随机需求下UE-CN混合交通均衡分配的效率损失

在交通网络中,用户的出行需求通常是随机的,而且不同类型用户的路径选择原则存在着差异.基于UE用户和CN用户路径选择原则的异质性,对随机需求下该类混合交通均衡分配的效率损失进行研究.构建了随机需求下UE-CN混合交通均衡分配的变分不等式模型;其次,运用非线性规划方法得到了路段出行时间成本为单项式函数时的效率损失上界表达式,进而探讨了需求还服从对数正态分布时的效率损失上界情况;最后,给出了数值算例.研究结果表明,单项式成本函数时的效率损失上界依赖于其最高次幂和CN用户的数目;当需求为对数正态分布时还和最大变异系数相关.数值算例表明解析方法是可行的.     

一类R~N上的半线性椭圆方程的多个非负解

本文研究一类R~N上带凸-凹非线性项的半线性椭圆方程,其中的非线性项含有可变号的权函数;通过运用变分方法中的大范围纤维方法,证明了当权函数和参数满足一定条件时方程存在两个非平凡的非负解.     

基于损失厌恶和LEL约束下的DC养老金计划的最优投资

研究了DC型养老金经理在损失厌恶和有限期望损失约束下的最优投资组合问题.利用凹化方法得到了基于有限期望损失约束下的DC型养老金的最优财富过程的解析表达式,并进一步比较了在前景理论框架下有限期望损失约束和VaR约束对最优投资行为的影响.虽然在凹效用最大化问题中,当经济非常萧条时,有限期望损失约束下所发生的损失要低于VaR约束下所发生的损失,从而使得有限期望损失约束被认为是一个比VaR约束更有效的风险管理方法,但是在本文所考虑的非凹效用最大化问题中,理论与数值结果表明,当保护水平不是太高时,DC型养老金的最优财富在有限期望损失约束下具有与VaR约束下相同形式的表达公式,也就是说,有限期望损失约束与VaR约束存在着等价关系.因此,在非凹效用框架下,基于有限期望损失约束的风险管理并不比基于VaR约束的风险管理更具有优势,对于损失厌恶型的投资者,需要设计其它有效的风险管理方法来更好地改进对DC型养老金计划的风险管理.     

一类加权Kirchhoff方程非线性Liouville定理

本文侧重研究一类加权Kirchhoff方程弱解及稳定解的非线性Liouville型定理.利用适当构造试验函数技巧,当非线性函数满足适当条件时,我们在加权函数空间中证明了该方程弱解的非存在性.同时,当非线性函数为指数型且加权函数满足适当条件时,建立了方程稳定解的非存在性结论.     

基于动态调整的Copula-非线性分位数回归资产组合优化

为优化资产组合方案,考虑单资产分布的非对称性、异方差性、尖峰厚尾性等特征,资产之间的时变非线性相关性,建立了Copula-非线性分位数回归模型。本文的创新与特色,一是通过构建期望超额收益率与考虑动态损失厌恶效应的VaR比率函数,确定了目标函数的表达式,改变了使用超额收益率标准差度量风险,而实证研究中更关注资产的损失风险而非全部风险,未考虑投资者对于收益与损失非对称偏好的不足;二是通过建立基于支持向量机的非线性分位数回归模型,确定了边缘分布函数表达式,解决了普通模型无法处理非对称、非线性,依赖于分布假设的不足;三是通过构建混合Copula函数,确保能够有效捕捉金融市场中的尾部相关、非对称性,完善了刻画资产之间相关关系的模式;四是通过建立风险非线性叠加的资产总风险评价模型,确定了资产组合总风险的表达式,弥补了现有风险评价模型未考虑资产间的相关性的不足。实证结果表明,本文建立的模型预测性能高于其它模型,该模型有更高的VaR比率值,在单位风险下能够获得更高的资产组合效果。     

求曲线的斜渐近线的泰勒展开方法

给出求曲线的斜渐近线的等价方法,指明存在斜渐近线的函数特征,并借助于函数的泰勒展开式求曲线的斜渐近线     

油水两相渗流对称性特征研究与应用

通过岩心相渗资料分析,发现在一定条件下,油水相对渗透率比值随归一化饱和度变化呈现对称性.针对这一现象,结合实际岩心驱替和数字岩心的实验结果,考虑水驱油过程中的优势相和弱势相的转换,构建了新的油水渗流关系,即油、水相对渗透率比与归一化弱势相饱和度的幂指函数关系.设计了不同条件下水驱油实验,探讨了水驱油时对称性特征产生条件,并分析了其对水驱特征曲线的影响.最后利用对应条件下的油藏实际数据,验证了对称性的存在及双对数水驱特征曲线的适应性.表明考虑弱势相转换的幂指关系较好的表征了凹型水驱特征全生命周期的变化,丰富了油水两相渗流基础理论,对水驱特征曲线的研究和应用具有一定借鉴意义.     

