∞\liminf_{t\to\infty}B_t/\sqrt t=-\inftyliminft→∞​Bt​/t​=−∞.

Significance

The results themselves. Blumenthal's law is the gateway to every local path property of Brownian motion, and Durrett uses it immediately for exactly that. Theorems 7.2.4 and 7.2.5 together say the path oscillates across zero infinitely often in every initial interval — the reason the zero set is an uncountable closed set of Lebesgue measure zero, and the reason the "first return to zero" is not a useful notion at time 000. Theorem 7.2.8 is the same law pushed to t→∞t\to\inftyt→∞ by time inversion, and it is what makes one-dimensional Brownian motion recurrent (Theorem 7.2.9).

The Hölder pair is the sharp description of path regularity. Exponent γ<1/2\gamma<1/2γ<1/2 always works, γ>1/2\gamma>1/2γ>1/2 never does, and the borderline 1/21/21/2 is subtle: P(t∈H1/2)=0\mathbb P(t\in H_{1/2})=0P(t∈H1/2​)=0 for each fixed ttt, but Davis (1983) showed P(H1/2≠∅)=1\mathbb P(H_{1/2}\ne\emptyset)=1P(H1/2​=∅)=1. Nowhere differentiability is the historical headline — Paley, Wiener and Zygmund (1933) — and the proof given here is a short covering argument rather than a series construction.

Formalizing them. Mathlib has the object but almost none of the theory. It defines IsPreBrownianReal and IsBrownianReal, proves that a centred Gaussian process with covariance s∧ts\wedge ts∧t is pre-Brownian, and supplies the invariances — negation, scaling t↦c−1/2B(ct)t\mapsto c^{-1/2}B(ct)t↦c−1/2B(ct), the shift t↦B(t0+t)−B(t0)t\mapsto B(t_0+t)-B(t_0)t↦B(t0​+t)−B(t0​), and the time inversion t↦tB(1/t)t\mapsto tB(1/t)t↦tB(1/t) — together with the weak Markov property IsPreBrownianReal.indepFun_shift. It does not have the germ or tail σ\sigmaσ-fields, Blumenthal's law, the strong Markov property, any path-regularity result, or the Kolmogorov–Chentsov continuity theorem: Probability/Process/Kolmogorov.lean defines IsKolmogorovProcess, the hypothesis, and stops there. So this mission supplies the σ\sigmaσ-fields and then everything Durrett proves with them.

Difficulty

The goal reduces to Durrett's Theorem 7.2.2, that E(Z∣Fs+)=E(Z∣Fs0)\mathbb E(Z\mid\mathcal F^{+}_{s})=\mathbb E(Z\mid\mathcal F^{0}_{s})E(Z∣Fs+​)=E(Z∣Fs0​) for bounded path-measurable ZZZ; at s=0s=0s=0, F00=σ(B0)\mathcal F^{0}_{0}=\sigma(B_0)F00​=σ(B0​) is trivial because B0=0B_0=0B0​=0 almost surely, so 1A=E(1A∣F0+)=P(A)\mathbf 1_A=\mathbb E(\mathbf 1_A\mid\mathcal F^{+}_{0})=\mathbb P(A)1A​=E(1A​∣F0+​)=P(A) almost surely, and an indicator almost surely equal to a constant forces that constant to be 000 or 111. Theorem 7.2.2 itself is a monotone class argument on top of the Markov property, and the Markov property in this setting is Mathlib's indepFun_shift plus the observation that the conditional expectation of a product ∏mfm(Btm)\prod_m f_m(B_{t_m})∏m​fm​(Btm​​) over Fs+\mathcal F^{+}_{s}Fs+​ lands in Fs0\mathcal F^{0}_{s}Fs0​. Assembling that is the work.

Theorem 7.2.4 is then three lines — P0(τ≤t)≥P0(Bt>0)=1/2\mathbb P_0(\tau\le t)\ge\mathbb P_0(B_t>0)=1/2P0​(τ≤t)≥P0​(Bt​>0)=1/2 by symmetry of the Gaussian, let t↓0t\downarrow0t↓0, apply the goal — provided the event has been shown to lie in the germ field, which is where continuity of paths enters. Theorem 7.2.5 follows from 7.2.4 applied to BBB and −B-B−B together with the intermediate value theorem.

Theorem 7.1.5 needs the Kolmogorov–Chentsov continuity theorem, which has to be built: from E∣Bt−Bs∣2m=Cm∣t−s∣m\mathbb E|B_t-B_s|^{2m}=C_m|t-s|^mE∣Bt​−Bs​∣2m=Cm​∣t−s∣m one gets Hölder-γ\gammaγ control for γ<(m−1)/2m\gamma<(m-1)/2mγ<(m−1)/2m, and m→∞m\to\inftym→∞ gives every γ<1/2\gamma<1/2γ<1/2. The dyadic chaining and Borel–Cantelli step is the substance, and it is worth building as a general theorem about IsKolmogorovProcess rather than only for Brownian motion.

Theorem 7.1.6 is self-contained and short: fix CCC, let AnA_nAn​ be the event that some s∈[0,1]s\in[0,1]s∈[0,1] has ∣Bt−Bs∣≤C∣t−s∣|B_t-B_s|\le C|t-s|∣Bt​−Bs​∣≤C∣t−s∣ whenever ∣t−s∣≤3/n|t-s|\le3/n∣t−s∣≤3/n, and bound P(An)≤n P(∣B1∣≤5Cn−1/2)3≤n{10Cn−1/2(2π)−1/2}3→0\mathbb P(A_n)\le n\,\mathbb P(|B_1|\le5Cn^{-1/2})^3\le n\{10Cn^{-1/2}(2\pi)^{-1/2}\}^3\to0P(An​)≤nP(∣B1​∣≤5Cn−1/2)3≤n{10Cn−1/2(2π)−1/2}3→0; since AnA_nAn​ increases, every P(An)=0\mathbb P(A_n)=0P(An​)=0.

Theorem 7.2.8 needs the tail 0-1 law, Theorem 7.2.7, which is the goal transported through the time inversion Xt=tB(1/t)X_t=tB(1/t)Xt​=tB(1/t) — Mathlib's IsPreBrownianReal.inv — because the tail field of BBB is the germ field of XXX. With that, P0(Bn/n≥K i.o.)≥P0(B1≥K)>0\mathbb P_0(B_n/\sqrt n\ge K\ \text{i.o.})\ge\mathbb P_0(B_1\ge K)>0P0​(Bn​/n​≥K i.o.)≥P0​(B1​≥K)>0 by scaling, so the probability is one, and KKK is arbitrary.

Formalization scope

The process is Mathlib's IsBrownianReal, indexed by ℝ≥0, on an abstract probability space — not the canonical path space C[0,∞)C[0,\infty)C[0,∞) that Durrett uses. This is why the shift operators θs\theta_sθs​ and the family {Px}\{\mathbb P_x\}{Px​} do not appear: there is one measure, the process starts at 000 almost surely, and each statement is about that process. Theorem 7.2.7 as Durrett states it quantifies over all starting points and has no direct analogue here; the tail 0-1 law for the process started at 000 does, and is listed under contributions as the route to Theorem 7.2.8.

The three σ\sigmaσ-fields are built as suprema and infima in the lattice of σ\sigmaσ-algebras on Ω\OmegaΩ: pastSigma B t is the supremum of the pullbacks of the Borel field along BsB_sBs​ for s≤ts\le ts≤t, and germSigma B, tailSigma B are the corresponding infima. The goal carries the hypothesis that each BtB_tBt​ is measurable, not merely almost-everywhere measurable, which is what IsPreBrownianReal gives and what puts these σ\sigmaσ-fields below the ambient one; the canonical construction satisfies it, and without it "P(A)\mathbb P(A)P(A)" for a germ event would be an outer measure.

Hölder continuity is stated locally — for almost every path, every TTT admits a constant — since global Hölder continuity on [0,∞)[0,\infty)[0,∞) is false. The order of quantifiers puts the null set first, so a single path works for every TTT at once.

The hitting statements avoid an infimum over a possibly empty set. "τ=0\tau=0τ=0 almost surely" is written as: almost surely, for every ϵ>0\epsilon>0ϵ>0 there is t∈(0,ϵ)t\in(0,\epsilon)t∈(0,ϵ) with Bt>0B_t>0Bt​>0; and "T0=0T_0=0T0​=0 almost surely" as the same with Bt=0B_t=0Bt​=0. These are equivalent to Durrett's statements and say what the infimum is there to say. Similarly Theorem 7.2.8 is written with ∃ᶠ … in atTop rather than as an extended-real lim sup⁡\limsuplimsup, which is what "lim sup⁡=+∞\limsup=+\inftylimsup=+∞" means and avoids a coercion.

LipschitzAtPoint f s C is "there is a scale δ>0\delta>0δ>0 on which ∣f(t)−f(s)∣≤C∣t−s∣|f(t)-f(s)|\le C|t-s|∣f(t)−f(s)∣≤C∣t−s∣". Its negation for every sss and every CCC is Theorem 7.1.6, and it has content in both directions: the identity path is Lipschitz at every point with C=1C=1C=1, while t↦tt\mapsto\sqrt tt↦t​ is not Lipschitz at 000 with C=1C=1C=1 — both checked in Lean before publishing.

Existence is not part of this mission. Mathlib proves nothing of the form "a Brownian motion exists", and nothing here needs it: every item takes a Brownian motion as a hypothesis. That the hypothesis is satisfiable is a theorem — Durrett's 7.1.1, via Kolmogorov extension and the continuity theorem — and it is listed under contributions, where it belongs, since building it is a project of its own.

Contributions welcome beyond the listed items: Kolmogorov–Chentsov as a general statement about IsKolmogorovProcess; Theorem 7.1.1, the existence of Brownian motion; Theorem 7.2.2 in full, for every sss; the tail 0-1 law and Theorem 7.2.9, recurrence; the strong Markov property and the reflection principle of section 7.3; and Exercise 7.1.5, that no path is Hölder of any exponent γ>1/2\gamma>1/2γ>1/2.

Selected references

  • Rick Durrett, Probability: Theory and Examples, Version 5 (11 January 2019), chapter 7, sections 7.1 and 7.2 (pp. 353–365); Theorems 7.1.5, 7.1.6, 7.2.3, 7.2.4, 7.2.5, 7.2.8. Published as the 5th edition, Cambridge University Press, 2019, DOI 10.1017/9781108591034
  • R. M. Blumenthal, An extended Markov property, Transactions of the American Mathematical Society 85 (1957), 52–72. DOI 10.1090/S0002-9947-1957-0088102-2
  • R. E. A. C. Paley, N. Wiener and A. Zygmund, Notes on random functions, Mathematische Zeitschrift 37 (1933), 647–668. DOI 10.1007/BF01474606
  • A. Dvoretzky, P. Erdős and S. Kakutani, Nonincrease everywhere of the Brownian motion process, Proceedings of the Fourth Berkeley Symposium II (1961), 103–116.
  • N. Wiener, Differential space, Journal of Mathematics and Physics 2 (1923), 131–174. DOI 10.1002/sapm192321131
  • I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, 2nd ed., Springer, 1991, chapter 2. DOI 10.1007/978-1-4612-0949-2
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Markov ChainProbability·Captain: naimengye

Probability Theory and Examples III: The Markov Chain Convergence TheoremTextbook

Motivation

A Markov chain forgets. Run it long enough and the distribution of its position stops depending on where it started — that is the intuition behind shuffling a deck, behind Markov chain Monte Carlo, behind PageRank, and behind the stationary analyses of every queueing model. Chapter 5 of Rick Durrett's Probability: Theory and Examples (Version 5, 2019) makes it a theorem, and identifies exactly what can go wrong.

Two things can. The chain may fail to reach parts of the state space, and the answer is irreducibility. Or it may reach them only on a lattice of times — a chain alternating between two halves of its state space never forgets whether the clock is even or odd — and the answer is aperiodicity. Theorem 5.6.6 says that is the complete list: an irreducible, aperiodic chain with a stationary distribution has pn(x,y)→π(y)p^n(x,y)\to\pi(y)pn(x,y)→π(y), for every pair of states, whatever the starting point.

Setting

Let SSS be a countable state space and p(x,y)p(x,y)p(x,y) a transition probability: non-negative, with each row summing to one. The nnn-step transition probabilities are the matrix powers, p0(x,y)=δxyp^0(x,y)=\delta_{xy}p0(x,y)=δxy​ and pn+1(x,y)=∑zp(x,z)pn(z,y)p^{n+1}(x,y)=\sum_z p(x,z)p^n(z,y)pn+1(x,y)=∑z​p(x,z)pn(z,y).

Hitting is described by the first-passage probabilities fn(x,y)=Px(Ty=n)f^n(x,y)=\mathbb{P}_x(T_y=n)fn(x,y)=Px​(Ty​=n), given by f1(x,y)=p(x,y)f^1(x,y)=p(x,y)f1(x,y)=p(x,y) and fn+1(x,y)=∑z≠yp(x,z)fn(z,y)f^{n+1}(x,y)=\sum_{z\ne y}p(x,z)f^n(z,y)fn+1(x,y)=∑z=y​p(x,z)fn(z,y) — the chain moves once and then reaches yyy for the first time, having avoided it meanwhile. Summing them gives

ρxy=Px(Ty<∞)=∑n≥1fn(x,y),EyTy=∑n≥1n fn(y,y).\rho_{xy}=\mathbb{P}_x(T_y<\infty)=\sum_{n\ge1}f^n(x,y),\qquad \mathbb{E}_yT_y=\sum_{n\ge1}n\,f^n(y,y).ρxy​=Px​(Ty​<∞)=n≥1∑​fn(x,y),Ey​Ty​=n≥1∑​nfn(y,y).

A state is recurrent when ρyy=1\rho_{yy}=1ρyy​=1, the chain is irreducible when ρxy>0\rho_{xy}>0ρxy​>0 for all x,yx,yx,y, and a state xxx is aperiodic when the greatest common divisor of Ix={n≥1:pn(x,x)>0}I_x=\{n\ge1:p^n(x,x)>0\}Ix​={n≥1:pn(x,x)>0} is 111. A stationary distribution is a probability vector π\piπ with ∑xπ(x)p(x,y)=π(y)\sum_x\pi(x)p(x,y)=\pi(y)∑x​π(x)p(x,y)=π(y).

Formalization targets

Goal — Theorem 5.6.6, the convergence theorem

p irreducible, aperiodic, with stationary distribution π⟹pn(x,y)⟶π(y)  for all x,y.p \text{ irreducible},\ \text{aperiodic},\ \text{with stationary distribution } \pi \quad\Longrightarrow\quad p^n(x,y)\longrightarrow\pi(y)\ \text{ for all } x,y .p irreducible, aperiodic, with stationary distribution π⟹pn(x,y)⟶π(y)  for all x,y.

The goal asserts pointwise convergence of the transition probabilities, not convergence in total variation and not a rate; those are strengthenings, and stating the weakest useful form is what keeps the theorem stable.

Supporting levels

Theorem 5.3.1, that a state is recurrent exactly when ∑npn(y,y)\sum_n p^n(y,y)∑n​pn(y,y) diverges — the bridge between the hitting picture and the matrix picture; Theorem 5.3.2, that recurrence is contagious; Theorem 5.5.10, that every state in the support of a stationary distribution is recurrent; and Theorem 5.5.11, that for an irreducible chain with a stationary distribution π(x)=1/ExTx\pi(x)=1/\mathbb{E}_xT_xπ(x)=1/Ex​Tx​.

Significance

The result itself. Theorem 5.6.6 is what licenses reading a stationary distribution as a long-run frequency. Without it, π\piπ is merely a fixed point of a linear map; with it, π(y)\pi(y)π(y) is the limiting probability of being at yyy, from any start. Theorem 5.5.11 then gives the quantity a second, purely local meaning — π(x)\pi(x)π(x) is the reciprocal of the mean return time to xxx — which is the identity behind every renewal-reward computation in applied probability and behind the "expected time between visits" estimates that Monte Carlo methods rely on. The two necessary hypotheses are sharp: a periodic chain has pn(x,y)p^n(x,y)pn(x,y) oscillating rather than converging, and Durrett's Theorem 5.7.2 gives the corrected statement in that case.

Formalizing it. Mathlib has no countable-state Markov chain theory. It has ProbabilityTheory.Kernel and an Irreducible notion for kernels, but nothing about recurrence, transience, first-passage decompositions, stationary measures or the convergence theorem, and nothing that specializes to a transition matrix on a countable set. The mission therefore contributes the whole apparatus of sections 5.3, 5.5 and 5.6 — the nnn-step and first-passage probabilities, ρxy\rho_{xy}ρxy​, the mean return time, recurrence, irreducibility, aperiodicity and stationarity — together with the results that make it usable.

Difficulty

The usual proof of the goal is a coupling argument, and it is short but not obvious: run two independent copies of the chain, one from xxx and one from π\piπ, on the product space S×SS\times SS×S with transition probability pˉ((x1,x2),(y1,y2))=p(x1,y1)p(x2,y2)\bar p((x_1,x_2),(y_1,y_2))=p(x_1,y_1)p(x_2,y_2)pˉ​((x1​,x2​),(y1​,y2​))=p(x1​,y1​)p(x2​,y2​); aperiodicity plus irreducibility make the product chain irreducible, π×π\pi\times\piπ×π is stationary for it, so it is recurrent and the two copies meet almost surely; after they meet they can be exchanged. Each step of that is a separate obligation, and the one that consumes aperiodicity is the irreducibility of the product chain — for a periodic chain it fails, which is exactly why the theorem does.

The number-theoretic ingredient is worth flagging: irreducibility of the product needs that Ix={n:pn(x,x)>0}I_x=\{n:p^n(x,x)>0\}Ix​={n:pn(x,x)>0}, being closed under addition with gcd⁡1\gcd 1gcd1, contains every sufficiently large integer. That is the numerical semigroup fact, and it is where aperiodicity is actually used.

Formalization scope

The state space is any countable type with decidable equality, and the transition probability is a plain function S×S→RS\times S\to\mathbb{R}S×S→R constrained by IsTransition: non-negative entries, summable rows, rows summing to one. Sums over the state space are unconditional sums, so no finiteness is assumed anywhere.

The chain's law is not constructed. Every quantity here — pnp^npn, fnf^nfn, ρxy\rho_{xy}ρxy​, EyTy\mathbb{E}_yT_yEy​Ty​ — is defined by an explicit recursion on the transition matrix, not as an expectation against a measure on path space. This is a deliberate choice: building the path measure is a substantial project of its own, and none of the statements in these sections need it. The recursions are the standard ones and they are the definitions the book's own computations use. The cost is that probabilistic statements about paths, such as Theorem 5.6.1 on the almost-sure limit of the visit counts Nn(y)/nN_n(y)/nNn​(y)/n, cannot be phrased in this language and are not part of the mission.

Conventions: p0p^0p0 is the identity matrix; fnf^nfn vanishes at n=0n=0n=0; ρxy\rho_{xy}ρxy​ and EyTy\mathbb{E}_yT_yEy​Ty​ are unconditional sums over n≥1n\ge1n≥1, so an infinite mean return time appears as a non-summable series rather than as an extended real. Theorem 5.5.11 is therefore stated as summability together with π(x)⋅ExTx=1\pi(x)\cdot\mathbb{E}_xT_x=1π(x)⋅Ex​Tx​=1, which asserts finiteness of the mean return time rather than silently relying on a division convention.

Aperiodicity is "the only natural number dividing every element of IxI_xIx​ is 111", which is gcd⁡Ix=1\gcd I_x=1gcdIx​=1 written without needing a gcd of a set; it is false when IxI_xIx​ is empty, which is correct, since the period of such a state is undefined.

The goal is not vacuous: the hypotheses are satisfiable by any strictly positive transition matrix on a finite set.

Contributions welcome beyond the listed items: Theorem 5.3.3 on finite closed sets; the decomposition theorem 5.3.5; existence of a stationary measure from a recurrent state (5.5.7) and its uniqueness (5.5.9); the equivalence of positive recurrence and the existence of a stationary distribution (5.5.12); Theorem 5.7.2 for the periodic case; and the path-level results of section 5.6, which need the chain's law on path space.

Selected references

  • Rick Durrett, Probability: Theory and Examples, Version 5 (11 January 2019), chapter 5, sections 5.3, 5.5 and 5.6 (pp. 281–320); Theorems 5.3.1, 5.3.2, 5.5.10, 5.5.11, 5.6.6. Published as the 5th edition, Cambridge University Press, 2019, DOI 10.1017/9781108591034
  • J. R. Norris, Markov Chains, Cambridge University Press, 1998, chapter 1. DOI 10.1017/CBO9780511810633
  • D. A. Levin and Y. Peres, Markov Chains and Mixing Times, 2nd ed., American Mathematical Society, 2017. DOI 10.1090/mbk/107
  • W. Doeblin, Exposé de la théorie des chaînes simples constantes de Markoff à un nombre fini d'états, Revue Mathématique de l'Union Interbalkanique 2 (1938), 77–105.
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Stochastic Networks VIII: Flow Level Models and the Stability of alpha-Fair AllocationsTextbook

Motivation

Chapter 7 of Frank Kelly and Elena Yudovina's Stochastic Networks (Cambridge University Press, 2014) studies a network with a fixed set of users, and shows that a decentralized rate control converges to a fair allocation. Chapter 8 asks the question one time scale up. Files finish and their flows leave; new files arrive and new flows appear. The number of flows on each route is therefore itself a random process, and the rate allocation — assumed to settle instantly, since rate control runs much faster than files arrive and depart — depends on it.

The question is whether this system is stable: does the number of flows in progress stay bounded, or does it grow without limit? The answer is the best one could hope for. A weighted α\alphaα-fair allocation, the family that contains proportional fairness, TCP fairness, max-min fairness and throughput maximization as special cases, is stable exactly when the offered load at each resource is below that resource's capacity. No more is required — no condition coupling different resources, no dependence on α\alphaα, no dependence on the topology beyond the loads themselves.

Setting

A network has JJJ resources and RRR routes with incidence matrix AAA. Let nrn_rnr​ be the number of flows active on route rrr and xrx_rxr​ the rate given to each of them, so route rrr consumes nrxrn_rx_rnr​xr​ at each resource it uses. Flows arrive on route rrr as a Poisson process of rate νr\nu_rνr​ and carry files that are exponentially distributed with parameter μr\mu_rμr​, so

nr→nr+1 at rate νr,nr→nr−1 at rate μrnrxr(n),n_r\to n_r+1 \text{ at rate } \nu_r, \qquad n_r\to n_r-1 \text{ at rate } \mu_rn_rx_r(n),nr​→nr​+1 at rate νr​,nr​→nr​−1 at rate μr​nr​xr​(n),

and ρr=νr/μr\rho_r=\nu_r/\mu_rρr​=νr​/μr​ is the load on route rrr.

Given weights wr>0w_r>0wr​>0 and α∈(0,∞)\alpha\in(0,\infty)α∈(0,∞), the weighted α\alphaα-fair allocation is the solution of

maximize ∑rwrnrxr1−α1−αsubject to ∑r:j∈rnrxr≤Cj, x≥0,(8.1)\text{maximize } \sum_r w_rn_r\frac{x_r^{1-\alpha}}{1-\alpha} \quad\text{subject to } \sum_{r:j\in r}n_rx_r\le C_j,\ x\ge0, \tag{8.1}maximize r∑​wr​nr​1−αxr1−α​​subject to r:j∈r∑​nr​xr​≤Cj​, x≥0,(8.1)

with ∑rwrnrlog⁡xr\sum_r w_rn_r\log x_r∑r​wr​nr​logxr​ in place of the objective when α=1\alpha=1α=1. Written in the aggregate rates Xr=nrxrX_r=n_rx_rXr​=nr​xr​ this becomes

maximize G(X)=∑rwrnrαXr1−α1−αsubject to ∑r:j∈rXr≤Cj, X≥0.(8.4)\text{maximize } G(X)=\sum_r w_rn_r^{\alpha}\frac{X_r^{1-\alpha}}{1-\alpha} \quad\text{subject to } \sum_{r:j\in r}X_r\le C_j,\ X\ge0. \tag{8.4}maximize G(X)=r∑​wr​nrα​1−αXr1−α​​subject to r:j∈r∑​Xr​≤Cj​, X≥0.(8.4)

The family interpolates between the fairness notions of Chapter 7: α→0\alpha\to0α→0 with w≡1w\equiv1w≡1 maximizes throughput, α=1\alpha=1α=1 is weighted proportional fairness, α=2\alpha=2α=2 with wr=1/Tr2w_r=1/T_r^2wr​=1/Tr2​ is TCP fairness, and α→∞\alpha\to\inftyα→∞ with w≡1w\equiv1w≡1 approaches max-min fairness.

Formalization targets

Goal — the drift inequality behind Theorem 8.2

Suppose the load respects every capacity, ∑r:j∈rρr<Cj\sum_{r:j\in r}\rho_r<C_j∑r:j∈r​ρr​<Cj​ for all jjj. Then there is an ϵ>0\epsilon>0ϵ>0, depending only on the loads and capacities, such that for every flow count nnn and the α\alphaα-fair aggregate rates X=X(n)X=X(n)X=X(n),

∑rwrρr−αnrα(ρr−Xr)  ≤  −ϵ∑rwrnrαρr1−α.\sum_r w_r\rho_r^{-\alpha}n_r^{\alpha}\bigl(\rho_r-X_r\bigr) \;\le\;-\epsilon\sum_r w_rn_r^{\alpha}\rho_r^{1-\alpha}.r∑​wr​ρr−α​nrα​(ρr​−Xr​)≤−ϵr∑​wr​nrα​ρr1−α​.

The left-hand side is the drift of the Lyapunov function L(n)=∑r(wr/μr)ρr−αnrα+1/(α+1)L(n)=\sum_r(w_r/\mu_r)\rho_r^{-\alpha}n_r^{\alpha+1}/(\alpha+1)L(n)=∑r​(wr​/μr​)ρr−α​nrα+1​/(α+1), by the identity (8.3); the right-hand side is the book's displayed bound. The single ϵ\epsilonϵ is uniform in nnn, which is what a Foster–Lyapunov argument needs, and it is the whole deterministic content of Theorem 8.2's sufficiency half.

Supporting levels

The derivative wrnrαXr−αw_rn_r^{\alpha}X_r^{-\alpha}wr​nrα​Xr−α​ of the objective, in the same form for every α∈(0,∞)\alpha\in(0,\infty)α∈(0,∞) including α=1\alpha=1α=1 (Exercise 8.3); strict concavity of the objective; the characterization of the optimum by xr=(wr/∑j∈rpj)1/αx_r=(w_r/\sum_{j\in r}p_j)^{1/\alpha}xr​=(wr​/∑j∈r​pj​)1/α with primal and dual feasibility and complementary slackness (Exercise 8.4); the tangent-plane inequality (8.5) that concavity gives at the optimum; the drift identity (8.3); and that α=1\alpha=1α=1 recovers weighted proportional fairness, connecting this chapter to Proposition 7.4 of mission VII.

Significance

The result itself. Theorem 8.2 says the stability region of an α\alphaα-fair network is the largest it could possibly be — the same region a single isolated resource would have — and that it does not shrink as α\alphaα varies. That is a strong statement about a large design space, and it is not automatic: section 8.4 of the book exhibits rate allocation schemes for which it fails, so the natural condition (8.2) is a property of α\alphaα-fairness and not of rate allocation in general. Since the family covers the fairness notions actually implemented in transport protocols, the theorem is what licenses treating "is the load below capacity?" as the only capacity-planning question at flow level.

Formalizing it. Nothing here is open; the theorem is due to Bonald and Massoulié (2001), with the fluid-limit machinery from Gromoll and Williams and from Massoulié. What the mission produces is a machine-checked α\alphaα-fair allocation — objective, derivative, concavity, KKT conditions — and the exact drift inequality, on top of the congestion-control layer published in mission VII of this series, whose networkFeasible and linkFlow it reuses. Mathlib has no network utility maximization and no fairness criteria.

Difficulty

The proof is short but the step that makes it work is easy to miss. The drift is ∑rwrnrαρr−α(ρr−Xr)\sum_r w_rn_r^{\alpha}\rho_r^{-\alpha}(\rho_r-X_r)∑r​wr​nrα​ρr−α​(ρr​−Xr​), and there is no reason for this to be negative term by term — some routes are over-served and some under-served. What makes the sum negative is that ρ\rhoρ is itself a feasible point of the same optimization problem (8.4) that XXX solves, and GGG is concave, so the tangent plane at ρ\rhoρ lies above GGG:

G′(U)⋅(U−X)≤G(U)−G(X)≤0for every feasible U.G'(U)\cdot(U-X)\le G(U)-G(X)\le0 \quad\text{for every feasible } U .G′(U)⋅(U−X)≤G(U)−G(X)≤0for every feasible U.

Since G′(U)r=wrnrαUr−αG'(U)_r=w_rn_r^{\alpha}U_r^{-\alpha}G′(U)r​=wr​nrα​Ur−α​, taking U=ρU=\rhoU=ρ gives the drift ≤0\le0≤0 immediately. Strict negativity comes from taking U=(1+ϵ)ρU=(1+\epsilon)\rhoU=(1+ϵ)ρ instead, which is still feasible because (8.2) is a strict inequality, and then dividing through by (1+ϵ)α(1+\epsilon)^{\alpha}(1+ϵ)α. The whole argument is one application of concavity at a cleverly chosen point, and the choice of that point is the content.

The scaling that makes it uniform in nnn is the other thing to notice: ϵ\epsilonϵ depends only on how much slack (8.2) leaves, not on nnn, because nnn enters G′G'G′ only through the common factor nrαn_r^{\alpha}nrα​ that appears on both sides.

Formalization scope

Resources and routes are indexed by finite types, the incidence matrix is real-valued with entries 000 or 111, and the feasible set is mission VII's networkFeasible, so Chapters 7 and 8 agree on what a feasible flow vector is. The objective is stated in the aggregate variables Xr=nrxrX_r=n_rx_rXr​=nr​xr​ of problem (8.4) rather than the per-flow rates of (8.1): they are equivalent, but (8.4) is the form the drift argument uses and the form in which the feasible set does not depend on nnn.

The objective is defined with an explicit case split at α=1\alpha=1α=1, exactly as the book defines it, and the derivative milestone asserts that the resulting derivative has the same form wrnrαXr−αw_rn_r^{\alpha}X_r^{-\alpha}wr​nrα​Xr−α​ in both cases — which is the point of Exercise 8.3. Powers are real exponents, so positivity of the flow counts, weights, loads and rates is hypothesised wherever a power appears.

What is formalized and what is quoted. Theorem 8.2 is a statement about positive recurrence of a Markov process, proved by a Foster–Lyapunov criterion whose remaining hypotheses the book leaves to Exercises 8.6 and D.2. There is no theory of continuous-time Markov chains on a countable state space in Mathlib to state positive recurrence against, so this mission formalizes the deterministic drift inequality that carries the argument and quotes the probabilistic wrapper. The inequality is exactly the one the book displays, including the ϵ\epsilonϵ, and the necessity half — that the process is unstable when (8.2) fails — is a coupling argument and is quoted too.

The goal is not vacuous: the hypotheses are satisfiable, and for a single resource of capacity CCC the α\alphaα-fair optimum is Xr=Cwr1/αnr/∑sws1/αnsX_r=Cw_r^{1/\alpha}n_r/\sum_sw_s^{1/\alpha}n_sXr​=Cwr1/α​nr​/∑s​ws1/α​ns​, for which the inequality holds with ϵ=C/∑rρr−1\epsilon=C/\sum_r\rho_r-1ϵ=C/∑r​ρr​−1 and strictly positive slack.

Contributions welcome beyond the listed items: the single-resource equilibrium distribution of Exercise 8.1 and the geometric law of the total number of flows; the bounded-drift estimate of Exercise 8.6; the necessity half of Theorem 8.2; the limiting cases α→0\alpha\to0α→0 and α→∞\alpha\to\inftyα→∞; and the instability examples of section 8.4.

Selected references

  • Frank Kelly and Elena Yudovina, Stochastic Networks, Cambridge University Press, 2014, Chapter 8 (pp. 186–199); problem (8.1), Theorem 8.2, equations (8.2)–(8.5). DOI 10.1017/cbo9781139565363
  • T. Bonald and L. Massoulié, Impact of fairness on Internet performance, ACM SIGMETRICS Performance Evaluation Review 29 (2001), 82–91. DOI 10.1145/384268.378433
  • J. Mo and J. Walrand, Fair end-to-end window-based congestion control, IEEE/ACM Transactions on Networking 8 (2000), 556–567. DOI 10.1109/90.879343
  • L. Massoulié, Structural properties of proportional fairness: stability and insensitivity, Annals of Applied Probability 17 (2007), 809–839. DOI 10.1214/105051607000000014
  • H. C. Gromoll and R. J. Williams, Fluid limits for networks with bandwidth sharing and general document size distributions, Annals of Applied Probability 19 (2009), 243–280. DOI 10.1214/08-AAP541
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Stochastic Networks V: Random Access and the Critical Rate of Backoff SchemesTextbook

Motivation

When many stations share one broadcast channel, something has to decide who transmits. A token passed around the stations works when there are few of them and none is silent for long, but it scales badly and breaks if the token is lost. The alternative is to let stations transmit whenever they like and use randomness to recover from the resulting collisions. That is the design of ALOHA, built in the 1970s to connect terminals across the Hawaiian islands, and of Ethernet, and of essentially every contention-based access protocol since.

