Optimal synchronization of two different in‐commensurate fractional‐order chaotic systems with fractional cost function

This article investigates the optimal synchronization of two different fractional‐order chaotic systems with two kinds of cost function. We use calculus of variations for minimizing cost function subject to synchronization error dynamics. We introduce optimal control problem to solve fractional Euler–Lagrange equations. Optimal control signal and minimum time of synchronization are obtained by proposed method. Examples show the optimal synchronization of two different systems with two different cost functions. First, we use an ordinary integer cost function then we use a fractional‐order cost function and comparing the results. Finally, we suggest a cost function which has the optimal solution of this problem, and we can extend this solution to solve other synchronization problems. © 2016 Wiley Periodicals, Inc. Complexity 21: 401–416, 2016     

Risk sensitive control of pure jump processes on a general state space

We study stochastic control problem for pure jump processes on a general state space with risk sensitive discounted and ergodic cost criteria. For the discounted cost criterion we prove the existence and Hamilton–Jacobi–Bellman characterization of optimal α-discounted control for bounded cost function. For the ergodic cost criterion we assume a Lyapunov type stability assumption and a small cost condition. Under these assumptions we show the existence of the optimal risk-sensitive ergodic control.     

灾后运输网络中的最短路修复合作博弈

在最短路修复合作博弈中,当灾后运输网络规模较大时,最优成本分摊问题难以直接求解。基于拉格朗日松弛理论,提出了一种最短路修复合作博弈成本分摊算法。该算法将最短路修复合作博弈分解为两个具有特殊结构的子博弈,进而利用两个子博弈的结构特性,可以{高效地}求解出二者的最优成本分摊,将这两个成本分摊相加,可以获得原博弈的一个近乎最优的稳定成本分摊。结果部分既包含运输网络的随机仿真,也包含玉树地震灾区的现实模拟,无论数据来源于仿真还是现实,该算法都能在短时间内为最短路修复合作博弈提供稳定的成本分摊方案。     

小样本下成本动因相关性的检验——以某固井公司运输作业为例

提高成本相关性的关键是提高成本动因的相关性.传统方法在成本动因选择方面依靠的是规范分析方法。样本匮乏是难以采用实证方法检验成本动因相关性的根本原因.本文通过引入部门ABC获取足够样本,采用实证检验方法研究成本动因的选择问题:首先,在实地获取第一手资料的基础上,通过规范分析,确定备选成本动因;其次,引入部门ABC获取足够的样本;最后,采用统计检验方法研究成本动因的相关性选择.研究发现,原有成本动因不是最佳成本动因;ABC方法确定的成本动因是最佳成本动因.     

带次模惩罚和随机需求的设施选址问题

考虑带次模惩罚和随机需求的设施选址问题,目的是开设设施集合的一个子集,把客户连接到开设的设施上并对没有连接的客户进行惩罚,使得开设费用、连接费用、库存费用、管理费用和惩罚费用之和达到最小. 根据该问题的特殊结构,给出原始对偶3-近似算法. 在算法的第一步,构造了一组对偶可行解;在第二步中构造了对应的一组原始整数可行解,这组原始整数可行解给出了最后开设的设施集合和被惩罚的客户集合. 最后,证明了算法在多项式时间内可以完成,并且算法所给的整数解不会超过最优解的3倍.     

Mean–range based distribution-free procedures to minimize “overage” and “underage” costs

We discuss several mean–range based distribution-free decision procedures to minimize several “overage” and “underage” cost functions. For a general cost function, we identify the most favorable distribution and the least favorable distribution associated with the random variable of interest and determine the upper and lower bounds for the cost function. For the quadratic cost function, we recommend the min–max distribution-free decision. For the linear cost function, we identify the range of potential optimal decisions and recommend a hybrid distribution-free decision that has several desirable properties. We provide several numerical examples to demonstrate the robustness of the proposed distribution-free decisions.     

交通拥堵管理中可交易电子券方案的公平性分析

利用损失厌恶理论中的参照依赖模型,构建用户的感知出行成本函数,在固定需求的交通网络中加入电子券交易费用率,建立均衡条件下的变分不等式模型。通过模拟仿真,说明市场交易费用率会影响电子券交易市场,政府可通过调节交易费用率提高电子券方案公平性。选取路网中所有起讫对间出行成本变化率波动的加权平均值,度量可交易电子券方案的公平性,综合考虑最小化系统出行总成本和最大化方案公平性两个目标,构造效用函数,分析不同权重下市场交易费用率对可交易电子券方案的影响,以期对电子券方案的公平性进行优化。     

