共查询到20条相似文献,搜索用时 109 毫秒
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采用Khasminskii极限定理,随机平均法和FPK方程,研究了能源价格系统在随机干扰作用下的Hopf分岔特性,得到了分岔参数,并讨论了分岔参数对系统性态的影响.进而得出能源经济系统的相关结论. 相似文献
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研究了江苏省西部能源供需随机系统的稳定性.主要是基于一维扩散过程的奇异边界理论,应用摄动方法研究系统的随机分岔行为.研究结果表明随机因素以及参数的选择会使系统发生分岔行为,从而使系统的稳定性发生质的变化.于是,可以通过调节参数降低发生分岔的概率,使系统处于稳定的发展中. 相似文献
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具有单边约束的基本分岔问题的新分岔模式 总被引:4,自引:4,他引:0
含约束分岔是非线性动力系统周期解分岔研究中遇到的普遍问题,然而现有的奇异性理论关于此类问题的结果还很少。作为探讨和补充,给出余维数不大于3的10种基本分岔在约束情况下的转迁集和摄动保持分岔图的计算结果。可为约束分岔问题的研究提供直接利用的结果。 相似文献
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研究了Duffing系统在加性二值噪声作用下的随机分岔现象.首先,根据二值噪声的统计特性,推导得到二值噪声状态间的跃迁概率,据此对二值噪声进行了数值模拟.其次,利用四阶Runge-Kutta(龙格-库塔)数值算法得到该系统位移和速率的稳态联合概率密度及位移的稳态概率密度.然后,通过对位移稳态概率密度单双峰结构变化的研究,发现加性二值噪声的状态和强度能够诱导系统产生随机分岔现象.最后,观察到随着系统非对称参数的逐渐变化,系统同样产生了随机分岔现象. 相似文献
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含约束非线性动力系统的分岔分类 总被引:3,自引:3,他引:0
讨论含约束非线性动力系统分岔的分类.研究表明,约束分岔的转迁集,除分岔集、滞后集和双极限点集外,还有三种转迁集是它特有的.在此基础上提出了一种约束分岔问题的奇异性分类方法. 相似文献
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针对永磁同步电动机(PMSM)模型引入Gauss白噪声,根据极坐标变换和随机平均法得到系统It8随机微分方程,并计算出系统概率密度函数,通过数值模拟揭示了系统P-分岔的机理.此外,探讨了系统在双参数空间中的复杂动力学,仿真结果表明在参数空间中出现了大量的“鱼”形周期区域,并且这些“鱼”形周期区域不可避免地受到噪声的影响变得紊乱.值得注意的是,从数值模拟结果中发现了一个新的现象,一定的噪声强度下,可以诱导系统在周期振荡区域内的收敛行为,这也表明了噪声对系统影响的双面性. 相似文献
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建立了非线性随机动力模型—带噪声的能源Logistic反馈控制模型,应用随机平均法对随机动力模型进行了简化,得到了一个二维的扩散过程.二维过程满足Ito型随机微分方程,应用不变测度理论研究了该模型的随机分岔.最后,给出了数值实验验证了相应的结论. 相似文献
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《Stochastics An International Journal of Probability and Stochastic Processes》2013,85(3-4):203-256
Using the decomposition of solution of SDE, we consider the stochastic optimal control problem with anticipative controls as a family of deterministic control problems parametrized by the paths of the driving Wiener process and of a newly introduced Lagrange multiplier stochastic process (nonanticipativity equality constraint). It is shown that the value function of these problems is the unique global solution of a robust equation (random partial differential equation) associated to a linear backward Hamilton-Jacobi-Bellman stochastic partial differential equation (HJB SPDE). This appears as limiting SPDE for a sequence of random HJB PDE's when linear interpolation approximation of the Wiener process is used. Our approach extends the Wong-Zakai type results [20] from SDE to the stochastic dynamic programming equation by showing how this arises as average of the limit of a sequence of deterministic dynamic programming equations. The stochastic characteristics method of Kunita [13] is used to represent the value function. By choosing the Lagrange multiplier equal to its nonanticipative constraint value the usual stochastic (nonanticipative) optimal control and optimal cost are recovered. This suggests a method for solving the anticipative control problems by almost sure deterministic optimal control. We obtain a PDE for the “cost of perfect information” the difference between the cost function of the nonanticipative control problem and the cost of the anticipative problem which satisfies a nonlinear backward HJB SPDE. Poisson bracket conditions are found ensuring this has a global solution. The cost of perfect information is shown to be zero when a Lagrangian submanifold is invariant for the stochastic characteristics. The LQG problem and a nonlinear anticipative control problem are considered as examples in this framework 相似文献
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Silvia Vogel 《Mathematical Programming》1992,56(1-3):91-119
In this paper we assume that a deterministic multiobjective programming problem is approximated by surrogate problems based on estimations for the objective functions and the constraints. Making use of a large deviations approach, we investigate the behaviour of the constraint sets, the sets of efficient points and the solution sets if the size of the underlying sample tends to infinity. The results are illustrated by applying them to stochastic programming with chance constraints, where (i) the distribution function of the random variable is estimated by the empirical distribution function, (ii) certain parameters have to be estimated. 相似文献
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The solutions of the partial realization problem have to satisfy a finite number of interpolation conditions at . The minimal degree of an interpolating deterministic system is called the algebraic degree or McMillan degree of the partial covariance sequence and is easy to compute. The solutions of the partial stochastic realization problem have to satisfy the same interpolation conditions and have to fulfill a positive realness constraint. The minimal degree of a stochastic realization is called the positive degree. In the literature, solutions of the partial realization problem are parameterized by the Kimura–Georgiou parameterization. Solutions of the partial stochastic realization problem are then obtained by checking the positive realness constraint for the interpolating solutions of the corresponding partial realization problem. In this paper, an alternative parameterization is developed for the solutions of the partial realization problems. Both the solutions of the partial and partial stochastic realization problem are analyzed in this parameterization, while the main concerns are the minimality and the uniqueness of the solutions. Based on the structure of the parameterization, a lower bound for the positive degree is derived. 相似文献
