共查询到20条相似文献,搜索用时 31 毫秒
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Hans U. Gerber 《Insurance: Mathematics and Economics》1982,1(3):213-217
The probability of ruin is examined in a model where the annual gains of an insurance company are dependent random variables. The model used is the linear model (well known in time-series analysis) which includes the autoregressive model and the moving average model as special cases. It is also shown that a certain credibility model can be interpreted as a first-order model of the mixed type. 相似文献
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《European Journal of Operational Research》2001,128(1):213-226
This paper proposes a differential game model of competitive advertising decisions for non-durable products by extending the Lanchester model and the Deal model of competitive advertising in the literature. The proposed model is compared empirically with the Lanchester model for model fitting and forecast accuracy. It is shown that the model is suitable for an actual market and out-performs the Lanchester model in forecast accuracy. The model provides a sensible modeling alternative to the Lanchester model for the study of dynamic competitive advertising decisions. Necessary and sufficient conditions for open-loop and closed-loop Nash equilibrium solutions to the model are discussed. A numerical algorithm for open-loop and closed-loop Nash strategies to the model is developed. 相似文献
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Although the grey forecasting model has been successfully employed in many fields and demonstrated promising results, its prediction results may be inaccurate sometimes. For the purposes of enhancing the predictive performance of grey forecasting model and enlarging its suitable ranges, this paper puts forward a novel grey forecasting model termed NGM model and its optimized model, develops a calculative formula for solving the parameters of the novel NGM model through the least squares method, and obtains the time response sequence of NGM model by using differential equation as a procedure for reasoning. It performs a numerical demonstration on the prediction accuracy of NGM model and its optimized models. As shown in the results, the proposed model and it optimized model can enhance the prediction accuracy. Numerical results illustrate that the proposed NGM model and its optimized model are effective. They are suitable for predicting the data sequence with the characteristics of non-homogeneous exponential law. This work makes important contribution to the enrichment of grey prediction theory. 相似文献
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Markus Fischer 《随机分析与应用》2013,31(1):135-194
Abstract The subject of the present paper is a simplified model for a symmetric bistable system with memory or delay, the reference model, which in the presence of noise exhibits a phenomenon similar to what is known as stochastic resonance. The reference model is given by a one-dimensional parametrized stochastic differential equation with point delay; the basic properties of which we check. With a view to capturing the effective dynamics and, in particular, the resonance-like behavior of the reference model, we construct a simplified or reduced model, the two-state model, first in discrete time, then in the limit of discrete time tending to continuous time. The main advantage of the reduced model is that it enables us to explicitly calculate the distribution of residence times which in turn can be used to characterize the phenomenon of noise-induced resonance. Drawing on what has been proposed in the physics literature, we outline a heuristic method for establishing the link between the two-state model and the reference model. The resonance characteristics developed for the reduced model can thus be applied to the original model. 相似文献
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Traditional Reynolds-averaged Navier–Stokes (RANS) approaches to turbulence modeling, such as the k-ϵ model, have some well-known shortcomings when modeling transient flow phenomena. To mitigate this, a filtered URANS model has been derived where turbulent structures larger than a given filter size (typically grid size) is captured by the flow equations and smaller structures are modeled according to a modified k-ϵ model. This modeling approach is also known as a VLES model (Very Large Eddy Scale model), and provides more details of the transient turbulence than the k-ϵ model at little extra computational cost.In this study a two-phase extension to the VLES model is described. A modeling concept for bubble plumes has been developed in which the bubbles are tracked as particles and the flow of liquid is solved by the Navier–Stokes equations in a traditional mesh based approach. The flow of bubbles and liquid is coupled in an Eulerian–Lagrangian model. Turbulent dispersion of the bubbles is treated by a random walk model. The random walk model depends on an estimation of the eddy life time. The eddy life time for the VLES model differs from a k-ϵ model, and its mathematical expression is derived.The model is applied to ocean plumes emanating from discharge of gas at the ocean floor. Validation with experiments and comparison with k-ϵ model are shown. 相似文献
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《Journal of computational and graphical statistics》2013,22(3):694-716
