Dependence structure between LIBOR rates by copula method

This paper discusses the correlation structure between London Interbank Offered Rates (LIBOR) by using the copula function. We start from one simplified model of A. Brace, D. Gatarek, and M. Musiela (1997) and find out that the copula function between two LIBOR rates can be expressed as a sum of an infinite series, where the main term is a distribution function with Gaussian copula. Partial differential equation method is used for deriving the copula expansion. Numerical results show that the copula of the LIBOR rates and Gaussian copula are very close in the central region and differ in the tail, and the Gaussian copula approximation to the copula function between the LIBOR rates provides satisfying results in the normal situation.     

一个包含Z（n）和D（n）函数的方程及其它的正整数解

对于任意正整数n,著名的伪Smarandache函数Z（n）定义为最小的正整数m使得n｜m（m＋1）／2．而数论函数D（n）定义为最小的正整数m使得n｜d（1）d（2）d（3）…d（m）,其中d（n）为Dirichlet除数函数．本文的主要目的是利用初等方法研究一类包含伪Smarandache函数Z（n）和数论函数D（n）的方程2^z（n）=D（n）的可解性,并获得了该方程的所有正整数解．     

基于EM算法的因子分析中隐变量的条件概率密度函数

因子分析是一种重要的多元统计分析技术,可以采用EM算法迭代得到模型的未知参数,其中一个关键的问题就是在已知观测数据和前一次迭代得到的参数估计值的条件下,如何得到隐变量的条件概率密度函数.国内外的有关文献都不加说明地直接给出了这个函数,本文给出了详细的推导过程.     

An adaptive decision maker for constrained evolutionary optimization

An adaptive decision maker (ADM) is proposed for constrained evolutionary optimization. This decision maker, which is designed in the form of an adaptive penalty function, is used to decide which solution candidate prevails in the Pareto optimal set and to choose the individuals to be replaced. By integrating the ADM with a model of a population-based algorithm-generator, a novel generic constrained optimization evolutionary algorithm is derived. The performance of the new method is evaluated by 13 well-known benchmark test functions. It is shown that the ADM has powerful ability to balance the objective function and the constraint violations, and the results obtained are very competitive to other state-of-the-art techniques referred to in this paper in terms of the quality of the resulting solutions.     

ON THE CONSTRUCTION OF MAJOR AND MINOR FUNCTIONS

In this paper,we construct directly absolutely continuous major and minor functions of a function which is Lebesque integrable ,and we also construct directly continuous major and minor functions of a function which is Henstock-Kurzweil integrable.     

Convolution properties for certain subclasses of analytic functions

The authors introduce two new subclasses of analytic functions. The object of the present paper is to investigate some convolution properties of functions in these subclasses     

Performance improvement of PI controller with nonlinear error shaping function: IDA-PBC approach

The general dilemma faced in a conventional linear proportional-integral (PI) controller is to achieve the best transient performance (i.e. fast rise time and low overshoot level) at the same time. However, fast response is usually accompanied by high overshoot level. On the other hand, very stable control without overshoot is usually achieved at the expense of a more sluggish response to set point changes and load disturbances. Therefore, compromise between fast response and low overshoot level should be made. In this paper, to overcome these contradictions and limitations, nonlinear error shaping function (ESF) is introduced to amplify gain at low error level but reduce gain at high error level. Firstly, interconnection and damping structure for the closed-loop system composed of PI controller and first-order plant is revealed based on the port-controlled hamiltonian with dissipation (PCHD) formation. Secondly, passivity analysis is performed by the interconnection and damping assignment (IDA) passivity-based control (PBC) algorithm. In simulation studies, several nonlinear error shaping functions are examined and compared to verify performance improvements.     

回归分析与课堂评价模型中指标的选择

影响课堂教学的指标诸多,受指标之间多重相关性的影响,当评价函数形式已定的情况下,指标的选择及权重的赋值是其中的关键.本文利用回归分析的方法对变量进行选择,使给出的评价模型有较好的实际意义,从而可以作为理想评价模型.     

Second‐order performance analysis of discrete‐time queues fed by DAR(2) sources with a focus on the marginal effect of the additional traffic parameter

Discrete autoregressive process of order 1 (DAR(1)) has been used as a popular stochastic model for correlated traffic sources because it parsimoniously uses a single parameter to capture the desirable correlation structure. In contrast with DAR(1), discrete autoregressive process of order 2 (DAR(2)) uses one more parameter to provide a much richer pattern in the autocorrelation function and is able to capture slower decay rate and longer memory. To investigate how the additional traffic parameter in DAR(2) influences the queueing performance, this paper provides an analysis of the discrete‐time DAR(2)/D/1 queue. The performance measures concerned are the mean and second‐order statistics of queue size, which are both important in the queueing systems seen in telecommunication networks. Under a mild condition, these performance indices are derived in closed form that allows for efficient computing. An approximate version of these results is also developed to relax the condition and cover more general sources, and both versions serve as a simple tool set for performance evaluation. The numerical examples use this tool to demonstrate that the DAR(2) source may cause up to 30% poorer performance than DAR(1) when the traffic is heavy, bursty, and highly correlated. This indicates that the effect from slower decay rate in autocorrelation is not negligible and using the extra parameter is necessary particularly when the queue is heavily loaded with correlated traffic. Copyright © 2012 John Wiley & Sons, Ltd.     

