Many real-life phenomena, such as computer systems, communication networks, manufacturing systems, supermarket checkout lines as well as structural military systems can be represented by means of queueing models. Looking at queueing models, a controller may considerably improve the system's performance by reducing queue lengths, or increasing the throughput, or diminishing the overhead, whereas in the absence of a controller the system behavior may get quite erratic, exhibiting periods of high load and long queues followed by periods, during which the servers remain idle. The theoretical foundations of controlled queueing systems are led in the theory of Markov, semi-Markov and semi-regenerative decision processes. In this thesis, the essential work consists in designing controlled queueing models and investigation of their optimal control properties for the application in the area of the modern telecommunication systems, which should satisfy the growing demands for quality of service (QoS). For two types of optimization criterion (the model without penalties and with set-up costs), a class of controlled queueing systems is defined. The general case of the queue that forms this class is characterized by a Markov Additive Arrival Process and heterogeneous Phase-Type service time distributions. We show that for these queueing systems the structural properties of optimal control policies, e.g. monotonicity properties and threshold structure, are preserved. Moreover, we show that these systems possess specific properties, e.g. the dependence of optimal policies on the arrival and service statistics. In order to practically use controlled stochastic models, it is necessary to obtain a quick and an effective method to find optimal policies. We present the iteration algorithm which can be successfully used to find an optimal solution in case of a large state space.
In this thesis, we consider the solution of high-dimensional optimization problems with an underlying low-rank tensor structure. Due to the exponentially increasing computational complexity in the number of dimensions—the so-called curse of dimensionality—they present a considerable computational challenge and become infeasible even for moderate problem sizes.
Multilinear algebra and tensor numerical methods have a wide range of applications in the fields of data science and scientific computing. Due to the typically large problem sizes in practical settings, efficient methods, which exploit low-rank structures, are essential. In this thesis, we consider an application each in both of these fields.
Tensor completion, or imputation of unknown values in partially known multiway data is an important problem, which appears in statistics, mathematical imaging science and data science. Under the assumption of redundancy in the underlying data, this is a well-defined problem and methods of mathematical optimization can be applied to it.
Due to the fact that tensors of fixed rank form a Riemannian submanifold of the ambient high-dimensional tensor space, Riemannian optimization is a natural framework for these problems, which is both mathematically rigorous and computationally efficient.
We present a novel Riemannian trust-region scheme, which compares favourably with the state of the art on selected application cases and outperforms known methods on some test problems.
Optimization problems governed by partial differential equations form an area of scientific computing which has applications in a variety of areas, ranging from physics to financial mathematics. Due to the inherent high dimensionality of optimization problems arising from discretized differential equations, these problems present computational challenges, especially in the case of three or more dimensions. An even more challenging class of optimization problems has operators of integral instead of differential type in the constraint. These operators are nonlocal, and therefore lead to large, dense discrete systems of equations. We present a novel solution method, based on separation of spatial dimensions and provably low-rank approximation of the nonlocal operator. Our approach allows the solution of multidimensional problems with a complexity which is only slightly larger than linear in the univariate grid size; this improves the state of the art for a particular test problem problem by at least two orders of magnitude.