We introduce a nonparametric nonlinear time series model. The novel idea is to fit a model via penalization, where the penalty term is an unbiased estimator of the integrated Hessian of the underlying function. The underlying model assumption is very general: it has Hessian almost everywhere in its domain. Numerical experiments demonstrate that our model has better predictive power: if the underlying model complies with an existing parametric/semiparametric form (e.g., a threshold autoregressive model (TAR), an additive autoregressive model (AAR), or a functional coefficient autoregressive model (FAR)), our model performs comparably; if the underlying model does not comply with any preexisting form, our model outperforms in nearly all simulations. We name our model a Hessian regularized nonlinear model for time series (HRM). We conjecture on theoretical properties and use simulations to verify. Our method can be viewed as a way to generalize splines to high dimensions (when the number of variates is more than three), under which an analogous analytical derivation cannot work due to the curse of dimensionality. Supplemental materials are provided, and will help readers reproduce all results in the article. 相似文献
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D. Matko G. Geiger T. Werner 《Mathematical and Computer Modelling of Dynamical Systems: Methods, Tools and Applications in Engineering and Related Sciences》2013,19(6):505-517
Four models of a pipeline are compared in the paper: a nonlinear distributed-parameter model, a linear distributed-parameter model, a simplified lumped-parameter model and an extended neural-net-based model. The transcendental transfer function of the linearized model is obtained by a Laplace transformation and corresponding initial and boundary conditions. The lumped-parameter model is obtained by a Taylor series extension of the transencdental transfer function. Based on the experience of linear models the structure of the neural net model, as an addendum to the nonlinear distributed-parameter model, is obtained. All four models are tested on a real pipeline data with an artificially generated leak. 相似文献
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Nadja Hvala Mario Zec Stanko Strm?nik 《Mathematical and Computer Modelling of Dynamical Systems: Methods, Tools and Applications in Engineering and Related Sciences》2013,19(6):587-605
This article deals with non-linear model parameter estimation from experimental data. As for non-linear models a rigorous identifiability analysis is difficult to perform, parameter estimation is performed in such a way that uncertainty in the estimated parameter values is represented by the range of model use results when the model is used for a certain purpose. Using this approach, the article presents a simulation study where the objective is to discover whether the estimation of model parameters can be improved, so that a small enough range of model use results is obtained. The results of the study indicate that from plant measurements available for the estimation of model parameters, it is possible to extract data that are important for the estimation of model parameters relative to a certain model use. If these data are improved by a proper measurement campaign (e.g. proper choice of measured variables, better accuracy, higher measurement frequency) it is to be expected that a valid model for a certain model use will be obtained. The simulation study is performed for an activated sludge model from wastewater treatment, while the estimation of model parameters is done by Monte Carlo simulation. 相似文献
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《European Journal of Operational Research》1996,92(3):443-457
This paper suggests that model validation and model legitimisation are two overlapping but nevertheless distinct activities, and that it takes more than being valid for an OR model to be organizationally acceptable: it has to be legitimate. The paper forwards the idea that the implementation of a model is necessarily part of a change process and hence has impact on the organization. It discusses how organizational contract and legitimacy are related to one another, and how, in a change process, a model can be used in different modes by different stakeholders. Concrete suggestions for model legitimisation are proposed. The paper concludes by linking model legitimisation and model validation. 相似文献
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Four equivalent lot-sizing models 总被引:1,自引:0,他引:1
We study the following lot-sizing models that recently appeared in the literature: a lot-sizing model with a remanufacturing option, a lot-sizing model with production time windows, and a lot-sizing model with cumulative capacities. We show the equivalence of these models with a classical model: the lot-sizing model with inventory bounds. 相似文献
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We consider a polling model in which a number of queues are served, in cyclic order, by a single server. Each queue has its own distinct Poisson arrival stream, service time, and switchover time (the server's travel time from that queue to the next) distribution. A setup time is incurred if the polled queue has one or more customers present. This is the polling model with State-Dependent service (the SD model). The SD model is inherently complex; hence, it has often been approximated by the much simpler model with State-Independent service (the SI model) in which the server always sets up for a service at the polled queue, regardless of whether it has customers or not. We provide an exact analysis of the SD model and obtain the probability generating function of the joint queue length distribution at a polling epoch, from which the moments of the waiting times at the various queues are obtained. A number of numerical examples are presented, to reveal conditions under which the SD model could perform worse than the corresponding SI model or, alternately, conditions under which the SD model performs better than a corresponding model in which all setup times are zero. We also present expressions for a variant of the SD model, namely, the SD model with a patient server. 相似文献
