Interpreting supply chain dynamics: A quasi-chaos perspective

Chaotic phenomena, chaos amplification and other interesting nonlinear behaviors have been observed in supply chain systems. Chaos can be defined theoretically if the dynamics under study are produced only by deterministic factors. However, deterministic settings rarely present themselves in reality. In fact, real data are typically unknown. How can the chaos theory and its related methodology be applied in the real world? When the demand is stochastic, the interpretation and distribution of the Lyapunov exponents derived from the effective inventory at different supply chain levels are not similar to those under deterministic demand settings. Are the observed dynamics of the effective inventory random, chaotic, or simply quasi-chaos? In this study, we investigate a situation whereby the chaos analysis is applied to a time series as if its underlying structure, deterministic or stochastic, is unknown. The result shows clear distinction in chaos characterization between the two categories of demand process, deterministic vs. stochastic. It also highlights the complexity of the interplay between stochastic demand processes and nonlinear dynamics. Therefore, caution should be exercised in interpreting system dynamics when applying chaos analysis to a system of unknown underlying structure. By understanding this delicate interplay, decision makers have the better chance to tackle the problem correctly or more effectively at the demand end or the supply end.     

Cycles,chaos, and noise in predator–prey dynamics

In contrast to the single species models that were extensively studied in the 1970s and 1980s, predator–prey models give rise to long-period oscillations, and even systems with stable equilibria can display oscillatory transients with a regular frequency. Many fluctuating populations appear to be governed by such interactions. However, predator–prey models have been poorly studied with respect to the interaction of nonlinear dynamics, noise, and system identification. I use simulated data from a simple host–parasitoid model to investigate these issues. The addition of even a modest amount of noise to a stable equilibrium produces enough structured variation to allow reasonably accurate parameter estimation. Despite the fact that more-or-less regular cycles are generated by adding noise to any of the classes of deterministic attractor (stable equilibrium, periodic and quasiperiodic orbits, and chaos), the underlying dynamics can usually be distinguished, especially with the aid of the mechanistic model. However, many of the time series can also be fit quite well by a wrong model, and the fitted wrong model usually misidentifies the underlying attractor. Only the chaotic time series convincingly rejected the wrong model in favor of the true one. Thus chaotic population dynamics offer the best chance for successfully identifying underlying regulatory mechanisms and attractors.     

基于Copula的供应链金融质物组合价格风险测度研究

本文选取白银、铝和铜三种供应链金融质物作为研究对象,在分析三种质物收益率统计特征的基础上,引入Copula模型刻画供应链金融业务中质物收益率的“尖峰厚尾”特征以及质物收益率之间的非线性相关结构;采用Monte Carlo模拟方法测度考虑到极端情况下的质物组合价格风险值CVaR;利用时间平方根法则测度长周期视角下质物组合的价格风险。将CVaR与VaR测度结果进行对比,比较分析短期价格风险与长期价格风险,将Copula模型与传统风险测度方法下计算出的风险值进行对比,以期选取最优测度供应链金融质物组合长期价格风险模型。研究结果表明:从单一质物价格波动特征来看,三种单一质物的收益率均存在非正态分布和“尖峰厚尾”特征,具有一般金融资产收益率分布的特点。从模型的有效性来看,第一,CVaR比VaR能够更好地、全面地测度供应链金融质物组合的价格风险;第二,基于Copula模型的风险测度结果比传统集成风险测度结果的准确性高;第三,平方欧式距离法结果表明在五种Copula模型中,t-Copula是最优刻画供应链金融质物组合收益率间的相依关系的模型。从长短期风险测度结果来看,随着风险期限的增加,质物组合的价格风险值随之增大,以往研究中用短期风险测度往往会低估商业银行所面临的价格风险,不利于商业银行资金信贷的优化配置。得到的结论对我国商业银行开展供应链金融业务防范价格风险提供了量化支持。     