关于三次函数及其曲线性质的讨论

就三次函数及其曲线的对称性、极值进行了讨论,得出任何三次函数所表示的曲线都存在唯一拐点,并且关于拐点对称;同时讨论了三次函数存在极值的条件,并给出极值的计算公式。     

具广义非线性源的波动方程的高能爆破

研究一类具广义非线性源的非线性波动方程的初边值问题在高初始能级状态下解的有限时间爆破.利用经典的凹函数方法找到了导致该问题具任意正初始能级的解有限时间爆破的初值.     

乘法需求模式下具有风险厌恶零售商的供应链合作博弈分析

考虑了一个风险中性的制造商和一个风险厌恶型零售商的供应链合作博弈问题.零售商面临依赖于价格的随机市场需求.以条件在险价值(CVaR)作为零售商的风险衡量准则,并采用乘法需求模式表示依赖于价格的随机需求.通过研究在乘法需求模式下具有不同协商权利的Nash博弈问题的最优均衡行为,从而发现平均需求函数为单调递减的凹函数是存在稳定均衡解的充分条件,且稳定均衡解存在与否与随机需求噪声的分布情况,零售商的协商权利都无关.在此前提下,发现在乘法需求模式下当需求噪声服从均匀分布时制造商占整个供应链的利润比例和一般随机需求情况下的一样,且随零售商的风险态度递增,与平均需求的函数形式无关.     

Uniqueness and characterization of capacity constrained Cournot-Nash equilibrium

We add capacity constraints to a multi-market Cournot model in which asymmetric firms have linear demand functions. We show that the problem is equivalent to maximizing a concave objective function over a convex region which ensures the existence of a unique capacity constrained Cournot-Nash equilibrium.     

A production-transportation problem with stochastic demand and concave production costs

Well known extensions of the classical transportation problem are obtained by including fixed costs for the production of goods at the supply points (facility location) and/or by introducing stochastic demand, modeled by convex nonlinear costs, at the demand points (the stochastic transportation problem, [STP]). However, the simultaneous use of concave and convex costs is not very well treated in the literature. Economies of scale often yield concave cost functions other than fixed charges, so in this paper we consider a problem with general concave costs at the supply points, as well as convex costs at the demand points. The objective function can then be represented as the difference of two convex functions, and is therefore called a d.c. function. We propose a solution method which reduces the problem to a d.c. optimization problem in a much smaller space, then solves the latter by a branch and bound procedure in which bounding is based on solving subproblems of the form of [STP]. We prove convergence of the method and report computational tests that indicate that quite large problems can be solved efficiently. Problems up to the size of 100 supply points and 500 demand points are solved. Received October 11, 1993 / Revised version received July 31, 1995 Published online November 24, 1998     

On the existence of supply function equilibria

Supply function equilibria are used in the analysis of divisible good auctions with a large number of identical objects to be sold or bought. An important example occurs in wholesale electricity markets. Despite the substantial literature on supply function equilibria the existence of a pure strategy Nash equilibria for a uniform price auction in asymmetric cases has not been established in a general setting. In this paper we prove the existence of a supply function equilibrium for a duopoly with asymmetric firms having convex non-decreasing marginal costs, with decreasing concave demand subject to an additive demand shock, provided that the second derivative of the demand function is small enough and not increasing. The proof is constructive and also gives insight into the structure of the equilibrium solutions.     

On some results of A. E. Livingston and coefficient problems for concave univalent functions

We consider functions that map the open unit disc conformally onto the complement of a bounded convex set. We call these functions concave univalent functions. In 1994, Livingston presented a characterization for these functions. In this paper, we observe that there is a minor flaw with this characterization. We obtain certain sharp estimates and the exact set of variability involving Laurent and Taylor coefficients for concave functions. We also present the exact set of variability of the linear combination of certain successive Taylor coefficients of concave functions.     

