基于模糊推理系统的股票买卖策略研究

金融交易指标是分析股票等金融产品买入和卖出策略的普遍选择，但由于指标描述交易策略的模糊性，使得非专业人士很难掌握交易的时间和数量。针对上述问题，本文首先分析随机指标的交易策略。其次根据交易策略和模糊集理论建立模糊推理系统模型，此模型可以给出具体的股票交易策略，包括买入以及卖出的时间和数量等，并通过给定时间段内的获利情况来判断模型的有效性。最后以沪深A股市场的15只股票价格作为实验数据，对模型的有效性进行检验。实验表明，在没有人为因素参与的情况下，大多数股票由系统进行模拟交易都可以在一段时间内获取更大的利润。     

烟羽应急计划区公众撤离模式研究

公众撤离是烟羽应急计划区应急响应状态下的重要安全措施。本文提出一种“政府组织撤离+政府指导下的自行撤离”的撤离模式, 并基于元胞传输理论, 以最小化撤离时间为目标, 建立了公众撤离模型, 规划车辆行驶路线。运用该模型, 分析撤离时间随政府组织撤离和居民自行撤离比例变化的规律, 并运用到两个案例中, 结果显示:“政府组织撤离+政府指导下的自行撤离”模式的撤离时间小于“政府组织撤离”模式的撤离时间, 而且政府组织撤离与自行撤离之间存在一个最佳的比例结构, 使撤离时间达到相对低的水平。 关键词:烟羽应急计划区;公众撤离;元胞传输理论;模式研究;应急管理     

飞机登机策略分析Ⅰ——离散事件模拟模型

我们建立了一种离散事件模拟登机模型,分析了不同的登机策略并提出了三种新的有效的登机策略.模型建立在模拟的基础上,因而是有效和精确的.模型以一种外在的多角度的方式判定一个登机策略的优劣.模型中有一些参量,通过调整这些参量可以改变模型以适应各种机型和不同的登机情形.通过灵敏度分析我们注意到"注意度"和"随意度"是两个重要的因素,它们是除登机总时间和平均时间外评价一个方案优劣的关键.     

基于策略型消费者购买习惯的产品动态定价决策研究

消费者具有浏览销量和评论的购买习惯.为分析此购买习惯对零售商定价的影响,以策略型消费者为研究对象,建立了受产品价格、销量与评论内容影响的效用函数,并构建了策略型消费者和零售商的两阶段博弈模型.同时,基于消费者购买习惯对零售商公布和调整价格的两种策略进行博弈和比较分析.结论表明,消费者通过浏览评论信息对产品质量的感知达到一定程度时,购买习惯改变了零售商总是降价的定价策略;零售商在公布价格策略中产品定价和收益高于调整价格策略;当消费者较具有耐心且对产品质量感知显著时,能提高消费者需求.研究结果对零售商的定价决策具有指导意义.     

基于公平优先原则的多受灾点应急资源配置算法

为了解决多受灾点应急资源配置过程中出现的分配不均和资源竞争问题，本文建立一种以双层决策方法为基础的多受灾点应急资源配置模型，使应急资源配置过程兼顾及时性与公平性，从而确保各受灾点均能尽早开展应急工作。但采用遍历搜索策略对双层规划模型求解存在时间复杂度高的问题，本文依据应急出救的就近原则，提出一种多受灾点一多出救点应急资源配置动态优选策略，能够快速求取双层应急资源配置模型的全局最优解。最后，通过详细的算例分析证实算法的有效性。     

基于延迟时间的战地应急治疗救治策略

对战地应急治疗救援问题进行分析,以先到先服务规则为前提,建立了以总治疗时间最少为目标的FCFS模型,在此基础上又对等待时间进行优化建立了有选择偏好的FCFS模型,最后给出了基于延迟时间的救治模型,并对提出的模型进行计算机模拟,得出了伤员最佳救治策略.     