不确定性自私路由模型的理论和应用

为了更加准确地描述现实生活中的交通情况,以经典的自私路由模型为基础,在边的费用函数上引入不确定性,从而定义了具有不确定性的自私路由模型.对于不确定性自私路由模型,采用三种费用衡量标准,风险厌恶型（保守型）、风险折衷型（理智型）、风险偏好型（乐观型）,分别对应着不同人群在现实中的选择.进而定义了在不同衡量标准下所形成的稳定策略,即纳什均衡策略,并且证明了在任何一种衡量标准下,纳什均衡策略总是存在并且本质是唯一的.接着对三种费用衡量标准下的纳什均衡费用进行了比较,发现了一种反直观的现象：风险厌恶型（保守型）衡量标准下的纳什均衡费用可能严格低于风险偏好型（乐观型）衡量标准下的纳什均衡费用,即有可能会出现高风险低回报,低风险高回报的情况,这与经济学中高风险高回报,低风险低回报的原则是相违背的.以此为基础,进而提出了一种自私路由风险性悖论,并证明了这种自私路由风险回报悖论本质上是传统布雷斯悖论的推广.最后,刻画出了不会发生自私路由风险回报悖论的网络结构,证明了一个单对始终点网络不会发生自私路由风险回报悖论当且仅当它是序列-平行网络.     

On the core of cost-revenue games: Minimum cost spanning tree games with revenues

In this paper, we analyze cost sharing problems arising from a general service by explicitly taking into account the generated revenues. To this cost-revenue sharing problem, we associate a cooperative game with transferable utility, called cost-revenue game. By considering cooperation among the agents using the general service, the value of a coalition is defined as the maximum net revenues that the coalition may obtain by means of cooperation. As a result, a coalition may profit from not allowing all its members to get the service that generates the revenues. We focus on the study of the core of cost-revenue games. Under the assumption that cooperation among the members of the grand coalition grants the use of the service under consideration to all its members, it is shown that a cost-revenue game has a nonempty core for any vector of revenues if, and only if, the dual game of the cost game has a large core. Using this result, we investigate minimum cost spanning tree games with revenues. We show that if every connection cost can take only two values (low or high cost), then, the corresponding minimum cost spanning tree game with revenues has a nonempty core. Furthermore, we provide an example of a minimum cost spanning tree game with revenues with an empty core where every connection cost can take only one of three values (low, medium, or high cost).     

多阶段生产系统最优生产批量和原材料订购决策模型

Sarker和Parija(1996)建立了生产系统最优生产批量和原材料订购决策模型。然而他们的模型仅局限于单阶段生产系统,本文将他们的模型扩展到多阶段生产系统,我们首先建立了使整个多阶段生产系统总成本最小的各阶段最优生产批量、原材料订购批量及阶段之间的运输批量模型,然后分析了原材料订购费、半成品运费及设备安装费的敏感性。最后,我们结合实例综合分析了原材料订购费、半成品运输费和设备安装费的变化及最小值点取整后对原材料订购决策、最优生产批量和总成本的影响。     

Quantifying the risk in age and block replacement policies

Preventive maintenance policies have been studied in the literature without considering the risk due to the cost variability. In this paper, we consider the two most popular preventive replacement policies, namely, age and block replacement policies under long-run average cost and expected unit time cost criteria. To quantify the risk in the preventive maintenance policies, we use the long-run variance of the accumulated cost over a time interval. We numerically derive the Risk-sensitive preventive replacement policies and study the impact of the Risk-sensitive optimality criterion on the managerial decisions. We also examine the performance of the expected unit time cost criterion as an alternative to the traditional long-run average cost criterion.     

A polynomial expression for the Owen value in the maintenance cost game

The class of maintenance cost games was introduced in 2000 to deal with a cost allocation problem arising in the reorganization of the railway system in Europe. The main application of maintenance cost games regards the allocation of the maintenance costs of a facility among the agents using it. To that aim it was first proposed to utilize the Shapley value, whose computation for maintenance cost games can be made in polynomial time. In this paper, we propose to model this cost allocation problem as a maintenance cost game with a priori unions and to use the Owen value as a cost allocation rule. Although the computation of the Owen value has exponential complexity in general, we provide an expression for the Owen value of a maintenance cost game with cubic polynomial complexity. We finish the paper with an illustrative example using data taken from the literature of railways management.     

