Three stage tandem queue with blocking

An analysis is given of the state and first-come, first-served waiting time processes for a three stage queueing system with no waiting space between stages, but with limited space before the first. Although the basic processes are exponential, no detailed analysis in this generality appears to have been made before; the nearest analyses entail the simplifying assumption that the first stage is never empty. A sufficient condition is derived easily for equilibrium to exist and it can be asserted with virtual certainty that it is also necessary; the complexity of calculation has so far excluded a proper proof, though this is in principle a possibility.The objective is to provide a theoretical framework easily adaptable for a numerical assessment of system performance to be made. Some typical tables with comments are given.     

Representation and analysis of behavior for multiprocess systems by using stochastic Petri nets

This paper proposes a new approach to visually represent the behavior of multiprocess in a computer network system using stochastic Petri net (SPN) and an aggregate approach of SPN and Markov renewal process (MRP) to conduct behavior analysis and performance evaluation for the system. SPN is employed because of its highly visual nature that can give insight into the nature of the modeled system and because of its expressive power for an exponentially distributed event. In order to increase the analytical power of the SPN model, MRP is introduced and an embedded transference probability matrix is applied to obtain the steady-state solution of the model, from which it is possible to obtain automatically the performance measures of the multiprocess computer network system.     

Adaptive Control of a Partially Observed Discrete Time Markov Process

An adaptive control problem of a discrete time Markov process that is completely observed in a fixed recurrent domain and is partially observed elsewhere is formulated and a solution is given by constructing an approximately self-optimal strategy. The state space of the Markov process is either a closed subset of Euclidean space or a countable set. Another adaptive control problem is solved where the process is always only partially observed but there is a family of random times when the process evaluated at these times is a family of independent, identically distributed random variables. Accepted 26 April 1996     

战略导弹研制风险分析的仿真技术

本文以战略导弹研制风险分析为背景，对随机网络数据仿真技术原理进行了探讨，分析了曾广泛应用的仿真软件ＶＥＲＴＳＬＡＭ等的不足，并提出了改进方法，文中给出一种含信息流多层次综合网络仿真的构模框架，并用该构模框架对战略导弹风险分析的仿真模型作了研究。     

利用标准化波动率微笑预测期权价格的实证分析

本文利用市场报价对期权均衡价格的估计提供了一种新的数值方法——标准化波动率微笑方法,为了验证该方法的有效性,本文同时采用历史波动率法、GARCH(1,1)模型、加权隐含波动率法,对美式SPDR期权进行了实证研究,分析了上述四种方法的预测效果.结果表明,本文的方法简单有效,具有较高的实际应有价值,对市场投资具有正面的辅助作用.     

Integrating stochastic programming and decision tree techniques in land conversion problems

This paper is concerned with gradual land conversion problems, placing the main focus on the interaction between time and uncertainty. This aspect is extremely relevant since most decisions made in the field of natural resources and sustainable development are irreversible decisions. In particular, we discuss and develop a scenario-based multi-stage stochastic programming model in order to determine the optimal land portfolio in time, given uncertainty affecting the market. The approach is then integrated in a decision tree framework in order to account for domain specific (environmental) uncertainty that, diversely from market uncertainty, may depend on the decision taken. Although, the designed methodology has many general applications, in the present work we focus on a particular case study, concerning a semi-degraded natural park located in northern Italy.     

Modeling mixed push and pull promotion flows in Manpower Planning

Manpower Planning is a useful tool for human resource management in large organizations. Classical Manpower Planning models are analytical time-discrete push and pull models. Push models are characterized by the same promotion and wastage probabilities for people within the same group. This assumption is suitable in organizations where for instance promotions are used for reasons of personnel motivation or employees are promoted after succeeding in an exam. In many organizations, people are only promoted when there are vacancies at other levels. In those cases, pull models can be used. Pull models only assume known wastage probabilities. In practice, both assumptions may occur simultaneously. In this paper, a mixed push-pull model is developed for organizations in which both types of flows are considered.     

Exact diffusion constant of a one-dimensional asymmetric exclusion model with open boundaries

For the 1D fully asymmetric exclusion model with open boundary conditions, we calculate exactly the fluctuations of the current of particles. The method used is an extension of a matrix technique developed recently to describe the equatime steady-state properties for open boundary conditions and the diffusion constant for particles on a ring. We show how the fluctuations of the current are related to non-equal-time correlations. In the thermodynamic limit, our results agree with recent results of Ferrari and Fontes obtained by working directly in the infinite system. We also show that the fluctuations of the current become singular when the system undergoes a phase transition with discontinuities along the first-order transition line.     

A probabilistic method for field solutions in two-phase flows

Solid-particle motion and related transport phenomena in two-phase flow are fluctuating processes in space and time. A deterministic method can describe only partially the intrinsic physics of these processes. In this paper, the fluctuations of the flow parameters are modelled by considering the spatial correlations, and a probabilistic computational method for two-phase flow is presented. The probabilistic governing equations have been discretized in space using a finite volume method, and then solved by applying the Neumann expansion method. This last method is time efficient, and its convergence can be guaranteed even for large fluctuations. A liquid-solid particle mixture flow in a circular pipe is taken as an example. Computational results illustrate the merit of the probabilistic approach for the prediction of two-phase flow phenomena.     

人力资本投资的随机内生增长模型

本文假设人力资本是宏观经济的一部分 ,由此建立一个随机内生增长模型 ,把人力资本作为宏观经济变量并进入个人效用 .分析了经济达到均衡时个体偏好 ,不确定性对均衡增长率的影响 .同时分析了财政政策 ,税率对经济增长的影响 ,还求出了最优的增长率和人力资本投入与物质资本比 .