非平稳MDP平均模型及其算法

本文考虑的是Ｈｉｎｄｅｒｅｒ提出的状态空间和行动空间均业般集的非平稳ＭＤＰ平均模型，利用扩大状态空间的方法，建立了此模型的最优方程，并给出了最优方程有解及蜞 最优策略存在的条件，从最优方程出发，用概率的方法证明了最优策略的存在性，最后还提供了此模型的值迭代算法及其收敛性证明，从而推广了Ｓｍｉｔｈ。Ｌ．Ｌａｓｓｅｒｅ，Ｂ「３」及Ｌａｒｍａ＾「６」等的主要结果。     

预防性维修条件下产品保修策略优化研究

为了降低保修费用,对产品的二维预防性保修策略进行优化.将预防性维修对产品的维修程度进一步细分,并用修复因子来区别不同的维修程度,提出两种程度预防性维修相结合的保修策略.针对提出的保修策略,建立保修费用模型,提出模型求解方法.通过算例,证明该保修策略的有效性,并对结果进行了分析.     

基于ERP的(s,S)策略下库存优化控制决策支持系统

针对当前ERP软件系统无法动态地给出优化订购策略并对历史数据进行有效的分析等不足,以最小化库存费用为目标建立起折扣准则下库存优化数学模型,对ERP软件中导出的各类历史数据进行模型化分析,动态地得出各类产品(s,S)结构形式的优化订购策略.基于该模型设计并开发了库存优化控制决策支持系统,为用户提供决策支持,很大程度降低了企业库存费用.     

超市配送中心库存策略SD模型研究与分析

超市配送中心库存策略的确定是实现零售商零库存的一种重要方法.运用系统动力学方法分析了配送中心与超市库存系统,结合系统动力学建模工具VEN S IM软件的使用,建立了配送中心与超市库存系统动力学模型,对该模型进行了运行及结果分析.     

Risk models with dependence between claim occurrences and severities for Atlantic hurricanes

In the line of Cossette et al. (2003), we adapt and refine known Markovian-type risk models of Asmussen (1989) and Lu and Li (2005) to a hurricane risk context. These models are supported by the findings that El Niño/Southern Oscillation (as well as other natural phenomena) influence both the number of hurricanes and their strength. Hurricane risk is thus broken into three components: frequency, intensity and damage where the first two depend on the state of the Markov chain and intensity influences the amount of damage to an individual building. The proposed models are estimated with Florida hurricane data and several risk measures are computed over a fictitious portfolio.     

Un modèle mathématique de cyclone

The source waves are some particular solutions to genuinely non linear hyperbolic systems with a source term, whose propagation velocity is a constant determined by the roots of this source term. We propose a system of 2 equations on a 2 dimension space, which model the velocity field of the atmosphere near the ground. The source term is made of three parts: a given pressure gradient, a friction or aspiration effect and the Coriolis force. In the case where these parameters are constant, we build a solution which is a constant outside a circular crown. The internal circle represents the eye's wall of the hurricane and corresponds to a share shock wave. The external circle is a set generating the bifurcation which actually models the hurricane. To cite this article: A.-Y. LeRoux et al., C. R. Acad. Sci. Paris, Ser. I 339 (2004).     

An adaptive multiple-Kriging-surrogate method for time-dependent reliability analysis

For accurately and efficiently estimating the time-dependent failure probability (TDFP) of the structure, a novel adaptive multiple-Kriging-surrogate method is proposed. In the proposed method, the multiple Kriging models with different regression trends (i.e., constant, linear and quadratic) are simultaneously constructed with the highest accuracy, on which the TDFP can be obtained. The multiple regression trends are adaptively selected based on the size of sample base, the maximum differences of multiple models and the global accuracy of multiple models. After that, the most suitable multiple regression trends are identified. The proposed method can avoid man-made subjectivity for regression trend in general Kriging surrogate method. Furthermore, better accuracy and efficiency will be obtained by the proposed multiple surrogates than just using a fixed regression model for some engineering applications. Five examples involving four applications with explicit performance function and one tone arch bridge under hurricane load example with implicit performance function are introduced to illustrate the effectiveness of the proposed method for estimating TDFP.     

