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1.
朱怀念  朱莹 《运筹与管理》2021,30(10):183-190
现实经济中,当股票价格受到一些重大信息影响而发生突发性的跳跃时,用跳扩散过程来描述股票价格的趋势更符合实际情况。基于这一观察,本文研究跳扩散模型下包含两个投资者的非零和投资组合博弈问题。假设金融市场中包含一种无风险资产和一种风险资产,其中风险资产的价格动态用跳扩散模型来描述。将该非零和博弈问题构造成两个效用最大化问题,每个投资者的目标是最大化终端时刻自身财富与其竞争对手财富差的均值-方差效用。运用随机控制理论,得到了均衡投资策略以及相应值函数的解析表达。最后通过数值仿真算例分析了模型相关参数变动对均衡投资策略的影响。仿真结果显示:当股价发生不连续跳跃,投资者在构造投资策略时考虑跳跃风险可以显著增加其效用水平;同时,随着博弈竞争的加剧,投资者为了在竞争中取得更好的表现,往往会采取更加激进的投资策略,增加对风险资产的投资。  相似文献   
2.
In this article, a way to employ the diffusion approximation to model interplay between TCP and UDP flows is presented. In order to control traffic congestion, an environment of IP routers applying AQM (Active Queue Management) algorithms has been introduced. Furthermore, the impact of the fractional controller PIγ and its parameters on the transport protocols is investigated. The controller has been elaborated in accordance with the control theory. The TCP and UDP flows are transmitted simultaneously and are mutually independent. Only the TCP is controlled by the AQM algorithm. Our diffusion model allows a single TCP or UDP flow to start or end at any time, which distinguishes it from those previously described in the literature.  相似文献   
3.
In this paper, we consider a scenario where the base station (BS) collects time-sensitive data from multiple sensors through time-varying and error-prone channels. We characterize the data freshness at the terminal end through a class of monotone increasing functions related to Age of information (AoI). Our goal is to design an optimal policy to minimize the average age penalty of all sensors in infinite horizon under bandwidth and power constraint. By formulating the scheduling problem into a constrained Markov decision process (CMDP), we reveal the threshold structure for the optimal policy and approximate the optimal decision by solving a truncated linear programming (LP). Finally, a bandwidth-truncated policy is proposed to satisfy both power and bandwidth constraint. Through theoretical analysis and numerical simulations, we prove the proposed policy is asymptotic optimal in the large sensor regime.  相似文献   
4.
A mean-field type model with random growth and reset terms is considered. The stationary distributions resulting from the corresponding master equation are relatively easy to obtain; however, for practical applications one also needs to know the convergence to stationarity. The present work contributes to this direction, studying the transient dynamics in the discrete version of the model by two different approaches. The first method is based on mathematical induction by the recursive integration of the coupled differential equations for the discrete states. The second method transforms the coupled ordinary differential equation system into a partial differential equation for the generating function. We derive analytical results for some important, practically interesting cases and discuss the obtained results for the transient dynamics.  相似文献   
5.
实验研究了内径分别为1 mm、2 mm和3 mm,水平通道长度为200 mm的Y形微燃烧器内氢气/空气扩散燃烧的火焰传播特性。首先,d=2 mm的燃烧器内的火焰传播模式最为丰富。其次,当燃烧器管径较大时,火焰更容易因扰动而发出噪音。在d=2和3 mm的燃烧器内能观察到两个阶段的噪音,而当d=1 mm时只有一个阶段的噪音。d=2 mm的燃烧器内平均火焰传播速度最小。而且,随着管径的增大,边界火焰更长。值得注意的是,在d=1 mm的燃烧器内,实验观察到了移动的"火焰街"。最后,基于系统的实验观察绘制了八种火焰传播模式的分布图。总之,本文不仅揭示了火焰传播特性与运行参数和尺度效应之间的关系,而且能为Y形微燃烧器的设计和运行提供指导。  相似文献   
6.
对流扩散方程作为偏微分运动方程的分支,在流体力学、气体动力学等领域有着重要应用.为解决对流扩散方程难以通过解析法得到解析解的难题,采用二阶一致3点积分(Quadratically Consistent 3-Point Integration,简称QC3)提高无网格法的计算效率,通过对积分点上形函数导数的修正,改善无网格法的精度和收敛性.本文将QC3无网格法拓展到对流扩散方程问题中,时域离散采用广义特征线Galerkin法,空间离散采用QC3法.数值结果表明,应用QC3无网格法得到的对流扩散问题数值解与解析解十分接近,验证了QC3无网格法解决对流扩散问题的可行性.  相似文献   
7.
Active inference is a physics of life process theory of perception, action and learning that is applicable to natural and artificial agents. In this paper, active inference theory is related to different types of practice in social organization. Here, the term social organization is used to clarify that this paper does not encompass organization in biological systems. Rather, the paper addresses active inference in social organization that utilizes industrial engineering, quality management, and artificial intelligence alongside human intelligence. Social organization referred to in this paper can be in private companies, public institutions, other for-profit or not-for-profit organizations, and any combination of them. The relevance of active inference theory is explained in terms of variational free energy, prediction errors, generative models, and Markov blankets. Active inference theory is most relevant to the social organization of work that is highly repetitive. By contrast, there are more challenges involved in applying active inference theory for social organization of less repetitive endeavors such as one-of-a-kind projects. These challenges need to be addressed in order for active inference to provide a unifying framework for different types of social organization employing human and artificial intelligence.  相似文献   
8.
This work focuses on optimal controls of a class of stochastic SIS epidemic models under regime switching. By assuming that a decision maker can influence the infectivity period, our aim is to minimize the expected discounted cost due to illness, medical treatment, and the adverse effect on the society. In addition, a model with the incorporation of vaccination is proposed. Numerical schemes are developed by approximating the continuous-time dynamics using Markov chain approximation methods. It is demonstrated that the approximation schemes converge to the optimal strategy as the mesh size goes to zero. Numerical examples are provided to illustrate our results.  相似文献   
9.
对热等静压(HIP)扩散焊制备的W/Fe/RAFM钢接头进行了正火和回火处理,以恢复其中RAFM钢的 组织和性能。采用电子探针微分析器(EPMA)和掠入射X射线衍射(GIXRD)对W/Fe界面组织的演化进行了分析,采 用剪切测试和扫描电镜(SEM)对接头连接性能的演化进行了测试和分析。结果表明,正火处理后,RAFM钢中的C 元素扩散到了W/Fe界面,Fe2W相中W和C元素含量增加,这导致了接头剪切强度增加,而纯铁中间层强度的增加 则导致了接头剪切位移下降。回火处理后,W/Fe界面形成了W/Fe2W/Fe3W3C/Fe的界面结构,回火态接头Fe2W相 的成分和纯铁中间层强度与HIP态接头基本相同,因此回火态接头室温剪切性能基本与HIP态接头一致。  相似文献   
10.
为提高大长径比战斗部的熔铸装药质量,采用有限元仿真方法建立了三维装药模型,对熔铸装药过程进行数值模拟。通过分析传统铸装和热芯棒工艺铸装的仿真结果,结合缩孔形成原因和传统热芯棒工艺对装药质量的改善机理,设计出一种多层次优化温度控制的热芯棒,并对改良热芯棒工艺铸装过程进行数值模拟,预测热芯棒改良工艺对装药质量的影响。结果表明:传统热芯棒铸装工艺无法改变药柱径向凝固顺序,在药室宽大处仍然会出现缩孔缩松的疵病,而改良热芯棒工艺通过改善药柱凝固顺序,可以预防缩孔缩松出现,达到了预期要求。  相似文献   
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