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Multi-period portfolio optimization with constraints and transaction costs
Investment combinatorial optimization the horizon assets minimum deviation standard dynamic
2015/8/10
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...
Cutting-set methods for robust convex optimization with pessimizing oracles
robust optimization cutting-set methods semi-infi nite programming minimax optimization games
2015/8/10
We consider a general worst-case robust convex optimization problem, with arbitrary dependence on the uncertain parameters, which are assumed to lie in some given set of possible values. We describe a...
Segmentation of ARX-models using sum-of-norms regularization
Segmentation Regularization ARX-models
2015/8/7
Segmentation of time-varying systems and signals into models whose parameters are piecewise constant in time is an important and well studied problem. It is here formulated as a least-squares problem ...
First order optimization methods often perform poorly on ill-conditioned optimization problems. However, by preconditioning the problem data and solving the preconditioned problem, the performance of ...
THE LOCAL NATURE OF HYPOTHESIS TESTS INVOLVING INEQUALITY CONSTRAINTS IN NONLINEAR MODELS
Hypothesis testing multivariate nonlinear one-sided tests nonlinear in- equality constraints tests
2015/7/31
This paper derives several properties unique to nonlinear model hypothesis testing
problems involving linear or nonlinear inequality constraints in the null or alternative
hypothesis. The paper is...
An important aim of large, pan-European scientific projects with
numerous research groups is to integrate and visualize the acquired distributed
data sets and results. The large volume of diverse ...
Discussion of “Latent Variable Graphical Model Selection via Convex Optimization”
Latent Variable Graphical Model Selection Convex Optimization
2015/6/17
We wish to congratulate the authors for their innovative contribution, which is bound to inspire much further research. We find latent variable model selection to be a fantastic application of matrix ...
基于零售商具有公平偏好的渠道网络委托-代理模型
公平偏好 委托-多代理 激励
2015/5/19
针对在渠道中下游的零售商比上游的制造商具有更多信息的情形, 首先建立基于渠道实际的委托–多代理模型; 然后考虑到零售商的公平偏好心理, 将Fehr 与Schmidt 的公平偏好模型与委托-代理模型相结合, 构建基于公平偏好的行为激励模型. 研究表明: 与完全理性相比, 当零售商具有公平偏好时, 零售商提高了努力水平, 制造商提高了激励程度, 从而导致产品销量增加, 零售商的实际收益渠道总收益都得到...
Martingale Central Limit Theorem and Nonuniformly Hyperbolic Systems
hyperbolic systems nonuniformly
2014/12/8
In this thesis we study the central limit theorem (CLT) for nonuniformly hy- perbolic dynamical systems. We examine cases in which polynomial decay of cor- relations leads to a CLT with a non-standard...
Accuracy and efficiency in computing electrostatic potential for an ion channel model in layered dielectric/electrolyte media
Poisson-Boltzmann equation layered electrolytes and dielectrics
2014/9/26
This paper will investigate the numerical accuracy and efficiency in computing the
electrostatic potential for a finite-height cylinder, used in an explicit/implicit hy-brid solvation model for ion c...
基于二元语义前景关联分析的风险型多准则决策方法
前景理论 二元语义 灰色关联分析 多准则决策
2015/5/19
针对准则值为二元语义、准则权系数完全未知的风险型多准则决策问题，提出一种基于二元语义前景关联分析的决策方法。该方法通过确定二元语义正、负理想方案，计算二元语义关联系数；分别以正、负理想方案为参考点，计算各准则下各方案的二元语义前景值，构建前景决策矩阵；进而依据各准则的灰色均值关联度确定准则权系数，通过二元语义相对前景关联度对方案进行排序。最后的实例分析表明了所提出方法的有效性。
财政支出绩效评价方法研究综述
财政支出 绩效评价 评价方法 研究综述
2015/6/16
本文从一般定量、经济分析、社会评价及数理分析等角度，对国内外相关绩效评价方法的研究成果进行了梳理和总结，以期为我国财政支出绩效评价的有效开展提供借鉴。
备件保障系统补充库存时，除实施常规补给外，还会采用紧急订购满足备件短缺需求，以减少装备故障停机时间。针对上述两种供应模式下多站点订购策略联合优化问题，建立了以复合备件满足率为约束、单位时间期望成本为目标函数的协同订购解析模型；基于拉格朗日因子和策略迭代方法，给出了一种启发式优化算法。为模拟备件保障过程，建立了相应蒙特卡罗仿真模型，并将解析模型优化结果与遗传算法优化的仿真模型进行了对比。结果分析表明...
一类新的周期为2pq的二元广义分圆序列的线性复杂度
密码学 有限域 广义分圆序列 线性复杂度
2014/3/28
该文提出一类新的周期为2pq, p和q为不同奇素数的广义分圆序列，并给出了该序列线性复杂度的计算公式。在已知序列支撑集的情况下，利用该公式可以得到该序列线性复杂度的精确值。