Chapter 5 of Frank Kelly and Elena Yudovina's Stochastic Networks (Cambridge University Press, 2014) asks what such protocols can achieve, and the answers are largely negative. ALOHA with a fixed retransmission probability jams: with probability one there is a finite random time after which every slot contains a collision and no packet ever succeeds again, for every positive arrival rate. Ethernet's binary exponential backoff does better, but only just: it has a positive critical arrival rate, above which only finitely many packets are ever transmitted, and it is still not positive recurrent at rates where it does transmit infinitely many. The chapter's general statement is the one this mission targets: any backoff slower than exponential jams at every positive arrival rate.

Setting

Time is slotted, and a transmission attempt occupies exactly one slot. New packets arrive in a Poisson stream of rate ν\nuν, so the number arriving in a slot is Poisson with mean ν\nuν. A slot in which exactly one station transmits carries its packet successfully; a slot in which two or more transmit is a collision and carries nothing.

In an acknowledgement-based scheme a station learns nothing about the channel except whether its own transmissions succeeded. A packet arriving in slot ttt attempts transmission in slots t+x0,t+x1,…t+x_0, t+x_1, \dotst+x0​,t+x1​,… with 1=x0<x1<⋯1 = x_0 < x_1 < \cdots1=x0​<x1​<⋯, the sequence chosen independently for each packet, and

h(x)=P(x∈X),h(1)=1h(x) = \mathbb{P}(x \in X), \qquad h(1) = 1h(x)=P(x∈X),h(1)=1

is the retransmission function. For ALOHA, h(x)=fh(x) = fh(x)=f for every x>1x > 1x>1; for Ethernet's binary exponential backoff, ∑r≤th(r)∼log⁡2t\sum_{r \le t} h(r) \sim \log_2 t∑r≤t​h(r)∼log2​t.

Now imagine the channel externally jammed from time 000, so that every retransmission actually occurs. The attempts in slot ttt are then Poisson with mean ν∑r=1th(r)\nu\sum_{r=1}^{t}h(r)ν∑r=1t​h(r), and the probability that fewer than two attempts are made in slot ttt is

Pt=(1+ν∑r=1th(r))exp⁡(−ν∑r=1th(r)).P_t=\Bigl(1+\nu\sum_{r=1}^{t}h(r)\Bigr)\exp\Bigl(-\nu\sum_{r=1}^{t}h(r)\Bigr).Pt​=(1+νr=1∑t​h(r))exp(−νr=1∑t​h(r)).

The expected number of such slots is H(ν)=∑t≥1PtH(\nu)=\sum_{t\ge1}P_tH(ν)=∑t≥1​Pt​, which is decreasing in ν\nuν, and the critical rate is

νc=inf⁡{ν:H(ν)<∞}.\nu_c=\inf\{\nu : H(\nu)<\infty\}.νc​=inf{ν:H(ν)<∞}.

Theorem 5.11 of the book says νc\nu_cνc​ deserves its name: below it infinitely many packets are transmitted with probability one, above it only finitely many.

Formalization targets

Goal — condition (5.7): slower-than-exponential backoff has νc=0\nu_c=0νc​=0

1log⁡t∑x=1th(x)⟶∞⟹H(ν)=∑t≥1Pt<∞  for every ν>0.\frac{1}{\log t}\sum_{x=1}^{t}h(x)\longrightarrow\infty \quad\Longrightarrow\quad H(\nu)=\sum_{t\ge1}P_t<\infty \ \text{ for every } \nu>0 .logt1​x=1∑t​h(x)⟶∞⟹H(ν)=t≥1∑​Pt​<∞  for every ν>0.

Since H(ν)<∞H(\nu)<\inftyH(ν)<∞ for every positive ν\nuν, the critical rate is νc=0\nu_c=0νc​=0, and by Theorem 5.11 the expected number of successful transmissions is finite at every positive arrival rate. The goal fixes no constant and no rate: it says only that the dividing line between "jams always" and "has a positive capacity" sits at logarithmic growth of ∑x≤th(x)\sum_{x\le t}h(x)∑x≤t​h(x), which is exponential growth of the backoff.

Supporting levels

The ALOHA drift calculation of section 5.1 and its consequence that the drift is positive once the backlog is large enough; the summability ∑np(n)<∞\sum_n p(n)<\infty∑n​p(n)<∞ that combines with Borel–Cantelli to give Proposition 5.3; the monotonicity of PtP_tPt​ in ν\nuν; the opposite extreme, that a scheme with ∑xh(x)<∞\sum_x h(x)<\infty∑x​h(x)<∞ — one that gives up on a packet after finitely many attempts — has νc=∞\nu_c=\inftyνc​=∞; that ALOHA's own retransmission function satisfies condition (5.7); and the bound of Remark 5.14, that a positive recurrent acknowledgement-based scheme needs ν≤e−ν\nu\le e^{-\nu}ν≤e−ν and hence ν<0.5672\nu<0.5672ν<0.5672, which is strictly below Ethernet's νc=log⁡2\nu_c=\log 2νc​=log2.

Significance

The result itself. Condition (5.7) is the chapter's structural statement about random access, and it is a sharp one. Any retransmission rule under which a packet keeps trying at a rate that does not decay fast enough — a fixed probability, a polynomially growing backoff, anything short of exponential — has critical rate zero: the channel jams at every positive load. Exponential backoff is not a tuning choice, it is the minimum that makes the protocol work at all, and the log⁡b\log blogb formula for a backoff by factor bbb (Exercise 5.7) then says how much capacity each choice of bbb buys. The gap recorded in Remark 5.14 is the other half of the picture: even above the threshold, "infinitely many packets get through" is much weaker than "the backlog is stable", and between 0.5670.5670.567 and log⁡2≈0.693\log 2 \approx 0.693log2≈0.693 Ethernet does the first and provably not the second.

Formalizing it. None of this is open; the analysis is due to Kelly and MacPhee (1987) and Aldous (1987). What the mission contributes is a machine-checked account of the analytic core: the definitions of PtP_tPt​, H(ν)H(\nu)H(ν) and νc\nu_cνc​, the two extremes of the classification, and the ALOHA calculations. Mathlib has no protocol analysis and nothing about random access channels.

Difficulty

The obstacle is a modelling one and it is worth stating plainly rather than discovering halfway through. The chapter's headline results — Proposition 5.3 that ALOHA jams almost surely, Theorem 5.11 that νc\nu_cνc​ is the critical rate, Theorem 5.15 that geometric Ethernet is transient — are statements about sample paths of a Markov chain built on a Poisson arrival stream, and their proofs are coupling arguments comparing a system started empty with one started with a backlog. Nothing in Mathlib supports that construction, and building it is a research-scale project rather than a chapter. This mission therefore formalizes the analytic half and quotes the probabilistic half, which is the same division the book itself makes when it computes νc\nu_cνc​ for a scheme: Theorem 5.11 is proved once, and every subsequent statement about a protocol is a convergence question about ∑tPt\sum_t P_t∑t​Pt​.

Within that analytic half the difficulty is real but ordinary. The summand PtP_tPt​ is a product of a factor growing with ∑r≤th(r)\sum_{r\le t}h(r)∑r≤t​h(r) and one decaying exponentially in it, so the growth hypothesis has to be turned into a summable bound without assuming any regularity of hhh beyond non-negativity — in particular ∑r≤th(r)\sum_{r\le t}h(r)∑r≤t​h(r) need not be eventually monotone in any useful quantitative sense, only divergent faster than log⁡t\log tlogt.

Formalization scope

The retransmission function is any non-negative real sequence; the normalization h(1)=1h(1)=1h(1)=1 is not imposed, since none of the statements need it and imposing it would exclude the comparison schemes. PtP_tPt​ and the partial sums are real-valued, and "H(ν)<∞H(\nu)<\inftyH(ν)<∞" is stated as summability of the sequence rather than as a bound on an extended-real sum, so convergence is asserted rather than assumed. The goal is stated for each fixed ν>0\nu>0ν>0 separately, which is what makes νc=0\nu_c=0νc​=0; it is not stated as a claim about the infimum, because the infimum of the set {ν:H(ν)<∞}\{\nu : H(\nu)<\infty\}{ν:H(ν)<∞} adds nothing once the set is known to be all of (0,∞)(0,\infty)(0,∞).

The growth hypothesis is the book's condition (5.7) verbatim: (log⁡t)−1∑x≤th(x)→∞\bigl(\log t\bigr)^{-1}\sum_{x\le t}h(x)\to\infty(logt)−1∑x≤t​h(x)→∞. Note that at t=0t=0t=0 and t=1t=1t=1 the quotient involves log⁡t≤0\log t \le 0logt≤0 and is not meaningful; divergence to infinity is an eventual statement, so this costs nothing, but it is why the hypothesis is a limit rather than a pointwise bound.

The mission is not vacuous in either direction: the ALOHA milestone exhibits a retransmission function satisfying the hypothesis, and the ∑xh(x)<∞\sum_x h(x)<\infty∑x​h(x)<∞ milestone exhibits one that fails it as strongly as possible, with H(ν)=∞H(\nu)=\inftyH(ν)=∞ for every ν\nuν.

Contributions welcome beyond the listed items: Ethernet's ∑r≤th(r)∼log⁡2t\sum_{r\le t}h(r)\sim\log_2 t∑r≤t​h(r)∼log2​t and the resulting νc=log⁡2\nu_c=\log 2νc​=log2; the generalization νc=log⁡b\nu_c=\log bνc​=logb of Exercise 5.7; the scheme h(x)=1/(xlog⁡x)h(x)=1/(x\log x)h(x)=1/(xlogx) with νc=∞\nu_c=\inftyνc​=∞; the continuous-time halving νc=12log⁡b\nu_c=\frac12\log bνc​=21​logb of Kelly and MacPhee; and, for anyone willing to build the probabilistic layer, Proposition 5.3 and Theorem 5.11 themselves.

Selected references

  • Frank Kelly and Elena Yudovina, Stochastic Networks, Cambridge University Press, 2014, Chapter 5 (pp. 108–132); Definition 5.1, Proposition 5.3, Theorems 5.11 and 5.15, condition (5.7), Examples 5.8, 5.12 and 5.13, Remark 5.14. DOI 10.1017/cbo9781139565363
  • N. Abramson, The ALOHA system — another alternative for computer communications, AFIPS Conference Proceedings 37 (1970), 281–285. DOI 10.1145/1478462.1478502
  • F. P. Kelly and I. M. MacPhee, The number of packets transmitted by collision detect random access schemes, Annals of Probability 15 (1987), 1557–1568. DOI 10.1214/aop/1176991992
  • D. J. Aldous, Ultimate instability of exponential back-off protocol for acknowledgement-based transmission control of random access communication channels, IEEE Transactions on Information Theory 33 (1987), 219–223. DOI 10.1109/TIT.1987.1057295
  • R. M. Metcalfe and D. R. Boggs, Ethernet: distributed packet switching for local computer networks, Communications of the ACM 19 (1976), 395–404. DOI 10.1145/360248.360253
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Stochastic Networks II: Migration Processes and Product FormTextbook

Motivation

A queueing network is a collection of service stations through which customers — jobs, packets, telephone calls, patients — move one at a time. The state of such a network is a vector of occupancy counts, one per station, and the number of states grows exponentially in the number of stations, so solving the equilibrium equations directly is hopeless for any network worth modelling. The product form is what rescues the subject: for a large and identifiable class of networks the equilibrium distribution factorizes into one term per station, as if the stations were independent, and a network of JJJ stations costs JJJ one-dimensional calculations instead of one exponentially large one.

Chapter 2 of Frank Kelly and Elena Yudovina's Stochastic Networks (Cambridge University Press, 2014) establishes this for migration processes, the Markov model in which individuals move between colonies one at a time at a rate that factorizes as λjkφj(nj)\lambda_{jk}\varphi_j(n_j)λjk​φj​(nj​): a part depending only on the two colonies and a part depending only on the occupancy of the source. The class covers single-server and sss-server queues, infinite-server queues, and networks of them, open or closed.

Setting

There are JJJ colonies, and a state is a vector n=(n1,…,nJ)n = (n_1,\dots,n_J)n=(n1​,…,nJ​) of non-negative integers, njn_jnj​ being the number of individuals in colony jjj. Three operators move one individual:

Tjkn  moves one from j to k,Tj→n  removes one from j,T→kn  adds one to k.T^{jk}n \ \text{ moves one from } j \text{ to } k, \qquad T^{j\to}n \ \text{ removes one from } j, \qquad T^{\to k}n \ \text{ adds one to } k .Tjkn  moves one from j to k,Tj→n  removes one from j,T→kn  adds one to k.

An open migration process is the Markov process on Z+J\mathbb{Z}_+^JZ+J​ with transition rates

q(n,Tjkn)=λjkφj(nj),q(n,Tj→n)=μjφj(nj),q(n,T→kn)=νk,q(n, T^{jk}n)=\lambda_{jk}\varphi_j(n_j), \qquad q(n, T^{j\to}n)=\mu_j\varphi_j(n_j), \qquad q(n, T^{\to k}n)=\nu_k ,q(n,Tjkn)=λjk​φj​(nj​),q(n,Tj→n)=μj​φj​(nj​),q(n,T→kn)=νk​,

where φj(0)=0\varphi_j(0)=0φj​(0)=0: nothing leaves an empty colony. Immigration into colony kkk is Poisson of rate νk\nu_kνk​. Taking μ≡0\mu\equiv 0μ≡0 and ν≡0\nu\equiv 0ν≡0 and restricting to states of a fixed total ∑jnj=N\sum_j n_j = N∑j​nj​=N gives a closed migration process. Setting φj(n)=min⁡(n,s)\varphi_j(n)=\min(n,s)φj​(n)=min(n,s) models an sss-server queue at colony jjj; φj(n)=n\varphi_j(n)=nφj​(n)=n models individuals moving independently.

The traffic equations define (αj)(\alpha_j)(αj​) from the rates. In the open case they are

αj(μj+∑kλjk)  =  νj+∑kαkλkj,j=1,…,J,\alpha_j\Bigl(\mu_j+\sum_k \lambda_{jk}\Bigr) \;=\; \nu_j+\sum_k \alpha_k\lambda_{kj}, \qquad j = 1,\dots,J,αj​(μj​+k∑​λjk​)=νj​+k∑​αk​λkj​,j=1,…,J,

and in the closed case αj∑kλjk=∑kαkλkj\alpha_j\sum_k \lambda_{jk}=\sum_k \alpha_k\lambda_{kj}αj​∑k​λjk​=∑k​αk​λkj​ with αj>0\alpha_j>0αj​>0 and ∑jαj=1\sum_j\alpha_j=1∑j​αj​=1. Finally set

gj=∑n=0∞αj n∏r=1nφj(r).g_j=\sum_{n=0}^{\infty}\frac{\alpha_j^{\,n}}{\prod_{r=1}^{n}\varphi_j(r)} .gj​=n=0∑∞​∏r=1n​φj​(r)αjn​​.

Formalization targets

Goal — Theorem 2.8, the product form of an open migration process

If g1,…,gJ<∞g_1,\dots,g_J<\inftyg1​,…,gJ​<∞ then

π(n)=∏j=1Jπj(nj),πj(m)=gj−1 αj m∏r=1mφj(r)\pi(n)=\prod_{j=1}^{J}\pi_j(n_j), \qquad \pi_j(m)=g_j^{-1}\,\frac{\alpha_j^{\,m}}{\prod_{r=1}^{m}\varphi_j(r)}π(n)=j=1∏J​πj​(nj​),πj​(m)=gj−1​∏r=1m​φj​(r)αjm​​

is an equilibrium distribution: it satisfies the equilibrium equations for the open migration rates, and it sums to one over Z+J\mathbb{Z}_+^JZ+J​. Both halves are asserted, because the first alone is satisfied by every positive multiple of π\piπ and the second is what makes the convergence hypothesis gj<∞g_j<\inftygj​<∞ do work.

Supporting levels

The closed-network product form of Theorem 2.4; the two families of partial balance equations (2.3) and (2.4) that the proof reduces to; Theorem 2.9, that the time reversal of a stationary open migration process is again an open migration process with rates λjk′=αkλkj/αj\lambda'_{jk}=\alpha_k\lambda_{kj}/\alpha_jλjk′​=αk​λkj​/αj​, μj′=νj/αj\mu'_j=\nu_j/\alpha_jμj′​=νj​/αj​ and νk′=αkμk\nu'_k=\alpha_k\mu_kνk′​=αk​μk​; the single M/M/1 queue that the chapter starts from; the cycle identity (2.6) behind Little's law; and the traffic equations of Kendall's family-size process, an open migration process with infinitely many colonies.

Significance

The result itself. Theorem 2.8 says that at a fixed time the occupancies n1,…,nJn_1,\dots,n_Jn1​,…,nJ​ of an open migration network are independent, each distributed as if its colony were fed by a Poisson stream of rate αjλj\alpha_j\lambda_jαj​λj​ — even though the actual arrival stream into a colony is in general not Poisson, and the occupancies are emphatically not independent as processes. That gap between the one-time-marginal and the process is the reason the theorem is useful and the reason it is easy to misapply. Everything downstream in the book rests on it: the loss networks of Chapter 3 are the truncation of a product-form process to a capacity set, and the flow-level models of Chapter 8 ask when a product form survives a bandwidth-sharing policy. Theorem 2.9 supplies the reversibility argument from which Burke's theorem and the Poisson character of the exit streams follow.

Formalizing it. The mathematics is classical — Jackson (1957), Whittle (1968), Kelly (1979) — and none of it is open. What the mission produces is a machine-checked model of a queueing network: the migration operators, the rate matrix, the traffic equations and the product form, in a form later missions in this series import rather than restate. Mathlib has no queueing theory and no theory of continuous-time Markov chains on a countable state space, so this is the first such development. It builds on the DetailedBalance / FullBalance layer published in mission I.

Difficulty

An open migration process is not reversible — the detailed balance equations fail, as Figure 2.5 of the book shows with an arrival stream of geometrically sized bursts — so the method of Chapter 1 does not apply and the equilibrium equations must be met head on. The content of the proof is that they split: a separate balance holds for each colony jjj (rate of individuals leaving colony jjj equals rate arriving into it) and one more across the boundary with the outside world, and each of those is equivalent to a traffic equation. Finding that split is the step, and it is why the partial balance equations are milestones in their own right.

The formal obstacle is different and worth naming. The equilibrium equation at a state nnn sums over the states that can jump into nnn, and the naive transcription ∑j,kπ(Tjkn)q(Tjkn,n)\sum_{j,k}\pi(T^{jk}n)q(T^{jk}n,n)∑j,k​π(Tjkn)q(Tjkn,n) silently assumes TjknT^{jk}nTjkn is a state, which fails when nj=0n_j=0nj​=0. Over Z+J\mathbb{Z}_+^JZ+J​ such a term must be dropped, and a formalization that keeps it — with nj−1n_j-1nj​−1 read as truncated subtraction — states something false.

Formalization scope

The state space is Fin J → ℕ, a function from a finite index type of colonies to occupancy counts, with J finite; no irreducibility is assumed, since none of the statements below need it. Rates are real-valued and the whole rate matrix is a single function of two states, assembled as a sum of indicator terms over the possible transitions, so the equilibrium equations can be stated as the FullBalance predicate of mission I, with unconditional sums over the countable state space. This is what avoids the trap above: a sum over actual states never includes a would-be-negative one, and any spurious coincidence of operators at a boundary carries a φj(0)=0\varphi_j(0)=0φj​(0)=0 factor and contributes nothing.

Conventions the development commits to: λjj=0\lambda_{jj}=0λjj​=0, so a transfer is always between distinct colonies; φj(0)=0\varphi_j(0)=0φj​(0)=0 and φj(r)>0\varphi_j(r)>0φj​(r)>0 for r≥1r\ge 1r≥1; αj>0\alpha_j>0αj​>0; and gjg_jgj​ is asserted via HasSum, which states convergence and the value at once, rather than as an extended real that might be infinite. Occupancy vectors use truncated natural subtraction, so the partial balance and reversed-rate statements carry an explicit nj≥1n_j\ge 1nj​≥1 where the book's state space carries it implicitly; the goal itself does not need such a guard.

A trivializing formalization is ruled out by the second conjunct of the goal: the equilibrium equations alone are a homogeneous linear condition satisfied by π≡0\pi\equiv 0π≡0, whereas the requirement that π\piπ sum to 111 forces the constants gjg_jgj​ to be exactly the ones stated.

Contributions welcome beyond the listed items: Burke's theorem (2.1) and the Poisson character of the exit streams, Corollary 2.10, the closed-form of the telephone banking example (Exercise 2.6), the Chinese restaurant process of Exercise 2.13, and Bartlett's theorem (2.17) on linear migration processes over a general space.

Selected references

  • Frank Kelly and Elena Yudovina, Stochastic Networks, Cambridge University Press, 2014, Chapter 2 (pp. 22–48); Theorems 2.4, 2.8, 2.9, 2.13, equations (2.1)–(2.6). DOI 10.1017/cbo9781139565363
  • James R. Jackson, Networks of waiting lines, Operations Research 5 (1957), 518–521. DOI 10.1287/opre.5.4.518
  • P. Whittle, Equilibrium distributions for an open migration process, Journal of Applied Probability 5 (1968), 567–571. DOI 10.2307/3211921
  • Frank Kelly, Reversibility and Stochastic Networks, Cambridge University Press, 2011 (reissue of the 1979 edition), Chapters 2 and 3.
  • David G. Kendall, Some problems in mathematical genealogy, in Perspectives in Probability and Statistics (J. Gani, ed.), Academic Press, 1975, 325–345.
  • John D. C. Little, A proof for the queuing formula: L=λWL = \lambda WL=λW, Operations Research 9 (1961), 383–387. DOI 10.1287/opre.9.3.383
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Stochastic Networks I: Erlang's Formula for a Single LinkTextbook

Motivation

In the early twentieth century Agner Krarup Erlang worked for the Copenhagen Telephone Company and faced a sizing question that every shared-resource operator still faces: how many parallel circuits must a telephone link carry so that an arriving call is almost never turned away? The answer he published — the Erlang loss formula — is still the standard dimensioning tool for circuit-switched links, call centres, hospital beds, rental fleets, and any system in which a customer who finds every server occupied leaves rather than waits.

The formula is the first capstone of Frank Kelly and Elena Yudovina's Stochastic Networks (Cambridge University Press, 2014), where it closes Chapter 1 and supplies the building block for the loss networks of Chapter 3. It is also the cleanest possible demonstration of the book's method: write down the transition rates of a Markov process, guess that the process is reversible, solve the detailed balance equations, and read the answer off the normalizing constant. This mission formalizes that chapter: the reversibility apparatus, the birth-and-death chain of the loss link, and Erlang's formula itself.

Setting

A link carries CCC parallel circuits. Calls arrive as a Poisson process of rate λ\lambdaλ and each call, while it lasts, occupies one circuit for an exponentially distributed holding time of parameter μ\muμ; holding times are independent of one another and of the arrival times. A call that arrives to find all CCC circuits busy is lost — it does not queue.

Let X(t)∈{0,1,…,C}X(t)\in\{0,1,\dots,C\}X(t)∈{0,1,…,C} be the number of busy circuits. Then XXX is a Markov process with transition rates

q(j,j+1)=λ(j=0,…,C−1),q(j,j−1)=jμ(j=1,…,C),q(j,j+1)=\lambda \quad (j=0,\dots,C-1), \qquad q(j,j-1)=j\mu \quad (j=1,\dots,C),q(j,j+1)=λ(j=0,…,C−1),q(j,j−1)=jμ(j=1,…,C),

and q(j,k)=0q(j,k)=0q(j,k)=0 otherwise. A collection of numbers π=(π(j))\pi=(\pi(j))π=(π(j)) is in detailed balance with rates qqq when

π(j) q(j,k)=π(k) q(k,j)for all j,k,\pi(j)\,q(j,k)=\pi(k)\,q(k,j)\qquad\text{for all }j,k,π(j)q(j,k)=π(k)q(k,j)for all j,k,

and satisfies the equilibrium (full balance) equations when

π(j)∑kq(j,k)=∑kπ(k) q(k,j)for all j.\pi(j)\sum_k q(j,k)=\sum_k \pi(k)\,q(k,j)\qquad\text{for all }j .π(j)k∑​q(j,k)=k∑​π(k)q(k,j)for all j.

Detailed balance is the statement that, in equilibrium, transitions from jjj to kkk occur as frequently as transitions from kkk to jjj. Writing ν=λ/μ\nu=\lambda/\muν=λ/μ for the traffic intensity, Erlang's formula is

E(ν,C)=νC/C!∑j=0Cνj/j!.E(\nu,C)=\frac{\nu^{C}/C!}{\sum_{j=0}^{C}\nu^{j}/j!}.E(ν,C)=∑j=0C​νj/j!νC/C!​.

Formalization targets

Goal — Erlang's formula

π in detailed balance with q, ∑j=0Cπ(j)=1⟹π(C)=E ⁣(λμ,C).\pi \text{ in detailed balance with } q, \ \sum_{j=0}^{C}\pi(j)=1 \quad\Longrightarrow\quad \pi(C)=E\!\left(\tfrac{\lambda}{\mu},C\right).π in detailed balance with q, j=0∑C​π(j)=1⟹π(C)=E(μλ​,C).

The goal fixes no numerical constant: it says that whatever probability vector solves the detailed balance equations of the loss link assigns exactly E(ν,C)E(\nu,C)E(ν,C) to the blocking state. The hypothesis is detailed balance rather than full balance, which is what the book's derivation actually uses and is the stronger assumption to discharge.

Supporting levels

π(j)=νjj! π(0),∑j=0Cj π(j)=ν(1−E(ν,C)),ddνE(ν,C)=−(1−E(ν,C))(E(ν,C)−E(ν,C−1)),\pi(j)=\frac{\nu^{j}}{j!}\,\pi(0), \qquad \sum_{j=0}^{C} j\,\pi(j)=\nu\bigl(1-E(\nu,C)\bigr), \qquad \frac{d}{d\nu}E(\nu,C)=-\bigl(1-E(\nu,C)\bigr)\bigl(E(\nu,C)-E(\nu,C-1)\bigr),π(j)=j!νj​π(0),j=0∑C​jπ(j)=ν(1−E(ν,C)),dνd​E(ν,C)=−(1−E(ν,C))(E(ν,C)−E(ν,C−1)),

together with the reversibility results that justify the method: detailed balance implies full balance, the reversed process of Proposition 1.1 has rates q′(j,k)=π(k)q(k,j)/π(j)q'(j,k)=\pi(k)q(k,j)/\pi(j)q′(j,k)=π(k)q(k,j)/π(j) and retains π\piπ as an equilibrium distribution, and q′=qq'=qq′=q holds exactly when π\piπ and qqq are in detailed balance.

Significance

The result itself. E(ν,C)E(\nu,C)E(ν,C) is the blocking probability of the link, so it converts a traffic measurement ν\nuν and a target grade of service into a circuit count. It is insensitive: the same formula holds for any holding-time distribution with mean 1/μ1/\mu1/μ, which is why it survives as an engineering tool far outside the exponential model that produces it here. Chapter 3 of the book builds loss networks on top of it, and the Erlang fixed point that approximates a whole network is a system of coupled copies of this one formula. The derivative identity is the ingredient that makes E(ν,C)E(\nu,C)E(ν,C) tractable in optimization: it shows EEE is increasing in ν\nuν, and the recursion it encodes is how the formula is evaluated numerically without overflow.

Formalizing it. Nothing here is open mathematics; the value of the mission is a machine-checked statement of the loss model and a reusable reversibility layer. Mathlib has no theory of detailed balance or of reversible Markov processes over a countable state space, so this mission contributes the first: the predicates DetailedBalance and FullBalance, the reversed rate matrix, and the three structural facts relating them. Those are shared by every later mission in this series — the migration processes of Chapter 2 and the loss networks of Chapter 3 are all proved reversible or quasi-reversible by exactly these means.

Difficulty

The obvious route to π(C)\pi(C)π(C) is to solve the equilibrium equations directly, and for a birth-and-death chain that is a three-term recursion whose general solution needs two boundary conditions. Detailed balance replaces it with a two-term recursion and one boundary condition, and the whole content of the reversibility section is that the substitution is legitimate. The remaining work is bookkeeping that Lean makes less forgiving than the page does: the detailed balance equations must be indexed so that the j=0j=0j=0 and j=Cj=Cj=C boundaries are not silently assumed away, the normalizing sum must be shown positive before it can be inverted, and the induction that produces νj/j!\nu^{j}/j!νj/j! has to carry the Fin (C+1) index through Nat.factorial. For the derivative identity, the naive differentiation of a quotient gives (∑j≤C−1νj/j!)\left(\sum_{j\le C-1}\nu^{j}/j!\right)(∑j≤C−1​νj/j!) in the numerator, and recognizing it as (1−E(ν,C))\bigl(1-E(\nu,C)\bigr)(1−E(ν,C)) times the denominator is the step that produces the stated form.

Formalization scope

The state space is Fin (C + 1), so the link with CCC circuits has C+1C+1C+1 states and finiteness is built in; π\piπ is a plain function Fin (C + 1) → ℝ constrained by hypotheses rather than a PMF, so that the normalization ∑jπ(j)=1\sum_j \pi(j) = 1∑j​π(j)=1 appears explicitly wherever it is used. FullBalance is written with unconditional sums (tsum) over an arbitrary state space, so the same predicate serves the countable chains of later chapters; over a Fintype it is the finite sum. Rates are real-valued and q j j = 0 by construction, matching the book's convention that a Markov process must change state when it jumps.

The rates carry λ,μ>0\lambda,\mu>0λ,μ>0 as hypotheses. This rules out the degenerate reading in which μ=0\mu = 0μ=0 makes every downward rate vanish: with μ=0\mu=0μ=0 the detailed balance equations force π(j)λ=0\pi(j)\lambda = 0π(j)λ=0 for j<Cj<Cj<C, so the only normalized solution is the point mass at CCC, and π(C)=1\pi(C)=1π(C)=1 while Lean evaluates E(λ/0,C)=E(0,C)=0E(\lambda/0,C)=E(0,C)=0E(λ/0,C)=E(0,C)=0 for C≥1C\ge1C≥1; the goal would be false. Erlang's formula is stated for the last state Fin.last C, not for an unconstrained index, so it cannot be satisfied by a degenerate reindexing.

Contributions welcome beyond the listed items: the insensitivity of E(ν,C)E(\nu,C)E(ν,C) to the holding time distribution, the recursion E(ν,C)=νE(ν,C−1)/(C+νE(ν,C−1))E(\nu,C)=\nu E(\nu,C-1)/(C+\nu E(\nu,C-1))E(ν,C)=νE(ν,C−1)/(C+νE(ν,C−1)), the finite-source variant πM(j)∝(Mj)(η/μ)j\pi_M(j)\propto\binom{M}{j}(\eta/\mu)^{j}πM​(j)∝(jM​)(η/μ)j and the PASTA statement that an arriving call in that model sees πM−1\pi_{M-1}πM−1​, and the parking-space identity ∑C≥0E(ν,C)\sum_{C\ge 0}E(\nu,C)∑C≥0​E(ν,C) of Exercise 1.9.

Selected references

  • Frank Kelly and Elena Yudovina, Stochastic Networks, Cambridge University Press, 2014, Chapter 1 (pp. 13–21), equations (1.2), (1.4), (1.5), Proposition 1.1, Exercises 1.7 and 1.8. DOI 10.1017/cbo9781139565363
  • A. K. Erlang, Solution of some problems in the theory of probabilities of significance in automatic telephone exchanges, Elektrotkeknikeren 13 (1917), 5–13.
  • Frank Kelly, Reversibility and Stochastic Networks, Cambridge University Press, 2011 (reissue of the 1979 edition), Chapter 1.
  • J. R. Norris, Markov Chains, Cambridge University Press, 1998. DOI 10.1017/CBO9780511810633
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Markov ChainOperations Research·Captain: tianyipeng

Markov Entanglement: Index Policies for Restless Bandits are Asymptotically SeparableResearch Paper

Restless multi-armed bandits are the standard model for allocating a scarce resource across many independently-evolving agents: N arms, each a small Markov chain, and a budget that lets you activate only a fixed fraction of them at each step. The joint problem is PSPACE-hard, so practice runs on index policies — score each arm by a priority index computed from its own local state, then activate the top ones until the budget runs out — and evaluates them by value decomposition: approximate the joint Q-function by a sum of per-arm local Q-functions, each computed from a single arm's chain. The decomposition is used everywhere from Whittle-index heuristics to modern multi-agent RL, and it is used without an error bound.

Chen and Peng (arXiv:2506.02385) supply one. Their companion mission established the general principle: the value decomposition error of a multi-agent chain is controlled by its measure of Markov entanglement, the distance from the chain's transition matrix to the nearest separable one. This mission carries that principle to the restless-bandit setting and proves that index policies are asymptotically separable — their entanglement decays like 1/sqrt(N), so the decomposition error is sublinear in N while the joint Q-function itself is of order N. The relative error vanishes as the system grows, which is exactly why the practice works.

The argument runs through the mean-field limit. Because the arms are homogeneous, the only thing that matters about a joint state is its configuration: the fraction of arms in each local state. Under an index policy the configuration evolves by a map that does not depend on N at all, and under two standard technical conditions — a uniform global attractor property and non-degeneracy — that map has a unique attracting fixed point m*. The chain of reasoning is: policy entanglement is bounded by how far the realised policy sits from the mean-field limiting policy (Proposition 1); that distance is bounded by the configuration's deviation from m* (Lemma 2/8); and the deviation concentrates at rate 1/sqrt(N) by a concentration-plus-local-stability argument adapted from Gast, Gaujal and Yan. The concentration and stability inputs (Lemmas 9, 10, 11) are results of Gast et al. and are formalized here as well, so the mission stands on its own.

