不确定市场条件下的稳健最优投资组合

本文假设风险资产和无风险资产收益的相关参数属于某个已知的凸多面体,分别讨论了在市场不存在无风险资产和存在无风险资产的情况下稳健最优投资组合问题,给出了问题的解析解,从而推广了Markowitz均值-方差模型的结果.     

挖坑机钻头主轴纵向振动系统模型的建立与控制

首先利用弹性杆理论和H am ilton变分原理建立了挖坑机钻头主轴及钻尖在工作过程中由于外激励的作用使钻尖与土壤互相作用而产生纵向振动的动力学模型,同时给出边界条件和初始条件.其次通过把系统外激励函数当作控制变量,利用Banach空间几何性质证明了此系统存在唯一最优控制元.     

Optimal Investment Strategies for an Insurer with SAHARA Utility

In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent.     

Pro-torus actions on Poincaré duality spaces

In this paper, it is shown that some of the results of torus actions on Poincaré duality spaces, Borel’s dimension formula and topological splitting principle to local weights, hold if ‘torus’ is replaced by ‘pro-torus’.     

Single-period Two-product Inventory Model with Reorder and Substitution

In market, excess demands for many products can be met by reorder even during one period, and retailers usually adopt substitution strategy for more benefit. Under the retailer's substitution strategy and permission of reorder, we develop the profits maximization model for the two-substitutable-product inventory problem with stochastic demands and proportional costs and revenues. We show that the objective function is concave and submodular, and therefore the optimal policy exists. We present the optimal conditions for order quantity and provide some properties of the optimal order quantities. Comparing our model with Netessine and Rudi's, we prove that reorder and adoption of the substitution strategy can raise the general profits and adjust down the general stock level.     

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??We study the linear quadratic optimal stochastic control problem which is jointly driven by Brownian motion and L\'{e}vy processes. We prove that the new affine stochastic differential adjoint equation exists an inverse process by applying the profound section theorem. Applying for the Bellman's principle of quasilinearization and a monotone iterative convergence method, we prove the existence and uniqueness of the solution of the backward Riccati differential equation. Finally, we prove that the optimal feedback control exists, and the value function is composed of the initial value of the solution of the related backward Riccati differential equation and the related adjoint equation.     

聚异丁烯高活性端基含量及相对分子质量测定方法的研究

综合使用核磁，VPO和近红外光谱分析技术对聚异丁烯活性端基含量以及相对分子质量的测定进行了详细研究，分别建立核测定聚异丁烯活性端基含量以及其他烯键含量和近红外光谱快速测量聚异聚丁烯活性端基含量。其他烯键含量和相对分子质量的分析方法。成对t检验结果表明，近红外光谱分析方法测定结果与核磁和VPO方法测定结果之间无显著性差异。     

基于单纯形方法的双层线性规划全局优化算法

通过分析双层线性规划可行域的结构特征和全局最优解在约束域的极点上达到这一特性,对单纯形方法中进基变量的选取法则进行适当修改后,给出了一个求解双层线性规划局部最优解方法,然后引进上层目标函数对应的一种割平面约束来修正当前局部最优解,直到求得双层线性规划的全局最优解.提出的算法具有全局收敛性,并通过算例说明了算法的求解过程.     

A new trust region technique for the maximum weight clique problem

A new simple generalization of the Motzkin-Straus theorem for the maximum weight clique problem is formulated and directly proved. Within this framework a trust region heuristic is developed. In contrast to usual trust region methods, it regards not only the global optimum of a quadratic objective over a sphere, but also a set of other stationary points of the program. We formulate and prove a condition when a Motzkin-Straus optimum coincides with such a point. The developed method has complexity O(n³), where n is the number of vertices of the graph. It was implemented in a publicly available software package QUALEX-MS.Computational experiments indicate that the algorithm is exact on small graphs and very efficient on the DIMACS benchmark graphs and various random maximum weight clique problem instances.     

对称正交反对称矩阵反问题解存在的条件

矩阵反问题和矩阵特征值反问题在科学和工程技术中具有广泛的应用,有关它们的研究已取得了许多进展[1,2].[3]和[4]分别研究了反对称矩阵反问题和双反对称矩阵特征值反问题等.本文研究一类更广泛的对称正交反对称矩阵反问题.用Rn×m（Cn×m）表示n×m实（复）矩阵的全体,ASRn×n表示n阶反对称矩阵的全体,ABSRn×n表示n阶双反对称矩阵的全体,ORn×n表示n阶正交矩阵的全体.A+表示矩阵A的Moore-Penrose广义逆.In表示n阶单位矩阵.ei表示n阶单位矩阵的第i列,Sn=[en,en-1,