Bayesian Nonparametric Inference for a Multivariate Copula Function

The paper presents a general Bayesian nonparametric approach for estimating a high dimensional copula. We first introduce the skew–normal copula, which we then extend to an infinite mixture model. The skew–normal copula fixes some limitations in the Gaussian copula. An MCMC algorithm is developed to draw samples from the correct posterior distribution and the model is investigated using both simulated and real applications.     

公交枢纽内始发线路优化配置模型及其模拟退火算法

城市公交枢纽由于用地规模有限、公交线路集中,其内部始发站的设置不同于一般的公交首末站.本文提出了公交枢纽内始发站的布置方法,建立了公交线路和站台间优化配置模型,并提出运用模拟退火算法对模型进行求解.最后通过实例分析了提出的优化模型及解法的有效性.     

Box-Cox变换用于分位数回归曲线相交问题的研究

将Box-Cox变换与分位数回归模型相结合(两阶段法),是分位数回归研究领域的一大进步。该法虽然两步都与分位数回归的检验函数紧密结合,但是由于没有利用分位数回归的优良性质,而是引入了中间参变量,因此增加了模型的累进误差,降低了模型精度。更重要的是,两阶段法没有对于分位数回归领域中普遍出现的分位数回归曲线的相交问题给出解决方法。针对这些问题,经研究应该首先确定Box-Cox变换的参数,避免模型中不确定因素的引入,然后对数据进行整体变换并结合分位数检验函数,直接利用分位数回归的优良性质,最终确定分位数回归模型的参数。实例证明,该方法提高了模型的精度,可以有效地解决分位数回归曲线的相交问题。     

Spectral Curves and Parameterization of a Discrete Integrable Three-Dimensional Model

We consider a discrete classical integrable model on a three-dimensional cubic lattice. The solutions of this model can be used to parameterize the Boltzmann weights of various three-dimensional spin models. We find the general solution of this model constructed in terms of the theta functions defined on an arbitrary compact algebraic curve. Imposing periodic boundary conditions fixes the algebraic curve. We show that the curve then coincides with the spectral curve of the auxiliary linear problem. For a rational curve, we construct the soliton solution of the model.     

Configurable node density generation with application to hotspot modelling

Mobility models are very relevant mainly when studying the performance of wireless systems by means of computer simulations. The main problem arises when deciding the best mobility model for a particular application. In some cases, it is very important to emulate hotspots or, in general, zones with different user (or node) densities. Current models do not allow complete control over hotspots, or in other words, they do not allow any general node density to be defined in the simulation area. Usually, when hotspots are modelled, closed zones are created with different numbers of users in each area, thus ensuring a fixed node density in each area. However, this approach results in an unfair comparison among users since they cannot move across zones.This paper proposes a new mechanism to solve these drawbacks. Using this mechanism, any general node density can be emulated allowing nodes to move around the entire simulation area. Any mobility model can be applied together with this density control mechanism, provided that the mobility model ensures a uniform node distribution.     

An integrated simulation-optimization framework for the operational planning of seaport container terminals

In this article the operational planning of seaport container terminals is considered by defining a suitable integrated framework in which simulation and optimization interact. The proposed tool is a simulation environment (implemented by using the Arena software) representing the dynamics of a container terminal. When the system faces some particular conditions (critical events), an optimization procedure integrated in the simulation tool is called. This means that the simulation is paused, an optimization problem is solved and the relative solution is an input for the simulation environment where some system parameters are modified (generally, the handling rates of some resources are changed). For this reason, in the present article we consider two modelling and planning levels about container terminals. The simulation framework, based on an appropriate discrete-event model, represents the dynamic behaviour of the terminal, thus it needs to be quite detailed and it is used as an operational planning tool. On the other hand, the optimization approach is devised in order to define some system parameters such as the resource handling rates; in this sense, it can be considered as a tool for tactical planning. The optimization procedure is based on an aggregate representation of the terminal where the dynamics is modelled by means of discrete-time equations.     

Diagonalization and representation results for nonpositive sesquilinear form measures

We study decompositions of operator measures and more general sesquilinear form measures E into linear combinations of positive parts, and their diagonal vector expansions. The underlying philosophy is to represent E as a trace class valued measure of bounded variation on a new Hilbert space related to E. The choice of the auxiliary Hilbert space fixes a unique decomposition with certain properties, but this choice itself is not canonical. We present relations to Naimark type dilations and direct integrals.     