The mission also formalizes the mean-field map on the whole simplex and checks it against the N-agent characterisation, which is what makes the piecewise-affine and stability analysis expressible at all.

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Statistics·Captain: Shuze Chen

Vector Space Methods III: Recursive EstimationTextbook

Motivation

The final sections of Chapter 4 of Luenberger's Optimization by Vector Space Methods (Wiley, 1969) derive the discrete-time Kalman filter (§4.7 Theorem 1, attributed to Kalman 1960) purely from Hilbert space geometry: the optimal estimate of a linearly evolving random state is an orthogonal projection onto the span of past measurements, and the projection updates recursively as measurements arrive. This derivation — no Gaussian assumptions, no density calculations — is a canonical application of the projection theorem formalized in Mission I and the estimation theory of Mission II.

Setting

Following §4.2 and §4.7 of the source, all random variables have zero mean and finite second moments, and are treated as elements of a Hilbert space of random variables: an abstract real inner product space HHH in which the inner product of two random variables is their correlation, ⟨a,b⟩=E[ab]\langle a, b\rangle = E[ab]⟨a,b⟩=E[ab]. Random nnn-vectors are families Fin n→H\mathrm{Fin}\ n \to HFin n→H; two random variables are uncorrelated iff they are orthogonal in HHH; the covariance matrix of a zero-mean random vector xxx is the Gram matrix ⟨xi,xj⟩\langle x_i, x_j\rangle⟨xi​,xj​⟩. A white process uuu satisfies E[u(k)u(l)⊤]=Q(k) δklE[u(k)u(l)^\top] = Q(k)\,\delta_{kl}E[u(k)u(l)⊤]=Q(k)δkl​.

The dynamic model (§4.7) consists of a state process and measurements

x(k+1)=Φ(k) x(k)+u(k),v(k)=M(k) x(k)+w(k),k=0,1,2,…x(k+1) = \Phi(k)\,x(k) + u(k), \qquad v(k) = M(k)\,x(k) + w(k), \qquad k = 0, 1, 2, \dotsx(k+1)=Φ(k)x(k)+u(k),v(k)=M(k)x(k)+w(k),k=0,1,2,…

with known matrices Φ(k)∈Rn×n\Phi(k) \in \mathbb{R}^{n\times n}Φ(k)∈Rn×n, M(k)∈Rm×nM(k) \in \mathbb{R}^{m\times n}M(k)∈Rm×n, white noises u,wu, wu,w with covariances Q(k)Q(k)Q(k), R(k)R(k)R(k) (R(k)R(k)R(k) positive definite), mutually uncorrelated and uncorrelated with the initial state x(0)x(0)x(0). The estimate x^(k+1∣k)\hat x(k+1 \mid k)x^(k+1∣k) is the projection of each component of x(k+1)x(k+1)x(k+1) onto the subspace spanned by the components of v(0),…,v(k)v(0), \dots, v(k)v(0),…,v(k).

Formalization targets

The goal is §4.7 Theorem 1: the estimates generated by the recursion

x^(k+1∣k)=Φ(k)P(k)M⊤(k)[M(k)P(k)M⊤(k)+R(k)]−1(v(k)−M(k)x^(k∣k−1))+Φ(k) x^(k∣k−1)\hat x(k+1 \mid k) = \Phi(k) P(k) M^\top(k)\big[M(k)P(k)M^\top(k) + R(k)\big]^{-1}\big(v(k) - M(k)\hat x(k \mid k-1)\big) + \Phi(k)\, \hat x(k \mid k-1)x^(k+1∣k)=Φ(k)P(k)M⊤(k)[M(k)P(k)M⊤(k)+R(k)]−1(v(k)−M(k)x^(k∣k−1))+Φ(k)x^(k∣k−1) P(k+1)=Φ(k)P(k){I−M⊤(k)[M(k)P(k)M⊤(k)+R(k)]−1M(k)P(k)}Φ⊤(k)+Q(k),P(k+1) = \Phi(k) P(k)\big\{I - M^\top(k)[M(k)P(k)M^\top(k) + R(k)]^{-1} M(k) P(k)\big\}\Phi^\top(k) + Q(k),P(k+1)=Φ(k)P(k){I−M⊤(k)[M(k)P(k)M⊤(k)+R(k)]−1M(k)P(k)}Φ⊤(k)+Q(k),

started from x^(0∣−1)=0\hat x(0 \mid -1) = 0x^(0∣−1)=0 and P(0)=cov⁡x(0)P(0) = \operatorname{cov} x(0)P(0)=covx(0), are the linear minimum-variance estimates: each x^(k∣k−1)\hat x(k \mid k-1)x^(k∣k−1) lies in the span of past measurement components, its error is orthogonal to all past measurements, and its error covariance is P(k)P(k)P(k).

Milestones: orthogonality of the innovation v(k)−M(k)x^(k∣k−1)v(k) - M(k)\hat x(k\mid k-1)v(k)−M(k)x^(k∣k−1) to the past-data subspace, and the single-step updating formula (§4.6 Example 1) — given a prior projection with error covariance RRR and new data y=Wβ+εy = W\beta + \varepsilony=Wβ+ε, the updated projection is β^+RW⊤(WRW⊤+Q)−1(y−Wβ^)\hat\beta + RW^\top(WRW^\top + Q)^{-1}(y - W\hat\beta)β^​+RW⊤(WRW⊤+Q)−1(y−Wβ^​) with error covariance R−RW⊤(WRW⊤+Q)−1WRR - RW^\top(WRW^\top+Q)^{-1}WRR−RW⊤(WRW⊤+Q)−1WR.

Significance

The Kalman filter is among the most used algorithms in engineering — navigation, tracking, control, time-series analysis — and this mission gives it a machine-checked correctness statement at the natural level of generality: linear minimum-variance optimality over arbitrary zero-mean second-order processes, with no Gaussian hypothesis. Mathlib currently has no Kalman filter and no linear filtering theory. The abstract Hilbert-space formulation also makes the development directly reusable: the update milestone is a general two-stage projection lemma independent of the dynamic model.

Difficulty

The recursion couples two invariants that must be established simultaneously by induction: the geometric one (the error is orthogonal to the growing measurement subspace, and the estimate lies in it) and the algebraic one (the error Gram matrix equals P(k)P(k)P(k)). Whiteness enters precisely through the index inequalities — u(k)u(k)u(k) and w(k)w(k)w(k) are orthogonal to everything generated by x(0),u(0..k−1),w(0..k−1)x(0), u(0..k{-}1), w(0..k{-}1)x(0),u(0..k−1),w(0..k−1) — and an off-by-one in these ranges silently breaks the induction. Invertibility of M(k)P(k)M⊤(k)+R(k)M(k)P(k)M^\top(k) + R(k)M(k)P(k)M⊤(k)+R(k) must be derived, not assumed: P(k)P(k)P(k) is positive semidefinite as a Gram matrix and R(k)R(k)R(k) is positive definite. The naive approach of expanding all projections over a concrete probability space adds measure-theoretic overhead the abstract formulation avoids entirely.

Formalization scope

The Hilbert space of random variables is an abstract H : Type with [NormedAddCommGroup H] [InnerProductSpace ℝ H]; zero means are implicit in this representation (§4.7 assumes all variables zero-mean), so expectations never appear — only inner products. Matrix-vector actions on random vectors are written componentwise as ∑ j, A i j • x j. Processes are indexed by ℕ, with x̂(0 | -1) rendered as xh 0 = 0 and covariances as explicit Gram identities. Whiteness and uncorrelatedness are hypotheses on inner products with if k = l then _ else 0. The span of past data at time kkk is Submodule.span ℝ {a | ∃ l < k, ∃ j, a = v l j}. The recursion defining xh and P is supplied as hypotheses, so the goal asserts exactly the optimality and covariance claims of the source theorem. Statements deliberately avoid Mathlib's orthogonalProjection; the projection property is asserted by membership plus orthogonality, which characterizes it uniquely.

Selected references

  • David G. Luenberger, Optimization by Vector Space Methods, John Wiley & Sons, 1969. §4.6–4.7, pp. 90–97. ISBN 0-471-55359-X.
  • R. E. Kalman, A new approach to linear filtering and prediction problems, J. Basic Eng. 82 (1960), 35–45. https://doi.org/10.1115/1.3662552
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Markov ChainProbability·Captain: Shuze Chen

Markov Chains and Mixing Times XIII: Coupling from the PastTextbook

Motivation

Every sampling guarantee in this series so far is approximate: run the chain for tmix(ε)t_{\mathrm{mix}}(\varepsilon)tmix​(ε) steps and the output is within ε\varepsilonε of stationarity. In 1996 Propp and Wilson showed that, astonishingly, one can often sample exactly from the stationary distribution of a chain — with no error at all and no knowledge of the mixing time — by running the chain not forward from the present but from the past. Their algorithm, coupling from the past (CFTP), drives all states simultaneously with the same sequence of random update maps drawn from times −1,−2,−3,…-1,-2,-3,\dots−1,−2,−3,…; as soon as the composed map from some time −t-t−t collapses the entire state space to a single value, that value is an exact sample from π\piπ. Chapter 22 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009; the chapter is by Propp and Wilson themselves) presents the algorithm, the monotone shortcut that makes it practical for huge state spaces, and the proof of exactness. This mission — the final one of the series — formalizes that correctness proof.

Setting

Throughout, PPP is a chain on a finite state space VVV with stationary distribution π\piπ. A random mapping representation of PPP is a probability distribution ν\nuν on update functions f:V→Vf:V\to Vf:V→V that reproduces the transition probabilities in one step:

ν{f:f(x)=y}  =  P(x,y)for all x,y.\nu\{f: f(x)=y\}\;=\;P(x,y)\qquad\text{for all }x,y.ν{f:f(x)=y}=P(x,y)for all x,y.

Sampling f∼νf\sim\nuf∼ν and applying it to the current state is exactly one PPP-step — simultaneously from every possible current state.

CFTP draws i.i.d. maps f−1,f−2,⋯∼νf_{-1},f_{-2},\dots\sim\nuf−1​,f−2​,⋯∼ν indexed by past times and composes them forward from the past up to time zero:

F−t0  =  f−1∘f−2∘⋯∘f−t.F^0_{-t}\;=\;f_{-1}\circ f_{-2}\circ\cdots\circ f_{-t}.F−t0​=f−1​∘f−2​∘⋯∘f−t​.

Note the order: extending the horizon deeper into the past prepends new randomness inside the composition, while the maps near time 000 stay fixed — this is the crucial asymmetry between running from the past and running into the future. The composition has coalesced when F−t0F^0_{-t}F−t0​ is a constant map — all starting states have been funneled to one common value — and the algorithm outputs that value. In the monotone variant, VVV carries a partial order with a bottom state 0^\hat00^ and a top state 1^\hat11^ and every update map is monotone; then it suffices to track the two extreme trajectories.

Formalization targets

Goal

Correctness of coupling from the past (Propp–Wilson; §22.2–22.3), the capstone of the series: if ν\nuν is a random mapping representation of PPP, π\piπ is stationary for PPP, and coalescence is almost sure, then for every state yyy the probability that the CFTP composition has coalesced to the value yyy within ttt steps from the past tends, as t→∞t\to\inftyt→∞, to exactly π(y)\pi(y)π(y) — the output of the algorithm is an exact sample from the stationary distribution, with no mixing-time error term.

Milestones

  • Proposition 1.5 / §22.3 — every finite Markov chain has a random mapping representation: a suitable ν\nuν always exists.
  • Coalescence (§22.3) — if some finite composition of update maps collapses the state space with positive probability, then coalescence is almost sure: the probability that F−t0F^0_{-t}F−t0​ is not yet constant tends to 000 as t→∞t\to\inftyt→∞.
  • Monotone CFTP (§22.2) — if the state space has a bottom 0^\hat00^ and a top 1^\hat11^ and every update map is monotone, then the composition is constant as soon as it merely identifies 0^\hat00^ and 1^\hat11^: checking two trajectories certifies coalescence of all of them.

Significance

The results. CFTP is one of the most striking algorithmic ideas probability has produced: a Las Vegas algorithm whose output distribution is exactly π\piπ, side-stepping every mixing-time estimate of the previous twelve missions. The monotone shortcut is what made it explode in practice — for the Ising model of Mission IX the 2n2^n2n trajectories collapse to two, and Propp–Wilson famously drew exact Ising samples on large grids at the critical temperature. CFTP remains the foundation of exact-simulation methods across statistical physics, spatial statistics, and randomized algorithms.

Formalizing it. The correctness argument is short but famously slippery — the standard pitfall (running the coupling into the future yields a biased sample) is precisely a statement about the order of composition, which a formal proof pins down mercilessly. Nothing about exact sampling exists in any proof-assistant library. Formalized CFTP correctness is a fitting keystone: it consumes the random-map representation (Chapter 1), stationarity (Mission I), and the almost-sure-coalescence analysis, and certifies the algorithm practitioners actually run.

Difficulty

The whole content lies in managing the composition order and the limiting argument without measure theory. The probability space at horizon ttt is the finite product of ttt copies of ν\nuν (tuples of update maps, weighted by products); the key observation — for fixed ttt, the law of F−t0F^0_{-t}F−t0​ applied to any fixed start equals the law of ttt forward steps — is a finite re-indexing argument. Exactness then follows from a sandwich: on the event of coalescence by time ttt, the output equals F−t0(x)F^0_{-t}(x)F−t0​(x) for every xxx; choosing the start according to π\piπ shows the output law differs from π\piπ by at most the non-coalescence probability, and the hypothesis drives that to zero. Formalizing this needs care at exactly the point where informal proofs wave: the event "coalesced by −t-t−t" is increasing in ttt because the maps near zero are shared between horizons — the tuple encoding must make this monotonicity provable. The coalescence milestone is a geometric-trials argument (independent blocks each collapse with probability bounded below), and the monotone milestone is an induction showing monotonicity of compositions plus the squeeze between the extreme trajectories. All randomness is finite products of a finite distribution; limits are limits of explicit real sequences.

Formalization scope

Update-map distributions are functions (V→V)→R(V\to V)\to\mathbb R(V→V)→R with the distribution predicate of Mission I; the random-map representation condition is a finite-sum identity. The composition F−t0F^0_{-t}F−t0​ is encoded by a tuple F:Fin t→(V→V)F:\mathrm{Fin}\,t\to(V\to V)F:Fint→(V→V) with F(i)F(i)F(i) the map used at time −(i+1)-(i{+}1)−(i+1), folded so that the last entry applies first — the from-the-past order. Coalescence probabilities and output probabilities are finite sums over tuples of products of ν\nuν-weights; "coalescence is almost sure" is the statement that the non-coalescence probability tends to 000, and the goal's conclusion is a limit of real sequences (Filter.Tendsto), not a measure-theoretic almost-sure statement. The monotone milestone is stated abstractly for any finite partial order with OrderBot and OrderTop and any tuple of monotone maps — reusable beyond CFTP. No measure theory, filtrations, or i.i.d. infrastructure is required anywhere.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009 (Chapter 22, by J. G. Propp and D. B. Wilson). https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • J. G. Propp, D. B. Wilson, Exact sampling with coupled Markov chains and applications to statistical mechanics, Random Structures Algorithms 9 (1996). https://doi.org/10.1002/(SICI)1098-2418(199608/09)9:1/2<223::AID-RSA14>3.0.CO;2-O
  • D. B. Wilson, How to couple from the past using a read-once source of randomness, Random Structures Algorithms 16 (2000). https://doi.org/10.1002/(SICI)1098-2418(200003)16:2<85::AID-RSA1>3.0.CO;2-H
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Markov ChainProbability·Captain: Shuze Chen

Markov Chains and Mixing Times II: The Convergence TheoremTextbook

Motivation

The first mission of this series established that an irreducible finite Markov chain has a unique stationary distribution π\piπ. The present mission, covering Chapters 3–4 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009), answers the two questions that make that fact useful. First, the inverse problem of sampling: given a target distribution π\piπ — uniform over proper colorings, a Gibbs measure, a posterior — how does one build a chain whose stationary distribution is π\piπ? The Metropolis and Glauber constructions of Chapter 3 are the universal answers, and they are the engine of Markov chain Monte Carlo across statistical physics, Bayesian statistics, and approximate counting. Second, the convergence question: in what sense, and how fast, does an irreducible aperiodic chain approach π\piπ? Chapter 4 introduces the total variation distance, proves the Convergence Theorem — geometric convergence to stationarity — and defines the mixing time, the parameter the entire remainder of the book estimates.

Setting

All chains live on a finite state space VVV and are presented by row-stochastic matrices, with the definitions of Mission I. The total variation distance between distributions μ\muμ and ν\nuν is

∥μ−ν∥TV=max⁡A⊆V ∣μ(A)−ν(A)∣,\|\mu-\nu\|_{\mathrm{TV}} = \max_{A\subseteq V}\,|\mu(A)-\nu(A)|,∥μ−ν∥TV​=A⊆Vmax​∣μ(A)−ν(A)∣,

the maximal discrepancy over events. A coupling of μ\muμ and ν\nuν is a distribution on V×VV\times VV×V whose marginals are μ\muμ and ν\nuν. For a chain PPP with stationary π\piπ one sets

d(t)=max⁡x∥Pt(x,⋅)−π∥TV,dˉ(t)=max⁡x,y∥Pt(x,⋅)−Pt(y,⋅)∥TV,d(t)=\max_x \|P^t(x,\cdot)-\pi\|_{\mathrm{TV}},\qquad \bar d(t)=\max_{x,y}\|P^t(x,\cdot)-P^t(y,\cdot)\|_{\mathrm{TV}},d(t)=xmax​∥Pt(x,⋅)−π∥TV​,dˉ(t)=x,ymax​∥Pt(x,⋅)−Pt(y,⋅)∥TV​,

and the mixing time is tmix(ε)=min⁡{t:d(t)≤ε}t_{\mathrm{mix}}(\varepsilon)=\min\{t : d(t)\le\varepsilon\}tmix​(ε)=min{t:d(t)≤ε}, with tmix=tmix(1/4)t_{\mathrm{mix}}=t_{\mathrm{mix}}(1/4)tmix​=tmix​(1/4).

The Metropolis chain for a target π\piπ and a symmetric proposal chain Ψ\PsiΨ accepts a proposed move x→yx\to yx→y with probability 1∧π(y)/π(x)1\wedge \pi(y)/\pi(x)1∧π(y)/π(x); a general (not necessarily symmetric) base chain is handled by the ratio (π(y)Ψ(y,x))/(π(x)Ψ(x,y))∧1\bigl(\pi(y)\Psi(y,x)\bigr)/\bigl(\pi(x)\Psi(x,y)\bigr)\wedge 1(π(y)Ψ(y,x))/(π(x)Ψ(x,y))∧1. The Glauber dynamics for a distribution π\piπ on configurations VsitesV^{\text{sites}}Vsites picks a uniform site and re-samples its value from π\piπ conditioned on the rest.

Formalization targets

Goal

P irreducible and aperiodic  ⟹  ∃ α∈(0,1), C>0:d(t)≤Cαt.\text{$P$ irreducible and aperiodic}\;\Longrightarrow\;\exists\,\alpha\in(0,1),\ C>0:\quad d(t)\le C\alpha^{t}.P irreducible and aperiodic⟹∃α∈(0,1), C>0:d(t)≤Cαt.

This is Theorem 4.9, the Convergence Theorem. It asserts only the geometric shape of convergence, leaving all quantitative rates to later missions, which is why it is the goal.

Milestones

The milestones are the chapter's working parts: stationarity and reversibility of the Metropolis chain for symmetric and general base chains (§3.2, Exercise 3.1), stationarity and reversibility of the Glauber dynamics (§3.3, Exercise 3.2); the three characterizations of total variation distance — the half-ℓ1\ell^1ℓ1 formula (Proposition 4.2 with Remark 4.3), the supremum over [−1,1][-1,1][−1,1]-bounded test functions (Proposition 4.5), and the coupling characterization with an optimal coupling attaining it (Proposition 4.7 with Remark 4.8); the comparison d≤dˉ≤2dd\le\bar d\le 2dd≤dˉ≤2d (Lemma 4.11) and submultiplicativity dˉ(s+t)≤dˉ(s)dˉ(t)\bar d(s+t)\le\bar d(s)\bar d(t)dˉ(s+t)≤dˉ(s)dˉ(t) (Lemma 4.12); the standard mixing-time consequences d(ℓ tmix(ε))≤(2ε)ℓd(\ell\, t_{\mathrm{mix}}(\varepsilon))\le(2\varepsilon)^\elld(ℓtmix​(ε))≤(2ε)ℓ and tmix(ε)≤⌈log⁡2ε−1⌉ tmixt_{\mathrm{mix}}(\varepsilon)\le\lceil\log_2\varepsilon^{-1}\rceil\, t_{\mathrm{mix}}tmix​(ε)≤⌈log2​ε−1⌉tmix​ (§4.5); and the equality of distance to stationarity for a group walk and its inverse walk (Lemma 4.13 and Corollary 4.14).

Significance

The results. The Convergence Theorem is the qualitative foundation on which quantitative mixing theory stands: it guarantees that tmix(ε)t_{\mathrm{mix}}(\varepsilon)tmix​(ε) is finite, so every bound in Missions III–XIII is a bound on a well-defined quantity. The TV characterizations are used constantly — the coupling characterization is the engine of Mission III, the half-ℓ1\ell^1ℓ1 formula of every explicit computation. The Metropolis and Glauber stationarity results justify the chains analyzed in Missions III (colorings, hardcore), VIII (path coupling) and IX (Ising). Submultiplicativity of dˉ\bar ddˉ is what makes tmixt_{\mathrm{mix}}tmix​ a meaningful single number.

Formalizing them. None of this exists in Mathlib: there is no total variation distance for finitely supported distributions, no coupling theory, no mixing time, no MCMC correctness statement. The definition layer published here (TV distance, ddd, dˉ\bar ddˉ, tmixt_{\mathrm{mix}}tmix​, couplings, Metropolis, Glauber) is imported by every subsequent mission of the series.

Difficulty

The tempting proof of Theorem 4.9 via spectral decomposition fails twice: it needs reversibility, which the theorem does not assume, and spectral machinery that arrives only in Mission VII. The book's proof is the Doeblin decomposition: by Proposition 1.7 some power satisfies Pr(x,y)≥δπ(y)P^r(x,y)\ge\delta\pi(y)Pr(x,y)≥δπ(y), so Pr=(1−θ)Π+θQP^r=(1-\theta)\Pi+\theta QPr=(1−θ)Π+θQ with Π\PiΠ the rank-one matrix of rows π\piπ, and induction gives Prk=(1−θk)Π+θkQkP^{rk}=(1-\theta^k)\Pi+\theta^kQ^kPrk=(1−θk)Π+θkQk. The formal work is matrix algebra with careful bookkeeping of the remainder chain QQQ, plus the monotonicity of ddd needed to interpolate between multiples of rrr. For Proposition 4.7 the delicate half is constructing the optimal coupling: mass μ∧ν\mu\wedge\nuμ∧ν on the diagonal and the normalized product of the positive parts off it, with the degenerate case μ=ν\mu=\nuμ=ν handled separately. The Glauber stationarity statement must be phrased with care because configurations outside the support of π\piπ have junk rows; the formalization asserts stochasticity only at supported configurations, and detailed balance globally.

Formalization scope

Total variation distance is defined as the supremum over events, ⨆A ∣μ(A)−ν(A)∣\bigsqcup_{A}\,|\mu(A)-\nu(A)|⨆A​∣μ(A)−ν(A)∣ over Finset V, exactly as in (4.1); the half-ℓ1\ell^1ℓ1 formula is a milestone, not the definition. The mixing time is sInf of the set {t:d(t)≤ε}\{t : d(t)\le\varepsilon\}{t:d(t)≤ε} in N\mathbb NN (junk value 000 if empty — impossible under the goal theorem). Couplings are distributions on the product with prescribed marginals; no probability-space machinery is used. The mixing-time inequalities are stated with the integer-rounding slack made explicit (e.g. ⌈log⁡2ε−1⌉\lceil\log_2\varepsilon^{-1}\rceil⌈log2​ε−1⌉ via Nat.ceil of a real logarithm) so that no statement is true only "up to rounding". The Metropolis definitions use total real division, so the hypotheses require π>0\pi>0π>0 pointwise; this matches the book, which divides by π(x)\pi(x)π(x) throughout.

Welcome contributions beyond the milestones: simp lemmas for tvDist, monotonicity of ddd and dˉ\bar ddˉ in ttt, and triangle-inequality infrastructure — all reused by Missions III–XIII.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • N. Metropolis, A. Rosenbluth, M. Rosenbluth, A. Teller, E. Teller, Equation of state calculations by fast computing machines, J. Chem. Phys. 21 (1953). https://doi.org/10.1063/1.1699114
  • W. Doeblin, Exposé de la théorie des chaînes simples constantes de Markov à un nombre fini d'états, Rev. Math. Union Interbalkan. 2 (1938).
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Operations Research·Captain: wenxinzhang

Single-Server Queueing Convergence via Forward CouplingTextbook

Formalize sample-path stability for a continuous-time, unit-rate, infinite-buffer single-server queue. Starting from cumulative arriving service work, define the reflected transient workload, the workload constructed from the infinite past, long-run offered load, and two-time stationarity. Prove that subcritical load forces finite-time coupling and consequently that every finite initial workload converges in its two-time finite-dimensional distributions to the stationary workload law.

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AnalysisOperations Research·Captain: mikedeng1

Provably Good Region Partitioning for On-Time Last-Mile Delivery I: A Partition Equitable in √f and in the Load Density Is Asymptotically Optimal in Heavy TrafficResearch Paper

Motivation

Same-day and on-demand delivery services (groceries, meals, parcels) must decide how to assign incoming orders to drivers. One option is flexible dispatching: any driver may serve any order in the service region. Another is districting: the region is cut into mmm districts, one per driver, and each driver serves only the orders from their own district. Districting is easier to run, since drivers learn their territory, routes are short and responsibility is clear, but it gives up the flexibility of pooling. A basic question is when a districting policy loses nothing against the best flexible policy.

Carlsson, Liu, Salari and Yu (Operations Research 72(1), 2024; accepted manuscript SSRN 3915544) answer this in heavy traffic, the regime where the drivers are almost always busy. Their comparison point is the policy π∗\pi^*π∗ of Bertsimas and van Ryzin (1993), whose expected delivery time has an explicit leading-order formula in heavy traffic. Their Theorem 6 gives two integral conditions on a partition under which districting matches π∗\pi^*π∗ to first order.

Timeline.

  • 1959. Beardwood, Halton and Hammersley: the shortest tour through nnn random points with density fff has length ∼βn∬f\sim\beta\sqrt n\iint\sqrt{f}∼βn​∬f​.
  • 1991–1993. Bertsimas and van Ryzin: the dynamic traveling repairman and its capacitated, multi-vehicle versions, with heavy-traffic lower bounds and a policy π∗\pi^*π∗ that attains the leading-order formula (Theorem 3 of the paper, p. 8).
  • 2024. Carlsson, Liu, Salari and Yu: a partition that is equitable for two measures gives a districting policy that is asymptotically optimal in heavy traffic (Theorem 6), together with algorithms to compute such partitions.

Setting

A service region R⊆R2\mathscr R\subseteq\mathbb R^2R⊆R2 is compact and convex and contains a depot x0x_0x0​. Orders arrive at rate λ\lambdaλ at random locations drawn from a demand density f≥0f\ge0f≥0 on R\mathscr RR, Lipschitz, with ∬Rf(x) dx=1\iint_{\mathscr R}f(x)\,dx=1∬R​f(x)dx=1. There are m≥1m\ge1m≥1 identical vehicles with speed v>0v>0v>0 and capacity q∈N+q\in\mathbb N_+q∈N+​, and each order needs an on-site service of mean sˉ≥0\bar s\ge0sˉ≥0. The constant β>0\beta>0β>0 comes from the Beardwood–Halton–Hammersley theorem.

The workload factor of the fleet is

ρ+2λ∬R∥x−x0∥f(x) dxmvq,ρ=λsˉm,\rho+\frac{2\lambda\iint_{\mathscr R}\|x-x_0\|f(x)\,dx}{mvq},\qquad \rho=\frac{\lambda\bar s}{m},ρ+mvq2λ∬R​∥x−x0​∥f(x)dx​,ρ=mλsˉ​,

the long-run fraction of time a vehicle spends in on-site service and in travel to and from the depot. The system is stable when it is below 111, and heavy traffic is the limit in which it tends to 111 from below, with only λ\lambdaλ varying.

Theorem 3 of the paper (Bertsimas and van Ryzin) states that π∗\pi^*π∗ achieves

T(π∗)∼β2λ(1−1q)2[∬Rf(x) dx]22m2v2(1−ρ−2λ∬R∥x−x0∥f(x) dxmvq)2T(\pi^*)\sim\frac{\beta^2\lambda(1-\frac1q)^2\left[\iint_{\mathscr R}\sqrt{f(x)}\,dx\right]^2}{2m^2v^2\left(1-\rho-\frac{2\lambda\iint_{\mathscr R}\|x-x_0\|f(x)\,dx}{mvq}\right)^2}T(π∗)∼2m2v2(1−ρ−mvq2λ∬R​∥x−x0​∥f(x)dx​)2β2λ(1−q1​)2[∬R​f(x)​dx]2​

in heavy traffic. A policy π\piπ is asymptotically optimal if T(π)/T(π∗)→1T(\pi)/T(\pi^*)\to1T(π)/T(π∗)→1 in heavy traffic.

A region partitioning policy fixes a partition {R1,…,Rm}\{\mathscr R_1,\dots,\mathscr R_m\}{R1​,…,Rm​} of R\mathscr RR and dedicates one vehicle to each Ri\mathscr R_iRi​. District iii then receives orders at rate λi=λ∬Rif\lambda_i=\lambda\iint_{\mathscr R_i}fλi​=λ∬Ri​​f with conditional density fi=f/∬Riff_i=f/\iint_{\mathscr R_i}ffi​=f/∬Ri​​f. Its vehicle runs the single-vehicle version of π∗\pi^*π∗, so Theorem 3 with m=1m=1m=1 gives its delivery time TiT_iTi​. The policy's overall expected delivery time is T=∑iP(x∈Ri) TiT=\sum_i\mathbb P(x\in\mathscr R_i)\,T_iT=∑i​P(x∈Ri​)Ti​.

Formalization targets

Goal: Theorem 6 (p. 11)

If for every iii

∬Rif(x) dx=1m∬Rf(x) dx,∬Ri(sˉvq+2∥x−x0∥)f(x) dx=1m∬R(sˉvq+2∥x−x0∥)f(x) dx,\iint_{\mathscr R_i}\sqrt{f(x)}\,dx=\frac1m\iint_{\mathscr R}\sqrt{f(x)}\,dx,\qquad \iint_{\mathscr R_i}(\bar svq+2\|x-x_0\|)f(x)\,dx=\frac1m\iint_{\mathscr R}(\bar svq+2\|x-x_0\|)f(x)\,dx,∬Ri​​f(x)​dx=m1​∬R​f(x)​dx,∬Ri​​(sˉvq+2∥x−x0​∥)f(x)dx=m1​∬R​(sˉvq+2∥x−x0​∥)f(x)dx,

and T(π∗)T(\pi^*)T(π∗) and every TiT_iTi​ obey Theorem 3, then

∑i=1mP(x∈Ri) TiT(π∗)⟶1in heavy traffic.\frac{\sum_{i=1}^m\mathbb P(x\in\mathscr R_i)\,T_i}{T(\pi^*)}\longrightarrow1\quad\text{in heavy traffic.}T(π∗)∑i=1m​P(x∈Ri​)Ti​​⟶1in heavy traffic.

Milestones

These are the displayed steps of the printed proofs of Theorems 5 and 6 (pp. ec5–ec6):

  1. Normalization identities. ∬Rifi=∬Rif/∬Rif\iint_{\mathscr R_i}\sqrt{f_i}=\iint_{\mathscr R_i}\sqrt f/\sqrt{\iint_{\mathscr R_i}f}∬Ri​​fi​​=∬Ri​​f​/∬Ri​​f​ and ∬Ri∥x−x0∥fi=∬Ri∥x−x0∥f/∬Rif\iint_{\mathscr R_i}\|x-x_0\|f_i=\iint_{\mathscr R_i}\|x-x_0\|f/\iint_{\mathscr R_i}f∬Ri​​∥x−x0​∥fi​=∬Ri​​∥x−x0​∥f/∬Ri​​f.
  2. Per-district workload identity. Under the second condition, district iii's workload factor ρi+2λi∬Ri∥x−x0∥fi/vq\rho_i+2\lambda_i\iint_{\mathscr R_i}\|x-x_0\|f_i/vqρi​+2λi​∬Ri​​∥x−x0​∥fi​/vq equals the fleet's for every λ\lambdaλ. The two heavy-traffic limits therefore coincide.
  3. Leading-term chain. Under both conditions, the Theorem 3 term of district iii (one vehicle, data λi,fi\lambda_i,f_iλi​,fi​) equals the fleet's term.
  4. Per-district ratio. Ti/T(π∗)→1T_i/T(\pi^*)\to1Ti​/T(π∗)→1 for every iii.
  5. Total expectation. If Ti/T(π∗)→1T_i/T(\pi^*)\to1Ti​/T(π∗)→1 for every iii, then ∑iP(x∈Ri)Ti/T(π∗)→1\sum_i\mathbb P(x\in\mathscr R_i)T_i/T(\pi^*)\to1∑i​P(x∈Ri​)Ti​/T(π∗)→1.

