热电联产中热、电分摊比的合理确定

符号表D蒸汽量HF燃料热值W电量下角标h供热比拥m煤耗。分摊比e环境，电n乏汽h比烙q比热量f给水0新汽在热电联产的成本分摊中，如何确定热、电分摊比，一直是一个很有争议的问题［‘－‘］。采用不同分摊方法，其热、电所得的经济效益相差甚大。因此，它直接关系到热力价格的合理制定，影响着供热企业的经济效益和热用户的利益，对热电联产事业的发展有着重要影响。本文在分析现有各种分摊方法的基础上，提出一个新的更为合理的分摊方法。1现有的分摊方法及其缺陷和应用范围1．1热量法将总热耗量按热、电两种能量数量的比例来分配［‘－‘…     

Statistical Multiplexing of Homogeneous Fractional Brownian Streams

In this paper, the statistical multiplexing of independent fractional Brownian traffic streams with the same Hurst value 0.5<H<1 is studied. The buffer overflow probabilities based on steady-state and transient queue length tail distributions are used respectively as the common performance criterion. Under general conditions, the minimal buffer allocation to the merged traffic is identified in either case so that strictly positive bandwidth savings are realized. Impact of the common H value on multiplexing gains is investigated. The analytical results are applicable in data network engineering problems, where ATM is deployed as the transport network carrying long-range dependent data traffic.     

敏捷供应链管理中最优激励方案的实现问题研究

合理的利益分配策略可以稳定敏捷供应链的运营过程,加速敏捷供应链目标的实现.基于委托-代理理论,研究了敏捷供应链利益分配中最优激励方案的设计问题,得出在信息对称条件下由于合作伙伴企业的努力水平可以为主导企业所观测,因而容易制定最优激励方案并实现利益分配.而在更多的信息不对称条件下,需要对合作伙伴企业的产出结果进行监督和评估,通过不同努力水平下的分布概率间接地获得努力水平信息.该结论对于敏捷供应链利益分配系统的设计与实现具有重要指导意义.对最优激励方案在敏捷供应链利益分配中的实现过程进行了说明,通过适当的评价指标体系和评价方法,实现了利益分配中考虑努力水平等因素的激励策略.     

Capital allocation for portfolios with non-linear risk aggregation

Existing risk capital allocation methods, such as the Euler rule, work under the explicit assumption that portfolios are formed as linear combinations of random loss/profit variables, with the firm being able to choose the portfolio weights. This assumption is unrealistic in an insurance context, where arbitrary scaling of risks is generally not possible. Here, we model risks as being partially generated by Lévy processes, capturing the non-linear aggregation of risk. The model leads to non-homogeneous fuzzy games, for which the Euler rule is not applicable. For such games, we seek capital allocations that are in the core, that is, do not provide incentives for splitting portfolios. We show that the Euler rule of an auxiliary linearised fuzzy game (non-uniquely) satisfies the core property and, thus, provides a plausible and easily implemented capital allocation. In contrast, the Aumann–Shapley allocation does not generally belong to the core. For the non-homogeneous fuzzy games studied, Tasche’s (1999) criterion of suitability for performance measurement is adapted and it is shown that the proposed allocation method gives appropriate signals for improving the portfolio underwriting profit.     

基于生命期模型的无线传感器网络信道分配博弈算法

针对无线传感器网络中节点因干扰过大导致重传能耗增加, 进而节点过早失效、网络生命期缩短的问题, 根据网络拓扑信息和路由信息设计节点的负载模型, 从而构建了节点的生命期模型. 然后利用博弈论将路径增益、交叉干扰和节点生命期等性能参数融入到效益函数中, 构建信道分配博弈模型. 理论分析证明该博弈模型存在纳什均衡. 进而运用最佳回应策略, 在所构建的信道分配博弈模型的基础上, 设计了一种优化网络生命期的抗干扰信道分配算法. 该算法使节点在选择信道时避免与网络中交叉干扰较大的节点和生命期较小的节点使用相同信道, 实现干扰小、能耗低且均衡的信道选择. 理论分析与仿真结果证明该算法最终能够快速地收敛到纳什均衡, 且具有较小的信息复杂度, 从而减小算法本身的通信能耗. 同时, 该算法具有良好的抗干扰性和信道均衡性, 能够有效地延长网络生命期.     

Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims

In this paper, we study optimal asset allocation and benefit outgo policies of DC (defined contribution) pension plan. We extend He and Liang model (2013a,b) to describe dynamics of individual fund scale during distribution period. The fund scale is affected by investment return, benefit outgo and mortality credit. The management of the pension plan controls the asset allocation and benefit outgo policies to achieve the objective of pension members. The goal of the management is to minimize accumulated deviations between the actual benefit outgo and a pre-set target during the whole distribution period. The performance function (criterion) is the weighted average of the square and linear deviations to express more penalty on negative deviation than positive deviation. Using HJB (Hamilton–Jacobi–Bellman) equations and variational inequality methods, the closed-forms of the optimal policies are derived. The counterintuitive effect of the optimal proportion allocated in the risky asset with respect to the fund scale is also derived, and the optimal benefit outgo has the form of the spread method. Moreover, we use Monte Carlo Methods (MCM) to analyze economic behaviors of the optimal asset allocation and benefit outgo policies.     

Allocating fixed costs and common revenue via data envelopment analysis

An issue of considerable importance involves the allocation of fixed costs or common revenue among a set of competing entities in an equitable way. Based on the data envelopment analysis (DEA) theory, this paper proposes new methods for (i) allocating fixed costs to decision making units (DMUs) and (ii) distributing common revenue among DMUs, in such a way that the relative efficiencies of all DMUs remain unchanged and the allocations should reflect the relative efficiencies and the input-output scales of individual DMUs. To illustrate our methods, numerical results for an example are described in this paper.     

Complexity analysis of an assignment problem with controllable assignment costs and its applications in scheduling

We extend the classical linear assignment problem to the case where the cost of assigning agent j to task i is a multiplication of task i’s cost parameter by a cost function of agent j. The cost function of agent j is a linear function of the amount of resource allocated to the agent. A solution for our assignment problem is defined by the assignment of agents to tasks and by a resource allocation to each agent. The quality of a solution is measured by two criteria. The first criterion is the total assignment cost and the second is the total weighted resource consumption. We address these criteria via four different problem variations. We prove that our assignment problem is NP-hard for three of the four variations, even if all the resource consumption weights are equal. However, and somewhat surprisingly, we find that the fourth variation is solvable in polynomial time. In addition, we find that our assignment problem is equivalent to a large set of important scheduling problems whose complexity has been an open question until now, for three of the four variations.     

基于统一价格拍卖的初始排污权分配方法

针对初始排污权总量分配的实际问题,基于统一价格拍卖的思想提出了一种具有激励性的可变总量的分配方法,分别给出了排污企业对称和排污企业非对称两种情形下的线性均衡报价策略,并证明了该方法的可行性和有效性,从而为建设排污权分配和交易制度提供了理论依据和方法参考.     

An optimization approach to adaptive multi-dimensional capital management

Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with multiple business lines including allocation. The individual capital reserve of each line can be represented by means of classical models, such as the conventional Cramér–Lundberg model, but the challenge lies in soundly modelling the correlations between the business lines. We propose a simple yet versatile approach that allows for dependence by introducing a common environmental factor. We present a novel Bayesian approach to calibrate the latent environmental state distribution based on observations concerning the claim processes. The calibration approach is adjusted for an environmental factor that changes over time. The convergence of the calibration procedure towards the true environmental state is deduced. We then point out how to determine the optimal initial capital of the different business lines under specific constraints on the ruin probability of subsets of business lines. Upon combining the above findings, we have developed an easy-to-implement approach to capital risk management in a multi-dimensional insurance risk model.