Time-varying latent model for longitudinal data with informative observation and terminal event times

Longitudinal data often occur in follow-up studies, and in many situations, there may exist informative observation times and a dependent terminal event such as death that stops the follow-up. We propose a semiparametric mixed effect model with time-varying latent effects in the analysis of longitudinal data with informative observation times and a dependent terminal event. Estimating equation approaches are developed for parameter estimation, and asymptotic properties of the resulting estimators are established. The finite sample behavior of the proposed estimators is evaluated through simulation studies, and an application to a bladder cancer study is provided.     

基于多元线性回归分析和Chan算法的三维精确定位研究

基于无线通信基站的室内三维定位问题主要是在已知TOA和基站三维信息的情况计算出终端的位置信息,实际上就是求解方程组中的未知数.首先建立通用模型和算法求解出终端的定位,接着通过优化得到使用尽量少的基站数目实现近似最优精度的定位,然后利用提出的算法实现终端移动轨迹的二维定位,最后结合实际情况,考虑了基站的有效测量距离并设计了有效基站识别算法对问题进行了分析.     

Large Eddy Simulation of a flow through circular tube bundle

The Large Eddy Simulation approach is used to perform a numerical simulation of a flow around a circular tube bundle. The model uses the immersed boundaries technique to represent tube geometry in the Cartesian grid. Simulation is conducted in an area away from the boundaries, where the flow is considered homogenous and, thus, the three Cartesian directions are considered periodic. The results are compared with experimental data in terms of mean velocity and turbulence quantities, showing good agreement in general.     

Benefits of a truck appointment system on the service quality of inland transport modes at a multimodal container terminal

Container terminals pay more and more attention to the service quality of inland transport modes such as tucks, trains and barges. Truck appointment systems are a common approach to reduce truck turnaround times. This paper provides a tool to use the truck appointment system to increase not only the service quality of trucks, but also of trains, barges and vessels. We propose a mixed integer linear programming model to determine the number of appointments to offer with regard to the overall workload and the available handling capacity. The model is based on a network flow representation of the terminal and aims to minimize overall delays at the terminal. It simultaneously determines the number of truck appointments to offer and allocates straddle carriers to different transport modes. Numerical experiments, conducted on actual data, quantify the benefits of this combined solution approach. Discrete-event simulation validates the results obtained by the optimization model in a stochastic environment.     

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

This paper is concerned with a continuous-time mean-variance portfolio selection model that is formulated as a bicriteria optimization problem. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. By putting weights on the two criteria one obtains a single objective stochastic control problem which is however not in the standard form due to the variance term involved. It is shown that this nonstandard problem can be ``embedded' into a class of auxiliary stochastic linear-quadratic (LQ) problems. The stochastic LQ control model proves to be an appropriate and effective framework to study the mean-variance problem in light of the recent development on general stochastic LQ problems with indefinite control weighting matrices. This gives rise to the efficient frontier in a closed form for the original portfolio selection problem. Accepted 24 November 1999     

唐家山堰塞湖泄洪问题的研究

研究的是唐家山地震次生灾害引发的堰塞湖问题.首先对数字高程地图进行等高图像分析求解了堰塞湖不同高程水位对应的湖区面积,建立了蓄水量体积与堰塞湖水位高程的离散化模型,然后建立了神经网络模型和多元线性回归模型研究了北川降雨量与堰塞湖入库流量的关系,继而求解得到不同降雨量下每日堰塞湖水位高程.在研究泄洪过程时,首先通过对泄洪过程和溃坝过程内在机理的研究分别建立了正交多项式逼近模型和仿真模型得到溃坝时的溃口流量随时间变化的关系,继而分析求解得到溃坝时其他参数随时间变化的关系.针对淹没区的问题,综合数字高程地图和行政区域地图,利用数字地图计算了洪水到达各被淹没区域的时间,淹没范围,以便于确定撤离方案.     