Significance

The result. Theorem 6 turns a question about stochastic, dynamic routing into a static geometric condition: find a partition that gives every district a 1/m1/m1/m share of two measures, μ1=∬f\mu_1=\iint\sqrt fμ1​=∬f​ (local tour length) and μ2=∬(sˉvq+2∥x−x0∥)f\mu_2=\iint(\bar svq+2\|x-x_0\|)fμ2​=∬(sˉvq+2∥x−x0​∥)f (service plus round-trip load). The rest of the paper builds on this. It computes such partitions with convex pieces, bounds the loss when the shares are only approximately equal (Proposition 3, the subject of the companion mission), and tests the policy in simulation. The theorem also shows that the arrival rates need not be equal across districts. What has to be equal is the combined load.

Formalizing it. The result has a short pen-and-paper proof, and no machine-checked version exists. The mission records exactly which part of the argument is real analysis (integral identities over a partition, and how heavy-traffic limits pass to ratios) and which part is borrowed from Bertsimas and van Ryzin. It also gives the platform a first districting and continuous-approximation development. Its definitions (workload factor, Theorem 3's leading term, heavy-traffic filter, conditional subregion data) can be reused for other results in the continuous-approximation literature.

Difficulty

The algebra in the proof is simple once Theorem 3 is applied to each district with its own rate λi\lambda_iλi​, density fif_ifi​ and one vehicle. The obstacle is in the limits. Theorem 3 for district iii holds along that district's heavy-traffic limit, where its own workload factor tends to 111, while asymptotic optimality is measured along the fleet's limit. These are different limits unless the second equitable condition makes the two workload factors equal as functions of λ\lambdaλ. A tempting shortcut is to state the district hypothesis directly with the fleet's quantities, such as (1/m)∬Rf(1/m)\iint_{\mathscr R}\sqrt f(1/m)∬R​f​ and the fleet's workload factor. That assumes milestones 2 and 3 and empties the theorem. Division also needs care: fif_ifi​ and the ratios Ti/T(π∗)T_i/T(\pi^*)Ti​/T(π∗) have denominators that must be shown nonzero from the hypotheses, not assumed.

Formalization scope

The plane is EuclideanSpace ℝ (Fin 2) with the Euclidean norm, and integrals are Bochner set integrals for Lebesgue measure. The definition file CarlssonPartition.Equitable.Setting contains:

  • the instance (R,x0,f,m,v,q,sˉ,β)(\mathscr R,x_0,f,m,v,q,\bar s,\beta)(R,x0​,f,m,v,q,sˉ,β);
  • the standing assumptions listed in Setting;
  • the workload factor and Theorem 3's leading term, both generic in (vehicle count, rate, region, density);
  • P(x∈S)\mathbb P(x\in S)P(x∈S), λi\lambda_iλi​ and fif_ifi​;
  • partitions;
  • the heavy-traffic filter.

Conventions:

  • The model is not formalized. The stochastic dynamic routing model (renewal arrivals, TSP batching, queues of tours) has no Mathlib substrate. The paper itself uses it only through Theorem 3 of Bertsimas and van Ryzin. So T(π∗)T(\pi^*)T(π∗) and the TiT_iTi​ are arbitrary real functions of λ\lambdaλ, and Theorem 3 is a hypothesis on them: for the fleet, and for each district with m=1m=1m=1 along the district's own limit.
  • Heavy traffic is Filter.comap (fun λ => workload) (𝓝[<] 1): the arrival rates along which the workload factor tends to 111 from below. Every "∼\sim∼" is a ratio tending to 111.
  • Partitions are read up to null sets: null-measurable pieces, pairwise almost-everywhere disjoint, with union R\mathscr RR.
  • Added hypothesis q≥2q\ge2q≥2. At q=1q=1q=1 the factor (1−1/q)2(1-1/q)^2(1−1/q)2 makes Theorem 3's leading term zero, so its ratio hypotheses could not hold and the theorem would be vacuous.
  • No positivity of ∬Rif\iint_{\mathscr R_i}f∬Ri​​f is assumed in the goal, because it follows from the first equitable condition. The milestones that manipulate fif_ifi​ state it explicitly.
  • The Lipschitz condition is kept as a standing assumption of the paper, although only continuity is needed.

Two formalizations would make the goal trivial and are ruled out: defining T(π∗)T(\pi^*)T(π∗) or TiT_iTi​ as the leading-order formula, and writing the district hypothesis with fleet quantities or the fleet's filter. The verification development checks that the heavy-traffic filter is not the bottom filter whenever sˉ>0\bar s>0sˉ>0.

Welcome contributions: proofs of the milestones; a general lemma on averaging ratio limits under a probability vector; and finite additivity of set integrals over a.e.-disjoint partitions in the form used here.

Selected references

  • J. G. Carlsson, S. Liu, N. Salari, H. Yu, Provably Good Region Partitioning for On-Time Last-Mile Delivery, Operations Research 72(1):91–109, 2024. https://doi.org/10.1287/opre.2021.0588 (accepted manuscript: https://ssrn.com/abstract=3915544)
  • D. J. Bertsimas, G. van Ryzin, Stochastic and Dynamic Vehicle Routing in the Euclidean Plane with Multiple Capacitated Vehicles, Operations Research 41(1):60–76, 1993. https://doi.org/10.1287/opre.41.1.60
  • D. J. Bertsimas, G. van Ryzin, A Stochastic and Dynamic Vehicle Routing Problem in the Euclidean Plane, Operations Research 39(4):601–615, 1991. https://doi.org/10.1287/opre.39.4.601
  • J. Beardwood, J. H. Halton, J. M. Hammersley, The Shortest Path Through Many Points, Mathematical Proceedings of the Cambridge Philosophical Society 55(4):299–327, 1959. https://doi.org/10.1017/S0305004100034095
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Convex OptimizationOperations ResearchProbability·Captain: mikedeng1

Real-Time Spatial–Intertemporal Pricing and Relocation in a Ride-Hailing Network: Near-Optimal Policies and the Value of Dynamic Pricing 1: Arc Balancing Control Has Loss O(log(1+n)^{3/2}/n^{2/3})Research Paper

Why spatial pricing needs a dynamic control

A ride-hailing firm chooses prices while drivers move through a city. A trip from one region uses a driver immediately and returns that driver at another region only after a travel delay. Prices affect which trips are requested, but the actual requests fluctuate. A plan that ignores these fluctuations can run out of available drivers at a busy origin even when its average flows fit the fleet. Chen, Lei, and Jasin study how closely a feasible pricing control can approach a deterministic revenue benchmark in this setting (accepted manuscript, published article).

Their Arc Balancing Control (ABC) responds to realized trips. It groups each directed arc's periods into batches and adjusts the next batch's demand rates according to the previous batch's cumulative surplus or deficit. The paper proves a loss rate for ABC that is smaller than the rate established there for its Static Price Control. The target here is the paper's Theorem 3, with the model and parameters of its authors' accepted manuscript. Its e-companion contains the paper's proofs.

The pricing network and benchmark

The network has N≥1N\ge1N≥1 regions and a horizon of T≥1T\ge1T≥1 periods. Every ordered pair i→ji\to ji→j, including i=ji=ji=j, is an arc. At most one customer can request an arc's trip in a period. A served trip takes one server from region iii for τij≥1\tau_{ij}\ge1τij​≥1 periods, then returns it at jjj. Region iii starts with Ci≥NC_i\ge NCi​≥N servers. A control must respect the available server count before it serves each period's realized requests.

The decision is a demand rate λt,ij∈[0,1]\lambda_{t,ij}\in[0,1]λt,ij​∈[0,1] rather than its inverse price. The expected revenue from that arc and period is rt,ij(λt,ij)r_{t,ij}(\lambda_{t,ij})rt,ij​(λt,ij​). The revenue functions are nonnegative and strongly concave, vanish at zero, and have bounded first and second derivatives. The bound on those derivatives is Ψ3>0\Psi_3>0Ψ3​>0. The paper's price-side assumptions imply these rate-side conditions; the Lean model states the conditions directly.

The deterministic convex program DCP(ζ)\mathrm{DCP}(\zeta)DCP(ζ) chooses rates to maximize the sum of expected revenues. Its flow constraints replace realized trips with their rates, while its cushion requires ζ≤λt,ij≤1−ζ\zeta\le\lambda_{t,ij}\le1-\zetaζ≤λt,ij​≤1−ζ. Write J(ζ)J(\zeta)J(ζ) for its value and λζ,D\lambda^{\zeta,D}λζ,D for an optimal schedule. In the nnnth system, the fleet, horizon, and travel times are multiplied by nnn; each original period's revenue curve is used for nnn consecutive scaled periods. Thus Tn=nTT^n=nTTn=nT and τ‾n=nmin⁡i,jτij\underline\tau^n=n\min_{i,j}\tau_{ij}τ​n=nmini,j​τij​. For a control π\piπ, the per-period benchmark loss is

Lπ(n)=J(n,0)−Eπ[Rπ(n)]Tn.L^\pi(n)=\frac{J(n,0)-\mathbb E^\pi[R^\pi(n)]}{T^n}.Lπ(n)=TnJ(n,0)−Eπ[Rπ(n)]​.

ABC uses λn,ζ,D\lambda^{n,\zeta,D}λn,ζ,D as its baseline. Its batches have a target sum bbb of the baseline variance weights λt,ijn,ζ,D(1−λt,ijn,ζ,D)\lambda^{n,\zeta,D}_{t,ij}(1-\lambda^{n,\zeta,D}_{t,ij})λt,ijn,ζ,D​(1−λt,ijn,ζ,D​). Within a batch, the control subtracts a weighted share of the preceding batch's realized surplus δˉijk=∑t∈Tijk(Dt,ij−λt,ijABC)\bar\delta^k_{ij}=\sum_{t\in\mathcal T^k_{ij}}(D_{t,ij}-\lambda^{ABC}_{t,ij})δˉijk​=∑t∈Tijk​​(Dt,ij​−λt,ijABC​). A rate is projected to [0,1][0,1][0,1], and an origin with too few available servers is turned off. The finite path law uses the rates posted along each path.

Formalization targets

The principal target is Theorem 3. With bn=(τ‾n)2/3b_n=(\underline\tau^n)^{2/3}bn​=(τ​n)2/3 and

ϵn=(τ‾n)−1(1+162(bn+1)log⁡Tn),ζn=2ϵn,\epsilon_n=(\underline\tau^n)^{-1}\left(1+16\sqrt{2(b_n+1)\log T^n}\right),\qquad \zeta_n=2\epsilon_n,ϵn​=(τ​n)−1(1+162(bn​+1)logTn​),ζn​=2ϵn​,

there is a constant Ψ~2\widetilde\Psi_2Ψ2​, independent of nnn, for which every integer n≥1n\ge1n≥1 satisfies

LABC(n)≤Ψ~2log⁡(1+n)3/2n2/3.L^{ABC}(n)\le\widetilde\Psi_2\frac{\log(1+n)^{3/2}}{n^{2/3}}.LABC(n)≤Ψ2​n2/3log(1+n)3/2​.

The milestone list follows the source results used in the analysis: Lemma 2 bounds the deterministic cost of a small cushion and gives feasibility; Lemma EC.1 bounds a maximal cumulative Bernoulli deviation; and the two parts of Lemma 4 characterize ABC on a batchwise good event A\mathcal AA and bound that event's probability. Theorem 3 fixes the complete control and these exact parameters; its constant may depend on the fixed network instance and Ψ3\Psi_3Ψ3​.

What the result establishes

The theorem gives a finite-nnn loss bound relative to J(n,0)J(n,0)J(n,0), with the stated n−2/3n^{-2/3}n−2/3 rate and logarithmic factor. In the paper, Lemma 1 shows that J(n,0)J(n,0)J(n,0) bounds the optimal admissible policy's revenue. Theorem 3 therefore bounds ABC's distance from a benchmark that is at least as high as the unknown stochastic optimum. The paper compares this rate with its n−1/2n^{-1/2}n−1/2 result for Static Price Control and explains the resulting value of adapting prices to realized demand (Theorems 2–3).

The published mathematical result and its manuscript proof are known; the statements in this mission are Lean targets with proofs still to be formalized. A complete development would also make reusable definitions for finite controlled path laws, delayed network flow balance, and cushioned deterministic relaxations. The batch and feedback definitions isolate the paper-specific control from that general infrastructure.

Main difficulty

The deterministic program controls expected flows, while ABC must keep every realized path feasible. An unadjusted baseline can accumulate demand fluctuations over the whole horizon; bounding those fluctuations alone does not describe the effect of ABC's feedback. The control's posted rate in a period depends on earlier realized requests, which changes the distribution of later requests. The manuscript's proof of Lemma 4 bounds a variance proxy from its deterministic baseline when treating the adaptive posted rates; that step needs separate justification in a formal proof. Lemma EC.1, as posed here, covers deterministic Bernoulli rates and does not by itself close that gap. The finite-horizon claim, including small scaling factors for which the cushioned DCP may be infeasible, must still be established.

Formalization scope

Lean represents regions by Fin N, periods by natural numbers 1,…,T1,\ldots,T1,…,T, travel times and server counts by naturals, demand by Boolean paths, and revenue and rates by real numbers. The DCP(n,ζ)\mathrm{DCP}(n,\zeta)DCP(n,ζ) program uses a real supremum; statements involving positive ζ\zetaζ assert feasibility, and J(n,0)J(n,0)J(n,0) has the zero schedule as a feasible point. ABC's path law is the product of sequential Bernoulli factors at its own posted rates. Its rate history is built by structural recursion, and the event A\mathcal AA checks every nonempty batch and all its partial sums.

The accepted manuscript leaves the final incomplete batch unspecified, so the last short batch is merged with its predecessor. The printed ABC box turns an origin off at Ct,i≤NC_{t,i}\le NCt,i​≤N, while Lemma 4 and its base case require service when Ct,i=NC_{t,i}=NCt,i​=N; the formal control uses Ct,i≥NC_{t,i}\ge NCt,i​≥N. If the cushioned DCP has no optimum, the baseline is zero. The sample-path part of Lemma 4 adds the hypothesis τ‾≤T\underline\tau\le Tτ​≤T, which the manuscript does not print. Without it the part is false: when the horizon is shorter than every travel time, no server returns, and a single realized trip can leave a region below NNN servers on the good event. These conventions are recorded with the source discrepancies in the moderation notes. The rate model drops assumptions A1 and A3(i), which concern only the price parametrization, and writes A2, A3(ii), r≥0r\ge0r≥0, and r(0)=0r(0)=0r(0)=0 directly. It assumes a twice continuously differentiable extension of revenue to R\mathbb RR. No statement substitutes expected demand for the realized batch surplus or lets the theorem's parameters depend on nnn by existential choice. Contributions toward the source milestones, the adaptive concentration step, and the reusable model definitions are all within scope.

Selected references

  • Q. Chen, Y. Lei, and S. Jasin, Real-Time Spatial-Intertemporal Pricing and Relocation in a Ride-Hailing Network: Near Optimal Heuristics and The Value of Dynamic Pricing, authors' accepted manuscript, LBS Research Online eprint 2845, pp. 7–25 and ec2–ec6; published as Real-Time Spatial–Intertemporal Pricing and Relocation in a Ride-Hailing Network: Near-Optimal Policies and the Value of Dynamic Pricing, Operations Research 72(5):2097–2118, 2024. Manuscript, DOI.
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Algorithmic Game TheoryOperations ResearchOptimization·Captain: mikedeng1

Managing Outpatient Service with Strategic Walk-ins II: The Triage Model Costs Less When C_L/C_O ≤ α̲ and the Strategic Model Costs Less When C_L/C_O ≥ ᾱResearch Paper

Motivation

Many outpatient clinics offer two ways in: an appointment booked online, and walk-in hours on the day. Some patients have no choice (acute cases arrive as walk-ins), but many can pick either channel, and they pick the one that costs them less: a long appointment delay pushes them into the walk-in room, a crowded walk-in room pushes them to book or to give up. A clinic deciding how to split its daily capacity between the two channels therefore faces a game, not a forecasting problem.

Liu, van Jaarsveld, Wang and Xiao (SSRN 3558209; Management Science 2023, doi:10.1287/mnsc.2023.4676) model this game and compare three operational levers: the capacity split, how much delay information the booking system reveals, and triage, that is, reserving walk-in hours for acute patients only (as some practices do, e.g. Centre Pediatrics 2021). This mission formalizes the triage comparison, Proposition 6 of the paper: closing walk-in hours to patients who could book pays off exactly when lost demand is cheap relative to overtime.

Setting

Patients. Exogenous walk-ins arrive at rate λE\lambda_EλE​ and are always served on the day, possibly in overtime. Strategic patients arrive as a Poisson process of rate λ>0\lambda>0λ>0. A served patient gains R>0R>0R>0.

Capacity. The clinic has total capacity μ>0\mu>0μ>0 per day, split into appointment hours μS\mu_SμS​ and walk-in hours μW=μ−μS\mu_W=\mu-\mu_SμW​=μ−μS​, with μS∈[0,μ)\mu_S\in[0,\mu)μS​∈[0,μ).

The appointment queue. Appointments form a single-server queue with deterministic service time 1/μS1/\mu_S1/μS​. In the observable setting a patient sees the queue: with kkk patients waiting, the delay is (k+u~)/μS(k+\tilde u)/\mu_S(k+u~)/μS​, u~\tilde uu~ uniform on [0,1][0,1][0,1]. A patient schedules when this delay is at most a threshold δ\deltaδ, and scheduling at delay ddd is worth uS2(d)=R−CDdu^2_S(d)=R-C_D duS2​(d)=R−CD​d. The fraction of strategic patients who do not schedule is the blocking probability π(δ,μS)\pi(\delta,\mu_S)π(δ,μS​) of this M/D/1/K−1+p queue, where K=⌈δμS⌉K=\lceil\delta\mu_S\rceilK=⌈δμS​⌉ and p=δμS+1−Kp=\delta\mu_S+1-Kp=δμS​+1−K. With ρ=λ/μS\rho=\lambda/\mu_Sρ=λ/μS​ it has the closed form π(δ,μS)=1−1/(q0+ρ)\pi(\delta,\mu_S)=1-1/(q_0+\rho)π(δ,μS​)=1−1/(q0​+ρ), where q0q_0q0​ is built from the Poisson weights αj=ρje−ρ/j!\alpha_j=\rho^je^{-\rho}/j!αj​=ρje−ρ/j! by the Brun–Garcia recursion (Online Appendix C, (26)–(27), Corollary C.1). With no appointment hours, π(δ,0)=1\pi(\delta,0)=1π(δ,0)=1.

Walking in and balking. A patient who does not schedule walks in with probability proportional to pWp_WpW​ or balks with probability proportional to pBp_BpB​. Walking in is worth uW2(pW)=R−CW w((λE+pWλ)/μW)u^2_W(p_W)=R-C_W\,w\big((\lambda_E+p_W\lambda)/\mu_W\big)uW2​(pW​)=R−CW​w((λE​+pW​λ)/μW​), with www convex, strictly increasing and w(0)=0w(0)=0w(0)=0; balking is worth 000. An observable equilibrium (δ,pW,pB)(\delta,p_W,p_B)(δ,pW​,pB​) is a solution of conditions (6)–(10): the threshold δ\deltaδ makes scheduling at least as good as the walk-in/balk mixture up to δ\deltaδ and worse beyond it, pW+pB=π(δ,μS)p_W+p_B=\pi(\delta,\mu_S)pW​+pB​=π(δ,μS​), and patients walk in (balk) only if walking in is worth at least (at most) zero.

Costs. The provider pays CLC_LCL​ per balking patient and CO o(⋅)C_O\,o(\cdot)CO​o(⋅) for overtime, with ooo convex and strictly increasing. In the strategic model patients choose freely, and the cost at allocation μS\mu_SμS​ and equilibrium (δ,pW,pB)(\delta,p_W,p_B)(δ,pW​,pB​) is

Zs=CL pBλ+CO o(pWλ+λEμW).(Ob.P)Z^s=C_L\,p_B\lambda+C_O\,o\Big(\frac{p_W\lambda+\lambda_E}{\mu_W}\Big). \qquad\text{(Ob.P)}Zs=CL​pB​λ+CO​o(μW​pW​λ+λE​​).(Ob.P)

In the triage model strategic patients may only schedule or balk, so they behave with threshold R/CDR/C_DR/CD​ and

Zt=CL π(R/CD,μS) λ+CO o(λEμW).(T.Ob.P)Z^t=C_L\,\pi(R/C_D,\mu_S)\,\lambda+C_O\,o\Big(\frac{\lambda_E}{\mu_W}\Big). \qquad\text{(T.Ob.P)}Zt=CL​π(R/CD​,μS​)λ+CO​o(μW​λE​​).(T.Ob.P)

Let μ‾W\underline\mu_Wμ​W​ solve R−CW w(λE/μ‾W)=0R-C_W\,w(\lambda_E/\underline\mu_W)=0R−CW​w(λE​/μ​W​)=0 (15): below these walk-in hours the exogenous walk-ins alone make walking in worthless.

Formalization targets

Goal: Proposition 6

Suppose μ>μ‾W\mu>\underline\mu_Wμ>μ​W​ and set

α‾=o′(λE/μ)μ,α‾=o′(λE/μ‾W)μ‾Wmax⁡{λEλ π(R/CD,μ−μ‾W),1}.\underline\alpha=\frac{o'(\lambda_E/\mu)}{\mu},\qquad \overline\alpha=\frac{o'(\lambda_E/\underline\mu_W)}{\underline\mu_W}\max\Big\{\frac{\lambda_E}{\lambda\,\pi(R/C_D,\mu-\underline\mu_W)},1\Big\}.α​=μo′(λE​/μ)​,α=μ​W​o′(λE​/μ​W​)​max{λπ(R/CD​,μ−μ​W​)λE​​,1}.

Then

CLCO≤α‾ ⟹ inf⁡Zt≤inf⁡Zs,CLCO≥α‾ ⟹ inf⁡Zs≤inf⁡Zt,\frac{C_L}{C_O}\le\underline\alpha\ \Longrightarrow\ \inf Z^t\le\inf Z^s,\qquad \frac{C_L}{C_O}\ge\overline\alpha\ \Longrightarrow\ \inf Z^s\le\inf Z^t,CO​CL​​≤α​ ⟹ infZt≤infZs,CO​CL​​≥α ⟹ infZs≤infZt,

where the infima are over allocations μS∈[0,μ)\mu_S\in[0,\mu)μS​∈[0,μ) and, on the strategic side, over the equilibria at each allocation. The Lean statement says this without infima: every strategic configuration is matched by a triage allocation that costs no more, and every triage allocation is matched by a strategic allocation at which an equilibrium exists and every equilibrium costs no more.

Milestones

  1. Proposition C.2 (μS\mu_SμS​-part): μS↦π(δ,μS)\mu_S\mapsto\pi(\delta,\mu_S)μS​↦π(δ,μS​) is continuous and strictly decreasing on (0,∞)(0,\infty)(0,∞).
  2. Proposition 1 (observable setting): an observable equilibrium exists at every allocation.
  3. Proposition 2 (1): if μW≤μ‾W\mu_W\le\underline\mu_WμW​≤μ​W​, every equilibrium is schedule-and-balk, pW=0p_W=0pW​=0, δ=R/CD\delta=R/C_Dδ=R/CD​, pB=π(R/CD,μS)p_B=\pi(R/C_D,\mu_S)pB​=π(R/CD​,μS​).
  4. From the proof of part 1: λ (1−π(δ,μS))≤λ (1−π(R/CD,μS))\lambda\,(1-\pi(\delta,\mu_S))\le\lambda\,(1-\pi(R/C_D,\mu_S))λ(1−π(δ,μS​))≤λ(1−π(R/CD​,μS​)) at every equilibrium.
  5. From the proof of part 2: if nobody balks, (λpW+λE)/μW≤λE/μ‾W(\lambda p_W+\lambda_E)/\mu_W\le\lambda_E/\underline\mu_W(λpW​+λE​)/μW​≤λE​/μ​W​.
  6. From the proof of part 2: if patients mix between walking in and balking, (λpW+λE)/μW=λE/μ‾W(\lambda p_W+\lambda_E)/\mu_W=\lambda_E/\underline\mu_W(λpW​+λE​)/μW​=λE​/μ​W​.

Significance

Proposition 6 turns a qualitative trade-off into two explicit thresholds on the ratio of the lost-demand cost to the overtime cost. Free choice reduces balking but lets strategic patients crowd the walk-in hours; triage removes that crowding at the price of more balking. The thresholds α‾\underline\alphaα​ and α‾\overline\alphaα depend only on the overtime function, the capacity and the blocking probability, so a clinic can evaluate them from its own data. The paper also shows (Remark 4, Appendix D.8) that the same insight holds in the unobservable setting, with capacity playing an additional role; that variant is not part of this mission.

The result is proved in the paper (Online Appendix E.3, pp. 35–37) and has no machine-checked proof. The formalization adds three things. It fixes the equilibrium concept precisely, including the mixture weights and the endpoint conventions. It states the comparison of optimal costs without presupposing that the optima are attained; the paper's proof begins "denote the optimal capacity allocations" without proving existence. And it ties the blocking probability to the paper's closed form, so the monotonicity in μS\mu_SμS​ that the proof invokes becomes a statement about an explicit function rather than about a queue described in words.

Difficulty

The comparison itself is a chain of convexity inequalities at a single allocation. The hard part is the blocking probability. The paper proves that π(δ,μS)\pi(\delta,\mu_S)π(δ,μS​) decreases in μS\mu_SμS​ by a sample-path argument on the queue, but a formal development has only the closed form, in which K=⌈δμS⌉K=\lceil\delta\mu_S\rceilK=⌈δμS​⌉ jumps at every μS\mu_SμS​ where δμS\delta\mu_SδμS​ is an integer, ppp jumps from 111 to 000 there, and ρ=λ/μS\rho=\lambda/\mu_Sρ=λ/μS​ moves continuously. Monotonicity and continuity must be shown across these seams, through alternating sums whose terms cancel heavily. The obvious route, differentiating the closed form for fixed KKK, does not give the sign without a further structural argument on the coefficients aja_jaj​.

Existence of an equilibrium (milestone 2) is an intermediate-value argument in δ\deltaδ, which in turn needs continuity of π\piπ in δ\deltaδ and positivity of π\piπ.

Formalization scope

Everything lives in the namespace OutpatientWalkIn.Triage. The definition Queue contains the closed-form blocking probability blockProb lam δ μS; the definition Setting contains the model, the standing assumptions, the utilities, the equilibrium IsObsEq, the costs obsCost and triageCost, and the thresholds alphaLow, alphaHigh.

Conventions:

  • Standing assumptions, hypotheses of every theorem: λ>0\lambda>0λ>0, λE≥0\lambda_E\ge0λE​≥0, R,CD,CW>0R,C_D,C_W>0R,CD​,CW​>0, CL,CO≥0C_L,C_O\ge0CL​,CO​≥0, μ>0\mu>0μ>0; www convex and strictly increasing on [0,∞)[0,\infty)[0,∞) with w(0)=0w(0)=0w(0)=0 (Assumption 1); ooo convex and strictly increasing on [0,∞)[0,\infty)[0,∞) (Assumption 2).
  • Allocations range over μS∈[0,μ)\mu_S\in[0,\mu)μS​∈[0,μ) on both sides, so that μW>0\mu_W>0μW​>0; the paper's μS=μ\mu_S=\muμS​=μ leaves the exogenous walk-ins with no walk-in hours.
  • π(δ,0)=1\pi(\delta,0)=1π(δ,0)=1; the observable setting is defined directly (the paper's CG=0C_G=0CG​=0).
  • The equilibrium carries the guard pW+pB>0p_W+p_B>0pW​+pB​>0, which by (8) is π(δ,μS)>0\pi(\delta,\mu_S)>0π(δ,μS​)>0 and excludes no equilibrium of the paper.
  • Added hypotheses of the goal: CO>0C_O>0CO​>0, λE>0\lambda_E>0λE​>0, μ‾W>0\underline\mu_W>0μ​W​>0 given by (15), and differentiability of ooo at λE/μ\lambda_E/\muλE​/μ and λE/μ‾W\lambda_E/\underline\mu_WλE​/μ​W​ (where o′o'o′ is evaluated). Without them Lean's CL/0=0C_L/0=0CL​/0=0 and the zero derivative of a non-differentiable function would make α‾=0\underline\alpha=0α​=0 and turn part 1 into a different claim.
  • "Costs less" is "costs no more" (p. 26).

A formalization that compares the two models at one fixed allocation only, that lets the prover choose a cheap equilibrium when several might exist, or that replaces π\piπ by an arbitrary decreasing function, is not the paper's theorem; the statements here rule these out.

Contributions welcome: properties of the closed-form π\piπ (positivity, π≤1\pi\le1π≤1, monotonicity and continuity in both arguments), the existence of equilibria, and the convexity estimates of the final comparison. The queue file is reusable for any M/D/1/K model with partial joining.

Selected references

  • N. Liu, W. van Jaarsveld, S. Wang, G. Xiao, Managing Outpatient Service with Strategic Walk-ins, SSRN 3558209 (version of 2022-07-05); Management Science, 2023. https://ssrn.com/abstract=3558209, https://doi.org/10.1287/mnsc.2023.4676
  • O. Brun, J.-M. Garcia, Analytical solution of finite capacity M/D/1 queues, Journal of Applied Probability 37(4), 2000 (the source of the aja_jaj​ recursion, cited in the paper's Online Appendix C).
  • P. Naor, The regulation of queue size by levying tolls, Econometrica 37(1), 1969. https://doi.org/10.2307/1909200
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Operations ResearchProbability·Captain: mikedeng1

Load Balancing Under Strict Compatibility Constraints 1: On Proportionally Sparse Subcritical Compatibility Graphs, JSQ(d) Has the Fully Flexible Mean-Field Limit and Steady StateResearch Paper

Motivation

In large server farms and cloud platforms, not every server can process every task. Data locality, licences, hardware and security rules restrict each task type to a subset of servers. Such compatibility constraints are modelled by a bipartite compatibility graph between task types (dispatchers) and servers. Classical mean-field results for load balancing, such as Mitzenmacher's analysis of the power of ddd choices (Mitzenmacher 2001) and Vvedenskaya, Dobrushin and Karpelevich's supermarket model (1996), assume full flexibility: every task may join every server. Rutten and Mukherjee (arXiv:2008.07562, Math. Oper. Res. 2023) identify graph conditions under which JSQ(ddd) on a sparse compatibility graph behaves, in the large-system limit, exactly like the fully flexible system. This holds both on finite time intervals and in steady state.

Related work includes Budhiraja, Mukherjee and Wu (2019), on the supermarket model on graphs whose vertices are servers; Mukherjee, Borst, van Leeuwaarden and Whiting (2018), on the universality of power-of-ddd schemes; and Bramson (2011) and Cardinaels, Borst and van Leeuwaarden (2019), on the stability of JSQ-type policies under compatibility constraints.

Setting

There are NNN servers VNV_NVN​ and M(N)≥1M(N)\ge1M(N)≥1 dispatchers WNW_NWN​, with an edge set EN⊆VN×WNE_N\subseteq V_N\times W_NEN​⊆VN​×WN​. Dispatcher www can only send tasks to its neighbourhood Nw={v:(v,w)∈EN}\mathcal N_w=\{v:(v,w)\in E_N\}Nw​={v:(v,w)∈EN​}.

  • Tasks arrive at each dispatcher as independent Poisson streams of rate λN/M(N)\lambda N/M(N)λN/M(N), with 0<λ<10<\lambda<10<λ<1.
  • Each server has its own infinite-buffer queue with unit-mean exponential services.
  • Under JSQ(ddd), d≥2d\ge2d≥2, an arriving task at www samples min⁡(d,∣Nw∣)\min(d,|\mathcal N_w|)min(d,∣Nw​∣) servers of Nw\mathcal N_wNw​ uniformly at random, without replacement, and joins a shortest of their queues. Ties are broken uniformly at random.

The state Φ(GN,t)∈NVN\Phi(G_N,t)\in\mathbb N^{V_N}Φ(GN​,t)∈NVN​ is the vector of queue lengths. Two statistics of a state zzz are used:

  • the occupancy qi(z)=∣{v:zv≥i}∣/Nq_i(z)=|\{v:z_v\ge i\}|/Nqi​(z)=∣{v:zv​≥i}∣/N;
  • the local empirical distribution xiw(z)=∣{v∈Nw:zv=i}∣/∣Nw∣x^w_i(z)=|\{v\in\mathcal N_w:z_v=i\}|/|\mathcal N_w|xiw​(z)=∣{v∈Nw​:zv​=i}∣/∣Nw​∣.

Occupancies live in Y={q∈ℓ1:qi∈[0,1], qi≥qj for i<j}\mathcal Y=\{q\in\ell_1:q_i\in[0,1],\ q_i\ge q_j\text{ for }i<j\}Y={q∈ℓ1​:qi​∈[0,1], qi​≥qj​ for i<j}.

The sequence {GN}\{G_N\}{GN​} is proportionally sparse if for every ε>0\varepsilon>0ε>0

sup⁡U⊆VN1M(N)∣{w:∣∣Nw∩U∣∣Nw∣−∣U∣N∣≥ε}∣→0.\sup_{U\subseteq V_N}\frac1{M(N)}\Big|\Big\{w:\Big|\frac{|\mathcal N_w\cap U|}{|\mathcal N_w|}-\frac{|U|}{N}\Big|\ge\varepsilon\Big\}\Big|\to0 .U⊆VN​sup​M(N)1​​{w:​∣Nw​∣∣Nw​∩U∣​−N∣U∣​​≥ε}​→0.

