Efficient algorithms for generating truncated multivariate normal distributions

Sampling from a truncated multivariate normal distribution (TMVND) constitutes the core computational module in fitting many statistical and econometric models. We propose two efficient methods, an iterative data augmentation (DA) algorithm and a non-iterative inverse Bayes formulae (IBF) sampler, to simulate TMVND and generalize them to multivariate normal distributions with linear inequality constraints. By creating a Bayesian incomplete-data structure, the posterior step of the DA algorithm directly generates random vector draws as opposed to single element draws, resulting obvious computational advantage and easy coding with common statistical software packages such as S-PLUS, MATLAB and GAUSS. Furthermore, the DA provides a ready structure for implementing a fast EM algorithm to identify the mode of TMVND, which has many potential applications in statistical inference of constrained parameter problems. In addition, utilizing this mode as an intermediate result, the IBF sampling provides a novel alternative to Gibbs sampling and eliminates problems with convergence and possible slow convergence due to the high correlation between components of a TMVND. The DA algorithm is applied to a linear regression model with constrained parameters and is illustrated with a published data set. Numerical comparisons show that the proposed DA algorithm and IBF sampler are more efficient than the Gibbs sampler and the accept-reject algorithm.     

基于涨跌幅限制的双边截断正态分布期权定价模型

标准Black Scholes期权定价公式假设股票价格服从对数正态分布,没有考虑股票价格涨跌幅的限制带来的影响.放松该假设条件,假设股票价格服从双边截断对数正态分布,考虑中国股票市场的涨跌幅限制,得到一个新的B-S期权定价公式来表达股价行为.双边截断正态分布假设下收益率的波动率要要比正态分布下的波动率小,所以新B-S公式计算出的期权价格就会比标准B-S公式计算出的价格低.     

砖墙模型不能给出黑洞熵

砖墙模型被广泛用于静态或稳态黑洞熵的计算,但为了避免发散,砖墙模型需要引入一紫外截断因子. 截断因子的引入至今没有给以合理的解释. 有工作表明,用砖墙模型或薄膜模型计算黑洞熵时,若采用广义不确定关系则可以去掉截断因子. 证明了将广义不确定关系用于砖墙模型计算Schwarzschild黑洞熵时,由于砖墙模型给出熵的第一项既是Bekenstein-Hawking项又含有截断因子,因此在去掉截断因子的同时也丢掉了Bekenstein-Hawking项,将得不到黑洞熵. 关键词： 黑洞熵 砖墙模型 截断因子 广义不确定关系     

一类具变指数的非线性椭圆方程在加权Sobolev空间中熵解的存在性

运用截断函数方法以及变指数在加权Sobolev空间中的嵌入关系,通过选取适当的检验函数,证明了一类非线性椭圆方程熵解的存在性。     

截断非傍轴标量高斯光束的传输特性

基于精确光强定义下非傍轴标量光束的二阶矩理论,计算了不同束腰及光阑孔径条件下截断非傍轴标量高斯光束的束腰半径、远场发散角以及质量因子等光束传输特性,并将截断非傍轴标量高斯光束与自由高斯光束和平面波圆孔衍射光束进行了比较.数值计算表明截断参量的不同对截断高斯光束的传输特性影响很大.当R2ω0时,截断高斯光束与高斯光束在自由空间传输特性趋于一致,因此在精确光强定义下,对于非傍轴标量光束来说,当光阑孔径大于2倍束腰时,可以不考虑光阑对高斯光束的衍射作用.当R0.3ω0时,截断高斯光束传输特性趋于平面波通过圆孔的衍射曲线.因此,在这种情况下,可以将高斯光束作为平面波处理.只有当光阑孔径介于0.3倍束腰和2倍束腰之间时,需要同时考虑光阑孔径和高斯束腰对衍射的影响.     

一种半线性椭圆型方程的解的可去奇点

本文处理了一种半线性椭圆型方程解的可去奇点问题,得到方程的弱解与一个定义在RN上的连续函数几乎处处相等的结论.     

Linex损失下单边截断型分布族参数的EB估计

本文在Linex损失函数下,讨论单边截断型分布族参数的经验Bayes(EB)估计,并建立了它的收敛速度,并说明了在较强的条件下,收敛速度可充分接的于1。     

改进的三维分离变量表象方法计算振动光谱

The modified discrete variable representation for three-dimension (DVR3D) method was applied to the determination of the vibrational energy levels of the fundamental electronic state of H2S and H2O. The Hamiltonian was expressed in Jacobi coordinates and developed on a DVR basis for each internal coordinate. The angular coordinate used a DVR based on Legendre polynomials and the radial coordinates utilized a DVR based on sine basis functions. Successive diagonalization and truncation technique was used to reduce the size of the final Hamiltonian matrix to be diagonalized. Calculations were presented for H2S and H2O to demonstrate the accuracy of these algorithms.     

不可压饱和多孔弹性梁的大挠度非线性数学模型

在孔隙流体仅存在沿梁轴线方向扩散的假定下,建立了微观不可压饱和多孔弹性梁大挠度问题的非线性数学模型．利用Galerkin截断法,研究了固定端不可渗透、自由端可渗透的饱和多孔弹性悬臂梁在自由端突加集中载荷作用下的非线性弯曲,得到了梁骨架的挠度、弯矩以及孔隙流体压力等效力偶等的时间响应和沿轴线的分布．比较了大挠度非线性和小挠度线性理论的结果,揭示了两者间的差异．研究发现大挠度理论的结果小于相应的小挠度理论结果,并且,大挠度理论的结果趋于其稳态值的时间小于相应的小挠度理论结果趋于其稳态值的时间．     

BeⅡ内壳激发态的能量,电离势和辐射波长

采用截断变化方法计算了ＢｅⅡ内壳激发Ｉｓ２ｐｎ（ｎ＝２－４,ｌ＝０－３）＾２Ｌ态的能量,电离势和辐射波长。相对论效应计算到一级微扰,质量极化效应计算到无突级。这些能量和辐射波长的计算结果与其它实验和理论结果相比较,符合得很好。