Chaotic vibrations in nonlinear problems of bar structures

In the response of nonlinear mathematical models which describe vibrations of structural elements one could observe an irregular behaviour which is called chaos. Loss of the information on initial states in deterministic dynamical systems after a short time of theirs evolution, increasing amplitudes of displacements, velocities and accelerations, sensitive dependency on initial conditions makes chaos dangerous phenomenon in mechanics of construction. In this article quantitative (bifurcation diagrams, Poincare sections and Fourier power spectrum analysis) identication methods of the chaotic dynamics in geometrically nonlinear model of one DOF Mises truss are shown. Main goal of this article is to show and verify dangerous influence of chaos (in the engineering sense) on the analyzed structure. (© 2006 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

蛛网模型收敛的一些充要条件

蛛网模型刻画了某种商品在市场中的供求波动,是一种重要的典型动态经济学模型.本文对传统的蛛网模型加以改进,建立了需求函数和供给函数可以为线性函数或非线性函数的广义蛛网模型.并对其进行了动态分析与稳定性分析,得到了模型存在稳定均衡点的一些充要条件.     

Space–time chaos in a system of reaction–diffusion equations

We find conditions for the bifurcation of periodic spatially homogeneous and spatially inhomogeneous solutions of a three-dimensional system of nonlinear partial differential equations describing a soil aggregate model. We show that the transition to diffusion chaos in this model occurs via a subharmonic cascade of bifurcations of stable limit cycles in accordance with the universal Feigenbaum–Sharkovskii–Magnitskii bifurcation theory.     

专业零售商与厂家直售商的多渠道供应价格博弈的混沌动力学研究

在零售市场,专业零售商与厂家直售商的价格竞争日益突起,再次背景下构建了专业零售商和厂家直售商组成的多渠道供应链价格博弈模型。利用管理学、经济学以及混沌动力学有关理论,对多渠道供应链中各渠道间长期价格博弈的动态演化过程进行理论验证和数据仿真,研究了专业零售商和厂家直售商的价格决策变量的变化给市场带来的影响。研究表明,双方价格决策变量的不断增加,市场从稳定进入混沌无序状态。采用调整参数可以对混沌进行有效的控制,研究结果具有较好的理论和实际应用价值。     

基于M-CVaR和生产资金约束的供应链协调研究

本文针对供应商面临生产资金约束的情况,在需求随机条件下研究了由一个风险中性零售商和一个具有风险偏好的供应商组成的二级供应链的协调问题。文章在零售商享有批发价折扣的提前支付和供应商银行信贷两种融资方式下,分别建立了零售商的最优决策模型以及基于M-CVaR测度工具的供应链整体订购决策模型,并给出了采用两种不同融资模式时零售商和供应链整体的最优订购量以及供应链的协调条件,分析了供应商的风险偏好对供应链整体最优决策及协调条件的影响。最后通过算例验证了文章的主要结论。研究表明,当提前支付价格折扣大于临界值时,零售商会选择提前支付货款;提前支付模式下供应链整体的最优订购量大于银行信贷模式;随着供应商的风险偏好由风险规避向风险喜好转变,供应链整体的最优订购量逐渐增大。     

装配型企业订货量分配与订单排产联合决策研究

针对供应商交货数量不确定环境下,多品种小批量装配型制造企业因生产物料不配套造成生产计划不可行甚至客户订单拖期的问题,从企业运作整体出发,考虑订货量分配决策对订单生产和交货的影响,以最小化采购成本和最小化订单排产相关成本为优化目标,在允许零部件拖期交货且供应商提供拖期价格折扣条件下,建立订货量分配与订单排产联合优化模型。针对可行解空间巨大、传统数学规划方法难以求解的问题,从增强搜索性能角度出发,设计基于自定义邻域搜索算子的局部搜索机制和基于随机与种群重构变异机制的改进粒子群算法的模型求解策略。通过应用实例对本文模型和算法进行了有效性验证和灵敏度分析,结果表明,相比于传统的分散决策方案,本文模型能够有效降低整体成本水平,引入的改进机制能够显著提升算法搜索性能,为企业供应风险下的运营决策制定提供理论参考。     

Correction: Exchange Option under Jump-diffusion Dynamics

Abstract

In this note, we provide the correct formula for the price of the European exchange option given in Cheang, G. H. L., & Chiarella, C. (2011. Exchange options under jump-diffusion dynamics. Applied Mathematical Finance, 18, 245–276) in a bi-dimensional jump diffusion model.     