Put kw=min⁡(d,∣Nw∣)k_w=\min(d,|\mathcal N_w|)kw​=min(d,∣Nw​∣). The sequence is subcritical if there are probability distributions γwU\gamma^U_wγwU​ on the sampled sets UUU with

lim sup⁡N→∞max⁡vNM(N)∑w(∣Nw∣kw)−1∑U⊆Nw, ∣U∣=kwγwU(v)≤1.\limsup_{N\to\infty}\max_{v}\frac{N}{M(N)}\sum_w\binom{|\mathcal N_w|}{k_w}^{-1}\sum_{U\subseteq\mathcal N_w,\,|U|=k_w}\gamma^U_w(v)\le1 .N→∞limsup​vmax​M(N)N​w∑​(kw​∣Nw​∣​)−1U⊆Nw​,∣U∣=kw​∑​γwU​(v)≤1.

This bounds the load that a static randomised routing would put on any server.

The fully flexible mean-field limit is the system of ODEs

dqi∗dt=λ((qi−1∗)d−(qi∗)d)−(qi∗−qi+1∗),i≥1,q0∗≡1,(3.3)\frac{dq^*_i}{dt}=\lambda\big((q^*_{i-1})^d-(q^*_i)^d\big)-(q^*_i-q^*_{i+1}),\qquad i\ge1,\quad q^*_0\equiv1,\qquad(3.3)dtdqi∗​​=λ((qi−1∗​)d−(qi∗​)d)−(qi∗​−qi+1∗​),i≥1,q0∗​≡1,(3.3)

whose fixed point is qi∗(∞)=λ(di−1)/(d−1)q^*_i(\infty)=\lambda^{(d^i-1)/(d-1)}qi∗​(∞)=λ(di−1)/(d−1).

Formalization targets

Goal: Theorem 3.4

Let {GN}\{G_N\}{GN​} be proportionally sparse and connected, and suppose q∗(0)∈Yq^*(0)\in\mathcal Yq∗(0)∈Y with ∥q(Φ(GN,0))−q∗(0)∥1→0\|q(\Phi(G_N,0))-q^*(0)\|_1\to0∥q(Φ(GN​,0))−q∗(0)∥1​→0. Then, for every T≥0T\ge0T≥0 and ε>0\varepsilon>0ε>0,

P(sup⁡t≤T∥q(Φ(GN,t))−q∗(t)∥1≥ε)→0.P\Big(\sup_{t\le T}\|q(\Phi(G_N,t))-q^*(t)\|_1\ge\varepsilon\Big)\to0 .P(t≤Tsup​∥q(Φ(GN​,t))−q∗(t)∥1​≥ε)→0.

If moreover {GN}\{G_N\}{GN​} is subcritical, then for all large NNN the chain has a unique stationary distribution πN\pi_NπN​, and πN(∥q−q∗(∞)∥1≥ε)→0\pi_N(\|q-q^*(\infty)\|_1\ge\varepsilon)\to0πN​(∥q−q∗(∞)∥1​≥ε)→0.

Milestones, in the order the proof uses them

  • Lemma 4.2: the JSQ(ddd) assignment function is Lipschitz.
  • Lemma F.1 and Proposition 4.5: on proportionally sparse graphs, local and global empirical distributions agree for almost all dispatchers, uniformly on [0,T][0,T][0,T].
  • Proposition 4.7: under the optimal coupling, the occupancy distance to the fully flexible system is at most twice the number of routing mismatches.
  • Theorem 4.3: the process-level limit for Lipschitz policies.
  • Lemmas H.2, H.4, H.5 and Theorem 4.8(i): Foster–Lyapunov stability for all large NNN.
  • Lemmas 4.9, 4.10 and Theorem 4.8(ii): tightness of the steady states in a weighted ℓ1\ell_1ℓ1​ space.
  • Theorem 4.11: exponential global stability of (3.3) in that weighted norm.

Significance

The result. The theorem separates two graph properties.

  • Proportional sparsity is an expansion property; it alone makes the transient dynamics universal.
  • Subcriticality is a capacity condition; it alone gives stability and tightness of the stationary distributions.

Together they justify using the fully flexible ODE (3.3) and its fixed point for the stationary performance of a constrained system. Companion results (Theorems 3.5 and 3.6, formalized in missions 2 and 3 of this series) show that random graphs with degrees growing only slightly faster than logarithmically satisfy both conditions, so the flexibility needed for full mean-field performance is far smaller than complete flexibility.

Formalizing it. The result is proved on paper but has no machine-checked proof. A formalization would produce the following.

  • A reusable model of a continuous-time Markov chain with bounded rates, realised by uniformisation.
  • Foster–Lyapunov and petite-set arguments on a countable state space.
  • A pathwise coupling bound.
  • A tightness criterion in weighted ℓ1\ell_1ℓ1​.
  • An interchange-of-limits argument.

The global stability of (3.3) relies on Mitzenmacher's weighted-potential theorem, which is posed separately on the platform (PowerTwoChoices.Limit.theorem_3) and is open.

Difficulty

The obvious argument couples the system on GNG_NGN​ with the fully flexible system server by server. This fails because a task arriving at www can only join Nw\mathcal N_wNw​, so the two systems cannot place it at the same server. The paper instead couples the queue lengths chosen and counts mismatches. That bound is only useful if almost every dispatcher sees a local queue-length distribution close to the global one at all times. The set of good dispatchers changes with the state, and controlling it requires a uniform bound over all subsets of servers.

A second gap concerns the goal itself. Theorem 4.3 covers policies that depend only on the local empirical distribution. JSQ(ddd) without replacement also depends on ∣Nw∣|\mathcal N_w|∣Nw​∣ when neighbourhoods are small, so deducing the goal from Theorem 4.3 needs an approximation step that the paper does not spell out.

For the steady state, subcriticality bounds a lim sup⁡\limsuplimsup only, so stability holds for large NNN and not for every NNN. Tightness in a fixed ℓ1\ell_1ℓ1​-ball does not suffice: the limit is identified through a stability result that holds in a weighted norm with geometrically growing weights. The tightness has to be proved in that norm, through moment bounds on stationary tails.

Formalization scope

  • Graphs. Servers are Fin N, dispatchers Fin (M N) with M(N)≥1M(N)\ge1M(N)≥1, and edges a Finset. Connectivity is a separate hypothesis (Definition 3.1 and §2). Proportional sparsity is the limit condition (3.1). In subcriticality the normaliser is (∣Nw∣kw)\binom{|\mathcal N_w|}{k_w}(kw​∣Nw​∣​), and the distributions γwU\gamma^U_wγwU​ are constrained only for nonempty UUU. Both choices agree with the paper whenever ∣Nw∣≥d|\mathcal N_w|\ge d∣Nw​∣≥d.
  • Dynamics. The process is the uniformised chain with kernel lbKernel, run at the epochs of an independent Poisson clock of rate (λ+1)N(\lambda+1)N(λ+1)N. Statements quantify over every realisation on every probability space, for N≥1N\ge1N≥1. JSQ(ddd) samples without replacement; with replacement, Theorem 4.8 is false under Definition 3.3.
  • Occupancy. The occupancy is indexed from 000 with q0=1q_0=1q0​=1, and ℓ1\ell_1ℓ1​ distances are l1dist in [0,∞][0,\infty][0,∞]. "Converges weakly" to a deterministic limit is rendered as convergence in probability. Ergodicity is rendered as existence and uniqueness of a stationary distribution.
  • Repairs to the printed text. The printed (3.4) exponent (di−d)/(d−1)(d^i-d)/(d-1)(di−d)/(d−1) is corrected to (di−1)/(d−1)(d^i-1)/(d-1)(di−1)/(d−1); with the printed value the steady-state claim is false. "For each fixed NNN, ergodic" becomes "for all N≥N0N\ge N_0N≥N0​".
  • Ruled out. A rendering in which the hypotheses cannot all hold would make the statements vacuous. Every routing law here sums to one and every clock rate is positive, so neither the process hypotheses nor the ODE hypothesis are vacuous. The conclusion asserts the existence of the stationary distributions it then speaks about.
  • Reused definitions. PowerTwoChoices.Limit.SupermarketSystem (the ODE, fixed point and potential) and PowerOfDUniversality.Fluid.FluidSpace (l1dist, supDistL1).
  • Generic and reusable. The Markov-chain notions in CountableChain: stationarity, nnn-step kernels, petite sets and uniformisation.

Contributions to any milestone are welcome. Lemma 4.2, Proposition 4.7 and Lemma H.4 are self-contained.

Selected references

  • D. Rutten, D. Mukherjee, Load Balancing Under Strict Compatibility Constraints, Math. Oper. Res. (2023); preprint arXiv:2008.07562v2 (cited version). https://arxiv.org/abs/2008.07562
  • M. Mitzenmacher, The Power of Two Choices in Randomized Load Balancing, IEEE Trans. Parallel Distrib. Syst. 12 (2001). https://doi.org/10.1109/71.963420
  • N. D. Vvedenskaya, R. L. Dobrushin, F. I. Karpelevich, Queueing system with selection of the shortest of two queues: an asymptotic approach, Probl. Inf. Transm. 32 (1996).
  • D. Mukherjee, S. C. Borst, J. S. H. van Leeuwaarden, P. A. Whiting, Universality of power-of-d load balancing in many-server systems, Stochastic Systems 8 (2018). https://arxiv.org/abs/1612.00723
  • M. Bramson, Stability of join the shortest queue networks, Ann. Appl. Probab. 21(4):1568–1625 (2011).
  • A. Budhiraja, D. Mukherjee, R. Wu, Supermarket model on graphs, Ann. Appl. Probab. 29(3):1740–1777 (2019).
  • E. Cardinaels, S. C. Borst, J. S. H. van Leeuwaarden, Job assignment in large-scale service systems with affinity relations, Queueing Syst. 93:227–268 (2019).
  • S. P. Meyn, R. L. Tweedie, Markov Chains and Stochastic Stability, Springer (1993).
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Algorithmic Game TheoryOperations ResearchOptimization·Captain: mikedeng1

Managing Outpatient Service with Strategic Walk-ins I: With Total Capacity μ ≤ √(λC_D/(2R)), the Observable Scheduling Setting Costs No More Than the Unobservable OneResearch Paper

Motivation

Outpatient clinics serve two kinds of patients: those who book an appointment and those who walk in on the day. Many providers now run open-access or hybrid schedules, which reserve part of the day for walk-ins. Whether patients book or walk in depends on what they know about the appointment delay. Some clinics publish the next available slot in real time (online booking). Others take requests asynchronously, so patients act on a typical delay. Liu, van Jaarsveld, Wang and Xiao (SSRN 3558209; Management Science, 2023, doi:10.1287/mnsc.2023.4676) model this choice as a game between strategic patients and a provider who splits capacity between appointment and walk-in hours. This mission formalizes their first comparison result: when capacity is short, showing patients the exact delay is at least as good for the provider as hiding it.

The model extends Naor's observable-queue joining problem (Naor, Econometrica, 1969) to an M/D/1 appointment queue with a continuous delay threshold, and adds a walk-in channel whose waiting cost depends on congestion.

Setting

Demand. Strategic patients arrive as a Poisson process of rate λ>0\lambda>0λ>0 per day. Exogenous walk-ins arrive at rate λE≥0\lambda_E\ge0λE​≥0 and always walk in.

Capacity. The provider has total daily capacity μ>0\mu>0μ>0. It allocates μS\mu_SμS​ to appointment hours and μW=μ−μS\mu_W=\mu-\mu_SμW​=μ−μS​ to walk-in hours, with 0≤μS<μ0\le\mu_S<\mu0≤μS​<μ. Appointments form a single-server queue with deterministic service time 1/μS1/\mu_S1/μS​.

Utilities. Service is worth R>0R>0R>0. A patient who books with delay ddd gets R−CDdR-C_DdR−CD​d, where CD>0C_D>0CD​>0. A patient who walks in gets R−CW w(ρW)R-C_W\,w(\rho_W)R−CW​w(ρW​), where CW>0C_W>0CW​>0 and ρW\rho_WρW​ is the walk-in traffic intensity (walk-in arrivals divided by μW\mu_WμW​). Balking is worth 000. The function www is convex and strictly increasing on [0,∞)[0,\infty)[0,∞) with w(0)=0w(0)=0w(0)=0 (Assumption 1).

Provider cost. Each balking patient costs CL≥0C_L\ge0CL​≥0, and overtime costs CO o(ρW)C_O\,o(\rho_W)CO​o(ρW​) with CO≥0C_O\ge0CO​≥0, where ooo is convex and strictly increasing on [0,∞)[0,\infty)[0,∞) (Assumption 2).

Observable setting. Each patient sees the exact delay (k+u~)/μS(k+\tilde u)/\mu_S(k+u~)/μS​, where kkk is the number waiting and u~\tilde uu~ is uniform on [0,1][0,1][0,1]. A strategy is a triple (δ,pW,pB)(\delta,p_W,p_B)(δ,pW​,pB​): book if the delay is at most δ\deltaδ, and otherwise walk in or balk with probabilities pWp_WpW​ and pBp_BpB​. The appointment queue is then the M/D/1/K−1+p queue with K=⌈δμS⌉K=\lceil\delta\mu_S\rceilK=⌈δμS​⌉ and p=δμS+1−Kp=\delta\mu_S+1-Kp=δμS​+1−K. Its blocking probability has the closed form

π(δ,μS)=1−1q0+ρ,ρ=λμS,\pi(\delta,\mu_S)=1-\frac{1}{q_0+\rho},\qquad \rho=\frac{\lambda}{\mu_S},π(δ,μS​)=1−q0​+ρ1​,ρ=μS​λ​,

where q0q_0q0​ is the probability that a departure leaves the system empty, given by Brun–Garcia sums of Poisson weights. An observable equilibrium satisfies conditions (6)–(10): booking is preferred to the walk-in/balk mixture exactly for delays up to δ\deltaδ; pW+pB=π(δ,μS)p_W+p_B=\pi(\delta,\mu_S)pW​+pB​=π(δ,μS​); and patients walk in only if walking in is worth at least 000, and balk only if it is worth at most 000. The cost is

Zo=CL pBλ+CO o(pWλ+λEμW).Z^o=C_L\,p_B\lambda+C_O\,o\Big(\frac{p_W\lambda+\lambda_E}{\mu_W}\Big).Zo=CL​pB​λ+CO​o(μW​pW​λ+λE​​).

Unobservable setting. Patients see only the expected M/D/1 delay dˉ=λS/(2μS(μS−λS))\bar d=\lambda_S/(2\mu_S(\mu_S-\lambda_S))dˉ=λS​/(2μS​(μS​−λS​)) and choose rates (λS,λW,λB)(\lambda_S,\lambda_W,\lambda_B)(λS​,λW​,λB​) that sum to λ\lambdaλ. An unobservable equilibrium uses only options of maximal utility among uS1=R−CDdˉu^1_S=R-C_D\bar duS1​=R−CD​dˉ, uW1=R−CWw((λW+λE)/μW)u^1_W=R-C_Ww((\lambda_W+\lambda_E)/\mu_W)uW1​=R−CW​w((λW​+λE​)/μW​) and 000. The cost is

Zu=CLλB+CO o(λW+λEμW).Z^u=C_L\lambda_B+C_O\,o\Big(\frac{\lambda_W+\lambda_E}{\mu_W}\Big).Zu=CL​λB​+CO​o(μW​λW​+λE​​).

Formalization targets

Goal: Theorem 2 (1)

If

μ≤λCD2R,\mu\le\sqrt{\frac{\lambda C_D}{2R}},μ≤2RλCD​​​,

then for every allocation μS\mu_SμS​ and every unobservable equilibrium uuu at μS\mu_SμS​, there is an allocation μS′\mu'_SμS′​ at which an observable equilibrium exists and every observable equilibrium costs at most Zu(u)Z^u(u)Zu(u). Equivalently, the optimal observable cost is at most the optimal unobservable cost. The paper states "when μ\muμ is sufficiently small"; the threshold is the one its proof establishes.

Milestones

  1. (27), §C.1: the closed-form departure law q0,…,qKq_0,\dots,q_Kq0​,…,qK​ is a probability vector that solves the departure-epoch balance equations.
  2. Proof of Theorem 2(1): λ/(1+λ/μS)≤λ[1−π(δ,μS)]≤λ\lambda/(1+\lambda/\mu_S)\le\lambda[1-\pi(\delta,\mu_S)]\le\lambdaλ/(1+λ/μS​)≤λ[1−π(δ,μS​)]≤λ.
  3. Proposition C.2 (δ\deltaδ-part): π(⋅,μS)\pi(\cdot,\mu_S)π(⋅,μS​) is continuous and strictly decreasing.
  4. Proposition 1 (observable setting): an observable equilibrium exists at every allocation.
  5. Lemma D.3: an unobservable equilibrium exists at every allocation.
  6. Lemma E.5 (1): at a fixed allocation, if λ[1−π(dˉu,μS)]≥λSu\lambda[1-\pi(\bar d^u,\mu_S)]\ge\lambda^u_Sλ[1−π(dˉu,μS​)]≥λSu​, the observable setting costs no more.

Significance

The result says that real-time delay information helps a capacity-constrained provider. Patients who see a short queue book instead of balking, so the appointment hours are better used. The second part of Theorem 2 shows that the comparison can reverse when capacity is large, so the information choice depends on the regime. The small-capacity side is the one that applies to clinics without spare capacity.

The formalization also produces reusable queueing content. It gives a machine-checked closed form for the M/D/1/K−1+p queue with fractional buffer (Hassin–Haviv notation): its departure-epoch law, its blocking probability, and the monotonicity and continuity of that probability in the buffer. The paper's proofs are in its Online Appendix: E.3 for Lemma E.5 and Theorem 2, and E.4 for Appendix C. None of these results has a machine-checked proof.

Difficulty

The obvious argument fixes an optimal unobservable allocation and compares both settings there. That argument has three gaps. First, the existence of an optimum of (Un.P) is never proved, so the comparison has to work at every allocation. Second, the same-allocation comparison (Lemma E.5) is a three-by-three case analysis over the equilibrium regimes (schedule-balk, schedule-walk-balk, schedule-walk) of the two settings. One printed case concludes the opposite inequality; under the lemma's hypothesis that case forces equal costs. Third, the closed-form blocking probability is an alternating sum. Its positivity, its bound q0≤1q_0\le1q0​≤1 and its monotonicity across the seams where ⌈δμS⌉\lceil\delta\mu_S\rceil⌈δμS​⌉ jumps are not visible term by term. Existence of the observable equilibrium needs an intermediate-value argument through the continuity of π\piπ in δ\deltaδ.

Formalization scope

Everything lives in the namespace OutpatientWalkIn.SmallCap, in two definition modules.

  • MD1Queue holds the Poisson weights, the aja_jaj​ recursion (one clause for j≥1j\ge1j≥1), bjb_jbj​, aK′a'_KaK′​ of (26), the departure law (27), αj′\alpha'_jαj′​ of (24) and π(δ,μS)\pi(\delta,\mu_S)π(δ,μS​).
  • Setting holds the model, the standing assumptions, both equilibrium notions and both costs.

The conventions are the following.

  • Disengagement cost. CGC_GCG​ is not a parameter. The observable (CG=0C_G=0CG​=0) and unobservable (CG=+∞C_G=+\inftyCG​=+∞) settings are defined directly, as Lemmas 4 and 6 and Appendices D.3 and D.5 reduce them.
  • Standing assumptions. λ>0\lambda>0λ>0, λE≥0\lambda_E\ge0λE​≥0, R,CD,CW>0R,C_D,C_W>0R,CD​,CW​>0, CL,CO≥0C_L,C_O\ge0CL​,CO​≥0, μ>0\mu>0μ>0, and Assumptions 1–2 on [0,∞)[0,\infty)[0,∞). The paper leaves the signs other than R,CD,CW>0R,C_D,C_W>0R,CD​,CW​>0 implicit.
  • Allocations. 0≤μS<μ0\le\mu_S<\mu0≤μS​<μ, so the walk-in intensity never divides by 000.
  • No appointment capacity. π(δ,0)=1\pi(\delta,0)=1π(δ,0)=1. In the unobservable setting, μS=0\mu_S=0μS​=0 forces λS=0\lambda_S=0λS​=0 and drops uS1u^1_SuS1​ from the comparisons.
  • Stability. An unobservable equilibrium must have λS<μS\lambda_S<\mu_SλS​<μS​, so the junk value of (18) at λS≥μS\lambda_S\ge\mu_SλS​≥μS​ never enters.
  • Mixture weights. The observable equilibrium requires pW+pB>0p_W+p_B>0pW​+pB​>0, which (8) implies.
  • Formula branches. (1−p)−n(1-p)^{-n}(1−p)−n is written ((1−p)n)−1((1-p)^n)^{-1}((1−p)n)−1, and the branches p=1p=1p=1 and p<1p<1p<1 are separate.
  • Costs less. It means ≤\le≤ (p. 26).

A trivializing formalization is ruled out on four counts: π\piπ is the paper's closed form, not an assumed function; the goal quantifies over every unobservable equilibrium and every observable equilibrium at the chosen allocation; no infimum over a possibly empty set appears; and both equilibrium sets are nonempty (milestones 4 and 5).

The infrastructure needed is elementary real analysis and finite sums. Contributions are welcome on the queue lemmas (positivity of aja_jaj​ and aK′a'_KaK′​, the bound q0≤1q_0\le1q0​≤1, continuity across seams), which are reusable for any finite-buffer M/D/1 model. The companion mission on the triage model uses the same encoding.

Selected references

  • N. Liu, W. van Jaarsveld, S. Wang, G. Xiao, Managing Outpatient Service with Strategic Walk-ins, Management Science, 2023 (SSRN copy of 2022-07-05). https://ssrn.com/abstract=3558209, https://doi.org/10.1287/mnsc.2023.4676
  • P. Naor, The Regulation of Queue Size by Levying Tolls, Econometrica 37(1), 1969. https://doi.org/10.2307/1909200
  • O. Brun, J.-M. Garcia, Analytical Solution of Finite Capacity M/D/1 Queues, Journal of Applied Probability 37(4), 2000. https://doi.org/10.1239/jap/1014843085
  • R. Hassin, M. Haviv, To Queue or Not to Queue: Equilibrium Behavior in Queueing Systems, Kluwer, 1997 (2003 ed.). https://doi.org/10.1007/978-1-4615-0359-0
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Control TheoryOperations ResearchProbability·Captain: mikedeng1

An Approximate Analysis of Dynamic Pricing, Outsourcing, and Scheduling Policies for a Multiclass Make-to-Stock Queue in the Heavy Traffic Regime: The Two-Barrier Drift-Rate Control Policy Is OptimalResearch Paper

Motivation

A manufacturer that makes several products to stock for price-sensitive customers controls three levers at once: the prices it posts, which shape demand; outsourcing, which clears a large backlog at a cost; and scheduling, which decides which product the single server makes next. Ata and Barjesteh (Operations Research 71(1), 2023) study this multiclass make-to-stock queue in the heavy-traffic regime, where the queue is nearly saturated and the system is approximated by a Brownian control problem. The approximation collapses to a one-dimensional problem in the workload, the total amount of work in the system. Its solution is a two-barrier policy whose state-dependent drift translates back into a dynamic pricing rule, an outsourcing threshold and a scheduling priority (§7 of the paper).

The one-dimensional problem belongs to the family of drift-rate control problems for Brownian motion under a long-run average cost criterion (Ata, Harrison and Shepp, Ann. Appl. Probab. 2005; Rubino and Ata, Oper. Res. 2009). Problems of this kind are solved by a Bellman equation with free boundaries and a verification argument; the present paper adds two-sided singular control (outsourcing at the bottom, idling at the top) to a quadratic drift cost and a piecewise linear state cost.

Setting

There are K≥1K\ge1K≥1 products with mean production times mk>0m_k>0mk​>0 and holding, backorder and outsourcing cost rates hk,bk,rk>0h_k,b_k,r_k>0hk​,bk​,rk​>0. A symmetric positive definite matrix HHH describes the curvature of the revenue rate. Write a=m′H−1ma=m'H^{-1}ma=m′H−1m and

h⋆=min⁡khkmk,b⋆=min⁡kbkmk,κ=min⁡krkmk.h^\star=\min_k\frac{h_k}{m_k},\qquad b^\star=\min_k\frac{b_k}{m_k},\qquad \kappa=\min_k\frac{r_k}{m_k}.h⋆=kmin​mk​hk​​,b⋆=kmin​mk​bk​​,κ=kmin​mk​rk​​.

The drift cost and the effective holding cost are

c(x)=min⁡{ζ′Hζ: m′ζ=x},h(w)=h⋆w (w≥0),h(w)=−b⋆w (w<0).c(x)=\min\{\zeta'H\zeta:\ m'\zeta=x\},\qquad h(w)=h^\star w\ (w\ge0),\quad h(w)=-b^\star w\ (w<0).c(x)=min{ζ′Hζ: m′ζ=x},h(w)=h⋆w (w≥0),h(w)=−b⋆w (w<0).

Let BBB be a Brownian motion with drift μ≥0\mu\ge0μ≥0 and variance σ2>0\sigma^2>0σ2>0, started at 000, with respect to a filtration F\mathbb FF. An admissible control consists of a progressively measurable drift rate θ\thetaθ and nondecreasing, right-continuous, adapted processes LLL (effective outsourcing) and UUU (idleness) with L(0)=U(0)=0L(0)=U(0)=0L(0)=U(0)=0. The workload is

W(t)=B(t)−∫0tθ(s) ds−U(t)+L(t),W(t)=B(t)-\int_0^t\theta(s)\,ds-U(t)+L(t),W(t)=B(t)−∫0t​θ(s)ds−U(t)+L(t),

and admissibility also requires E∣W(t)∣/t→0\mathbb E|W(t)|/t\to0E∣W(t)∣/t→0. The equivalent workload formulation (EWF) is to minimize

lim sup⁡t→∞1t E[∫0tc(θ(s)) ds+∫0th(W(s)) ds+κL(t)].(29)\limsup_{t\to\infty}\frac1t\,\mathbb E\Big[\int_0^tc(\theta(s))\,ds+\int_0^th(W(s))\,ds+\kappa L(t)\Big]. \tag{29}t→∞limsup​t1​E[∫0t​c(θ(s))ds+∫0t​h(W(s))ds+κL(t)].(29)

A barrier policy with barriers l<ul<ul<u keeps WWW in [l,u][l,u][l,u], increases LLL only when W=lW=lW=l and UUU only when W=uW=uW=u.

For γ≥0\gamma\ge0γ≥0 put lγ=−1b⋆(γ+μκ+a4κ2)l_\gamma=-\frac1{b^\star}(\gamma+\mu\kappa+\frac a4\kappa^2)lγ​=−b⋆1​(γ+μκ+4a​κ2) and uγ=γ/h⋆u_\gamma=\gamma/h^\staruγ​=γ/h⋆. Let vγ−v^-_\gammavγ−​ solve the Riccati equation

v′=a2σ2(v2−κ2)−2μσ2(v+κ)+2(h(lγ)−h(w))σ2 on [lγ,0],v(lγ)=−κ,v'=\frac a{2\sigma^2}(v^2-\kappa^2)-\frac{2\mu}{\sigma^2}(v+\kappa)+\frac{2(h(l_\gamma)-h(w))}{\sigma^2}\ \text{on }[l_\gamma,0],\qquad v(l_\gamma)=-\kappa,v′=2σ2a​(v2−κ2)−σ22μ​(v+κ)+σ22(h(lγ​)−h(w))​ on [lγ​,0],v(lγ​)=−κ,

and vγ+v^+_\gammavγ+​ solve v′=a2σ2v2−2μσ2v+2(h(uγ)−h(w))σ2v'=\frac a{2\sigma^2}v^2-\frac{2\mu}{\sigma^2}v+\frac{2(h(u_\gamma)-h(w))}{\sigma^2}v′=2σ2a​v2−σ22μ​v+σ22(h(uγ​)−h(w))​ on [0,uγ][0,u_\gamma][0,uγ​] with v(uγ)=0v(u_\gamma)=0v(uγ​)=0. The paper's γ⋆\gamma^\starγ⋆ is the unique γ\gammaγ with vγ−(0)=vγ+(0)v^-_{\gamma}(0)=v^+_{\gamma}(0)vγ−​(0)=vγ+​(0); vvv pastes vγ⋆−v^-_{\gamma^\star}vγ⋆−​ and vγ⋆+v^+_{\gamma^\star}vγ⋆+​ at 000, and the candidate drift is θ(w)=a2v(w)\theta(w)=\frac a2v(w)θ(w)=2a​v(w).

Formalization targets

Goal: Theorem 1

For every filtered probability space carrying such a Brownian motion,

lim⁡t→∞Jcand(t)t=γ⋆for every barrier policy at (lγ⋆,uγ⋆) with drift θ(W),lim sup⁡t→∞J(t)t≥γ⋆ for every admissible control,\lim_{t\to\infty}\frac{J_{\text{cand}}(t)}t=\gamma^\star\quad\text{for every barrier policy at }(l_{\gamma^\star},u_{\gamma^\star})\text{ with drift }\theta(W),\qquad \limsup_{t\to\infty}\frac{J(t)}t\ge\gamma^\star\ \text{for every admissible control},t→∞lim​tJcand​(t)​=γ⋆for every barrier policy at (lγ⋆​,uγ⋆​) with drift θ(W),t→∞limsup​tJ(t)​≥γ⋆ for every admissible control,

where JJJ is the expected cumulative cost in (29). The constant γ⋆\gamma^\starγ⋆ is the paper's construction, not a parameter.

Milestones

  1. Lemma 1 and Lemma 2: the closed forms c(x)=x2/ac(x)=x^2/ac(x)=x2/a and its conjugate φ(y)=a4y2\varphi(y)=\frac a4y^2φ(y)=4a​y2, maximized at ψ(y)=a2y\psi(y)=\frac a2yψ(y)=2a​y.
  2. Proposition 2: a barrier policy whose (γ,f)(\gamma,f)(γ,f) solves the ODE (35)–(36) has long-run average cost γ\gammaγ.
  3. Lemma 3: any solution of the Riccati-form Bellman equation (43)–(45) has γ>0\gamma>0γ>0, l=lγ<0l=l_\gamma<0l=lγ​<0, u=uγ>0u=u_\gamma>0u=uγ​>0.
  4. Lemmas 18–20 and Corollary 6: sign and monotonicity of the Riccati solutions.
  5. §6.3 well-posedness, Lemma 4(i)–(ii), Corollary 1: uniqueness of vγ±v^\pm_\gammavγ±​, their monotone dependence on γ\gammaγ, and the unique crossing γ⋆\gamma^\starγ⋆.
  6. Proposition 3 and Corollary 2: (lγ⋆,uγ⋆,γ⋆,v)(l_{\gamma^\star},u_{\gamma^\star},\gamma^\star,v)(lγ⋆​,uγ⋆​,γ⋆,v) is the unique solution of (43)–(45), and f=∫vf=\int vf=∫v solves the Bellman equation (37)–(39), uniquely up to a constant.

Significance

The theorem identifies an explicit optimal policy for a two-sided singular drift-control problem: two barriers and a strictly increasing, non-positive drift, all determined by a scalar root γ⋆\gamma^\starγ⋆ of a monotone equation. In the paper it drives the proposed pricing, outsourcing and scheduling policy (§7) and its asymptotic analysis; the Riccati structure is what makes γ⋆\gamma^\starγ⋆ computable by line search.

The result is proved in the paper; none of it has been machine-checked. Formalizing it gives a checked verification theorem for an average-cost Brownian control problem with singular controls, and checked statements of the Riccati comparison lemmas on which it rests. Several printed statements of the paper are corrected here (see the scope section), so the formal versions are the first fully precise ones.

Difficulty

The optimality half of Theorem 1 is a verification argument: apply Itô's formula to f(W(t))f(W(t))f(W(t)) for an arbitrary admissible control with jumps in LLL and UUU, use the Bellman inequality pointwise, and control Ef(W(t))/t\mathbb E f(W(t))/tEf(W(t))/t with the growth condition (32). Mathlib does not yet have Itô's formula for continuous semimartingales with finite-variation, possibly discontinuous parts, and the candidate's average cost (Proposition 2) needs the same tool plus the fact that a reflected diffusion spends zero time at the barriers.

The deterministic half is not routine either. The obvious reading of the paper, solving each Riccati problem for every γ≥0\gamma\ge0γ≥0 and passing γ→∞\gamma\to\inftyγ→∞, fails: the solutions blow up in finite time, so vγ±v^\pm_\gammavγ±​ exist only for γ\gammaγ in a bounded initial interval, and the crossing argument must be run on that interval. The comparison arguments of Lemmas 18–20 also need second derivatives of solutions whose right-hand side has a kink at w=0w=0w=0.

Formalization scope

Time is indexed by R\mathbb RR and only t≥0t\ge0t≥0 matters. The Brownian motion is defined locally (drift, variance, start at 000, independence of increments from the filtration). Expected costs are computed in [0,∞][0,\infty][0,∞], so a control with infinite cost counts as +∞+\infty+∞. The integrals in (34) are Lebesgue–Stieltjes integrals against the paths of LLL and UUU, jumps included. Derivatives at the barriers are one-sided; C1C^1C1 and C2C^2C2 up to the boundary are ContDiffOn on the closed interval. Minima and maxima (in ccc, (37), (40)) are stated as attained.

Standing assumptions added to every statement, all implicit in the paper: K≥1K\ge1K≥1; mk,hk,bk,rk>0m_k,h_k,b_k,r_k>0mk​,hk​,bk​,rk​>0; HHH symmetric positive definite; μ≥0\mu\ge0μ≥0, σ>0\sigma>0σ>0; BBB starts at 000; L,UL,UL,U right-continuous; θ\thetaθ progressively measurable with locally integrable paths; l<ul<ul<u in the Bellman equations.

