无风险资产有限借入的不相关证券组合有效集的解析表示

本文研究了不允许卖空条件下存在无风险资产有借入的不相关证券有效组合问题,给出了有效集及投资比例的解析表示。     

Dynamic mean–variance portfolio selection with borrowing constraint

This paper derives explicit closed form solutions, for the efficient frontier and optimal investment strategy, for the dynamic mean–variance portfolio selection problem under the constraint of a higher borrowing rate. The method used is the Hamilton–Jacobi–Bellman (HJB) equation in a stochastic piecewise linear-quadratic (PLQ) control framework. The results are illustrated on an example.     

一种改进的双层规划内点算法(英文)

本文针对线性双层规划问题提出一个由KMY算法演变而来的原对偶内点算法.与现在很多线性双层规划单纯型算法不同,作者提出的算法从一可行初始点穿过约束多面体内部直接得到近似最优解,当约束条件和变量数目增加时,本算法的迭代次数和计算时间变化很小.所以大大提高实际可操作性能和运算效率.     

Connectedness of efficient points in convex and convex transformable vector optimization

Given a convex vector optimization problem with respect to a closed ordering cone, we show the connectedness of the efficient and properly efficient sets. The Arrow–Barankin–Blackwell theorem is generalized to nonconvex vector optimization problems, and the connectedness results are extended to convex transformable vector optimization problems. In particular, we show the connectedness of the efficient set if the target function f is continuously transformable, and of the properly efficient set if f is differentiably transformable. Moreover, we show the connectedness of the efficient and properly efficient sets for quadratic quasiconvex multicriteria optimization problems.     

Lagrange multiplier characterizations of solution sets of constrained pseudolinear optimization problems

In this article, we study the minimization of a pseudolinear (i.e. pseudoconvex and pseudoconcave) function over a closed convex set subject to linear constraints. Various dual characterizations of the solution set of the minimization problem are given. As a consequence, several characterizations of the solution sets of linear fractional programs as well as linear fractional multi-objective constrained problems are given. Numerical examples are also given.     

Improvements by analyzing the efficient frontier in DEA

In this paper, we suggest four types of improvements for making inefficient DMUs efficient in the CCR model with the minimal change of input and output values. Moreover, we propose an algorithm for calculating such improvements by applying quadratic programming techniques. Furthermore, since all equations constructing the efficient frontiers of the CCR and BCC models are necessary to execute the algorithm, we present a procedure for calculating them.     

Acceleration of the iterative solver in the discrete dipole approximation: Application to the orientation variation of irregularly shaped particles

We have applied a method of reducing the number of iterations required to solve a system of linear equations in the discrete dipole approximation. This method obtains an initial guess of dipole polarization from those with similar particle characteristics (e.g., the size parameter and refractive index) calculated a priori. If the initial guess is closer to the solution, the number of iterations of the linear equation solution becomes smaller than that calculated with an arbitrary initial value.

This method was applied to various particle orientations using spline interpolation of the initial guess of dipole polarization from orientations calculated a priori.

We studied three types of particle model: an aggregate, a deformed sphere with moderate surface roughness, and a particle with a large number of edges. For the particle with a large number of edges, we propose a new model called the overlapping mixture of multiple tetrahedra (OMMT).

The proposed method is most advantageous for particles with moderate surface roughness (e.g., a deformed sphere), for which the calculation time was reduced to 20–40% of the original calculation time. For OMMT and an aggregate, the computation time was reduced to 30–60% and 40–90%, respectively. The differences in the scattering coefficient, absorption coefficient, intensity and polarization introduced by our method were less than 0.008%, 0.03%, 0.1%, and 0.08%, respectively.

If the light scattering properties vary slowly with the orientation variation, interpolation of the results is more efficient than the proposed method and produces only a small difference in the results. However, the interpolation of the results fails for particles such as BCCA64, for which our proposed method produces more accurate results.     

结合高效BB84协议的差分密钥分发系统

提出一种新的相位编码方案,使用差分和高效BB84协议实现量子密钥分发.在保留差分编码优势的同时,此方案进一步增加系统的安全性.Alice端随机选择{0,π/2,π,3π/2}中的相位对信号脉冲进行调制,Bob端随机选择{0,π/2}中的相位对信号脉冲进行调制.为了提高成码率和简化系统,以η(η→1)的概率选取{0,π} 基对相位进行调制,此时系统运行差分编码,用于生成密钥;以(1－η)的概率选取{π/2,3π/2}基中的相位对脉冲信号进行调制.{π/2,3π/2}基的选用是为了增加系统维度和进行安全性评估,不用于生成密钥.设计相应的系统,利用微弱相干光脉冲在该新协议下进行编码,在接收端采用法拉第－迈克尔逊方式进行解码,在实验上实现了长期稳定的密钥分发,误码率＜5%,传输距离达85 km.     

Comparisons between sine-Gordon and perturbed nonlinear Schrödinger equations for modeling light bullets beyond critical collapse

The sine-Gordon (SG) equation and perturbed nonlinear Schrödinger (NLS) equations are studied numerically for modeling the propagation of two space dimensional (2D) localized pulses (the so-called light bullets) in nonlinear dispersive optical media. We begin with the (2 + 1) SG equation obtained as an asymptotic reduction in the two level dissipationless Maxwell-Bloch system, followed by the review on the perturbed NLS equation in 2D for SG pulse envelopes, which is globally well posed and has all the relevant higher order terms to regularize the collapse of standard critical (cubic focusing) NLS. The perturbed NLS is approximated by truncating the nonlinearity into finite higher order terms undergoing focusing-defocusing cycles. Efficient semi-implicit sine pseudospectral discretizations for SG and perturbed NLS are proposed with rigorous error estimates. Numerical comparison results between light bullet solutions of SG and perturbed NLS as well as critical NLS are reported, which validate that the solution of the perturbed NLS as well as its finite-term truncations are in qualitative and quantitative agreement with the solution of SG for the light bullets propagation even after the critical collapse of cubic focusing NLS. In contrast, standard critical NLS is in qualitative agreement with SG only before its collapse. As a benefit of such observations, pulse propagations are studied via solving the perturbed NLS truncated by reasonably many nonlinear terms, which is a much cheaper task than solving SG equation directly.     

Maximal and supremal tolerances in multiobjective linear programming

Let a multiobjective linear programming problem and any efficient solution be given. Tolerance analysis aims to compute interval tolerances for (possibly all) objective function coefficients such that the efficient solution remains efficient for any perturbation of the coefficients within the computed intervals. The known methods either yield tolerances that are not the maximal possible ones, or they consider perturbations of weights of the weighted sum scalarization only. We focus directly on perturbations of the objective function coefficients, which makes the approach independent on a scalarization technique used. In this paper, we propose a method for calculating the supremal tolerance (the maximal one need not exist). The main disadvantage of the method is the exponential running time in the worst case. Nevertheless, we show that the problem of determining the maximal/supremal tolerance is NP-hard, so an efficient (polynomial time) procedure is not likely to exist. We illustrate our approach on examples and present an application in transportation problems. Since the maximal tolerance may be small, we extend the notion to individual lower and upper tolerances for each objective function coefficient. An algorithm for computing maximal individual tolerances is proposed.