最小成本生成树对策上Shapley值的新刻画及其应用

2002年,Kar利用有效性、无交叉补贴性、群独立性和等处理性四个公理对最小成本生成树对策上的Shapley值进行了刻画。本文提出了“群有效性”这一公理,利用这一公理和“等处理性”两个公理,给出了最小成本生成树对策上Shapley值的一种新的公理化刻画。最后,运用最小成本生成树对策的Shapley值,对网络服务的费用分摊问题进行了分析。     

考虑成本的最大延迟时间同类机调度问题

假定生产时机器成本是固定的,研究了一类考虑成本的同类机调度问题,调度的目标是在给定加工完所有作业的总预算的成本限制下最小化最大作业延迟时间。为该类问题构建了混合整数规划模型。通过设计相关规则在机器成本预算内来选择加工机器,以及对传统的LPT(最长加工时间优先)、ECT(最早完工时间优先)、EDD(最早工期优先)等算法进行改进,提出了一个启发式算法H,并理论证明了该算法在同型机和同类机下的最坏误差界。通过算例说明了算法的执行情况,同时也考虑了给定总预算不同的多种情形,采用大量随机数据实验验证了算法的有效性。     

An analytical method for cost analysis in multi-stage supply chains: A stochastic network model approach

This paper studies the cost distribution characteristics in multi-stage supply chain networks. Based on the graphical evaluation and review technique, we propose a novel stochastic network mathematical model for cost distribution analysis in multi-stage supply chain networks. Further, to investigate the effects of cost components, including the procurement costs, inventory costs, shortage costs, production costs and transportation costs of supply chain members, on the total supply chain operation cost, we propose the concept of cost sensitivity and provide corresponding algorithms based on the proposed stochastic network model. Then the model is extended to analyze the cost performance of supply chain robustness under different order compensation ability scenarios and the corresponding algorithms are developed. Simulation experiment shows the effectiveness and flexibility of the proposed model, and also promotes a better understanding of the model approach and its managerial implications in cost management of supply chains.     

A Further Study of the Choice Between Two Hedging Strategies–the Continuous Case

In our previous work, the choice between two popular hedging strategies was studied under the assumption that the hedge position of the underlying portfolio follows a discrete-time Markov chain with boundary conditions. This paper aims to investigate the same problem for the continuous case. We first assume that the underlying hedge position follows an arbitrary continuous-time Markov process; we give the general formulas for long-run cost per unit time under two cost structures: (1) a fixed transaction cost (2) a non-fixed transaction cost. Then we consider the case where the underlying hedge position follows a Brownian motion with drift; we show that (i) re-balancing the hedge position to the initial position is always more cost-efficient than re-balancing it to the boundary for a fixed transaction cost; (ii) when the cost function satisfies certain conditions, re-balancing the hedge position to the initial position is more cost-efficient than re-balancing it to the boundary for a non-fixed transaction cost.     

Existence of Risk-Sensitive Optimal Stationary Policies for Controlled Markov Processes

In this paper we are concerned with the existence of optimal stationary policies for infinite-horizon risk-sensitive Markov control processes with denumerable state space, unbounded cost function, and long-run average cost. Introducing a discounted cost dynamic game, we prove that its value function satisfies an Isaacs equation, and its relationship with the risk-sensitive control problem is studied. Using the vanishing discount approach, we prove that the risk-sensitive dynamic programming inequality holds, and derive an optimal stationary policy. Accepted 1 October 1997     

无容量限制的最小费用流问题

本文研究了无容量限制的带固定费用和可变费用的单物资和二物资的最小费用流问题,并分别给出了多项式算法.最后应用该算法,计算了一个二物资的最小费用流问题的实例.     

Deterministic economic production quantity models with time-varying demand and cost

In today’s time-based competition, the unit cost of a high-tech product declines significantly over its short product life cycle. Consequently, in this paper, we relax the traditional economic production quantity model to allow for time-varying cost. We then prove that the optimal production schedule uniquely exists. In addition, we also show that the total cost is a convex function of the number of replenishments, which reduces the search for the optimal solution to finding a local minimum. Furthermore, we characterize the influences of both demand and cost over the length of production run time and the economic production quantity.     

High frequency trading,liquidity, and execution cost

We build a model under the framework of discrete optimization to explain how high frequency trading (HFT) can be applied to supply liquidity and reduce execution cost. We derive the analytical properties of our model in finding the optimal solution to minimize the overall execution cost of HFT. We show that the execution cost can be reduced after increasing trading frequency (i.e., the higher the trading frequency, the lower the execution cost) with a simulation study. In addition, we conduct an empirical investigation with tick level data from US equity market through January 2008 to October 2010 to verify our conclusion drawn from the simulation study. Based on the simulation and empirical results we collected, we show that the HFT can reduce the execution cost when supplying liquidity.