Corrected statements. Lemmas 18–20 are printed for solutions on [0,∞)[0,\infty)[0,∞), which do not exist; they are posed on every bounded interval where a solution exists. The §6.3 claim that vγ±v^\pm_\gammavγ±​ exist for every γ≥0\gamma\ge0γ≥0 is replaced by uniqueness, solvability at γ=0\gamma=0γ=0 and order-connectedness of the solvability sets. Lemma 4's limits as γ→∞\gamma\to\inftyγ→∞ become unboundedness on those sets. Theorem 1's comparison class is every admissible control, which the paper's proof treats, and which contains the stationary Markov policies to which §6 restricts attention.

Not posed. The existence of the reflected diffusion realizing the candidate policy is presupposed by the paper and not claimed: the first half of the goal quantifies over all barrier policies with the given data. The second half is a statement about every admissible control and is not vacuous.

γ⋆\gamma^\starγ⋆, vvv, fff and θ\thetaθ are built from the Riccati solutions by choice, exactly as the paper constructs them; taking them as hypotheses-constrained parameters, or defining ccc by its closed form, would trivialize the goal and is ruled out. Contributions are welcome on the Riccati lemmas (pure real analysis, reusable for other drift-control problems), on Itô's formula for semimartingales with finite-variation parts, and on Skorokhod-type existence of reflected diffusions.

Selected references

  • B. Ata and N. Barjesteh, An Approximate Analysis of Dynamic Pricing, Outsourcing, and Scheduling Policies for a Multiclass Make-to-Stock Queue in the Heavy Traffic Regime, Operations Research 71(1):341–357, 2023. https://doi.org/10.1287/opre.2022.2361 (accepted manuscript: https://ssrn.com/abstract=3464763)
  • B. Ata, J. M. Harrison and L. A. Shepp, Drift rate control of a Brownian processing system, Annals of Applied Probability 15(2):1145–1160, 2005. https://doi.org/10.1214/105051604000000855
  • M. Rubino and B. Ata, Dynamic control of a make-to-order, parallel-server system with cancellations, Operations Research 57(1):94–108, 2009. https://doi.org/10.1287/opre.1080.0532
  • J. M. Harrison, Brownian Models of Performance and Control, Cambridge University Press, 2013. https://doi.org/10.1017/CBO9781139087698
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Control TheoryDynamic ProgrammingOperations Research·Captain: mikedeng1

A Dynamic Model for Managing Volunteer Engagement I: The Bellman Equation of the Drift-Rate Control Problem Has a SolutionResearch Paper

Motivation

Non-profit organizations depend on volunteers whose availability they cannot schedule. They can only influence it, through recruiting drives, reminders and recognition events. Ata, Tongarlak, Lee and Field (arXiv:2312.02920) model a food-recovery non-profit's volunteer pool as a queueing network. Repeat volunteers rest between shifts, one-time volunteers arrive at random, and all signed-up volunteers wait on one sign-up list, from which they may abandon. The organization pays for engagement activities that speed up volunteers' return, and it is penalized when tasks go uncovered because the list is empty.

In heavy traffic the problem reduces to a one-dimensional drift-rate control problem. A workload process W≥0W \ge 0W≥0 behaves like a reflected Ornstein–Uhlenbeck process whose drift θ(t)\theta(t)θ(t) the controller chooses from an interval A=[θ0,θL]A = [\theta_0, \theta_L]A=[θ0​,θL​] at cost c(θ(t))c(\theta(t))c(θ(t)), plus a penalty ppp per unit of idleness at W=0W = 0W=0. The analytic core of the paper is the Bellman equation of this problem: a first-order ordinary differential equation on [0,∞)[0,\infty)[0,∞) with an unknown constant. Its solution yields the optimal long-run average cost and a nested threshold policy for when to run each engagement activity.

Setting

There are L≥1L \ge 1L≥1 engagement activities. The data are a lowest drift θ0<0\theta_0 < 0θ0​<0, drift increments η1,…,ηL>0\eta_1, \dots, \eta_L > 0η1​,…,ηL​>0, per-unit-drift costs 0<c1<c2<⋯<cL<p0 < c_1 < c_2 < \dots < c_L < p0<c1​<c2​<⋯<cL​<p, an idleness cost rate p>0p > 0p>0, a mean-reversion rate κ>0\kappa > 0κ>0 and a volatility σ>0\sigma > 0σ>0. The breakpoints are

θl=θ0+∑i=1lηi,l=0,1,…,L,\theta_l = \theta_0 + \sum_{i=1}^{l} \eta_i, \qquad l = 0, 1, \dots, L,θl​=θ0​+i=1∑l​ηi​,l=0,1,…,L,

and A=[θ0,θL]A = [\theta_0, \theta_L]A=[θ0​,θL​]. The engagement cost c:A→R+c : A \to \mathbb{R}_+c:A→R+​ is piecewise linear and convex: c(θ0)=0c(\theta_0) = 0c(θ0​)=0, with slope clc_lcl​ on (θl−1,θl](\theta_{l-1}, \theta_l](θl−1​,θl​], so that c(x)=∑i=1l−1ciηi+cl(x−θl−1)c(x) = \sum_{i=1}^{l-1} c_i \eta_i + c_l (x - \theta_{l-1})c(x)=∑i=1l−1​ci​ηi​+cl​(x−θl−1​) for θl−1<x≤θl\theta_{l-1} < x \le \theta_lθl−1​<x≤θl​. Its convex conjugate is

ϕ(y)=sup⁡x∈A{yx−c(x)},y∈R.\phi(y) = \sup_{x \in A} \{ y x - c(x) \}, \qquad y \in \mathbb{R}.ϕ(y)=x∈Asup​{yx−c(x)},y∈R.

The Bellman equation (68)–(69) asks for a constant β>0\beta > 0β>0 and a continuously differentiable function vvv on [0,∞)[0,\infty)[0,∞) such that

β=12σ2v′(x)+xκ (p−v(x))−ϕ(p−v(x)),x≥0,\beta = \tfrac12 \sigma^2 v'(x) + x\kappa\,(p - v(x)) - \phi(p - v(x)), \qquad x \ge 0,β=21​σ2v′(x)+xκ(p−v(x))−ϕ(p−v(x)),x≥0,

with v(0)=0v(0) = 0v(0)=0, vvv strictly increasing, and lim⁡x→∞v(x)=p\lim_{x\to\infty} v(x) = plimx→∞​v(x)=p.

The milestones use the shooting objects of the paper's Online Supplement §F:

  • the lower bound β‾=−inf⁡{ϕ(y):y≤p}\underline\beta = -\inf\{\phi(y) : y \le p\}β​=−inf{ϕ(y):y≤p};
  • the initial value problem IVP(β\betaβ): the same equation with only the condition v(0)=0v(0) = 0v(0)=0; its solution is vβv_\betavβ​;
  • the set I\mathcal II of β>β‾\beta > \underline\betaβ>β​ for which vβv_\betavβ​ is increasing;
  • the set D\mathcal DD of β>β‾\beta > \underline\betaβ>β​ for which vβv_\betavβ​ is nondecreasing on (0,xβ)(0, x_\beta)(0,xβ​) and nonincreasing on (xβ,∞)(x_\beta, \infty)(xβ​,∞) for some xβx_\betaxβ​;
  • the constant β∗=inf⁡I\beta^* = \inf \mathcal Iβ∗=infI.

Formalization targets

Goal: Theorem 1 (p. 21)

∃ β>0, ∃ v∈C1[0,∞):β=12σ2v′+xκ(p−v)−ϕ(p−v)  (x≥0),v(0)=0,v↑,v(x)→p.\exists\, \beta > 0,\ \exists\, v \in C^1[0,\infty):\quad \beta = \tfrac12\sigma^2 v' + x\kappa(p - v) - \phi(p - v)\ \ (x \ge 0),\quad v(0) = 0,\quad v \uparrow,\quad v(x) \to p.∃β>0, ∃v∈C1[0,∞):β=21​σ2v′+xκ(p−v)−ϕ(p−v)  (x≥0),v(0)=0,v↑,v(x)→p.

The goal asserts existence only. It does not identify β\betaβ with inf⁡I\inf\mathcal IinfI, and it does not claim uniqueness.

Milestones (Online Supplement §F, in attack order)

  1. β‾>0\underline\beta > 0β​>0 (OS p. 13).
  2. Lemma 3: ϕ\phiϕ is Lipschitz with constant max⁡0≤k≤L∣θk∣\max_{0\le k\le L} |\theta_k|max0≤k≤L​∣θk​∣.
  3. Lemma 4: IVP(β\betaβ) has a unique C1C^1C1 solution on [0,∞)[0,\infty)[0,∞) for β>β‾\beta > \underline\betaβ>β​.
  4. Lemma 6: vβ(x)v_\beta(x)vβ​(x) is strictly increasing in β\betaβ for x>0x > 0x>0 and continuous in β\betaβ.
  5. Corollary 2: vβv_\betavβ​ has no flat pieces.
  6. Lemmas 10, 12, 15, 16: descriptions of D\mathcal DD. Membership in D\mathcal DD is equivalent to vβ′<0v_\beta' < 0vβ′​<0 somewhere, to vβ<0v_\beta < 0vβ​<0 somewhere, and to vβ→−∞v_\beta \to -\inftyvβ​→−∞. D\mathcal DD is closed downward.
  7. Lemmas 13, 14: I,D≠∅\mathcal I, \mathcal D \ne \emptysetI,D=∅, and a characterization of the solutions in I\mathcal II that overshoot ppp.
  8. Lemmas 17, 18, 20: β∗>β‾\beta^* > \underline\betaβ∗>β​, β∗∈I\beta^* \in \mathcal Iβ∗∈I with vβ∗v_{\beta^*}vβ∗​ bounded, and vβ∗(x)→pv_{\beta^*}(x) \to pvβ∗​(x)→p.
  9. Corollary 4: (β∗,vβ∗)(\beta^*, v_{\beta^*})(β∗,vβ∗​) solves (68)–(69).

Significance

The Bellman equation is what makes the paper's policy computable. Theorem 1 provides the constant β∗\beta^*β∗, which the paper's Theorem 2 identifies as the optimal long-run average cost of the workload problem. It also provides the increasing function vvv, whose level sets τl=v−1(p−cl)\tau_l = v^{-1}(p - c_l)τl​=v−1(p−cl​) are the thresholds of the optimal nested policy: engagement activity lll is used when the workload is below τl\tau_lτl​. The companion mission (II) gives vvv in closed form between consecutive thresholds. Both results presuppose the existence proved here.

The paper proves Theorem 1 in its Online Supplement, partly by citation: Lemma 4 is called standard and its proof is omitted. As far as is known, none of these statements has a machine-checked proof. A formalization would also settle two points that the printed argument leaves loose. The lower bound β‾\underline\betaβ​ is written as an infimum over all of R\mathbb{R}R, which is −∞-\infty−∞ when θL<0\theta_L < 0θL​<0. And one step in the proof of Lemma 9 claims that a set of positive measure contains an interval, which is false; the formal chain avoids this step by posing Corollary 2 directly.

Difficulty

The equation is first order but nonlinear through ϕ\phiϕ, and it is posed on an unbounded interval with a boundary condition at infinity. A local existence theorem does not suffice: the right-hand side has linear growth with a coefficient that grows with xxx, so global existence on [0,∞)[0,\infty)[0,∞) and monotone, continuous dependence on β\betaβ must be established separately.

The main difficulty is the shooting step. For a fixed β\betaβ the initial value problem has a solution, but it generally fails the condition v(x)→pv(x) \to pv(x)→p: either it eventually turns down and tends to −∞-\infty−∞, or it crosses ppp and grows without bound. The proof must show the following:

  • the parameter range splits cleanly into these two behaviours, with no third behaviour such as a plateau or a limit strictly between 000 and ppp;
  • both behaviours occur;
  • at the infimum β∗\beta^*β∗ of the increasing regime, the solution is increasing and bounded and converges exactly to ppp.

Continuity in β\betaβ alone does not give the last point: it needs a separate argument at infinity.

Formalization scope

Everything is stated for one fixed parameter set satisfying an explicit predicate Standing: L≥1L \ge 1L≥1, θ0<0\theta_0 < 0θ0​<0, ηl>0\eta_l > 0ηl​>0, 0<c1<⋯<cL<p0 < c_1 < \dots < c_L < p0<c1​<⋯<cL​<p, p,κ,σ>0p, \kappa, \sigma > 0p,κ,σ>0. These are disclosed additions. The paper never restates them for the abstract control problem, but they follow from its queueing primitives ((24), (43), (50), p. 18). No hypothesis θL≥0\theta_L \ge 0θL​≥0 is made.

Conventions:

  • η\etaη and ccc are sequences indexed by N\mathbb{N}N and used at 1,…,L1, \dots, L1,…,L.
  • The cost is (52) written as one sum. It agrees with (52) on AAA, and its values off AAA are never used.
  • ϕ\phiϕ is the real supremum over the compact interval AAA (attained). It is never defined by its closed form.
  • β‾\underline\betaβ​ is −inf⁡{ϕ(y):y≤p}-\inf\{\phi(y) : y \le p\}−inf{ϕ(y):y≤p}. This is the reading the paper's proofs use, and it agrees with the printed −inf⁡y∈Rϕ(y)-\inf_{y \in \mathbb{R}} \phi(y)−infy∈R​ϕ(y) whenever θL≥0\theta_L \ge 0θL​≥0.
  • "Continuously differentiable on [0,∞)[0,\infty)[0,∞)" is a pair (v,v′)(v, v')(v,v′): v′v'v′ is continuous on [0,∞)[0,\infty)[0,∞) and is the derivative of vvv within [0,∞)[0,\infty)[0,∞) at every point (one-sided at 000).
  • "Increasing" means strictly increasing.
  • β∗=inf⁡I\beta^* = \inf \mathcal Iβ∗=infI is a real infimum. Lemmas 13, 17 and 18 make it meaningful; no property of I\mathcal II is assumed.

Trivializing formalizations are ruled out. The solution vβv_\betavβ​ is never chosen: every lemma quantifies over all solutions of IVP(β\betaβ). The goal quantifies β\betaβ and vvv existentially and requires all of (69), including the limit ppp and strict monotonicity.

The source is the arXiv preprint v2, including its Online Supplement. The queueing network (§2) and the Brownian control problem (§3) motivate the equation but are not part of any formal statement.

A complete development needs:

  • global existence, uniqueness and comparison for scalar Lipschitz ODEs on [0,∞)[0,\infty)[0,∞) (Mathlib's IsPicardLindelof and Gronwall bounds are the starting point);
  • the elementary theory of the conjugate of a piecewise linear convex function.

Both are reusable beyond this mission. Proofs of individual milestones are welcome in any order. Lemmas 3, 4 and 6 are independent of the shooting lemmas.

Selected references

  • B. Ata, M. H. Tongarlak, D. Lee, J. Field, A Dynamic Model for Managing Volunteer Engagement, arXiv:2312.02920v2, 2023 (Operations Research, 2024). https://arxiv.org/abs/2312.02920
  • B. Ata, J. M. Harrison, L. A. Shepp, Drift rate control of a Brownian processing system, Annals of Applied Probability 15(2), 1145–1160, 2005 (cited in the paper for the conjugate's minimal maximizer).
  • H. B. Keller, Numerical Methods for Two-Point Boundary-Value Problems, Dover, 2018 (cited for Lemma 4).
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Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon I: The HJB Variational Inequality Has a Unique Classical Solution with v_x ≥ 1, v_xx ≤ 0 and λv_x + v_xx ≥ 0Research Paper

Dividends, reinsurance and a finite horizon

An insurer that pays dividends to its shareholders faces a trade-off studied since de Finetti (1957): paying out surplus early raises the discounted payout but brings ruin closer. Reinsurance changes the trade-off, because ceding part of each claim lowers the volatility of the surplus at the price of a reinsurance premium. When the insurer may choose both the dividend stream and, at every moment, an arbitrary reinsurance contract, the problem becomes a mixed singular–classical stochastic control problem. Most of the literature treats it on an infinite horizon, where the value function solves an ordinary differential equation. On a finite horizon TTT the value function also depends on time to maturity, the Hamilton–Jacobi–Bellman (HJB) equation becomes a parabolic variational inequality with a gradient constraint, and neither its solvability nor the regularity of its solution is classical.

Guan, Xu and Zhou (arXiv:2008.00391v3, Mathematics of Operations Research, 2023) show by PDE methods that this variational inequality has a classical solution, identify it with the value function, and read the optimal reinsurance contract and dividend barrier off its derivatives. This mission formalizes the PDE part: Theorem 3.1 and the steps of Appendix A that lead to it.

Setting

Claims are nonnegative random variables with common distribution function FFF, F(0−)=0F(0-)=0F(0−)=0, possibly discontinuous. The paper assumes the tail condition

z3 (1−F(z)) is bounded on [0,∞),(3.3)z^3\,(1-F(z))\ \text{is bounded on }[0,\infty), \tag{3.3}z3(1−F(z)) is bounded on [0,∞),(3.3)

so the moments μ1=∫0∞z dF(z)\mu_1=\int_0^\infty z\,dF(z)μ1​=∫0∞​zdF(z) and μ2=∫0∞z2 dF(z)\mu_2=\int_0^\infty z^2\,dF(z)μ2​=∫0∞​z2dF(z) are finite. The other data are the net reinsurance loading γ>0\gamma>0γ>0, the discount factor c>0c>0c>0 and the horizon T>0T>0T>0; the mission assumes γ<μ1\gamma<\mu_1γ<μ1​ throughout.

A reinsurance contract is described by the retained loss H(z)H(z)H(z) the insurer keeps out of a claim of size zzz, with 0≤H(z)≤z0\le H(z)\le z0≤H(z)≤z; H\mathcal HH is the set of such functions. For a function v(x,t)v(x,t)v(x,t) of the surplus xxx and the time to maturity ttt the operator

Lv=sup⁡H∈H(vxx2∫0∞H(z)2 dF(z)+vx∫0∞H(z) dF(z))−γvx−cv(3.2)\mathcal Lv=\sup_{H\in\mathcal H}\Big(\frac{v_{xx}}2\int_0^\infty H(z)^2\,dF(z)+v_x\int_0^\infty H(z)\,dF(z)\Big)-\gamma v_x-cv \tag{3.2}Lv=H∈Hsup​(2vxx​​∫0∞​H(z)2dF(z)+vx​∫0∞​H(z)dF(z))−γvx​−cv(3.2)

is the generator of the controlled diffusion approximation of the surplus. The HJB equation is the variational inequality, on QT=(0,∞)×(0,T]\mathcal Q_T=(0,\infty)\times(0,T]QT​=(0,∞)×(0,T],

min⁡{vt−Lv, vx−1}=0,v(0,t)=0,v(x,0)=x.(3.1)\min\{v_t-\mathcal Lv,\ v_x-1\}=0,\qquad v(0,t)=0,\qquad v(x,0)=x. \tag{3.1}min{vt​−Lv, vx​−1}=0,v(0,t)=0,v(x,0)=x.(3.1)

The functions

A(y)=∫01/yz(1−F(z)) dz,B(y)=∫01/y(1−F(z)) dz(y>0),A(y)=\int_0^{1/y}z(1-F(z))\,dz,\qquad B(y)=\int_0^{1/y}(1-F(z))\,dz\qquad(y>0),A(y)=∫01/y​z(1−F(z))dz,B(y)=∫01/y​(1−F(z))dz(y>0),

with A=μ2/2A=\mu_2/2A=μ2​/2 and B=μ1B=\mu_1B=μ1​ for y≤0y\le0y≤0, compute the supremum in (3.2), and f(y)=−yA(y)+B(y)−γf(y)=-yA(y)+B(y)-\gammaf(y)=−yA(y)+B(y)−γ has a unique root λ>0\lambda>0λ>0. The penalized gradient problem (A.17) on QL,T=(0,L)×(0,T]\mathcal Q_{L,T}=(0,L)\times(0,T]QL,T​=(0,L)×(0,T] is

ut−Tu+βε(u−1)=0,(λu+ux)(0,t)=fε(t),u(L,t)=1,u(x,0)=1,u_t-\mathcal Tu+\beta_\varepsilon(u-1)=0,\quad (\lambda u+u_x)(0,t)=f_\varepsilon(t),\quad u(L,t)=1,\quad u(x,0)=1,ut​−Tu+βε​(u−1)=0,(λu+ux​)(0,t)=fε​(t),u(L,t)=1,u(x,0)=1,

with Tu=A(−ux/u)uxx+B(−ux/u)ux−γux−cu\mathcal Tu=A(-u_x/u)u_{xx}+B(-u_x/u)u_x-\gamma u_x-cuTu=A(−ux​/u)uxx​+B(−ux​/u)ux​−γux​−cu, a penalty function βε\beta_\varepsilonβε​ and a boundary datum fεf_\varepsilonfε​ that ramps from λ\lambdaλ down to 000 on [0,ε][0,\varepsilon][0,ε].

Formalization targets

Goal: Theorem 3.1

There is a unique v∈C2,1(Q‾T∖{(0,0)})∩C(Q‾T)v\in C^{2,1}(\overline{\mathcal Q}_T\setminus\{(0,0)\})\cap C(\overline{\mathcal Q}_T)v∈C2,1(Q​T​∖{(0,0)})∩C(Q​T​) that solves (3.1) and satisfies

vx≥1,vt≥0,vxx≤0,vxxx≥0 (weakly),vxt≥0,λvx+vxx≥0.v_x\ge1,\quad v_t\ge0,\quad v_{xx}\le0,\quad v_{xxx}\ge0\ \text{(weakly)},\quad v_{xt}\ge0,\quad \lambda v_x+v_{xx}\ge0 .vx​≥1,vt​≥0,vxx​≤0,vxxx​≥0 (weakly),vxt​≥0,λvx​+vxx​≥0.

Uniqueness is among solutions in the same class with the same six properties, as equality on Q‾T\overline{\mathcal Q}_TQ​T​.

Milestones

  1. (A.7)–(A.9): AAA, BBB are non-increasing, Lipschitz, bounded by 12min⁡{y−2,μ2}\tfrac12\min\{y^{-2},\mu_2\}21​min{y−2,μ2​} and min⁡{y−1,μ1}\min\{y^{-1},\mu_1\}min{y−1,μ1​}, with y3A′=y2B′=F(1/y)−1y^3A'=y^2B'=F(1/y)-1y3A′=y2B′=F(1/y)−1.
  2. (A.10): Lv=A(−vxx/vx)vxx+B(−vxx/vx)vx−γvx−cv\mathcal Lv=A(-v_{xx}/v_x)v_{xx}+B(-v_{xx}/v_x)v_x-\gamma v_x-cvLv=A(−vxx​/vx​)vxx​+B(−vxx​/vx​)vx​−γvx​−cv when vx>0v_x>0vx​>0.
  3. (A.12)–(A.13): f′=−A<0f'=-A<0f′=−A<0 everywhere, and fff has a unique root, which is positive.
  4. Lemma A.1: A(−y/z)A(-y/z)A(−y/z) and B(−y/z)B(-y/z)B(−y/z) are Lipschitz on R×[1,∞)\mathbb R\times[1,\infty)R×[1,∞).
  5. Lemma A.2: a comparison principle for (A.17) between functions ≥1\ge1≥1.
  6. Lemma A.3: (A.17) has a C2,1C^{2,1}C2,1 solution, and 1≤uε≤KeΛt/(x+1/λ)1\le u^\varepsilon\le Ke^{\Lambda t}/(x+1/\lambda)1≤uε≤KeΛt/(x+1/λ) for small ε\varepsilonε, with K=L+1/λ+1K=L+1/\lambda+1K=L+1/λ+1, Λ=μ2/γ2+γλ\Lambda=\mu_2/\gamma^2+\gamma\lambdaΛ=μ2​/γ2+γλ.
  7. Lemmas A.4–A.6: utε≥0u^\varepsilon_t\ge0utε​≥0, uxε≤0u^\varepsilon_x\le0uxε​≤0, λuε+uxε≥0\lambda u^\varepsilon+u^\varepsilon_x\ge0λuε+uxε​≥0, uxxε≥0u^\varepsilon_{xx}\ge0uxxε​≥0.

Significance

Theorem 3.1 is the analytic core of the paper. The verification theorem (Theorem 3.2) needs a classical solution that is increasing and concave in xxx, which Theorem 3.1 provides, and Section 4 derives the shape of the optimal policy from (3.4)–(3.9): the optimal retained loss is min⁡{z, −vx/vxx}\min\{z,\,-v_x/v_{xx}\}min{z,−vx​/vxx​}, and (3.9) bounds the reinsurance barrier away from zero. Without the existence of a classical solution, the HJB equation could only be interpreted in the viscosity sense, whose uniqueness theory for this mixed singular–classical problem is not available, and the strategies would not be well defined.

The result is proved in the paper; nothing in it has been machine-checked. A formal development would produce, beyond the theorem, a reusable formal treatment of a parabolic obstacle problem with a Robin boundary condition through penalization, comparison principles for quasilinear parabolic equations, and the explicit reduction of a supremum over reinsurance contracts against an arbitrary claim distribution. The appendix lemmas (A.7)–(A.13) and Lemma A.1 are elementary real analysis and are self-contained targets.

Difficulty

The supremum in L\mathcal LL is over a function space and FFF may have atoms, so even the closed form (A.10) and the everywhere-differentiability of fff require care with one-sided derivatives at the jumps of FFF. The operator is fully nonlinear and degenerates as −vxx/vx→∞-v_{xx}/v_x\to\infty−vxx​/vx​→∞, since A(y)→0A(y)\to0A(y)→0. The inequality carries a gradient constraint vx≥1v_x\ge1vx​≥1 rather than an obstacle, and the left boundary condition (λu+ux)(0,t)=0(\lambda u+u_x)(0,t)=0(λu+ux​)(0,t)=0 is incompatible with the initial condition at the corner (0,0)(0,0)(0,0), which is why the solution is only claimed to be C2,1C^{2,1}C2,1 away from that corner. The obvious route, solving (3.1) directly by a fixed-point argument, does not control vxxv_{xx}vxx​; the paper differentiates in xxx and works with the gradient u=vxu=v_xu=vx​, which turns the gradient constraint into an obstacle but introduces the Robin condition with the wrong sign for a direct maximum principle. The passage ε→0\varepsilon\to0ε→0 needs Wp2,1W^{2,1}_pWp2,1​ and Hölder estimates uniform in ε\varepsilonε, which are not in Mathlib.

Formalization scope

  • Functions of (x,t)(x,t)(x,t) are ℝ → ℝ → ℝ; ttt is time to maturity. Partial derivatives are explicit functions vx,vxx,vtv_x, v_{xx}, v_tvx​,vxx​,vt​ tied to vvv by HasDerivAt on sections at interior points (x>0x>0x>0, 0<t<T0<t<T0<t<T) and continuous on Q‾T∖{(0,0)}\overline{\mathcal Q}_T\setminus\{(0,0)\}Q​T​∖{(0,0)}; boundary values are these continuous extensions, and (3.1) holds at t=Tt=Tt=T through them.
  • The claim law is a probability measure on R\mathbb RR with no mass on (−∞,0)(-\infty,0)(−∞,0), and F(z)=μ((−∞,z])F(z)=\mu((-\infty,z])F(z)=μ((−∞,z]); no density is assumed. H\mathcal HH consists of measurable HHH with 0≤H(z)≤z0\le H(z)\le z0≤H(z)≤z for z≥0z\ge0z≥0, and L\mathcal LL is defined by the supremum (3.2), not by (A.10).
  • 0<γ<μ10<\gamma<\mu_10<γ<μ1​ is a standing hypothesis (the paper imposes it from Section 4; without it fff has no positive root and (3.9) is undefined).
  • (3.7) is read as monotonicity of x↦vxx(x,t)x\mapsto v_{xx}(x,t)x↦vxx​(x,t), (3.8) as monotonicity of t↦vx(x,t)t\mapsto v_x(x,t)t↦vx​(x,t), (3.9) for every positive root of fff.
  • Uniqueness is equality on Q‾T\overline{\mathcal Q}_TQ​T​ within the class of solutions with (3.4)–(3.9). Uniqueness among all classical solutions is not posed: the paper's argument on an unbounded domain uses no growth condition.
  • Penalty data are taken at one fixed ε\varepsilonε; the limit ε→0\varepsilon\to0ε→0 of βε\beta_\varepsilonβε​ is not part of the data. "Sufficiently small ε\varepsilonε" is an ε0>0\varepsilon_0>0ε0​>0 depending on the model and LLL.
  • A formalization in which L\mathcal LL is given by its closed form, the derivatives are deriv evaluated at boundary points, or uniqueness is stated as equality of functions on all of R2\mathbb R^2R2, would trivialize or falsify the goal; the statements avoid all three.

Needed infrastructure: interval integrals of monotone functions and their one-sided derivatives, maximum and comparison principles for linear and quasilinear parabolic equations in one space dimension, existence for quasilinear parabolic problems (Leray–Schauder with Schauder estimates), and compactness in Hölder and Sobolev spaces. The parabolic comparison principle and the penalization scheme are reusable well beyond this mission. Proofs of individual milestones, in particular the elementary ones (A.7)–(A.13) and Lemma A.1, are welcome independently.

Selected references

  • C. Guan, Z. Q. Xu, R. Zhou, Dynamic optimal reinsurance and dividend-payout in finite time horizon, Mathematics of Operations Research, 2023; preprint arXiv:2008.00391v3. https://arxiv.org/abs/2008.00391
  • B. de Finetti, Su un'impostazione alternativa della teoria collettiva del rischio, Transactions of the XVth International Congress of Actuaries, 1957.
  • G. M. Lieberman, Second Order Parabolic Differential Equations, World Scientific, 1996. https://doi.org/10.1142/3302
  • L. C. Evans, Partial Differential Equations, 2nd ed., American Mathematical Society, 2010. https://doi.org/10.1090/gsm/019
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Actuarial ScienceOperations ResearchPartial Differential Equations·Captain: mikedeng1

Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon II: For Discrete Claims the Reinsurance Boundaries Are C¹, Start at 0 and Are Spaced Less Than (z_j − z_{j−1})/2c ApartResearch Paper

Motivation

An insurance company pays out dividends to its shareholders and buys reinsurance to limit its exposure to large claims. Both decisions are dynamic: the right amount to cede and the right moment to pay depend on the current surplus and on the time left until a fixed maturity TTT. Guan, Xu and Zhou (2023) solve the combined problem for a diffusion-approximated surplus with a general claim distribution, a general reinsurance contract (any retained-loss function 0≤H(z)≤z0\le H(z)\le z0≤H(z)≤z), and a finite horizon. Their main structural output is a description of the optimal strategy by free boundaries in the surplus–time plane: a dividend barrier d(τ)d(\tau)d(τ), and for each claim size zzz a reinsurance barrier K(z,τ)K(z,\tau)K(z,τ).

A companion mission formalizes the existence and uniqueness of the classical solution of the HJB variational inequality (Theorem 3.1 of the paper). This mission takes that solution as given and formalizes the shape of the boundaries (Section 4 of the paper), culminating in the description of the reinsurance boundaries for discrete claim distributions (Theorem 4.5).

Setting

Claims are i.i.d. copies of a nonnegative random variable Z1Z_1Z1​ with distribution function FFF, satisfying the tail condition that z3(1−F(z))z^3(1-F(z))z3(1−F(z)) is bounded on [0,∞)[0,\infty)[0,∞). Write μ1=∫0∞z dF(z)\mu_1=\int_0^\infty z\,dF(z)μ1​=∫0∞​zdF(z) and μ2=∫0∞z2 dF(z)\mu_2=\int_0^\infty z^2\,dF(z)μ2​=∫0∞​z2dF(z). The reinsurance loading is γ>0\gamma>0γ>0, the discount rate c>0c>0c>0, the horizon T>0T>0T>0, and throughout 0<γ<μ10<\gamma<\mu_10<γ<μ1​ (for γ≥μ1\gamma\ge\mu_1γ≥μ1​ the problem is trivial).

The value function v(x,τ)v(x,\tau)v(x,τ), with x≥0x\ge0x≥0 the surplus and τ∈[0,T]\tau\in[0,T]τ∈[0,T] the time to maturity, is the solution of the variational inequality

min⁡{vτ−Lv, vx−1}=0 on (0,∞)×(0,T],v(0,τ)=0,v(x,0)=x,\min\{v_\tau-\mathcal Lv,\ v_x-1\}=0\ \text{on }(0,\infty)\times(0,T],\qquad v(0,\tau)=0,\qquad v(x,0)=x,min{vτ​−Lv, vx​−1}=0 on (0,∞)×(0,T],v(0,τ)=0,v(x,0)=x,

where

Lv=sup⁡0≤H(z)≤z(vxx2∫0∞H2 dF+vx∫0∞H dF)−γvx−cv.\mathcal Lv=\sup_{0\le H(z)\le z}\Bigl(\frac{v_{xx}}{2}\int_0^\infty H^2\,dF+v_x\int_0^\infty H\,dF\Bigr)-\gamma v_x-cv .Lv=0≤H(z)≤zsup​(2vxx​​∫0∞​H2dF+vx​∫0∞​HdF)−γvx​−cv.