Finite-time chaos control via nonsingular terminal sliding mode control

This paper considers the nonsingular terminal sliding mode control for chaotic systems with uncertain parameters or disturbances. The switching surface is designed technically to realize fast convergence. The controller derived from such switching surface is nonsingular and it can stabilize the chaotic systems in a finite time. Besides the second-order system and the triangular system, the proposed method can also be applied to a general class of uncertain nonlinear system. Finally, simulation results are presented to illustrate the effectiveness of the design.     

Replenishment Schedule for Deteriorating Items with Time-Proportional Demand

In this paper a heuristic model is presented for determining the ordering schedule when an inventoried item is subject to deterioration and demand changes linearly over time. While the optimizing model developed by researchers fixes the ordering interval and varies the ordering size, the heuristic permits variation in both replenishment-cycle length and the size of the order. As a result, the heuristic produces a better solution than optimizing models in the study presented here.     

Optimal investment under partial information

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot be observed directly. This leads to an optimal control problem under partial information and for the cases of power, log, and exponential utility we manage to provide a surprisingly explicit representation of the optimal terminal wealth as well as of the optimal portfolio strategy. This is done without any assumptions about the dynamical structure of the return processes. We also show how various explicit results in the existing literature are derived as special cases of the general theory.     

An interactive visual simulation system for industrial management

This paper describes a discrete event interactive simulation system which allows a user to watch the progress of a simulation model on a visual display terminal. The user may interact with the model in a flexible manner, in order to explore the consequence of alternative decisions or strategies. Output from the simulation may be directed, in an animated form, to a refresh display computer graphics screen, a black and white visual display unit or an intelligent colour visual display divice. The interactive system has been specifically designed to assist in decision making processes associated with industrial management problem situations.     

Parallel simulation of individual-based, physiologically structured population models

A general scheme for parallel simulation of individual-based, structured population models is proposed. Algorithms are developed to simulate such models in a parallel computing environment. The simulation model consists of an individual model and a population model that incorporates the individual dynamics. The individual model is a continuous time representation of organism life history for growth with discrete allocations for reproductive processes. The population model is a continuous time simulation of a nonlinear partial differential equation of extended McKendrick-von Foerster-type.

As a prototypical example, we show that a specific individual-based, physiologically structured model for Daphnia populations is well suited for parallelization, and significant speed-ups can be obtained by using efficient algorithms developed along our general scheme. Because the parallel algorithms are applicable to generic structured populations which are the foundation for populations in a more complex community or food-web model, parallel computation appears to be a valuable tool for ecological modeling and simulation.     

基于图论和遗传算法的终端扇区划分方法

为了均衡终端区扇区的工作负荷,保障扇区边界的合理性,研究了终端扇区的划分方法.针对建立的扇区划分数学模型,提出了3阶段的划分方法.首先,采用voronoi图和遗传算法完成初始划分,实现均衡负荷的目标;其次,提出了基于voronoi图和基于maklink图的2种扇区二次划分方法,满足最小飞行时间及最小距离约束;最后,应用分段线性拟合的方法消除扇区边界的锯齿状,以及满足扇区凸形约束.以广州终端为例进行了仿真计算.应用提出的方法,给出了2种划分结果,都能够使得各扇区的工作负荷在2880s以内,差值不超过350s,扇区边界较为平滑,且计算时间明显减少.仿真计算结果说明方法是可行和有效的,也为使用者提供了灵活的选择.     

Performance analysis of an ISDN switch with distributed architecture: circuit switched calls

We have developed an approximate analytic model and a detailed simulation model to study the performance of an ISDN switch with distributed architecture. The analytic model treats the switch as a network of single server and infinite server queues with nonpreemptive priority service, general service times and batch arrivals. The simulation program is written in a distributed and modular way so as to simplify model development and debugging. Also extensive statistical techniques are employed for simulation output validation. It is observed that the analytic and the simulation models are in close agreement for the mean end-to-end delay and in moderately close agreement for the 95th percentile points of the end-to-end delay distribution. The comparisons between the analytic and the simulation models lead us to conjecture that the analytic model would be even more accurate for bigger systems with several hundred processors (where simulation models are too expensive to run). Even though the model assumes Poisson external call arrival process, it is shown that it may be applied with reasonable accuracy even when external call arrivals are non-Poisson. This is due to the fact that the composite message arrival process at a processor or transmission element tends to be close to Poisson even when the external call arrivals are non-Poisson.