证券投资组合优化问题的强健性的锥优化方法(英文)

本文研究了具有强健性的证券投资组合优化问题.模型以最差条件在值风险为风险度量方法,并且考虑了交易费用对收益的影响.当投资组合的收益率概率分布不能准确确定但是在有界的区间内,尤其是在箱型区间结构和椭球区域结构内时,我们可以把具有强健性的证券投资组合优化问题的模型分别转化成线性规划和二阶锥规划形式.最后,我们用一个真实市场数据的算例来验证此方法.     

时变磁化等离子体的LTJEC-FDTD方法研究

基于拉普拉斯变换的电流密度卷积技术（LTJEC）,构造了时变磁化等离子体的新型时域有限差分方法（LTJEC-FDTD）。借助于高斯脉冲在磁化等离子体中的传播实例,验证了LTJEC-FDTD算法的准确性及高效性。进一步,研究了Whistler波在一维时变磁化等离子体中的具体传播特性。结果表明,当离子体频率随时间指数衰减后,输出波的频率上升、极化方式不变,而电场增强、磁场减弱。同时,通过优化磁化等离子体参数,可进一步提高Whistler波的输出频率,获得了频率为300 GHz的圆极化太赫兹波。研究结果可为利用磁化等离子体产生太赫兹波源提供相关的技术支持。     

多约束的多阶段积极投资组合模型及实证研究

构建投资组合时需要衡量其风险, 除了考虑组合本身的风险暴露, 还需考虑其相对基准组合的风险暴露. 再者, 确定组合权重时需要根据市场的规则加入合适的约束. 基于此, 为了较为完整地考虑现实投资组合面临的风险及交易约束, 将绝对风险(CVaR)和相对风险(跟踪误差)作为风险约束, 将交易成本、卖空限制和多元权值作为交易限制约束, 构建一个新的多阶段投资组合模型, 并利用动态规划和非线性优化方法进行求解. 最后, 利用上证50成分股中41只股票构建投资组合进行实证研究. 实证结果表明构建的多阶段投资组合模型能持续战胜基准组合且优于单阶段投资组合, 同时也表明模型考虑多元权值约束具有现实意义.     

具有多重权值的时滞复杂网络固定时间同步问题研究

文章研究了基于非周期间歇性控制的具有多重权值和耦合时滞的复杂网络固定时间同步问题.通过构建具有多重权值的复杂网络模型,并基于固定时间稳定性引理和矩阵理论,给出了实现复杂网络固定时间同步的充分条件.此外,文章设计了固定时间非周期切换控制器,获得了实现复杂网络同步的时间上界的估计值.结论证明了实现网络同步的时间与网络的初始状态无关,最后数值模拟说明了理论结果的正确性和有效性.     

Optimal temporal path on spatial decaying networks

We introduce temporal effect to the classical Kleinberg model and study how it affects the spatial structure of optimal transport network. The initial network is built from a regular $d$-dimensional lattice added by shortcuts with probability $p(r_{ij})\sim r_{ij}^{-\alpha} $ , where $r_{ij}$ is the geometric distance between node $i$ and $j$. By assigning each shortcut an energy $E=r \cdot \tau$, a link with length $r$ survives within period $\tau$,which leads the network to a decaying dynamics of constantly losing long-range links. We find new optimal transport in the dynamical system for $\alpha=\frac{3}{4}d$ , in contrast to any other result in static systems. The conclusion does not depend on the information used for navigation, being based on local or global knowledge of the network, which indicates the possibility of the optimal design for general transport dynamics in the time-varying network.     

Output-only identification and dynamic analysis of time-varying mechanical structures under random excitation: A comparative assessment of parametric methods

This article addresses the problem of parametric time-domain identification and dynamic analysis for time-varying (TV) mechanical structures under unobservable random excitation. The methods presented are based on time-dependent autoregressive moving average (TARMA) models, and are classified according to the mathematical structure imposed on the TV parameter evolution as unstructured parameter evolution, stochastic parameter evolution, and deterministic parameter evolution. The features and relative merits of each class are outlined. A representative method from each is then assessed through its application to the identification and dynamic analysis of a laboratory TV structure consisting of a beam with a mass moving on it. The results are mutually compared and contrasted to those obtained through “frozen-configuration” (multiple experiment) baseline identification.     

带有控制输入扰动和死区的混沌系统自适应模糊控制

针对带有非线性输入和控制增益矩阵扰动的未知时变时滞混沌系统,提出了一种自适应模糊变结构控制方法.设计的控制器可以保证跟踪误差收敛到原点的可调邻域内,并且闭环系统所有信号有界.该方法对系统扰动的变化能保持较好的鲁棒性.最后以多卷波混沌系统为例的仿真实验进一步验证了该方法的有效性.     

Stochastic synchronization for time-varying complex dynamical networks

This paper studies the stochastic synchronization problem for time-varying complex dynamical networks. This model is totally different from some existing network models. Based on the Lyapunov stability theory, inequality techniques, and the properties of the Weiner process, some controllers and adaptive laws are designed to ensure achieving stochastic synchronization of a complex dynamical network model. A sufficient synchronization condition is given to ensure that the proposed network model is mean-square stable. Theoretical analysis and numerical simulation fully verify the main results.     

时变时滞耦合两个不同复杂网络的自适应广义同步

针对具有时变时滞耦合的两个不同复杂网络, 研究其广义同步问题. 基于Barbalat引理, 设计非线性自适应控制器使得两个网络获得广义同步. 进一步研究了具有未知拓扑结构的两个网络的广义同步问题. 数值仿真表明了本文方法的有效性.     

Exponential Stability for Time-Delay Systems with Interval Time-Varying Delays and Nonlinear Perturbations

In this paper, the problem of an exponential stability for time-delay systems with interval time-varying delays and nonlinear perturbations is investigated. Based on the Lyapunov method, a new delay-dependent criterion for exponential stability is established in terms of LMI (linear matrix inequalities). Numerical examples are carried out to support the effectiveness of our results.