基于递归型神经网络动力学求解时变凸二次规划

为了在线求解时变凸二次规划问题,实现误差精度更高、求解时间更短和收敛速度更快的目标。本文采用了求解问题更快的时变网络设计参数,选择了有限时间可以收敛的Sign-bi-power激活函数,构造了一种改进的归零神经网络动力学模型。其后,分析了模型的稳定性和收敛性,得到其解能够在有限时间内收敛。最后,在仿真算例中,与传统的梯度神经网络和归零神经网络模型相比,所提模型具有更高的误差精度、更短的求解时间和更快的收敛速度,优于前两种网络模型。     

Stochastic Variational Inequality Approaches to the Stochastic Generalized Nash Equilibrium with Shared Constraints

In this paper, we consider the generalized Nash equilibrium with shared constraints in the stochastic environment, and we call it the stochastic generalized Nash equilibrium. The stochastic variational inequalities are employed to solve this kind of problems, and the expected residual minimization model and the conditional value-at-risk formulations defined by the residual function for the stochastic variational inequalities are discussed. We show the risk for different kinds of solutions for the stochastic generalized Nash equilibrium by the conditional value-at-risk formulations. The properties of the stochastic quadratic generalized Nash equilibrium are shown. The smoothing approximations for the expected residual minimization formulation and the conditional value-at-risk formulation are employed. Moreover, we establish the gradient consistency for the measurable smoothing functions and the integrable functions under some suitable conditions, and we also analyze the properties of the formulations. Numerical results for the applications arising from the electricity market model illustrate that the solutions for the stochastic generalized Nash equilibrium given by the ERM model have good properties, such as robustness, low risk and so on.     

An Event Dimension for Modeling Damping Due to Time-Varying Forcing Frequency

This article presents an original method for evaluating thedissipative effect in SDOF systems due to the transient phenomenongenerated by time-varying forcing frequencies. The main contributionlies in the use of an event dimension, as additional dimension, andEinstein's method for highlighting and proving the existence of adamping term in the equation of the motion. The variational problem ofthe metric of a pseudo-Riemannian space gives the geodesic equations andthe equation of the motion. The application is concerned with aspring-pendulum system and the associated experimental investigationpermits validating the method proposed. The influence of the variationof the forcing frequency is highlighted using two different load cases:it is shown that the damping depends on the forcing frequency variation.     

Minimizing loss probability bounds for portfolio selection

In this paper, we derive a portfolio optimization model by minimizing upper and lower bounds of loss probability. These bounds are obtained under a nonparametric assumption of underlying return distribution by modifying the so-called generalization error bounds for the support vector machine, which has been developed in the field of statistical learning. Based on the bounds, two fractional programs are derived for constructing portfolios, where the numerator of the ratio in the objective includes the value-at-risk (VaR) or conditional value-at-risk (CVaR) while the denominator is any norm of portfolio vector. Depending on the parameter values in the model, the derived formulations can result in a nonconvex constrained optimization, and an algorithm for dealing with such a case is proposed. Some computational experiments are conducted on real stock market data, demonstrating that the CVaR-based fractional programming model outperforms the empirical probability minimization.     

基于Spearman ρ的时变Copula模型的模拟及应用

本文从Spearmanρ入手,利用Spearmanρ在非线性单调变换的情况下保持不变的特点,以及与条件期望预测机制存在的非线性的关系,提出建立时变Copula的模型的新方法;通过建立时变FGM-Copula模型的实例分析表明,这种构建Copula模型的方法较好捕捉了相依机制的时变性,预测了随机变量的趋势,具有一定的优越性。     

多时滞退化Lurie控制系统的绝对稳定性

本文研究退化Lurie直接控制时滞系统和退化Lurie间接控制时滞系统的绝对稳定性,基于Lyapunov稳定性理论和线性矩阵不等式得到绝对稳定的判据,即绝对稳定性仅仅依赖于时滞导数的大小.特别地,时滞可以是无界的函数,仿真示例同时说明了此方法的有效性.     

A new nonparametric stability test with an application to major Chinese macroeconomic time series

In this paper, we propose a new test for testing the stability in macroeconomic time series, based on the LASSO variable selection approach and nonparametric estimation of a time-varying model. The wild bootstrap is employed to obtain its data-dependent critical values. We apply the new method to test the stability of bivariate relations among 92 major Chinese macroeconomic time series. We find that more than 70% bivariate relations are significantly unstable.     

Output feedback guaranteed cost control of uncertain linear discrete systems with interval time-varying delays

This paper deals with output feedback guaranteed cost control problem for a general class of uncertain linear discrete delay systems, where the state and the observation output are subjected to interval time-varying delay. The proposed output feedback controller uses the observation measurement to exponentially stabilize the closed-loop system and guarantee an adequate level of system performance. By constructing a set of augmented Lyapunov–Krasovskii functionals, a delay-dependent condition for the robust output feedback guaranteed cost control is established in terms of linear matrix inequalities (LMIs). Three numerical examples are provided to demonstrate the efficiency of the proposed method.     

Chaos of time-varying discrete dynamical systems

This paper is concerned with chaos of time-varying (i.e. non-autonomous) discrete systems in metric spaces. Some basic concepts are introduced for general time-varying systems, including periodic point, coupled-expansion for transitive matrix, uniformly topological equiconjugacy, and three definitions of chaos, i.e. chaos in the sense of Devaney and Wiggins, respectively, and in a strong sense of Li–Yorke. An interesting observation is that a finite-dimensional linear time-varying system can be chaotic in the original sense of Li–Yorke, but cannot have chaos in the strong sense of Li–Yorke, nor in the sense of Devaney in a set containing infinitely many points, and nor in the sense of Wiggins in a set starting from which all the orbits are bounded. A criterion of chaos in the original sense of Li–Yorke is established for finite-dimensional linear time-varying systems. Some basic properties of topological conjugacy are discussed. In particular, it is shown that topological conjugacy alone cannot guarantee two topologically conjugate time-varying systems to have the same topological properties in general. In addition, a criterion of chaos induced by strict coupled-expansion for a certain irreducible transitive matrix is established, under which the corresponding nonlinear system is proved chaotic in the strong sense of Li–Yorke. Two illustrative examples are finally provided with computer simulations for illustration.     

Dynamic decision-making for an inventory system with time-varying demand

This article considers the problem of dynamic decision-making for time-varying demand products under trade credit. The article adopts a price, warranty length and time-dependent demand function to model the finite time horizon inventory. The objective of this study is to determine the optimal periodic selling price, warranty length and ordering quantity so that the total profit is maximized. We discuss the optimization properties and develop solution procedures based on dynamic programming techniques for solving the problem described. The numerical analyses show that dynamic decision-making is superior to fixed decision-making and an appropriate warranty policy can benefit the company. This study also discusses the effects of interest earned, interest charged and credit period on company's decisions and profits.