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创新性的假设传统的Fama-French三因素模型中的三因素为服从正态分布的随机变量,进而获得了股票收益随机变量的分布信息.采取部分复制的原则建立增强型指数基金随机投资组合优化模型,通过引入投资组合风险概率约束给出增强型指数基金的绝对风险上限,针对增强型指数基金建立基于VaR的超额收益概率约束.引入最买入门槛限制降低增强型指数基金的管理费用,增强其流动性.最后,根据股票收益的概率分布特征,获得基于上述约束的指数基金和增强型指数基金的确定性优化模型,并同时基于上证A股进行了实证分析. 相似文献
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Stability analysis for stochastic programs 总被引:4,自引:0,他引:4
For stochastic programs with recourse and with (several joint) probabilistic constraints, respectively, we derive quantitative continuity properties of the relevant expectation functionals and constraint set mappings. This leads to qualitative and quantitative stability results for optimal values and optimal solutions with respect to perturbations of the underlying probability distributions. Earlier stability results for stochastic programs with recourse and for those with probabilistic constraints are refined and extended, respectively. Emphasis is placed on equipping sets of probability measures with metrics that one can handle in specific situations. To illustrate the general stability results we present possible consequences when estimating the original probability measure via empirical ones. 相似文献
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在DentchevaRuszczynski(2006)模型的基础上,考虑偏度对构建投资组合的影响,建立了二阶随机占优约束下最大化组合收益率偏度的投资组合优化模型,并应用分段线性近似方法将模型转化为一个非线性混合整数规划问题.利用中国股票市场的历史数据对所建模型进行了实证分析,结果表明,所建新模型比均值-方差-偏度模型和市场指数具有更稳健的表现. 相似文献
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A model for a stochastic recirculation system with randomly accessed multiple heterogeneous servers, no waiting rooms, and exponentially-distributed service times is provided. In this system the units are assigned to one of the servers upon arrival by random mechanism. Units which find all servers busy recirculate and combine with the incoming arrivals and join those already in the system to initiate the next cycle. The equilibrium behavior of the internal and external stochastic processes of the system is analyzed using a two parameter approximation. A simulation model is also developed and its behavior is compared against the analytical model at the steady state. The model with randomly-accessed servers is compared to a single server model already established in the literature. The performance of the model is then examined for a wide range of parameter values to obtain conclusions about its optimal performances. 相似文献
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D.D. Riley X. Koutsoukos 《Mathematical and Computer Modelling of Dynamical Systems: Methods, Tools and Applications in Engineering and Related Sciences》2013,19(5):452-469
Biochemical system designers are increasingly using formal modelling, simulation, and verification methods to improve the understanding of complex systems. Probabilistic models can incorporate realistic stochastic dynamics, but creating and analysing probabilistic models in a formal way is challenging. In this work, we present a stochastic model of biodiesel production that incorporates an inexpensive test of fuel quality, and we validate the model using statistical model checking, which can be used to evaluate simple or complex temporal properties efficiently. We also describe probabilistic simulation and analysis techniques for stochastic hybrid system (SHS) models to demonstrate the properties of our model. We introduce a variety of properties for various configurations of the reactor as well as results of testing our model against the properties. 相似文献
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Heuristics for Multi-Stage Interdiction of Stochastic Networks 总被引:1,自引:0,他引:1
We describe and compare heuristic solution methods for a multi-stage stochastic network interdiction problem. The problem
is to maximize the probability of sufficient disruption of the flow of information or goods in a network whose characteristics
are not certain. In this formulation, interdiction subject to a budget constraint is followed by operation of the network,
which is then followed by a second interdiction subject to a second budget constraint. Computational results demonstrate and
compare the effectiveness of heuristic algorithms. This problem is interesting in that computing an objective function value
requires tremendous effort. We exhibit classes of instances in our computational experiments where local search based on a
transformation neighborhood is dominated by a constructive neighborhood. 相似文献