It is the unique function of class C2,1([0,∞)×[0,T]∖{(0,0)})∩C([0,∞)×[0,T])C^{2,1}([0,\infty)\times[0,T]\setminus\{(0,0)\})\cap C([0,\infty)\times[0,T])C2,1([0,∞)×[0,T]∖{(0,0)})∩C([0,∞)×[0,T]) that solves this inequality and satisfies vx≥1v_x\ge1vx​≥1, vτ≥0v_\tau\ge0vτ​≥0, vxx≤0v_{xx}\le0vxx​≤0, vxxv_{xx}vxx​ nondecreasing in xxx, vxv_xvx​ nondecreasing in τ\tauτ, and λvx+vxx≥0\lambda v_x+v_{xx}\ge0λvx​+vxx​≥0. Here λ\lambdaλ is the unique positive root of

f(y)=−yA(y)+B(y)−γ,A(y)=∫01/yz(1−F(z)) dz,B(y)=∫01/y(1−F(z)) dz(y>0).f(y)=-yA(y)+B(y)-\gamma,\qquad A(y)=\int_0^{1/y}z(1-F(z))\,dz,\quad B(y)=\int_0^{1/y}(1-F(z))\,dz\quad(y>0).f(y)=−yA(y)+B(y)−γ,A(y)=∫01/y​z(1−F(z))dz,B(y)=∫01/y​(1−F(z))dz(y>0).

The no-dividend region is ND={(x,τ):vx(x,τ)>1}\mathcal{ND}=\{(x,\tau): v_x(x,\tau)>1\}ND={(x,τ):vx​(x,τ)>1}, and the dividend boundary is

d(τ)=inf⁡{x≥0:vx(x,τ)=1}.d(\tau)=\inf\{x\ge0: v_x(x,\tau)=1\}.d(τ)=inf{x≥0:vx​(x,τ)=1}.

For a claim of size zzz the optimal retained loss is −vx/vxx-v_x/v_{xx}−vx​/vxx​ if −vxx/vx>1/z-v_{xx}/v_x>1/z−vxx​/vx​>1/z and zzz otherwise, and the ceded loss I^(z,x,τ)\hat I(z,x,\tau)I^(z,x,τ) is the difference from zzz. The reinsurance boundary is K(z,τ)=sup⁡{x>0:−vxx/vx(x,τ)>1/z}K(z,\tau)=\sup\{x>0: -v_{xx}/v_x(x,\tau)>1/z\}K(z,τ)=sup{x>0:−vxx​/vx​(x,τ)>1/z}. For a discrete law P(Z1=zj)=pj>0\mathbb P(Z_1=z_j)=p_j>0P(Z1​=zj​)=pj​>0 with 0<z1<⋯<zN0<z_1<\dots<z_N0<z1​<⋯<zN​, the jjj-th reinsurance boundary is

Kj(τ)=inf⁡{x>0:−vxxvx(x,τ)≤1zj}.K_j(\tau)=\inf\Bigl\{x>0: -\frac{v_{xx}}{v_x}(x,\tau)\le\frac1{z_j}\Bigr\}.Kj​(τ)=inf{x>0:−vx​vxx​​(x,τ)≤zj​1​}.

Formalization targets

Goal: Theorem 4.5

For a discrete claim law, every KjK_jKj​ is continuously differentiable on (0,T](0,T](0,T], and for every τ∈(0,T]\tau\in(0,T]τ∈(0,T]:

Kj(τ)=0  if zj≤1λ;0<Ki0(τ)<zi0−1/λ2c;0<Kj(τ)−Kj−1(τ)<zj−zj−12c  (j>i0);lim⁡τ→0+Kj(τ)=0,K_j(\tau)=0\ \text{ if }z_j\le\tfrac1\lambda;\qquad 0<K_{i_0}(\tau)<\frac{z_{i_0}-1/\lambda}{2c};\qquad 0<K_j(\tau)-K_{j-1}(\tau)<\frac{z_j-z_{j-1}}{2c}\ \ (j>i_0);\qquad \lim_{\tau\to0+}K_j(\tau)=0,Kj​(τ)=0  if zj​≤λ1​;0<Ki0​​(τ)<2czi0​​−1/λ​;0<Kj​(τ)−Kj−1​(τ)<2czj​−zj−1​​  (j>i0​);τ→0+lim​Kj​(τ)=0,

where zi0z_{i_0}zi0​​ is the smallest atom above 1/λ1/\lambda1/λ.

Milestones

  1. Theorem 4.2: ddd is continuous and nondecreasing on (0,T](0,T](0,T], and d(0+)=0<d(τ)≤(μ1+cγ)(cμ2+γ2)/(γc3)d(0+)=0<d(\tau)\le\sqrt{(\mu_1+c\gamma)(c\mu_2+\gamma^2)/(\gamma c^3)}d(0+)=0<d(τ)≤(μ1​+cγ)(cμ2​+γ2)/(γc3)​.
  2. Lemma 4.3: vx,vτ∈C2,1v_x,v_\tau\in C^{2,1}vx​,vτ​∈C2,1 in ND\mathcal{ND}ND, vxx<0v_{xx}<0vxx​<0 in ND\mathcal{ND}ND, and I^(z,x,τ)=max⁡{z+vx/vxx,0}\hat I(z,x,\tau)=\max\{z+v_x/v_{xx},0\}I^(z,x,τ)=max{z+vx​/vxx​,0} there.
  3. Lemma 4.4: −vx/vxx=1/λ-v_x/v_{xx}=1/\lambda−vx​/vxx​=1/λ at x=0x=0x=0, −vx/vxx>1/λ-v_x/v_{xx}>1/\lambda−vx​/vxx​>1/λ in ND\mathcal{ND}ND, and ∂x(−vx/vxx)≥2c\partial_x(-v_x/v_{xx})\ge2c∂x​(−vx​/vxx​)≥2c in ND\mathcal{ND}ND.
  4. Section 4.2, p. 18: for z>1/λz>1/\lambdaz>1/λ, K(z,τ)≤z/(2c)−1/(2cλ)K(z,\tau)\le z/(2c)-1/(2c\lambda)K(z,τ)≤z/(2c)−1/(2cλ).

Significance

The theorems turn an existence result for a fully nonlinear variational inequality into a usable description of the optimal policy. Claims below 1/λ1/\lambda1/λ are never reinsured; a claim of size z>1/λz>1/\lambdaz>1/λ is partly ceded only when the surplus lies below a barrier that starts at the origin at maturity, stays below z/(2c)−1/(2cλ)z/(2c)-1/(2c\lambda)z/(2c)−1/(2cλ), and stays below the dividend barrier, which is itself bounded by an explicit constant independent of the horizon. For discrete claims the barriers are smooth, ordered, and separated by gaps of at most (zj−zj−1)/(2c)(z_j-z_{j-1})/(2c)(zj​−zj−1​)/(2c). The quantity −vx/vxx-v_x/v_{xx}−vx​/vxx​, the optimal retention level, is shown to grow at rate at least 2c2c2c in the surplus; this single monotonicity estimate is what makes the regions of the surplus–time plane ordered and nonoverlapping.

The results are proved in the paper; none of them, nor Theorem 3.1 on which they rest, has a machine-checked proof. Formalizing them requires the parabolic regularity statements of Lemma 4.3 (the paper's proof invokes interior Schauder estimates) and the implicit function theorem in a form that gives one-variable C1C^1C1 dependence of a level set. Statements of the boundary properties in this mission are posed for any function with the properties of Theorem 3.1, so they can be proved independently of the companion mission.

Difficulty

Most of the elementary statements reduce to a sign or a monotonicity property of −vx/vxx-v_x/v_{xx}−vx​/vxx​, and the first idea is to differentiate the equation. That requires vxxxv_{xxx}vxxx​ and vxτv_{x\tau}vxτ​ to exist as classical derivatives in ND\mathcal{ND}ND, which the class of Theorem 3.1 does not provide: it gives only two xxx-derivatives and one τ\tauτ-derivative, and a weak monotonicity of vxxv_{xx}vxx​. Lemma 4.3's interior regularity is therefore not a formality but the gateway to Lemma 4.4, and its proof uses Hölder estimates for linear parabolic equations, which are not available in Mathlib.

The positivity d(τ)>0d(\tau)>0d(τ)>0 and the limit d(0+)=0d(0+)=0d(0+)=0 are statements about the free boundary itself, not about vvv at fixed points, and need the uniqueness part of Theorem 3.1 or a comparison argument. The strict inequalities in (4.13)–(4.14) need more than the bound ∂x(−vx/vxx)≥2c\partial_x(-v_x/v_{xx})\ge2c∂x​(−vx​/vxx​)≥2c as stated.

Formalization scope

All objects live in the namespace DynReinsDiv.Barriers. Conventions:

  • The claim law is a probability measure μ on R\mathbb RR with μ((−∞,0))=0\mu((-\infty,0))=0μ((−∞,0))=0; F(z)=μ((−∞,z])F(z)=\mu((-\infty,z])F(z)=μ((−∞,z]); no density is assumed. μ1,μ2\mu_1,\mu_2μ1​,μ2​ are Bochner integrals, finite under the tail condition. The standing hypothesis 0<γ<μ10<\gamma<\mu_10<γ<μ1​ is a field of the model.
  • v:R→R→Rv:\mathbb R\to\mathbb R\to\mathbb Rv:R→R→R takes (x,τ)(x,\tau)(x,τ), and the derivatives vx vxx vt are explicit functions: they are HasDerivAt derivatives of the sections at interior points (x>0x>0x>0, 0<τ<T0<\tau<T0<τ<T) and continuous on [0,∞)×[0,T]∖{(0,0)}[0,\infty)\times[0,T]\setminus\{(0,0)\}[0,∞)×[0,T]∖{(0,0)}; boundary values (at x=0x=0x=0 and τ=T\tau=Tτ=T) are the continuous extensions. "vxxx≥0v_{xxx}\ge0vxxx​≥0 in the weak sense" is monotonicity of vxxv_{xx}vxx​ in xxx, "vxτ≥0v_{x\tau}\ge0vxτ​≥0" is monotonicity of vxv_xvx​ in τ\tauτ.
  • The only hypothesis on vvv is the conclusion of Theorem 3.1, bundled as IsTheorem31Solution. The milestone conclusions (vxx<0v_{xx}<0vxx​<0, the bounds on −vx/vxx-v_x/v_{xx}−vx​/vxx​, d(0+)=0d(0+)=0d(0+)=0) are never hypotheses; with them as hypotheses Theorem 4.5 would be a short mean-value argument.
  • L\mathcal LL is the supremum over measurable retained-loss functions, not its closed form.
  • Infima and suprema of empty sets are 000 in Lean. Theorem 4.2 concludes that {x≥0:vx=1}\{x\ge0: v_x=1\}{x≥0:vx​=1} is nonempty; K(z,τ)K(z,\tau)K(z,τ) uses 000 for the empty set, as the paper does.
  • Atoms are indexed by Fin N from 000. The paper's index i0i_0i0​ is replaced by conditions on zjz_jzj​ and zj−1z_{j-1}zj−1​, which also cover laws whose atoms all lie below 1/λ1/\lambda1/λ.
  • Not formalized: d(∞)d(\infty)d(∞) (the horizon is finite; d(τ)≤x2d(\tau)\le x_2d(τ)≤x2​ for every τ≤T\tau\le Tτ≤T and every TTT carries the same content), the C∞C^\inftyC∞ regularity of ddd for bounded claims (only sketched in the paper), and the Verification Theorem 3.2.

Contributions welcome: the interior regularity of Lemma 4.3, the monotonicity estimate (4.10), and the derivation of Theorem 4.5 from the milestones.

Selected references

  • Chonghu Guan, Zuo Quan Xu, Rui Zhou, Dynamic optimal reinsurance and dividend-payout in a finite time horizon, Mathematics of Operations Research, 2023; read as arXiv:2008.00391v3 (2022). https://arxiv.org/abs/2008.00391
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Operations ResearchOptimizationProbability·Captain: mikedeng1

Pricing in On-Demand and One-Way Vehicle-Sharing Networks 1: Static Prices Earn at Least K/(N+K−1+Λ/μ) of the Fluid Optimum, via Increasingly Tight Availability BoundsResearch Paper

Why static prices in vehicle sharing

In one-way car sharing, bike sharing and ride hailing, a vehicle that serves a trip from location iii to location jjj ends up at jjj. Prices therefore do two jobs: they collect revenue and they steer the fleet. The best dynamic (state-dependent) pricing policy reacts to where every vehicle is, but computing it is a Markov decision problem over a state space that grows combinatorially with the fleet. A static policy, one fixed price per origin–destination pair, is easy to compute and to post, and the question is how much it gives up.

Waserhole and Jost (2016) bounded the loss when travel times are negligible. Banerjee, Freund and Lykouris (arXiv:1803.07841, Operations Research 2022) gave guarantees for large fleets. Benjaafar and Shen (SSRN 3998297; Operations Research Technical Note, 2023, doi:10.1287/opre.2023.2446) prove a bound valid for every fleet size KKK that accounts for travel times, and then a sequence of progressively tighter bounds. This mission formalizes that chain.

Setting

There is a finite set N\mathcal NN of NNN locations and K≥1K\ge 1K≥1 vehicles. Trip requests from iii to jjj arrive at rate Λij≥0\Lambda_{ij}\ge 0Λij​≥0; the pairs with positive demand form A={(i,j):Λij>0}\mathcal A=\{(i,j):\Lambda_{ij}>0\}A={(i,j):Λij​>0}, and the network (N,A)(\mathcal N,\mathcal A)(N,A) is strongly connected. A trip from iii to jjj lasts on average 1/μij1/\mu_{ij}1/μij​. A quantile policy q=(qij)q=(q_{ij})q=(qij​), qij∈[0,1]q_{ij}\in[0,1]qij​∈[0,1], is the fraction of requests that accept the posted price; the effective rates are λij=qijΛij\lambda_{ij}=q_{ij}\Lambda_{ij}λij​=qij​Λij​ and λi=∑jλij\lambda_i=\sum_j\lambda_{ij}λi​=∑j​λij​. Each served trip earns Iij(qij)I_{ij}(q_{ij})Iij​(qij​), and q↦qIij(q)q\mapsto qI_{ij}(q)q↦qIij​(q) is concave.

The fluid problem (2) is

max⁡q Rs(q)=∑(i,j)∈AΛijqijIij(qij)s.t.∑jΛijqij=∑jΛjiqji ∀i,∑(i,j)∈AΛijqijμij≤Δ,qij∈[0,1],\max_q\ R_s(q)=\sum_{(i,j)\in\mathcal A}\Lambda_{ij}q_{ij}I_{ij}(q_{ij})\quad\text{s.t.}\quad\sum_j\Lambda_{ij}q_{ij}=\sum_j\Lambda_{ji}q_{ji}\ \forall i,\quad \sum_{(i,j)\in\mathcal A}\frac{\Lambda_{ij}q_{ij}}{\mu_{ij}}\le\Delta,\quad q_{ij}\in[0,1],qmax​ Rs​(q)=(i,j)∈A∑​Λij​qij​Iij​(qij​)s.t.j∑​Λij​qij​=j∑​Λji​qji​ ∀i,(i,j)∈A∑​μij​Λij​qij​​≤Δ,qij​∈[0,1],

with Δ≥K\Delta\ge KΔ≥K. Its optimal solution qsq^sqs is the static policy; it is assumed to induce a strongly connected network. The value Rs(qs)R_s(q^s)Rs​(qs) is the fluid optimum.

Under a static policy the fleet moves through a closed queueing network: a single-server pick-up queue at each location, served at rate λi\lambda_iλi​, and an infinite-server transit queue for each pair, with mean time 1/μij1/\mu_{ij}1/μij​. The paper invokes the BCMP theorem for this network; the mission writes its stationary law as the product form. With rrr a positive solution of the traffic equations (9), ri=∑jrjλji/λjr_i=\sum_j r_j\lambda_{ji}/\lambda_jri​=∑j​rj​λji​/λj​, a state xxx (vehicle counts at locations and in transit, total KKK) has weight

w(x)=∏i(riλi)xi∏(i,j)1xij!(riλijλiμij)xij.w(x)=\prod_i\Bigl(\frac{r_i}{\lambda_i}\Bigr)^{x_i}\prod_{(i,j)}\frac{1}{x_{ij}!}\Bigl(\frac{r_i\lambda_{ij}}{\lambda_i\mu_{ij}}\Bigr)^{x_{ij}}.w(x)=i∏​(λi​ri​​)xi​(i,j)∏​xij​!1​(λi​μij​ri​λij​​)xij​.

The availability αi(K)\alpha_i(K)αi​(K) is the weight share of the states with xi≥1x_i\ge 1xi​≥1: the probability that a customer at iii finds a vehicle. The reward rate of the static policy is (3):

R(qs)=∑(i,j)∈Aαi ΛijqijsIij(qijs).R(q^s)=\sum_{(i,j)\in\mathcal A}\alpha_i\,\Lambda_{ij}q^s_{ij}I_{ij}(q^s_{ij}).R(qs)=(i,j)∈A∑​αi​Λij​qijs​Iij​(qijs​).

Finally Λ=∑AΛij\Lambda=\sum_{\mathcal A}\Lambda_{ij}Λ=∑A​Λij​, 1/μ=∑AΛij/(Λμij)1/\mu=\sum_{\mathcal A}\Lambda_{ij}/(\Lambda\mu_{ij})1/μ=∑A​Λij​/(Λμij​), and λ/μ=∑AΛijqijs/μij\lambda/\mu=\sum_{\mathcal A}\Lambda_{ij}q^s_{ij}/\mu_{ij}λ/μ=∑A​Λij​qijs​/μij​.

Formalization targets

Goal: Theorem 2, static half (p. 9)

With B0j(qs)=B0j=0B^j_0(q^s)=B^j_0=0B0j​(qs)=B0j​=0 and, for 1≤i≤K1\le i\le K1≤i≤K,

BiK(qs)=KN+K−1+λμ(1−Bi−1K−1(qs)),BiK=KN+K−1+Λμ(1−Bi−1K−1),B^K_i(q^s)=\frac{K}{N+K-1+\frac{\lambda}{\mu}\bigl(1-B^{K-1}_{i-1}(q^s)\bigr)},\qquad B^K_i=\frac{K}{N+K-1+\frac{\Lambda}{\mu}\bigl(1-B^{K-1}_{i-1}\bigr)},BiK​(qs)=N+K−1+μλ​(1−Bi−1K−1​(qs))K​,BiK​=N+K−1+μΛ​(1−Bi−1K−1​)K​,

the goal is: for every i=1,…,Ki=1,\dots,Ki=1,…,K,

R(qs)Rs(qs) ≥ BiK(qs) ≥ BiK ≥ KN+K−1+Λ/μ,\frac{R(q^s)}{R_s(q^s)}\ \ge\ B^K_i(q^s)\ \ge\ B^K_i\ \ge\ \frac{K}{N+K-1+\Lambda/\mu},Rs​(qs)R(qs)​ ≥ BiK​(qs) ≥ BiK​ ≥ N+K−1+Λ/μK​,

and Bi+1K>BiKB^K_{i+1}>B^K_iBi+1K​>BiK​ for i=1,…,K−1i=1,\dots,K-1i=1,…,K−1.

The paper's Theorem 2 begins with one more inequality, R(qs)/R(q∗)≥R(qs)/Rs(qs)R(q^s)/R(q^*)\ge R(q^s)/R_s(q^s)R(qs)/R(q∗)≥R(qs)/Rs​(qs), where q∗q^*q∗ is the best state-dependent policy. That inequality is Proposition 1 (p. 6). Its proof needs the stationary behaviour of the network under an arbitrary state-dependent policy with matrix-exponential trip times, together with Jensen's inequality and Little's law; that model is not formalized here. Proposition 1 is not part of this mission. The goal is the remaining chain, and it implies the paper's theorem once Proposition 1 is available.

Milestones

  1. Equal availability under balanced flows (p. 7, Appendix p. 23): αi(K)=αj(K)\alpha_i(K)=\alpha_j(K)αi​(K)=αj​(K).
  2. The ratio equals the availability (pp. 7–8): R(qs)/Rs(qs)=αR(q^s)/R_s(q^s)=\alphaR(qs)/Rs​(qs)=α.
  3. Equation (5) (p. 8): α(K)=K/(K+N−1+λμ(1−α(K−1)))\alpha(K)=K/\bigl(K+N-1+\frac{\lambda}{\mu}(1-\alpha(K-1))\bigr)α(K)=K/(K+N−1+μλ​(1−α(K−1))).
  4. Theorem 1, static half (p. 7): R(qs)/Rs(qs)≥K/(K+N−1+Λ/μ)R(q^s)/R_s(q^s)\ge K/(K+N-1+\Lambda/\mu)R(qs)/Rs​(qs)≥K/(K+N−1+Λ/μ).
  5. Equation (6) and 0≤α(K−i)≤(K−i)/(N+K−i−1)0\le\alpha(K-i)\le(K-i)/(N+K-i-1)0≤α(K−i)≤(K−i)/(N+K−i−1) (p. 9).
  6. BKK(qs)=α(K)B^K_K(q^s)=\alpha(K)BKK​(qs)=α(K) (p. 10).
  7. Bi+1K(qs)>BiK(qs)B^K_{i+1}(q^s)>B^K_i(q^s)Bi+1K​(qs)>BiK​(qs) (p. 10).

Significance

The bound K/(N+K−1+Λ/μ)K/(N+K-1+\Lambda/\mu)K/(N+K−1+Λ/μ) holds for every fleet size, tends to 111 at rate O(1/K)O(1/K)O(1/K), and reduces to the Waserhole–Jost bound when travel times vanish. The sequence BiK(qs)B^K_i(q^s)BiK​(qs) gives a computable certificate between that bound and the exact ratio BKK(qs)=α(K)B^K_K(q^s)=\alpha(K)BKK​(qs)=α(K), which an operator can evaluate from NNN, KKK and the fluid solution alone. Equation (5), a one-step recursion in the fleet size for a network mixing single-server and infinite-server stations, is the reusable core: the two sibling missions (the demand-free bound of Theorem 3 and the split-network bound of Theorem 4) rest on the same recursion.

The results are proved in the paper; none is formalized elsewhere as far as a search of the platform shows. The platform has the multiclass BCMP framework and single-server closed Jackson networks, but not availability in networks with infinite-server stations, nor equation (5). This mission adds a product-form availability layer, the equal-availability lemma, the recursion (5), and the bound chain.

Difficulty

The paper derives (5) from the random observer (arrival) theorem and Little's law, and neither is available as a formal tool, so the recursion has to be obtained from the product form itself, as an identity between sums over the state spaces with KKK and K−1K-1K−1 vehicles. Equal availability needs uniqueness, up to scale, of the positive solution of the traffic equations on a strongly connected network (a Perron–Frobenius-type fact for an irreducible stochastic matrix). In the bound chain, BiK(qs)≥BiKB^K_i(q^s)\ge B^K_iBiK​(qs)≥BiK​ needs the recursion map to be monotone in both the workload and the previous value, which holds only once 0≤B≤10\le B\le 10≤B≤1 is established; strict monotonicity in iii is a double induction.

The obvious shortcut, defining α\alphaα by the recursion (5), makes Theorem 1 a one-line consequence of α(K−1)≥0\alpha(K-1)\ge 0α(K−1)≥0 and deletes the content of the first three milestones; the mission rules it out by defining α\alphaα as the product form.

Formalization scope

Locations form a Fintype with Nonempty; NNN is its cardinality. Demand, travel rates, rewards and policies are functions on all ordered pairs, self-pairs included; sums over A\mathcal AA are sums over all pairs, which agree because each summand carries Λij\Lambda_{ij}Λij​. Strong connectivity, of (N,A)(\mathcal N,\mathcal A)(N,A) and of the network induced by qsq^sqs, uses nonempty paths (Relation.TransGen), so every location has positive accepted demand and A≠∅\mathcal A\ne\emptysetA=∅. Every ordered pair has a transit queue; a pair with λij=0\lambda_{ij}=0λij​=0 has load 000 and stays empty (00=10^0=100=1). All arithmetic on KKK, NNN and iii is in R\mathbb RR; B(K,0)=0B(K,0)=0B(K,0)=0 for every K≥0K\ge 0K≥0, including the B00B^0_0B00​ that the paper's definition omits. Rs(qs)>0R_s(q^s)>0Rs​(qs)>0 is a hypothesis of the ratio statements, since otherwise the ratio is 0/00/00/0. The statements keep the paper's hypothesis that qsq^sqs is optimal for (2) with Δ≥K\Delta\ge KΔ≥K; the proofs use only feasibility and balanced flows, and the queueing milestones are stated for every balanced quantile policy inducing a strongly connected network.

The product form is a definition: the mission does not prove that it is the stationary law of the network's Markov chain (the BCMP theorem). The general closed product-form network (single-server and infinite-server stations on an arbitrary finite station set) is a separate definition and is reusable beyond this mission. Contributions welcome: proofs of (5) via normalizing constants, the traffic-equation uniqueness lemma, and the elementary bound-sequence inequalities.

Selected references

  • S. Benjaafar, X. Shen, Pricing in On-Demand (and One-Way) Vehicle Sharing Networks, SSRN abstract 3998297, version of 2023-01-10. https://ssrn.com/abstract=3998297 ; Technical Note, Operations Research, 2023. https://doi.org/10.1287/opre.2023.2446
  • F. Baskett, K. M. Chandy, R. R. Muntz, F. G. Palacios, Open, Closed, and Mixed Networks of Queues with Different Classes of Customers, J. ACM 22(2), 1975. https://doi.org/10.1145/321879.321887
  • S. Banerjee, D. Freund, T. Lykouris, Pricing and Optimization in Shared Vehicle Systems: An Approximation Framework, Operations Research 70(3), 2022. https://arxiv.org/abs/1803.07841
  • A. Waserhole, V. Jost, Pricing in Vehicle Sharing Systems: Optimization in Queuing Networks with Product Forms, EURO J. Transportation and Logistics 5, 2016. https://doi.org/10.1007/s13676-014-0054-4
  • D. K. George, C. H. Xia, Fleet-Sizing and Service Availability for a Vehicle Rental System via Closed Queueing Networks, European J. Operational Research 211(1), 2011. https://doi.org/10.1016/j.ejor.2010.12.015
  • M. Reiser, S. S. Lavenberg, Mean-Value Analysis of Closed Multichain Queuing Networks, J. ACM 27(2), 1980. https://doi.org/10.1145/322186.322195
12 thms1 active userReviewed
Operations ResearchOptimizationProbability·Captain: mikedeng1

Pricing in On-Demand and One-Way Vehicle-Sharing Networks 2: With Workload Budget K, Static Prices Earn a Demand-Independent 1 − O(1/√K) Fraction of the Fluid OptimumResearch Paper

Motivation

One-way vehicle-sharing systems (car sharing, bike sharing, ride-hailing fleets) set a price for every origin–destination trip. Prices decide which trips are taken, and so they decide where vehicles end up. Pricing that depends on the current position of every vehicle is in principle optimal, but its state space grows combinatorially with the fleet. Practitioners therefore use static prices, which depend only on the origin and destination. The question is how much revenue, throughput or welfare such prices give up.

Benjaafar and Shen (SSRN 3998297; Technical Note, Operations Research, 2023, doi:10.1287/opre.2023.2446) answer this with explicit lower bounds on the performance ratio of the static policy obtained from a fluid relaxation. Banerjee, Freund and Lykouris (arXiv:1611.07624) proved the earlier guarantee, which requires the fleet size KKK to be at least 100100100 and the workload to be at most K−2Kln⁡KK-2\sqrt{K\ln K}K−2KlnK​. Benjaafar and Shen give two bounds that hold for every KKK. The first is K/(N+K−1+Λ/μ)K/(N+K-1+\Lambda/\mu)K/(N+K−1+Λ/μ) (their Theorems 1–2), and it degrades when total demand Λ\LambdaΛ grows with KKK. The second, Theorem 3, does not depend on demand or travel times at all. This mission is about Theorem 3.

Setting

There is a finite set N\mathcal NN of NNN locations and KKK vehicles. Trip requests from iii to jjj arrive as a Poisson process of rate Λij≥0\Lambda_{ij}\ge0Λij​≥0, and A={(i,j):Λij>0}\mathcal A=\{(i,j):\Lambda_{ij}>0\}A={(i,j):Λij​>0} is the set of pairs with demand. The graph (N,A)(\mathcal N,\mathcal A)(N,A) is strongly connected. A trip from iii to jjj lasts a random time with mean 1/μij1/\mu_{ij}1/μij​. A static policy is a matrix q=(qij)q=(q_{ij})q=(qij​) of quantiles: qij∈[0,1]q_{ij}\in[0,1]qij​∈[0,1] is the fraction of (i,j)(i,j)(i,j) customers who accept the posted price. Each accepted trip earns a reward Iij(qij)I_{ij}(q_{ij})Iij​(qij​), and q↦q Iij(q)q\mapsto q\,I_{ij}(q)q↦qIij​(q) is concave. A customer who finds no vehicle at the origin is lost.

Problem (2) is the fluid relaxation, in which vehicles are always available:

max⁡q Rs(q)=∑(i,j)∈AΛijqijIij(qij)s.t.∑jΛijqij=∑jΛjiqji,∑(i,j)∈AΛijqijμij≤Δ,qij∈[0,1].\max_q\ R_s(q)=\sum_{(i,j)\in\mathcal A}\Lambda_{ij}q_{ij}I_{ij}(q_{ij}) \quad\text{s.t.}\quad \sum_j\Lambda_{ij}q_{ij}=\sum_j\Lambda_{ji}q_{ji},\quad \sum_{(i,j)\in\mathcal A}\frac{\Lambda_{ij}q_{ij}}{\mu_{ij}}\le\Delta,\quad q_{ij}\in[0,1].qmax​ Rs​(q)=(i,j)∈A∑​Λij​qij​Iij​(qij​)s.t.j∑​Λij​qij​=j∑​Λji​qji​,(i,j)∈A∑​μij​Λij​qij​​≤Δ,qij​∈[0,1].

The first constraint balances the flows, and the second caps the workload λ/μ=∑Λijqij/μij\lambda/\mu=\sum\Lambda_{ij}q_{ij}/\mu_{ij}λ/μ=∑Λij​qij​/μij​ (the mean number of vehicles in transit) by a budget Δ\DeltaΔ. Let qsq^sqs be an optimal solution that induces a strongly connected network.

Under a static policy the vehicles move in a closed queueing network. Each location has a single-server pick-up queue with service rate λi=∑jΛijqij\lambda_i=\sum_j\Lambda_{ij}q_{ij}λi​=∑j​Λij​qij​. Each pair has an infinite-server transit queue with mean service time 1/μij1/\mu_{ij}1/μij​. This network is of BCMP type, so its stationary law has product form. With rrr a positive solution of the traffic equations (9), a state with xix_ixi​ vehicles at location iii and xijx_{ij}xij​ in transit from iii to jjj has weight ∏i(ri/λi)xi∏(i,j)(riλij/(λiμij))xij/xij!\prod_i(r_i/\lambda_i)^{x_i}\prod_{(i,j)}(r_i\lambda_{ij}/(\lambda_i\mu_{ij}))^{x_{ij}}/x_{ij}!∏i​(ri​/λi​)xi​∏(i,j)​(ri​λij​/(λi​μij​))xij​/xij​!. The availability αi(K)\alpha_i(K)αi​(K) is the stationary probability that location iii holds at least one vehicle. The reward rate of the policy is Equation (3):

R(q)=∑(i,j)∈Aαi ΛijqijIij(qij).R(q)=\sum_{(i,j)\in\mathcal A}\alpha_i\,\Lambda_{ij}q_{ij}I_{ij}(q_{ij}).R(q)=(i,j)∈A∑​αi​Λij​qij​Iij​(qij​).

Formalization targets

Goal: Theorem 3, static half

For K≥1K\ge1K≥1, Δ=K\Delta=KΔ=K, qsq^sqs optimal for (2), inducing a strongly connected network, with Rs(qs)>0R_s(q^s)>0Rs​(qs)>0:

R(qs)Rs(qs) ≥ 1−((N−12K+12(N+K)+1)2−1−(N−12K+12(N+K))).\frac{R(q^s)}{R_s(q^s)}\ \ge\ 1-\left(\sqrt{\Bigl(\tfrac{N-1}{2K}+\tfrac{1}{2(N+K)}+1\Bigr)^2-1}-\Bigl(\tfrac{N-1}{2K}+\tfrac{1}{2(N+K)}\Bigr)\right).Rs​(qs)R(qs)​ ≥ 1−((2KN−1​+2(N+K)1​+1)2−1​−(2KN−1​+2(N+K)1​)).

The paper states the bound for R(qs)/R(q∗)R(q^s)/R(q^*)R(qs)/R(q∗), where q∗q^*q∗ is the optimal dynamic policy. It passes from one ratio to the other with Proposition 1, R(q∗)≤Rs(qs)R(q^*)\le R_s(q^s)R(q∗)≤Rs​(qs) (p. 6), whose proof needs the stationary analysis of arbitrary state-dependent policies. Proposition 1 is not part of this mission. The goal implies the paper's Theorem 3 once Proposition 1 is available.

