共查询到20条相似文献,搜索用时 15 毫秒
1.
M. Baglietto C. Cervellera M. Sanguineti R. Zoppoli 《Computational Optimization and Applications》2010,47(2):349-376
Two methods of approximate solution are developed for T-stage stochastic optimal control (SOC) problems, aimed at obtaining finite-horizon management policies for water resource
systems. The presence of uncertainties, such as river and rain inflows, is considered. Both approaches are based on the use
of families of nonlinear functions, called “one-hidden-layer networks” (OHL networks), made up of linear combinations of simple
basis functions containing parameters to be optimized. The first method exploits OHL networks to obtain an accurate approximation
of the cost-to-go functions in the dynamic programming procedure for SOC problems. The approximation capabilities of OHL networks
are combined with the properties of deterministic sampling techniques aimed at obtaining uniform samplings of high-dimensional
domains. In the second method, admissible solutions to SOC problems are constrained to take on the form of OHL networks, whose
parameters are determined in such a way to minimize the cost functional associated with SOC problems. Exploiting these tools,
the two methods are able to cope with the so-called “curse of dimensionality,” which strongly limits the applicability of
existing techniques to high-dimensional water resources management in the presence of uncertainties. The theoretical bases
of the two approaches are investigated. Simulation results show that the proposed methods are effective for water resource
systems of high dimension. 相似文献
2.
The nature of hydrologic parameters in reservoir management models is uncertain. In mathematical programming models the uncertainties are dealt with either indirectly (sensitivity analysis of a deterministic model) or directly by applying a chance-constrained type of formulation or some of the stochastic programming techniques (LP and DP based models). Various approaches are reviewed in the paper. Moran's theory of storage is an alternative stochastic modelling approach to mathematical programming techniques. The basis of the approach and its application is presented. Reliability programming is a stochastic technique based on the chance-constrained approach, where the reliabilities of the chance constraints are considered as extra decision variables in the model. The problem of random event treatment in the reservoir management model formulation using reliability programming is addressed in this paper. 相似文献
3.
Anton Bovier Michael Eckhoff Véronique Gayrard Markus Klein 《Probability Theory and Related Fields》2001,119(1):99-161
We study a class of Markov chains that describe reversible stochastic dynamics of a large class of disordered mean field
models at low temperatures. Our main purpose is to give a precise relation between the metastable time scales in the problem
to the properties of the rate functions of the corresponding Gibbs measures. We derive the analog of the Wentzell-Freidlin
theory in this case, showing that any transition can be decomposed, with probability exponentially close to one, into a deterministic
sequence of “admissible transitions”. For these admissible transitions we give upper and lower bounds on the expected transition
times that differ only by a constant factor. The distributions of the rescaled transition times are shown to converge to the
exponential distribution. We exemplify our results in the context of the random field Curie-Weiss model.
Received: 26 November 1998 / Revised version: 21 March 2000 / Published online: 14 December 2000 相似文献
4.
The investment problem faced by producers in deregulated electricity markets contains high uncertainties about the future. It can also be seen as a game, as only a small number of large players act in the market. A dynamic stochastic oligopoly model to describe the production and investment in such a situation is developed and applied to the Finnish electricity market. The demand growth rate is modeled as a stochastic variable. The strategies of the firms consist of investments and production levels for base and peak load periods. The firms have nuclear, hydro and thermal capacities, but are only allowed to invest in new thermal capacity. Using a so-called sample-path adapted open-loop information structure, the model contributes to the understanding of the dynamics of production, investment and market power in a medium time horizon. The solution method uses recent developments in variational inequality and mixed complementarity problem formulations. 相似文献
5.
Summary. We study the stationary measures of an infinite Hamiltonian system of interacting particles in ℝ
3
subject to a stochastic local perturbation conserving energy and momentum. We prove that the translation invariant measures
that are stationary for the deterministic Hamiltonian dynamics, reversible for the stochastic dynamics, and with finite entropy
density, are convex combination of “Gibbs” states. This result implies hydrodynamic behavior for the systems under consideration.
Received: 17 December 1994/In revised form: 12 April 1996 相似文献
6.
