每个忙期中第一个顾客被拒绝服务的M／M/1排队模型的其他特征值

研究每个忙期中第一个顾客被拒绝服务的M／M／1排队模型的主算子在左半复平面中的特征值,证明对一切θ∈（0,1）,（2√λμ-λ—μ）θ是该主算子的几何重数为1的特征值．     

A general framework for pricing Asian options under stochastic volatility on parallel architectures

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper.     

An analysis of p-median location problem: Effects of backup service level and demand assignment policy

Any solution to facility location problems will consider determining the best suitable locations with respect to certain criteria. Among different types of location problems, involving emergency service system (ESSs) are one of the most widely studied in the literature, and solutions to these problems will mostly aim to minimize the mean response time to demands. In practice, however, a demand may not be served from its nearest facility if that facility is engaged in serving other demands. This makes it a requirement to assign backup services so as to improve response time and service quality. The level of backup service is a key, strategic-level planning factor, and must be taken into consideration carefully. Moreover, in emergency service operations conducted in congested demand regions, demand assignment policy is another important factor that affects the system performance. Models failing to adopt sufficient levels of backup service and realistic demand assignment policies may significantly deteriorate the system performance.Considering the classic p-median problem (pMP) location model, this paper investigates the effects of backup service level, demand assignment policy, demand density, and number of facilities and their locations on the solution performance in terms of multiple metrics. For this purpose, we adopt a combined optimization and simulation approach. We will first modify the classic pMP to account for distances to backup services. Next, we employ a discrete event simulation to evaluate the performance of location schemes obtained from the deterministic mathematical model. Our results provide insights for decision-makers while planning ESS operations.     

A difference equation approach for analysing a batch service queue with the batch renewal arrival process

We consider an infinite buffer single server queue wherein customers arrive according to the batch renewal arrival process and are served in batches following the random serving capacity rule. The service-batch times follow exponential distribution. This model has been studied in the past using the embedded Markov chain technique and probability generating function. In this paper we provide an alternative yet simple methodology to carry out the whole analysis which is based on the supplementary variable technique and the theory of difference equations. The procedure used here is simple in the sense that it does not require the complicated task of constructing the transition probability matrix. We obtain explicit expressions of the steady-state system-content distribution at pre-arrival and arbitrary epochs in terms of roots of the associated characteristic equation. We also present few numerical results in order to illustrate the computational procedure.     

Asset pricing for an affine jump‐diffusion model using an FD method of lines on nonuniform meshes

We present a novel numerical scheme for the valuation of options under a well‐known jump‐diffusion model. European option pricing for such a case satisfies a 1 + 2 partial integro‐differential equation (PIDE) including a double integral term, which is nonlocal. The proposed approach relies on nonuniform meshes with a focus on the discontinuous and degenerate areas of the model and applying quadratically convergent finite difference (FD) discretizations via the method of lines (MOL). A condition for observing the time stability of the fully discretized problem is given. Also, we report results of numerical experiments.     

机场任务指派问题的优化方案研究

本文研究了机场任务指派问题,该问题是指将具有特殊属性的任务指派给有限数量的班次。由于机场任务和班次属性的多样性,机场任务指派问题是一个复杂的组合优化问题,属于NP-完全问题。本文以任务完成产生的效益总和最大化为目标建立数学优化模型,提出有效不等式,应用CPLEX软件对实际数据进行求解,结果表明,CPLEX可以在较短时间内对一定规模的算例求得最优解。同时对影响目标函数的四个因素:任务数量、班次数量、班次工作时长和任务属性分别进行分析,通过实际算例测试对比,得出具有指导意义的结论,即根据机场特征分别调整四个因素不仅能够提高机场资源的有效利用率,而且能够提高机场的运行效率和服务水平。     

不透明销售的顾客退货政策选择

本文探讨从事不透明销售的零售商对顾客退货政策的选择问题。分别针对零售商垄断和竞争两种市场情况,建立不透明零售商与其它供应链成员(制造商或普通零售商)之间的博弈模型,获得唯一均衡解;对均衡结果进行结构化分析,给出不透明销售方式下采用全额退款政策的判别条件;针对均衡结果,分析零售商垄断情况下产品不透明参数的最优设计,以及零售商竞争情况下的市场分化情况;鉴于净残值参数在退货政策选择中的决定性作用,本文进一步探讨了净残值为正时全额退款政策对各参与方利润及产品需求和价格的影响,分析了净残值在其中的作用机理。本研究能够为不透明零售商制定退货政策和价格以及其它供应链成员制定相关决策提供支持。     

消费者异质性下基础产品及其附加品的供应链定价策略研究

建立一个由制造商和销售商组成的二级供应链模型,在销售商向消费者销售制造商基础产品的同时提供可选附加品的供应链多产品定价背景下研究了制造商及销售商的定价策略。以消费者对附加品价值增值存在的异质性将基础产品及其附加品的消费市场细分为基础产品单独消费市场及产品共同消费市场。基于市场细分比例以及附加品价值增值程度,讨论了不同条件下制造商及销售商的定价策略以及所形成的供应链定价均衡,分析了产品定价均衡与市场细分比例、附加品价值增值程度之间的关系。     

考虑预付定金和退货的SMPEs产品定价与优化策略

借鉴中小制造型企业(SMPEs)在线渠道预售模式,考虑市场中存在预付订金和不预付订金的顾客,并将其退货情况引入到生产商利润表达式中,构建确定性和随机性市场需求下的SMPEs产品销售利润最大化模型,推导生产商产品最优定价的解析解;对比两种销售模式的利润,得到了生产商选择不同销售策略的条件。进一步考虑预付定金的产品数量、预交定金比例、退货数量是关于价格折扣敏感的情况,采用拉格朗日乘子法对生产商产品定价及优化问题进行研究,分析求得生产商销售策略(产品定价和价格折扣)的近似最优解。最后,通过数值算例对研究结论进行了验证并给出经济学解释。     

高速列车轴承可靠性评估关键力学参量研究进展

轴承是高速列车牵引传动和轮轴系统的关键零部件. 受列车运行过程中电机转矩、齿轮啮合以及轮轨随机激励的影响,轴承可能发生疲劳破坏, 严重影响高速列车的行车安全.我国特有的复杂运用条件对轴承部件的疲劳性能提出了更高的要求,而轴承疲劳可靠性的基础理论和关键技术是我国轴承正向设计研发中的薄弱环节.可靠性评估方面的相关研究在解决轴承可靠性研究的瓶颈问题中起到了承上启下的关键作用.高速列车轴承可靠性评估手段与技术旨在获得使用环境中轴承可靠性评估的关键力学参量,并以此推动复杂激励下轴承疲劳可靠性理论研究. 因此,需要哪些关键力学参量并且在复杂的实际使用环境下如何去获取这些力学参量是进行高速列车轴承可靠性评估的关键所在.本文首先概述了高速列车轴承所处的复杂使用环境及运用中的主要失效模式,并据此分析了高速列车轴承可靠性评估所需的关键力学参量,强调了轴承内部滚滑行为和载荷分布在可靠性评估和轴承状态监测中的重要作用,之后从计算模型和测试技术等方面系统阐述了针对这两个关键力学参量的研究进展.最后提出了在高速列车轴承可靠性评估关键力学参量特征及测试技术研究中值得关注的若干问题.