A parametric algorithm for convex cost network flow and related problems

The convex cost network flow problem is to determine the minimum cost flow in a network when cost of flow over each arc is given by a piecewise linear convex function. In this paper, we develop a parametric algorithm for the convex cost network flow problem. We define the concept of optimum basis structure for the convex cost network flow problem. The optimum basis structure is then used to parametrize v, the flow to be transsshipped from source to sink. The resulting algorithm successively augments the flow on the shortest paths from source to sink which are implicitly enumerated by the algorithm. The algorithm is shown to be polynomially bounded. Computational results are presented to demonstrate the efficiency of the algorithm in solving large size problems. We also show how this algorithm can be used to (i) obtain the project cost curve of a CPM network with convex time-cost tradeoff functions; (ii) determine maximum flow in a network with concave gain functions; (iii) determine optimum capacity expansion of a network having convex arc capacity expansion costs.     

A robust support vector regression with a linear-log concave loss function

Support vector regression (SVR) is one of the most popular nonlinear regression techniques with the aim to approximate a nonlinear system with a good generalization capability. However, SVR has a major drawback in that it is sensitive to the presence of outliers. The ramp loss function for robust SVR has been introduced to resolve this problem, but SVR with ramp loss function has a non-differentiable and non-convex formulation, which is not easy to solve. Consequently, SVR with the ramp loss function requires smoothing and Concave-Convex Procedure techniques, which transform the non-differentiable and non-convex optimization to a differentiable and convex one. We present a robust SVR with linear-log concave loss function (RSLL), which does not require the transformation technique, where the linear-log concave loss function has a similar effect as the ramp loss function. The zero norm approximation and the difference of convex functions problem are employed for solving the optimization problem. The proposed RSLL approach is used to develop a robust and stable virtual metrology (VM) prediction model, which utilizes the status variables of process equipment to predict the process quality of wafer level in semiconductor manufacturing. We also compare the proposed approach to existing SVR-based methods in terms of the root mean squared error of prediction using both synthetic and real data sets. Our experimental results show that the proposed approach performs better than existing SVR-based methods regardless of the data set and type of outliers (ie, X-space and Y-space outliers), implying that it can be used as a useful alternative when the regression data contain outliers.     

Classification of four-body central configurations with three equal masses

It is known that a central configuration of the planar four body problem consisting of three particles of equal mass possesses a symmetry if the configuration is convex or is concave with the unequal mass in the interior. We use analytic methods to show that besides the family of equilateral triangle configurations, there are exactly one family of concave and one family of convex central configurations, which completely classifies such central configurations.     

随机产出与需求下农户融资模式选择研究

农业是国民经济的基础,但农业融资一直存在许多困难。本文在考虑农户的破产风险,产出随机性以及市场需求不确定的基础之上,构建由单一公司与资金约束的单一农户构成的订单农业供应链决策模型,得到了农户在面对银行信贷、贸易信贷、组合信贷时的最优决策的选择策略。研究表明,当公司利率大于银行利率且农产品生长周期较长,或者当公司利率小于银行利率且农产品生产周期较短时,农户应在银行利率较小时选择银行信贷,在银行利率较大时选择贸易信贷。而在其余情况中,农户需要综合考虑农产品价格敏感系数等因素来决定是否选择组合信贷模式。     

Monotonicity and Market Equilibrium

Economic theory relates prices to quantities via ” market curves.” Typically, such curves are monotone, hence they admit functional representations. The latter invoke linear pricing of quantities so as to obtain market values. Specifically, if higher prices call forward greater supply, a convex function, bounded below by market values, represents the resulting supply curve. Likewise, if demand decreases at higher prices, a concave function, bounded above by market values, represents the attending demand curve. In short, grantedmonotonicity, market curves are described by bivariate functions, either convex or concave, appropriately bounded by linear valuations of quantities. The bounding supply (demand) function generates ask (resp. bid)valuations. Exchange and trade, as modelled here, are driven by valuation differentials, called bid-ask spreads. These disappear, and market equilibrium prevails, if all ”inverse market curves” intersect in a common price. A main issue is whether and how market agents, by themselves, may reach such equilibrium. The paper provides positive and constructive answers. As vehicle it contends with bilateral transactions.     

Convex dominates concave: An exclusion principle in discrete-time Kolmogorov systems

We establish an exclusion principle in discrete-time Kolmogorov systems by using average Liapunov functions. The exclusion principle shows that a weakly dominant species with a convex logarithmic growth rate function eliminates species with concave logarithmic growth rate functions. A general result is applied to specific population models. This application gives an improved exclusion principle for the specific population models.