搜索结果: 16-23 共查到“随机规划”相关记录23条 . 查询时间(6.325 秒)
Things to do with a broken stick
broken stick
2010/11/30
The following problem sometimes called the spaghetti problem, goes back to at least 1854, being included in [20] on page 49. A good historical account can be found in a recent paper of Goodman ([6]). ...
Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals Power Law
2010/4/27
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Asset management risk-sensitive stochastic control jump diffusion processes Poissonpoint processes Levy processes HJBPDE policy mprovement
2010/4/27
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, N...
Exit times in non-Markovian drifting continuous-time random walk processes
continuous-time random walks non-Markovian processes exit times
2010/4/27
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it d...
随机规划问题的两种分解算法研究
随机规划 原始-对偶分解 Benders分解
2009/11/19
以二阶段随机规划为例,给出了两种分解算法:基于内点的原始-对偶分解算法和基于Benders分解的算法,此两种算法都是通过将多阶段随机规划中的变量加以分解,生成一系列只含有单变量的规划问题,通过对这些小规模确定性规划问题的求解构造迭代过程,最终收敛到原问题的最优解。
该文研究M/G/1多重休假排队系统，其中在服务员休假中到达顾客以概率p(0≤p≤1)进入。通过引进“服务员忙期”和使用拉普拉斯变换或拉普拉斯—
—司梯阶变换，我们获得队长瞬态分布的拉普拉斯变换和稳态分布的递推表达式，进一步得到稳态队长分布的随机分解和在特殊情况下相应的一些结果。
与发现时间有关时毁伤目标时间的密度函数
随机格斗 毁伤概率 密度函数
2008/6/16
本文考虑的是Williams T与Ancker C J Jr在文献［1］中提出的著名的基本型随机格斗模型。该模型需先建立格斗双方有一方是被动目标时毁伤该目标所需时间的密度函数。但导出的毁伤时间密度函数没有考虑发现目标时间这一因素，而更确切的实际模型可改为先要搜索目标。本文正是在考虑这一因素条件下，导出了毁伤对方目标所需时间的密度函数及获胜概率，并计算了几个实例，并把文献［1］所导出的结论归纳成本文...