José Craveirinha Rita Girão-Silva João Clímaco 《Central European Journal of Operations Research》2008,16(1):79-105
MPLS (Multiprotocol Label Switching) enables the utilisation of explicit routes and other advanced routing mechanisms in multiservice
packet networks, capable of dealing with multiple and heterogeneous QoS (Quality of Service) parameters. Firstly the paper
presents a discussion of conceptual and methodological issues raised by multiobjective routing optimisation models for MPLS
networks. The major contribution is the proposal of a multiobjective routing optimisation framework for MPLS networks. The
major features of this modelling framework are: the formulation of a three-level hierarchical routing optimisation problem
including network and service performance objectives, the inclusion of fairness objectives in the different levels of optimisation
and a two-level stochastic representation of the traffic in the network (traffic flow and packet stream levels). A variant
of the general model for two classes of traffic flows, QoS traffic and Best Effort traffic, is also presented. Finally a stochastic
teletraffic modelling approach, underlying the optimisation model, is fully described.
Work partially supported by programme POSI of the III EC programme cosponsored by FEDER and national funds. 相似文献
7.
The complementarity problem is one of the basic topics in nonlinear analysis; however, the methods for solving complementarity
problems are usually developed for problems with single-valued mappings. In this paper we examine a class of complementarity
problems with multi-valued mappings and propose an extension of the Gauss–Seidel algorithm for finding its solution. Its convergence
is proved under off-diagonal antitonicity assumptions. Applications to Walrasian type equilibrium problems and to nonlinear
input–output problems are also given.
In this work, the authors were supported by Brescia University grant PRIN - 2006: “Oligopolistic models and order monotonicity
properties”, the third author was also supported by the joint RFBR–NNSF grant, project No. 07-01-92101. 相似文献
8.
There are two types of random phenomena modeled in stochastic programs. One type is what we may term “external” or “natural”
random variables, such as temperature or the roll of a dice. But in many other cases, random variables are used to reflect
the behavior of other market participants. This is the case for such as price and demand of a product. Using simple game theoretic
models, we demonstrate that stochastic programming may not be appropriate in these cases, as there may be no feasible way
to replace the decisions of others by a random variable, and arrive at the correct decision. Hence, this simple note is a
warning against certain types of stochastic programming models. Stochastic programming is unproblematic in pure forms of monopoly
and perfect competition, and also with respect to external random phenomena. But if market power is involved, such as in oligopolies,
the modeling may not be appropriate. 相似文献
9.
Nikola Kompa 《Acta Analytica》2005,20(1):16-28
The basic idea of conversational contextualism is that knowledge attributions are context sensitive in that a given knowledge
attribution may be true if made in one context but false if made in another, owing to differences in the attributors’ conversational
contexts. Moreover, the context sensitivity involved is traced back to the context sensitivity of the word “know,” which,
in turn, is commonly modelled on the case either of genuine indexicals such as “I” or “here” or of comparative adjectives
such as “tall” or “rich.” But contextualism faces various problems. I argue that in order to solve these problems we need
to look for another account of the context sensitivity involved in knowledge attributions and I sketch an alternative proposal. 相似文献
10.
D. Duvivier O. Roux V. Dhaevers N. Meskens A. Artiba 《Annals of Operations Research》2007,156(1):45-60
This paper deals with multicriteria discrete-continuous problems of scheduling nonpreemptable jobs. The need for reusability
and modularity leads us to build a “generic” optimisation and simulation framework, while the need to quickly generate good
compromises between conflicting objectives requires the implementation of multicriteria scheduling models. This paper describes
the practical possibilities of three hybrid models within this framework. The validation of the framework is presented in
terms of its application to a real, highly constrained, discrete-continuous problem. The optimisation model is based on the
hybridisation of a classical hill-climber meta-heuristic with the Promethee II multicriteria method. 相似文献
11.
In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable
of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio”
taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that
might include liquidity, dividends, number of securities in a portfolio, social responsibility, and so forth. To accommodate
such investors, we develop a multiple criteria portfolio selection formulation, corroborate its appropriateness by examining
the sensitivity of the nondominated frontier to various factors, and observe the conversion of the nondominated frontier to a nondominated surface. Furthermore, multiple criteria enable us to provide an explanation as to why the “market portfolio,” so often found deep
below the nondominated frontier, is roughly where one would expect it to be with multiple criteria. After commenting on solvability
issues, the paper concludes with the idea that what is the “modern portfolio theory” of today might well be interpreted as
a projection onto two-space of a real multiple criteria portfolio selection problem from higher dimensional space.
M. Hirschberger: Research conducted while a Visiting Scholar at the Department of Banking and Finance, Terry College of Business,
University of Georgia, October 2003–March 2004. 相似文献
12.