基于爬坡约束条件下的多时段竞价模型

本文建立了基于爬坡约束的多时段竞价模型,并通过数据模拟计算,分析比较,从中得出一些有用的结论.这些结论对进一步改善现有的竞价模型可以起到启发指导的作用.     

On Dynamic Generalized Linear Models with Applications

In this paper we combine the idea of ‘power steady model’, ‘discount factor’ and ‘power prior’, for a general class of filter model, more specifically within a class of dynamic generalized linear models (DGLM). We show an optimality property for our proposed method and present the particle filter algorithm for DGLM as an alternative to Markov chain Monte Carlo method. We also present two applications; one on dynamic Poisson models for hurricane count data in Atlantic ocean and the another on the dynamic Poisson regression model for longitudinal count data.     

On a new boundary-value problem for the Navier-Stokes system with discontinuity in the type of boundary conditions depending on time

An initial boundary-value problem for the nonlinear system of Navier-Stokes equations with timedependent discontinuity in the type of boundary conditions is proposed to describe the dynamics of a hurricane over solid ground. The tools for the solution of the stated problem are displayed in the case of both smooth and nonsmooth evolution of a hurricane.This paper continues the authors' work [1].     

On the stability of the upper airways system

Simple models for upper pharyngeal obstruction, describing the sleep apnea syndrome are proposed. Stability is discussed, of two and three individualized elements, with and without elastic connections, interacting with the steady flow. Considering the flow as the controlling parameter, critical steady state flows are located and their post-critical behavior is discussed for various models. It is pointed out that non-linear constitutive elastic laws are necessary contrary to the linear ones introduced by Fodil (1998) [15]. Finally the three element model will be presented and studied with non-linear constitutive relations and side connections. Applications of the theory will be performed and discussion for the three models will be presented. It is pointed out that the sleep apnea syndrome is due to the instability of the upper pharyngeal region.     

Univariate and bivariate GPD methods for predicting extreme wind storm losses

Wind storm and hurricane risks are attracting increased attention as a result of recent catastrophic events. The aim of this paper is to select, tailor, and develop extreme value methods for use in wind storm insurance. The methods are applied to the 1982-2005 losses for the largest Swedish insurance company, the Länsförsäkringar group. Both a univariate and a new bivariate Generalized Pareto Distribution (GPD) gave models which fitted the data well. The bivariate model led to lower estimates of risk, except for extreme cases, but taking statistical uncertainty into account the two models lead to qualitatively similar results. We believe that the bivariate model provided the most realistic picture of the real uncertainties. It additionally made it possible to explore the effects of changes in the insurance portfolio, and showed that loss distributions are rather insensitive to portfolio changes. We found a small trend in the sizes of small individual claims, but no other trends. Finally, we believe that companies should develop systematic ways of thinking about “not yet seen” disasters.     

更新时间概率模型及其无偏估计定理的论证

本文提出应用小参数法 ,探讨 Markov链中相邻两次更新时刻内稀疏事件的概率估计问题 .建立了三种最重要的具有更新时间的概率模型 .通过小参数的引入和对概率式的幂展开 ,进而推证出幂渐近展开系数的模型估算法 .论证了无偏估计的重要定理 ,给出了概率估计式和无偏估计精度 .亦将许多算法扩展到Markov链的任意状态空间     

New analytical and CWENO numerical solutions for axisymmetric horizontal flows with heat sources

Some new nonlinear analytical solutions are found for axisymmetric horizontal flows dominated by strong heat sources. These flows are common in multiscale atmospheric and oceanic flows such as hurricane embryos and ocean gyres. The analytical solutions are illustrated with several examples. The proposed exact solutions provide analytical support for previous numerical observations and can be also used as benchmark problems for validating numerical models. A central weighted essentially non-oscillatory (CWENO) reconstruction is also employed for numerical simulation of the corresponding integro-differential equations. Due to the use of the same polynomial reconstruction for all derivatives and integral terms, the balance between those terms is well preserved, and the method can precisely reproduce the exact solutions, which are hard to capture by traditional upwind schemes. The developed analytical solutions were employed to evaluate the performance of the numerical method, which showed an excellent performance of the numerical model in terms of numerical diffusion and oscillation.