目标属性为肯定和否定的多目标决策问题解的有效性条件

本文建立了一类目标属性为肯定和否定的多目标决策模型，定义了相应的有效性。并在此基础上，讨论了有效性条件。     

Some classes of analytic functions involving differential subordinations

The main object of this paper is to apply the method of differential subordinations in order to obtain certain properties of some subclasses of analytic functions in the unit disc involving differential subordinations.     

Extracting post-nonlinear signal with specific kurtosis range

Blind source extraction (BSE) is an important technique to extract a desired source from the mixed signals and the post-nonlinear (PNL) mixture is more realistic model in many situations. In this paper, we address the problem of extracting the source of interest from the PNL mixture. First, the prior knowledge about the desired source, such as its normalized kurtosis range, can be treated as a constraint and incorporated into the contrast function. Therefore, BSE from the PNL mixture can be formulated a constrained optimization problem. Second, the inverse of the unknown nonlinear function is approximated by the multi-layer perceptions (MLP) network because neural network can uniformly approximate any continuous function if there is sufficient number of neurons in the hidden layer. Finally, the source of interest can be extracted from the PNL mixture by minimizing the constrained optimization problem with standard gradient descent method. Extensive computer simulations and experiments demonstrate the validity of our algorithm.     

SOME RESULTS ON UNIVERSAL MINIMAL TOTAL DOMINATING FUNCTION

1. IntroductionLet G = (V, E) be an undirected graph. The open neighborhood N(v) of vertex v E Vis given by N(v) = {u E V: tv E E}. A total dominating function (TDF) of G is afunction f: V - [0, 11 such that Z f(u) 2 1 for each vertex v. A TDF f is minimaladN(~)(MTDF) if no function g < f is also a TDF of G. The illteger valued TDFs are preciselythe characteristic functions of total dominating sets of G (i.e., subset X G V such that anyv is adjacellt to at leajst one x E X). T…     

一类Sparre Andersen风险模型的Gerber-Shiu函数

本文考虑了一类相邻两次索赔的时间间隔服从Erlang($n$)和Erlang($m$)的混合分布的Sparre Andersen风险模型.主要目的是研究Gerber-Shiu函数$\phi_\delta(u)$,首先证明了$\phi_\delta(u)$满足一个高阶的积分微分方程,然后讨论了广义Lundberg方程根的性质,在此基础上导出了$\phi_\delta(u)$的拉普拉斯变换并且证明了$\phi_\delta(u)$满足一个更新方程,最后给出了一个例子.     

Fuzzy linear programming models for NPD using a four-phase QFD activity process based on the means-end chain concept

Quality function deployment (QFD) is a customer-driven approach in processing new product development (NPD) to maximize customer satisfaction. Determining the fulfillment levels of the “hows”, including design requirements (DRs), part characteristics (PCs), process parameters (PPs) and production requirements (PRs), is an important decision problem during the four-phase QFD activity process for new product development. Unlike previous studies, which have only focused on determining DRs, this paper considers the close link between the four phases using the means-end chain (MEC) concept to build up a set of fuzzy linear programming models to determine the contribution levels of each “how” for customer satisfaction. In addition, to tackle the risk problem in NPD processes, this paper incorporates risk analysis, which is treated as the constraint in the models, into the QFD process. To deal with the vague nature of product development processes, fuzzy approaches are used for both QFD and risk analysis. A numerical example is used to demonstrate the applicability of the proposed model.     

A mesh-free numerical method for solution of the family of Kuramoto-Sivashinsky equations

In this paper, radial basis function (RBFs) based mesh-free method is implemented to find numerical solution of the Kuramoto-Sivashinsky equations. This approach has an edge over traditional methods such as finite-difference and finite element methods because it does not require a mesh to discretize the problem domain, and a set of scattered nodes in the domain of influence provided by initial data is required for the realization of the method. The accuracy of the method is assessed in terms of the error norms L₂,L_∞, number of nodes in the domain of influence, free parameter, dependent parameter RBFs and time step length. Numerical experiments demonstrate accuracy and robustness of the method for solving a class of nonlinear partial differential equations.     

一类包含欧拉函数φ（n）的方程

设m,n为任意正整数,φ（n）是欧拉函数.本文的主要目的是利用初等方法研究方程φ（mn）=k（φ（m）＋φ（n））的可解性,其中k为素数,同时获得了该方程的所有正整数解.     

A Dominated Theorem on 5L(2, R) and Its Application

In this paper, we give the following dominated theorem: Let φ(g) ∈ L1(G//K),φε(t)=ε> 0, and the least radical decreasing dominatedfunction φ(t) = sup |φ(y)| ∈L1(G//K). If shtφ(t) is monotonically decreasingon (0, ∞), then for any f∈L1loc(G//K) , the following inequality holds:sup |φε * f(x)| ≤ Cmf(x),where mf(x) is the Hardy-Littlewood maximal function of f, and C = ||φ||1.An application of this dominated theorem is also given.