Milestones

  1. Equal availability (pp. 7, 23): under balanced flows, αi(K)=αj(K)\alpha_i(K)=\alpha_j(K)αi​(K)=αj​(K) for all i,ji,ji,j.
  2. R(qs)/Rs(qs)=αR(q^s)/R_s(q^s)=\alphaR(qs)/Rs​(qs)=α (pp. 7–8).
  3. Equation (5) (p. 8): α(K)=K/(K+N−1+(λ/μ)(1−α(K−1)))\alpha(K)=K/\bigl(K+N-1+(\lambda/\mu)(1-\alpha(K-1))\bigr)α(K)=K/(K+N−1+(λ/μ)(1−α(K−1))).
  4. β(K)=K/(N+K−1+Δ(1−β(K−1)))\beta(K)=K/(N+K-1+\Delta(1-\beta(K-1)))β(K)=K/(N+K−1+Δ(1−β(K−1))), β(0)=0\beta(0)=0β(0)=0, is non-decreasing and concave (p. 10).
  5. α(K)≥β(K)\alpha(K)\ge\beta(K)α(K)≥β(K) for K≥1K\ge1K≥1 when λ/μ≤Δ\lambda/\mu\le\Deltaλ/μ≤Δ (p. 11).
  6. β(K)−β(K−1)≤β(1)=1/(N+Δ)\beta(K)-\beta(K-1)\le\beta(1)=1/(N+\Delta)β(K)−β(K−1)≤β(1)=1/(N+Δ) (p. 11).
  7. β(K)≥(bK−bK2−4KΔ)/(2Δ)\beta(K)\ge\bigl(b_K-\sqrt{b_K^2-4K\Delta}\bigr)/(2\Delta)β(K)≥(bK​−bK2​−4KΔ​)/(2Δ) with bK=N+K−1+Δ+Δ/(N+Δ)b_K=N+K-1+\Delta+\Delta/(N+\Delta)bK​=N+K−1+Δ+Δ/(N+Δ) (p. 11).

Significance

The bound tends to 111 at rate 1−O(1/K)1-O(1/\sqrt K)1−O(1/K​), uniformly in demand rates, travel times and the reward functions. It is the regime-free counterpart of the K/(N+K−1+Λ/μ)K/(N+K-1+\Lambda/\mu)K/(N+K−1+Λ/μ) bound: that bound is better for light demand, this one for heavy demand (Remark 7). Remark 6 reports that it is also numerically tighter than the guarantee of Banerjee et al., and unlike that guarantee it applies to every fleet size.

Formalizing it adds several things to the platform. The first is availability in closed networks of single-server and infinite-server stations, defined from the product form. Two classical facts about this model follow: availability is equal across locations under balanced flows, and it satisfies the mean-value recursion (5). Milestone 4 is a concavity statement about the throughput of a closed network in its population, and for N=1N=1N=1 it contains the concavity of the Erlang-B carried load in the number of servers. The paper does not prove it; it cites George and Xia (2011) and Shanthikumar and Yao (1988). None of these results is formalized anywhere that this mission is aware of, so the mission formalizes a proved result, not an open problem.

Difficulty

The algebra at the end (milestones 6–7 and the substitution Δ=K\Delta=KΔ=K) is elementary. Two steps are not.

Equation (5) is stated as a relation between availabilities, but its content is an identity between normalizing constants G(K−1)/G(K)G(K-1)/G(K)G(K−1)/G(K) of the product form. The paper derives it from the arrival theorem and Little's law, and neither is available. A direct proof has to compute G(K)G(K)G(K) under balanced flows, which takes a counting argument over the state space. Equal availability likewise needs the positive solution of (9) to be unique up to scale on a strongly connected network.

Concavity of β\betaβ is the hard milestone. A natural first attempt is induction on the recursion: if β(K)−β(K−1)\beta(K)-\beta(K-1)β(K)−β(K−1) is non-increasing up to KKK, show that the next increment is no larger. The map β(K−1)↦β(K)\beta(K-1)\mapsto\beta(K)β(K−1)↦β(K) is increasing and convex in its argument, and convexity points the wrong way, so increments do not propagate directly. The published proofs go through the closed-network interpretation, not through the recursion.

Formalization scope

The Lean development lives in VehicleSharePricing.DemandFree. Locations are a Fintype with Nonempty, and NNN is its cardinality. Λ, μ, q are real matrices on all pairs, and entries outside A\mathcal AA enter only multiplied by Λij=0\Lambda_{ij}=0Λij​=0. Strong connectivity is the transitive closure of the positive-flow relation (Relation.TransGen). This guarantees λi>0\lambda_i>0λi​>0 at every location, even for N=1N=1N=1. Availability is the product-form busy probability of the general definition ProductFormNetwork, applied to the induced network. That law is a definition that records the paper's appeal to BCMP (p. 6), not a theorem of this mission. Theorems quantify over every positive solution rrr of (9). R(q)R(q)R(q) is Equation (3) with per-location availabilities. The sequence β\betaβ is defined by its recursion, which is correct because it is a proof device, not the availability of qsq^sqs. All arithmetic is in R\mathbb RR, and K−1K-1K−1 appears only under K≥1K\ge1K≥1.

Two trivializations are ruled out. Defining α\alphaα by the recursion (5) would make milestones 1–3 empty, and defining R(q)R(q)R(q) as αRs(q)\alpha R_s(q)αRs​(q) would make milestone 1 empty. The hypothesis Rs(qs)>0R_s(q^s)>0Rs​(qs)>0 is added because the ratio is otherwise 0/00/00/0.

The proof of the goal uses only feasibility of qsq^sqs and the strong connectivity of the induced network; optimality is kept because it is the paper's hypothesis. Contributions are welcome on any milestone. A library for normalizing constants of closed product-form networks, and the concavity of throughput in the population, would be reusable well beyond this paper.

Selected references

  • S. Benjaafar, X. Shen, Pricing in On-Demand (and One-Way) Vehicle Sharing Networks, SSRN abstract 3998297, version of 2023-01-10; Technical Note, Operations Research, 2023. https://ssrn.com/abstract=3998297, https://doi.org/10.1287/opre.2023.2446
  • S. Banerjee, D. Freund, T. Lykouris, Pricing and Optimization in Shared Vehicle Systems: An Approximation Framework, Operations Research, 2022 (cited by the paper as forthcoming); arXiv:1611.07624. https://arxiv.org/abs/1611.07624
  • F. Baskett, K. M. Chandy, R. R. Muntz, F. G. Palacios, Open, Closed, and Mixed Networks of Queues with Different Classes of Customers, Journal of the ACM 22(2), 1975. https://doi.org/10.1145/321879.321887
  • D. K. George, C. H. Xia, Fleet-Sizing and Service Availability for a Vehicle Rental System via Closed Queueing Networks, European Journal of Operational Research 211(1), 2011. https://doi.org/10.1016/j.ejor.2010.12.015
  • J. G. Shanthikumar, D. D. Yao, Second-Order Properties of the Throughput of a Closed Queueing Network, Mathematics of Operations Research 13(3), 1988. https://doi.org/10.1287/moor.13.3.524
11 thms1 active userReviewed
CombinatoricsOperations ResearchOptimization+1·Captain: mikedeng1

Pricing in On-Demand and One-Way Vehicle-Sharing Networks 3: The K/(N+K−1+Λ/μ) Guarantee Holds When Static Prices Split the Network into ComponentsResearch Paper

Motivation

One-way vehicle-sharing systems (car sharing, bike sharing, on-demand fleets) move a fixed fleet of KKK vehicles among NNN locations. Customers take a vehicle at one location and leave it at another, so prices shape both revenue and where the fleet ends up. The optimal dynamic pricing policy, which reacts to the current position of every vehicle, solves a dynamic program whose state space grows combinatorially in NNN and KKK. Static policies, with one fixed price per origin–destination pair, are simple to compute and to operate, and the question is how much they lose.

Benjaafar and Shen (SSRN 3998297; Operations Research, 2023, doi:10.1287/opre.2023.2446) take the static policy qsq^sqs that solves a fluid relaxation, Problem (2), and bound its performance ratio. When qsq^sqs induces a strongly connected network, Theorem 1 gives the ratio K/(N+K−1+Λ/μ)K/(N+K-1+\Lambda/\mu)K/(N+K−1+Λ/μ). Waserhole and Jost (2016) observed that the best static policy may deliberately disconnect the network: prices that make some trips unattractive can leave two or more separate networks. The fleet then has to be split among the pieces, and Theorem 1 no longer applies. This mission formalizes Theorem 4 of the paper (§6, p. 18), which shows that the same guarantee holds in that case, provided the vehicles are allocated optimally among the networks.

Setting

There are NNN locations and KKK vehicles. Trip requests from location iii to jjj arrive at rate Λij≥0\Lambda_{ij}\ge0Λij​≥0, and A={(i,j):Λij>0}\mathcal A=\{(i,j):\Lambda_{ij}>0\}A={(i,j):Λij​>0} is strongly connected. A trip on (i,j)(i,j)(i,j) lasts on average 1/μij1/\mu_{ij}1/μij​. A static policy is a vector of quantiles qij∈[0,1]q_{ij}\in[0,1]qij​∈[0,1] (the fraction of customers who accept the price), and earns Iij(qij)I_{ij}(q_{ij})Iij​(qij​) per trip, with q↦qIij(q)q\mapsto qI_{ij}(q)q↦qIij​(q) concave.

Problem (2) maximises the fluid reward Rs(q)=∑AΛijqijIij(qij)R_s(q)=\sum_{\mathcal A}\Lambda_{ij}q_{ij}I_{ij}(q_{ij})Rs​(q)=∑A​Λij​qij​Iij​(qij​) over balanced flows (∑jΛijqij=∑jΛjiqji\sum_j\Lambda_{ij}q_{ij}=\sum_j\Lambda_{ji}q_{ji}∑j​Λij​qij​=∑j​Λji​qji​ at every location) with workload ∑AΛijqij/μij≤Δ\sum_{\mathcal A}\Lambda_{ij}q_{ij}/\mu_{ij}\le\Delta∑A​Λij​qij​/μij​≤Δ, where Δ≥K\Delta\ge KΔ≥K. Let qsq^sqs be an optimal solution.

The policy qsq^sqs splits the locations into networks ccc with location sets Nc\mathcal N_cNc​ (Nc=∣Nc∣N_c=|\mathcal N_c|Nc​=∣Nc​∣) and pair sets Ac\mathcal A_cAc​: accepted demand Λijqijs>0\Lambda_{ij}q^s_{ij}>0Λij​qijs​>0 only joins locations of the same network, and within each network it is strongly connected. With KcK_cKc​ vehicles, network ccc is a closed queueing network: a single-server pick-up queue at each location (rate λi=∑jΛijqijs\lambda_i=\sum_j\Lambda_{ij}q^s_{ij}λi​=∑j​Λij​qijs​) and an infinite-server transit queue on each pair. Its stationary law is the BCMP product form, with loads computed from a positive solution rrr of the traffic equations (9). The availability α(qs,Kc,Nc)\alpha(q^s,K_c,N_c)α(qs,Kc​,Nc​) is the stationary probability that a location of network ccc has a vehicle.

An allocation K=(Kc)\mathbf K=(K_c)K=(Kc​) with ∑cKc=K\sum_cK_c=K∑c​Kc​=K earns R(qs,K)=∑AαiΛijqijsIij(qijs)R(q^s,\mathbf K)=\sum_{\mathcal A}\alpha_i\Lambda_{ij}q^s_{ij}I_{ij}(q^s_{ij})R(qs,K)=∑A​αi​Λij​qijs​Iij​(qijs​) (Equation (3)), and Problem (8) chooses K∗\mathbf K^*K∗ to maximise it. Write Mc=∑AcΛijqijs/μijM_c=\sum_{\mathcal A_c}\Lambda_{ij}q^s_{ij}/\mu_{ij}Mc​=∑Ac​​Λij​qijs​/μij​, pcp_cpc​ for network ccc's share of Rs(qs)R_s(q^s)Rs​(qs), Λ=∑AΛij\Lambda=\sum_{\mathcal A}\Lambda_{ij}Λ=∑A​Λij​ and 1/μ=∑AΛij/(Λμij)1/\mu=\sum_{\mathcal A}\Lambda_{ij}/(\Lambda\mu_{ij})1/μ=∑A​Λij​/(Λμij​).

Formalization targets

Goal: Theorem 4, static half (p. 18)

R(qs,K∗)Rs(qs) ≥ KN+K−1+Λ/μ.\frac{R(q^s,\mathbf K^*)}{R_s(q^s)}\ \ge\ \frac{K}{N+K-1+\Lambda/\mu}.Rs​(qs)R(qs,K∗)​ ≥ N+K−1+Λ/μK​.

The paper's Theorem 4 opens with R(qs,K∗)/R(q∗)≥R(qs,K∗)/Rs(qs)R(q^s,\mathbf K^*)/R(q^*)\ge R(q^s,\mathbf K^*)/R_s(q^s)R(qs,K∗)/R(q∗)≥R(qs,K∗)/Rs​(qs), where R(q∗)R(q^*)R(q∗) is the reward of the optimal dynamic policy. That inequality is Proposition 1 (R(q∗)≤Rs(qs)R(q^*)\le R_s(q^s)R(q∗)≤Rs​(qs), p. 6). It needs the stationary distribution of the network under an arbitrary state-dependent policy, a controlled-Markov-chain development that is not part of this mission. The goal is the rest of the chain, and it implies the paper's theorem once Proposition 1 is available.

Milestones (p. 18–19)

  1. The recursion (5) on each network: α(qs,Kc,Nc)=Kc/(Nc+Kc−1+(1−α(qs,Kc−1,Nc))Mc)\alpha(q^s,K_c,N_c)=K_c/(N_c+K_c-1+(1-\alpha(q^s,K_c-1,N_c))M_c)α(qs,Kc​,Nc​)=Kc​/(Nc​+Kc​−1+(1−α(qs,Kc​−1,Nc​))Mc​).
  2. The mixture identity R(qs,K)/Rs(qs)=∑cα(qs,Kc,Nc)pcR(q^s,\mathbf K)/R_s(q^s)=\sum_c\alpha(q^s,K_c,N_c)p_cR(qs,K)/Rs​(qs)=∑c​α(qs,Kc​,Nc​)pc​, with ∑cpc=1\sum_cp_c=1∑c​pc​=1.
  3. The per-network bound pcKc/(Nc+Kc−1+Mc(1−α(qs,Kc−1,Nc)))≥pcKc/(Nc+Kc−1+Mc)p_cK_c/(N_c+K_c-1+M_c(1-\alpha(q^s,K_c-1,N_c)))\ge p_cK_c/(N_c+K_c-1+M_c)pc​Kc​/(Nc​+Kc​−1+Mc​(1−α(qs,Kc​−1,Nc​)))≥pc​Kc​/(Nc​+Kc​−1+Mc​).
  4. The reduction R(qs,K∗)/Rs(qs)≥max⁡∑Kc=K∑cpcKc/(Nc+Kc−1+Mc)R(q^s,\mathbf K^*)/R_s(q^s)\ge\max_{\sum K_c=K}\sum_cp_cK_c/(N_c+K_c-1+M_c)R(qs,K∗)/Rs​(qs)≥max∑Kc​=K​∑c​pc​Kc​/(Nc​+Kc​−1+Mc​).
  5. The Chu–Vandermonde identity ∑K1=0K(K+T−K1−T1−1K−K1)(T1+K1−1K1)=(K+T−1K)\sum_{K_1=0}^K\binom{K+T-K_1-T_1-1}{K-K_1}\binom{T_1+K_1-1}{K_1}=\binom{K+T-1}{K}∑K1​=0K​(K−K1​K+T−K1​−T1​−1​)(K1​T1​+K1​−1​)=(KK+T−1​) for real T1,T2>0T_1,T_2>0T1​,T2​>0.
  6. The reduced inequality for C=2C=2C=2: max⁡K1+K2=K∑i=12piKi/(Ni+Ki−1+Mi)≥K/(N+K−1+M)\max_{K_1+K_2=K}\sum_{i=1}^2p_iK_i/(N_i+K_i-1+M_i)\ge K/(N+K-1+M)maxK1​+K2​=K​∑i=12​pi​Ki​/(Ni​+Ki​−1+Mi​)≥K/(N+K−1+M).
  7. The same for any number of networks, the case C>2C>2C>2.

Significance

The result. Theorem 4 removes the connectivity assumption from Theorem 1. A static policy chosen by the fluid relaxation may disconnect the network, and it then still earns at least K/(N+K−1+Λ/μ)K/(N+K-1+\Lambda/\mu)K/(N+K−1+Λ/μ) of the fluid optimum, uniformly in the demand and reward data. The bound tends to 111 as K→∞K\to\inftyK→∞ for fixed NNN and Λ/μ\Lambda/\muΛ/μ. Milestones 6–7 hold for arbitrary weights, location counts and workloads, so they apply to any separable allocation problem whose pieces satisfy recursion (5).

Formalizing it. The result is proved in the paper; nothing here is open. No part of it is machine-checked so far. The mission adds closed-network availability on a disconnected network, the mixture decomposition of the performance ratio, a real-argument Vandermonde identity in the paper's own notation, and a discrete allocation inequality proved by an averaging argument. The companion missions of this series formalize Theorems 1–3 of the same paper.

Difficulty

The obvious argument applies Theorem 1 to each network: α(qs,Kc,Nc)≥Kc/(Nc+Kc−1+Mc)\alpha(q^s,K_c,N_c)\ge K_c/(N_c+K_c-1+M_c)α(qs,Kc​,Nc​)≥Kc​/(Nc​+Kc​−1+Mc​). This leaves a maximisation over allocations, and no single allocation obviously beats K/(N+K−1+M)K/(N+K-1+M)K/(N+K−1+M). Proportional splitting fails because Nc+Kc−1N_c+K_c-1Nc​+Kc​−1 does not scale with KcK_cKc​, and the best allocation depends on all of pcp_cpc​, NcN_cNc​ and McM_cMc​. The paper does not exhibit a good allocation. It averages the objective against probability weights from the Chu–Vandermonde identity, which needs binomial coefficients with real upper arguments. It then passes from two networks to many by an induction that merges networks. The recursion (5) itself rests on a computation with the normalising constants of a product form that has both single-server and infinite-server stations.

Formalization scope

Locations form a finite type. A\mathcal AA is the set of pairs with Λij>0\Lambda_{ij}>0Λij​>0, and its strong connectivity is a transitive closure. The split is a surjective map from locations onto a finite index type of networks. Every pair with positive accepted demand stays inside one class, and each class is strongly connected under accepted demand, again as a transitive closure. So every location has positive accepted demand. The paper's C>1C>1C>1 is relaxed to C≥1C\ge1C≥1.

Availability is the BCMP product form of each network on its own, with loads ri/λir_i/\lambda_iri​/λi​ (pick-up) and riΛijqij/(λiμij)r_i\Lambda_{ij}q_{ij}/(\lambda_i\mu_{ij})ri​Λij​qij​/(λi​μij​) (transit), and rrr a positive solution of (9). This is a disclosed definition, since the paper invokes the BCMP class without writing it. Availability is defined per location; its equality across a network follows from milestone 1. R(qs,K)R(q^s,\mathbf K)R(qs,K) is Equation (3) with per-location availabilities. Problem (8) is an explicit maximisation over the finite set of allocations. All ratios are real numbers, Rs(qs)>0R_s(q^s)>0Rs​(qs)>0 is assumed so that the ratio is defined, and N+K−1N+K-1N+K−1 is computed in R\mathbb RR.

Defining availability by the recursion (5), or RRR as α⋅Rs\alpha\cdot R_sα⋅Rs​, would make milestones 1–2 trivial and is ruled out.

A complete development needs:

  • the product-form computation behind (5);
  • equal availability within a network;
  • the Vandermonde identity for generalized binomials (Mathlib's Ring.add_choose_eq);
  • the averaging argument and the induction.

The closed-network definitions and milestones 5–7 are reusable beyond this mission. Proofs of any milestone are welcome, and so is a proof of Proposition 1.

Selected references

  • S. Benjaafar, X. Shen, Pricing in On-Demand (and One-Way) Vehicle Sharing Networks, SSRN abstract 3998297, version of 2023-01-10. https://ssrn.com/abstract=3998297 ; published as a Technical Note in Operations Research, 2023. https://doi.org/10.1287/opre.2023.2446
  • F. Baskett, K. M. Chandy, R. R. Muntz, F. G. Palacios, Open, Closed, and Mixed Networks of Queues with Different Classes of Customers, J. ACM 22(2), 1975, 248–260. https://doi.org/10.1145/321879.321887
  • A. Waserhole, V. Jost, Pricing in Vehicle Sharing Systems: Optimization in Queuing Networks with Product Forms, EURO J. Transportation and Logistics 5(3), 2016, 293–320. https://doi.org/10.1007/s13676-014-0054-4
  • D. K. George, C. H. Xia, Fleet-Sizing and Service Availability for a Vehicle Rental System via Closed Queueing Networks, European J. Operational Research 211(1), 2011, 198–207. https://doi.org/10.1016/j.ejor.2010.12.015
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Linear OptimizationMarkov ChainOperations Research+1·Captain: mikedeng1

Dynamic Matching: Characterizing and Achieving Constant Regret I: Under General Position the Exhaustive Resolving Policy Has Regret at Most Γ/ϵ at All TimesResearch Paper

Motivation

Centralized matching markets (kidney exchange, ride hailing, freight and labor platforms) repeatedly decide which waiting participants to match now and which to hold for a better opportunity later. Matching early collects value sooner; waiting lets the platform see more arrivals and avoid matches that later turn out to be wasteful. A natural yardstick is the best set of matches that could have been made with hindsight from all arrivals up to a given time, and the question is how far an online policy, which cannot see the future, must fall behind that yardstick.

Kerimov, Ashlagi and Gurvich (SSRN 3824407, September 2022; Management Science 2023, doi:10.1287/mnsc.2021.01215) answer this for multi-way matching networks with patient agents. They identify a single parameter of the fluid relaxation, the general position gap ϵ\epsilonϵ, and show that the regret against the hindsight benchmark can be kept at order ϵ−1\epsilon^{-1}ϵ−1 at all times, and that no policy does better in order on non-trivial networks. This mission formalizes the upper bound. The paper places itself next to constant-regret results for online packing (Bumpensanti and Wang 2020; Vera and Banerjee 2021), where resolving a linear program at each arrival achieves bounded regret.

Setting

There are nnn agent types and ddd matches. Match mmm is a set A(m)\mathcal A(m)A(m) of at least two types, every type belongs to some match, and the matching matrix M∈{0,1}n×dM\in\{0,1\}^{n\times d}M∈{0,1}n×d has Mim=1M_{im}=1Mim​=1 iff i∈A(m)i\in\mathcal A(m)i∈A(m). Performing match mmm uses one agent of each type in A(m)\mathcal A(m)A(m) and earns rm>0r_m>0rm​>0. Time is discrete; at each time t=1,2,…t=1,2,\dotst=1,2,… one agent arrives, of type iii with probability λi>0\lambda_i>0λi​>0, ∑iλi=1\sum_i\lambda_i=1∑i​λi​=1, independently over time. AitA^t_iAit​ counts the type-iii arrivals by time ttt.

A matching policy records DmtD^t_mDmt​, the number of times match mmm has been performed by time ttt. It is admissible when it is non-anticipative and only matches agents present: MDt≤AtMD^t\le A^tMDt≤At. The pre-match queue is Qt=At−MDt−1Q^t=A^t-MD^{t-1}Qt=At−MDt−1, the value collected is RD,t=E[r⋅Dt]\mathcal R^{D,t}=\mathbb E[r\cdot D^t]RD,t=E[r⋅Dt], and the hindsight benchmark is

R∗,t=E[max⁡{r⋅y:My≤At, y∈Z≥0d}].\mathcal R^{*,t}=\mathbb E\big[\max\{r\cdot y: My\le A^t,\ y\in\mathbb Z^d_{\ge0}\}\big].R∗,t=E[max{r⋅y:My≤At, y∈Z≥0d​}].

The static-planning problem is the linear program

(SPP)max⁡ r⋅zs.t.Mz+s=λ, z≥0, s≥0.\text{(SPP)}\qquad \max\ r\cdot z\quad\text{s.t.}\quad Mz+s=\lambda,\ z\ge0,\ s\ge0.(SPP)max r⋅zs.t.Mz+s=λ, z≥0, s≥0.

For an optimal (z∗,s∗)(z^*,s^*)(z∗,s∗) let M+={m:zm∗>0}\mathcal M_+=\{m:z^*_m>0\}M+​={m:zm∗​>0} (active matches), M0\mathcal M_0M0​ the rest (redundant matches), Q+={j:sj∗>0}\mathcal Q_+=\{j:s^*_j>0\}Q+​={j:sj∗​>0} (under-demanded types) and Q0\mathcal Q_0Q0​ the rest (over-demanded types). The network satisfies general position (GP) if (SPP) has a unique optimal solution and it is non-degenerate, ∣M+∣+∣Q+∣=n|\mathcal M_+|+|\mathcal Q_+|=n∣M+​∣+∣Q+​∣=n. The general position gap is the smallest positive basic value,

ϵ=min⁡m∈M+zm∗ ∧ min⁡j∈Q+sj∗.\epsilon=\min_{m\in\mathcal M_+}z^*_m\ \wedge\ \min_{j\in\mathcal Q_+}s^*_j .ϵ=m∈M+​min​zm∗​ ∧ j∈Q+​min​sj∗​.

The exhaustive resolving policy with inter-action delay τ\tauτ acts only at the epochs tk=kτt_k=k\tautk​=kτ. There it performs an optimal solution of the integer program max⁡{r⋅z:Mz≤Qtk, z∈Z≥0d}\max\{r\cdot z: Mz\le Q^{t_k},\ z\in\mathbb Z^d_{\ge0}\}max{r⋅z:Mz≤Qtk​, z∈Z≥0d​} with the redundant matches removed, and then discards the leftover agents of the under-demanded types.

Formalization targets

Goal: Theorem 3.1 (Upper bound), p. 14

There are constants κ,Γ>0\kappa,\Gamma>0κ,Γ>0 depending only on n,d,M,rn,d,M,rn,d,M,r such that, under GP, the exhaustive resolving policy with τ=⌈κϵ−1⌉\tau=\lceil\kappa\epsilon^{-1}\rceilτ=⌈κϵ−1⌉ (any tie-breaking) is admissible and

R∗,t−RD,t≤Γ ϵ−1for all t≥1.\mathcal R^{*,t}-\mathcal R^{D,t}\le\Gamma\,\epsilon^{-1}\qquad\text{for all }t\ge1 .R∗,t−RD,t≤Γϵ−1for all t≥1.

The constants are not fixed, so the goal survives any improvement of them.

Milestones

  1. §2, p. 8: R∗,t=max⁡DRD,t\mathcal R^{*,t}=\max_{D}\mathcal R^{D,t}R∗,t=maxD​RD,t, attained by the ultimate batching policy.
  2. §4.2, (4), p. 20: under GP the optimal basis B\mathcal BB is invertible, (zM+∗,sQ+∗)=B−1λ(z^*_{\mathcal M_+},s^*_{\mathcal Q_+})=\mathcal B^{-1}\lambda(zM+​∗​,sQ+​∗​)=B−1λ, and the entries of B−1\mathcal B^{-1}B−1 are bounded by a constant of the topology.
  3. §4.2, p. 20: θ=∑m∈M+rmym\theta=\sum_{m\in\mathcal M_+}r_my^mθ=∑m∈M+​​rm​ym is the optimal dual of (SPP), θ≥0\theta\ge0θ≥0, and θi>0\theta_i>0θi​>0 on Q0\mathcal Q_0Q0​.
  4. Lemma 4.1, p. 19 (optimality test): a policy without redundant matches whose over-demanded queues have mean O(ϵ−1)O(\epsilon^{-1})O(ϵ−1) has regret O(ϵ−1)O(\epsilon^{-1})O(ϵ−1).
  5. Lemma 4.2, p. 21: a Foster–Lyapunov drift condition bounds stationary means (Glynn and Zeevi 2008).
  6. (11), p. 23: Eπ[h∗(Q0)]=O(ϵ−1)\mathbb E_\pi[h^*(Q^0)]=O(\epsilon^{-1})Eπ​[h∗(Q0)]=O(ϵ−1) for the stationary law of the epoch chain.
  7. App. D, p. 49: E0[h∗(Qtk)]=O(ϵ−1)\mathbb E_{\mathbf 0}[h^*(Q^{t_k})]=O(\epsilon^{-1})E0​[h∗(Qtk​)]=O(ϵ−1) for all k≥1k\ge1k≥1.

Here h∗(u)h^*(u)h∗(u) is the θ\thetaθ-weighted leftover in Q0\mathcal Q_0Q0​ after an optimal integer matching of uuu (display (7)).

Significance

The upper bound says that, under GP, hindsight-optimal performance up to an additive constant is achievable at every time simultaneously, not just at a known horizon. Long-run average optimality and near-optimality under discounting follow (Remark 2.1). The bound also quantifies the cost of acting often: the delay τ\tauτ and the regret both scale with ϵ−1\epsilon^{-1}ϵ−1, so networks close to degeneracy force batching. Combined with the paper's lower bound, ϵ−1\epsilon^{-1}ϵ−1 is the right order on non-trivial networks.

The result has a printed proof (§4, Appendices B and D) but no machine-checked one. Several intermediate statements of the printed proof do not hold as stated and are not posed here. The goal and the stated displays (11) and App. D are posed as the paper states them, so a formal proof requires a correct argument for the uniform-in-λ\lambdaλ bound on the over-demanded queues. Lemma 4.1, the basis and duality facts and Lemma 4.2 are self-contained and checkable on their own.

Difficulty

The obvious approach compares the policy's realized matches with the fluid optimum t z∗t\,z^*tz∗ and controls the deviation with concentration bounds. That gives errors of order t\sqrt tt​, not a constant. The constant comes from showing that the over-demanded queues stay of order ϵ−1\epsilon^{-1}ϵ−1 uniformly in time and in λ\lambdaλ. Between epochs these queues behave like a multidimensional reflected random walk whose drift toward zero is only of order ϵτ\epsilon\tauϵτ, while its fluctuations over an epoch are of order τ\sqrt\tauτ​. The delay τ≍ϵ−1\tau\asymp\epsilon^{-1}τ≍ϵ−1 balances the two, but the queue state enters through the integer program (3), whose solution changes discontinuously with the queues, and the quantities that measure the drift are signed combinations of arrival counts, to which the usual one-sided concentration bounds for nonnegative sums do not apply. On top of this every constant must be independent of λ\lambdaλ.

Formalization scope

  • Types are Fin n and matches Fin d (0-based); the topology with its two standing assumptions (∣A(m)∣≥2|\mathcal A(m)|\ge2∣A(m)∣≥2, every type in a match) is a structure, and λ>0\lambda>0λ>0 with ∑λi=1\sum\lambda_i=1∑λi​=1 and r>0r>0r>0 are hypotheses.
  • Time is N\mathbb NN; "for all t>0t>0t>0" is t≥1t\ge1t≥1. The arrival at time s+1s+1s+1 is the sss-th entry of a path ω:N→\omega:\mathbb N\toω:N→ Fin n. Expectations at horizon ttt are finite sums over the first ttt arrivals weighted by ∏λωs\prod\lambda_{\omega_s}∏λωs​​, so no expectation is a default value.
  • Admissible policies are non-anticipative cumulative counts with MDt≤AtMD^t\le A^tMDt≤At and no rejections. The resolving policy's removal of under-demanded leftovers acts on its own virtual queue, which agrees with the actual queue on Q0\mathcal Q_0Q0​; its matches are feasible without removals, so it is admissible.
  • (3) is solved with the redundant matches set to zero, and statements quantify over every tie-breaking selection. A selection exists (a sanity file exhibits one), so these statements are not vacuous.
  • GP is a hypothesis on an explicit pair (z∗,s∗)(z^*,s^*)(z∗,s∗); ϵ\epsilonϵ is the minimum of the positive basic values. The basis inverse is never a matrix-inverse function: statements assert the existence of a two-sided inverse.
  • h∗h^*h∗ is defined in the form min⁡{∑Q0θisi:Mz+s=u, zM0=0}\min\{\sum_{\mathcal Q_0}\theta_is_i: Mz+s=u,\ z_{\mathcal M_0}=0\}min{∑Q0​​θi​si​:Mz+s=u, zM0​​=0}, equivalent to (7) under the paper's reduction M0=∅\mathcal M_0=\emptysetM0​=∅; θ\thetaθ is any solution of the complementary-slackness system, which is unique under GP.
  • Every O(⋅)O(\cdot)O(⋅) is an explicit constant, quantified after the topology and rrr and before λ\lambdaλ. Placing it after λ\lambdaλ would turn the theorem into a per-instance boundedness statement and is ruled out.
  • A trivializing formalization (some unspecified policy, a τ\tauτ independent of ϵ\epsilonϵ, or GP replaced by an unsatisfiable condition) is ruled out: the policy is constructed, τ=⌈κ/ϵ⌉\tau=\lceil\kappa/\epsilon\rceilτ=⌈κ/ϵ⌉, and a sanity file proves GP for the Figure 1 network with ϵ=1/5\epsilon=1/5ϵ=1/5.
  • Not posed: the lower bound of Theorem 3.1, Proposition 4.1 (8)–(9), Lemmas B.1–B.2, Proposition B.1 and displays (21)–(22), which do not hold as printed; Theorem 5.2 and §6.

Contributions welcome: proofs of the LP facts (milestones 2–3) and Lemma 4.1, a Mathlib-ready proof of Lemma 4.2, and any correct argument for the epoch bounds.

Selected references

  • S. Kerimov, I. Ashlagi, I. Gurvich, Dynamic Matching: Characterizing and Achieving Constant Regret, SSRN 3824407 (version of Sep 14, 2022); Management Science, 2023. https://ssrn.com/abstract=3824407, https://doi.org/10.1287/mnsc.2021.01215
  • P. W. Glynn, A. Zeevi, Bounding stationary expectations of Markov processes, in Markov Processes and Related Topics, IMS Collections 4, 2008. https://doi.org/10.1214/074921708000000381
  • P. Bumpensanti, H. Wang, A re-solving heuristic with uniformly bounded loss for network revenue management, Management Science 66, 2020. https://doi.org/10.1287/mnsc.2019.3365
  • D. Bertsimas, J. N. Tsitsiklis, Introduction to Linear Optimization, Athena Scientific, 1997.
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