Computing strategies for achieving acceptability: A Monte Carlo approach

We consider a trader who wants to direct his or her portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a Monte Carlo algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy for achieving acceptability. We also prove optimality of the capital obtained. Explicit theoretical evaluations of hedging strategies are extremely difficult, and we avoid the problem by resorting to such computational methods. The main idea is to utilize the finite Vapnik–C?ervonenkis dimension of a class of possible strategies.     

关于离散HJB方程的下解与上解

本文讨论HJB方程上、下解的几个性质,并讨论了从上解出发的一个迭代法的收敛性.     

Multi-dimensional asymptotically quasi-Toeplitz Markov chains and their application in queueing theory

Multi-dimensional asymptotically quasi-Toeplitz Markov chains with discrete and continuous time are introduced. Ergodicity and non-ergodicity conditions are proven. Numerically stable algorithm to calculate the stationary distribution is presented. An application of such chains in retrial queueing models with Batch Markovian Arrival Process is briefly illustrated. AMS Subject Classifications Primary 60K25 · 60K20     

Optimal reconstruction of the solution of the wave equation from inaccurate initial data

In the present paper, we consider the problem of the optimal reconstruction of the solution of the wave equation from the approximate values of the Fourier coefficients of the function specifying the initial form of the string. For an operator defined on the weight space of vectors from l ₂, we present the solution of the more general problem of reconstruction from the approximate values of the coordinates of these vectors.     

Irn(n=2-25)团簇基态结构的遗传算法研究

用遗传算法结合Gupta紧束缚模型势研究了Irn(n=2-25)团簇的基态结构.分析了Irn(n=2-25)团簇的基态结构随团簇尺寸的变化规律.计算结果表明,Irn(n=2-25)团簇的每个原子的平均束缚能和平均第一近邻随团簇尺寸的增加而增大,以总束缚能的二阶差分为判据,Irn(n=2-25)团簇的幻数是4、7、9、13、15、19、23.     

傅里叶变换红外光谱仪遥测污染云团的吸收光谱算法

遥感傅里叶变换红外光谱技术因其具有对污染源作无干扰监测、多组分的同时连续测定、区域性或大范围地区的测量等优点,因而已广泛的应用于遥感测量技术。利用傅里叶变换红外(FTIR)光谱仪远距离探测目标,根据探测的目标源是否充满光谱仪的视场,建立了三种辐射模型。在所建立模型的基础上,选用了D&P公司生产的便携式Model-101型傅里叶变换红外光谱仪,实时探测目标云团和背景,运用差谱法和发射光谱法对探测结果进行了光谱分析,进而得到了扣除背景影响后的目标云团吸收光谱。给出了相应的仿真实验结果示例。实验结果表明,由差谱法得到的结果准确度较好。     

多目标半定规划的加权中心路径法

对于线性型多目标半定规划问题，引进加权中心路径的概念，并利用单目标半定规划的中心路径法，提出了求解多目标半定规划问题的加权中心路径法，先得型对一个叔向量的有效解，然后在此基础上，提出了通过一次迭代得到对应一定范围内其他任意权向量的有效解的一步修正方法．     

Pushing Squares Around

We study dynamic self-reconfiguration of modular metamorphic systems. We guarantee the feasibility of motion planning in a rectangular model consisting of square modules that are allowed to slide along or rotate about one another. That is, we show that any two connected configurations of the same number of modules can be transformed into each other by a sequence of moves so that all intermediate configurations are connected. This settles a conjecture formulated in [6].     

模拟退火法在吸收薄膜的椭偏反演算法中的应用

将一种广泛用于求解复杂系统优化问题的技术－－模拟退火法－－用来求解椭偏反演方程。首先假设一个薄膜模型，计算出其相应的椭偏参数（Ψ，Δ）的值，在这个计算值的基础上加入不同标准偏差的高斯噪声；然后将加入噪声后的值（Ψm,Δm)作为模拟的测量数据，采用模拟退火算法进行求解，验证得知这种方法求得的薄膜参数很接近于假设的薄膜模型参数的真值，与其他文献的报道结果一致，而且在扩大搜寻范围时，仍然可以得到准确解，从而证明了该方法的可行性以及有效性。