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《Journal of Mathematical Analysis and Applications》1987,124(1):98-116
An autoregressive type approximation is determined from an AR.MA model of physical process by truncating the Taylor expansion of MA part, which is called the T. AR model. The poles of the T.AR model are studied by the aid of the Rouche's theorem of the theory of complex functions. Though the power spectral density of T.AR model converges uniformly to that of AR.MA model, the pole location of T.AR model is quite different from the pole-zero location of AR.MA model. T.AR models have some of original poles of AR.MA model, a “non-robust singular” pole, and poles distributing in a circle in the complex plane which are the statistically equivalent expression of the zero of the AR.MA model closest to the unit circle in the complex plane. The non-robust singular pole has no direct relation to poles or zeros of the original AR.MA model. The zero of the AR.MA model closest to the unit circle in the complex plane has an important role in the convergence of power spectral density of T.AR model. The comparison of pole locations between T.AR model and AR model is also studied in a simple example. 相似文献
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V E Krivonozhko O B Utkin M M Safin A V Lychev 《The Journal of the Operational Research Society》2009,60(11):1518-1527
Inadequate results may arise in some instances of DEA model applications. For example, a data envelopment analysis (DEA) model may show ‘a notoriously inefficient unit’ as an efficient one. In addition, too many efficient units may appear in some DEA models. An elegant and subtle approach was proposed to deal with these problems, which is based on incorporating domination cones in DEA models. Yu, Wei and Brockett suggested the generalized DEA (GDEA) model that unifies and extends most of the well-known DEA models based on using domination cones. In this paper, we propose a model that is more general than the GDEA model, on the one hand, as it covers situations that the GDEA model cannot describe. On the other hand, our model enables one to construct step-by-step any model from the family of the GDEA models by incorporating artificial units and rays in the space of inputs and outputs in the Banker, Charnes, Cooper (BCC) model, which makes the process of model construction visible and more understandable. Moreover, we show that any GDEA model can be approximated by some BCC model. 相似文献
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Yingkun Ma Shilin Xie Xinong Zhang Yajun Luo 《Communications in Nonlinear Science & Numerical Simulation》2013,18(4):1079-1094
The vehicle frame system comprises frame structure and nonlinear dampers. In order to investigate the effects of frame flexibility and nonlinear hysteresis, a hybrid modeling approach for vehicle frame coupled with nonlinear dampers will be proposed. Before that, a complex model for nonlinear damper is developed consisting of knowledge-based model and support vector machine (SVM) model. The frame structure is modeled by FEM where the SVM complex model of damper is embedded in. Thus a hybrid model for vehicle frame system is established and successfully validated via a dummy vehicle riding in different conditions. The results show that the hybrid model can capture the nonlinear dynamic characteristics accurately. The hybrid model can also provide a basis for structural design with the existing of FEM model. 相似文献
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Model selection uncertainty in longitudinal data analysis is often much more serious than that in simpler regression settings,
which challenges the validity of drawing conclusions based on a single selected model when model selection uncertainty is
high. We advocate the use of appropriate model selection diagnostics to formally assess the degree of uncertainty in variable/model
selection as well as in estimating a quantity of interest. We propose a model combining method with its theoretical properties
examined. Simulations and real data examples demonstrate its advantage over popular model selection methods. 相似文献
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This paper deals with a physico-mathematical model for the heat-flux over a convex body in near-free molecular flow regime. The model depends on the characteristic global physical quantity of the state of the external flux and upon two phenomenological parameters which represent the physico-chemical conditions of the gas-surface pair. The presence of these two parameters, which is due to the construction of the model by means of the theory of scattering kernels, gives the model a certain arbitrariness.To remove this limitation the model has been further identified in the sense that these parameters have been determined for a particular gas-surface pair by comparison with experimental results on a cylindrical body. The model has then been applied to a sphere in order to determine the Stanton number. Finally, these results have been approximated in terms of analytical expressions in order to simplify the model itself. 相似文献