V. D. Romanenko V. N. Podladchikov A. S. Kopychko 《Journal of Mathematical Sciences》2000,102(1):3818-3824
We consider a discrete model for sales dynamics in the case of a stochastic model of the market. The model includes “fast”
and “slow” components of the market situation described by a stochastic process of “white noise” type and the correlated stochastic
process. By using an integral representation of the main characteristics of the Kalman filter, we obtain expressions for stochastic
parameters of additional errors of the estimate that arise in the case where the characteristics of noises are inexact. We
make an asymptotical analysis of these expressions and give recommendations for the price-forming strategy in the case of
uncertainty of the market situation. Bibliography: 2 titles.
Translated fromObchyslyuval'na ta Prykladna Matematyka, No. 81, 1997, pp. 110–116. 相似文献
13.
Summary The problem of electric load modelling for low aggregation levels is addressed in this paper. The objective is to obtain good
“demand” and “response” behaviour models of any group of loads in an electric energy distribution system for any of the functional
applications that are beeing considered in the framework of the Distribution Management Systems, aimed to improve the energy
efficiency, reliability and quality of the system. A brief critical revision of the methodologies used for that purpose is
in the paper, and the advantages of using approaches where physical knowledge about the load characteristics is used, are
stated and demonstrated. 相似文献
14.
A simple structure is suggested for modelling unobserved heterogeneity in multivariate duration models which avoids the “curse
of dimensionality” and numerical integration of the likelihood function. 相似文献
15.
Wolfgang Hackenbroch 《Archiv der Mathematik》2009,92(5):485-492
In a Hilbert space context, we propose a rather general notion of “random operators” which allows for taking stochastic limits.
After establishing a connection with measurable fields of closed operators, we may speak of a spectral theory for symmetric
random operators.
Received: 18 December 2008 相似文献
16.
K. Barty J.-P. Chancelier G. Cohen M. De Lara T. Guilbaud P. Carpentier 《Annals of Operations Research》2006,142(1):41-62
In stochastic optimal control, a key issue is the fact that “solutions” are searched for in terms of “closed-loop control
laws” over available information and, as a consequence, a major potential difficulty is the fact that present control may
affect future available information. This is known as the “dual effect” of control. Our main result consists in characterizing
the maximal set of closed-loop control laws containing open-loop ones and for which the information provided by observations
closed with such a feedback remains fixed. We give more specific results in the two following cases: multi-agent systems and
discrete time stochastic input-output systems with dynamic information structure. 相似文献
17.
In this paper, we present a bilevel programming formulation of a deregulated electricity market. By examining the electricity
market in this format, we achieve two things. First, the relation of the deregulated electricity market to general economic
models that can be formulated as bilevel programming problems (e.g. Stackelberg leader-follower games and principal-agency
models) becomes clear. Secondly, it provides an explanation of the reason why the so-called “folk theorems” can be proven
to be false for electricity networks. The interpretation of the deregulated electricity market as a bilevel program also indicates
the magnitude of the error that can be made if the electricity market model studied does not take into account the physical
constraints of the electric grid, or oversimplifies the electricity network to a radial network. 相似文献
18.
Y. Kifer 《Probability Theory and Related Fields》1995,103(2):223-248
Summary I introduce random multidimensional subshifts of finite type which generalize models of spin-glasses and establish the “almost
sure” large deviations bounds for Gibbs measures there. The paper is sequel to [EKW] where the corresponding results were
obtained for deterministic multidimensional subshifts of finite type.
Partially supported by US-Israel BSF 相似文献
19.
Walter J. Gutjahr 《Central European Journal of Operations Research》2006,14(1):59-86
The paper investigates a stochastic model where two agents (persons, companies, institutions, states, software agents or other)
learn interactive behavior in a series of alternating moves. Each agent is assumed to perform “stimulus-response-consequence”
learning, as studied in psychology. In the presented model, the response of one agent to the other agent's move is both the
stimulus for the other agent's next move and part of the consequence for the other agent's previous move. After deriving general
properties of the model, especially concerning convergence to limit cycles, we concentrate on an asymptotic case where the
learning rate tends to zero (“slow learning”). In this case, the dynamics can be described by a system of deterministic differential
equations. For reward structures derived from [2×2] bimatrix games, fixed points are determined, and for the special case
of the prisoner's dilemma, the dynamics is analyzed in more detail on the assumptions that both agents start with the same
or with different reaction probabilities. 相似文献
20.
Summary As a criterion for the reduction to a complete class of decision rule in case where actions, samples and states are finite
in number, “regret-relief ratio” criterion and “incremental loss-gain ratio” criterion were introduced in 2-state of nature
case [2]. In this paper, “generalized regret-relief ratio” criterion ink-state of nature case is introduced as an extension of “regret-relief ratio” criterion and its usefulness is shown with an
example.
The Institute of Statistical Mathematics 相似文献