Equity and efficiency in regional policy

Phillipe Martin [5] had developed a simple, but extremely impressive model of economic development analyzing the interaction between agglomeration and regional income inequality. The essential philosophy of Martin’s static model had been translated into a dynamical model, where it can be shown that the interdependence between agglomeration and income disparities satisfies the conditions of the Lotka-Volterra model, thus implying regular and phase-shifted cycles. By introducing the dynamics of innovation, the simple two-dimensional model will be extended to a model similar to that developed by Chiarella [3]. Research supported by the Hungarian NFSR (OTKA No. K61586).     

基于批发价契约的多零售商横向转载的供应链协调

研究了多零售商横向转载的供应链批发价契约协调问题。以包含一个制造商和多个零售商的供应链系统为研究对象,基于批发价契约研究了零售商转载下的供应链协调问题,获取了批发价契约可以协调零售商存在横向转载的供应链的理论证据,并给出了相应的产生供应链协调的条件,详细分析了协调情形下供应链系统最优订货量与多零售商无转载及单报童等情形下的最优订货量之间的关系。进一步研究了制造商与零售商在Stackelberg博弈下,零售商横向转载对制造商收益的影响,并提出了在Stackelberg博弈模型中,批发价契约也有可能促使制造商选择供应链系统最优订货量所对应的批发价格,使得供应链协调,且给出了此种协调产生的具体条件。数值算例则对两种供应链协调情形下的订货量、批发价格及期望收益进行了计算与仿真。研究表明,批发价契约可能会使得多零售商存在转载的供应链实现协调,传统的双重边际化效应将会由于制造商和零售商的理性而被弱化。     

ASYMPTOTIC BEHAVIOR FOR GENERALIZED GINZBURG-LANDAU POPULATION EQUATION WITH STOCHASTIC PERTURBATION

In this paper, we are devoted to the asymptotic behavior for a nonlinear parabolic type equation of higher order with additive white noise. We focus on the Ginzburg-Landau population equation perturbed with additive noise. Firstly, we show that the stochastic Ginzburg-Landau equation with additive noise can be recast as a random dynamical system. And then, it is proved that under some growth conditions on the nonlinear term, this stochastic equation has a compact random attractor, which has a finite Hausdorff dimension.     

Chaos control in passive walking dynamics of a compass-gait model

The compass-gait walker is a two-degree-of-freedom biped that can walk passively and steadily down an incline without any actuation. The mathematical model of the walking dynamics is represented by an impulsive hybrid nonlinear model. It is capable of displaying cyclic motions and chaos. In this paper, we propose a new approach to controlling chaos cropped up from the passive dynamic walking of the compass-gait model. The proposed technique is to linearize the nonlinear model around a desired passive hybrid limit cycle. Then, we show that the nonlinear model is transformed to an impulsive hybrid linear model with a controlled jump. Basing on the linearized model, we derive an analytical expression of a constrained controlled Poincaré map. We present a method for the numerical simulation of this constrained map where bifurcation diagrams are plotted. Relying on these diagrams, we show that the linear model is fairly close to the nonlinear one. Using the linearized controlled Poincaré map, we design a state feedback controller in order to stabilize the fixed point of the Poincaré map. We show that this controller is very efficient for the control of chaos for the original nonlinear model.     

Passage to diffusion chaos in a model of an ecological system

We carry out analytical and numerical analysis of a model of an ecological system described by a system of nonlinear partial differential equations of reaction-diffusion type. We find conditions for the bifurcation of periodic spatially homogeneous and inhomogeneous solutions from the thermodynamic branch of the system. We show that the passage to diffusion chaos in the model occurs, in complete agreement with the universal Feigenbaum-Sharkovskii-Magnitskii bifurcation theory, via a subharmonic cascade of bifurcations of stable limit cycles.     

Complex dynamic behaviour of an economic cycle model

In this paper, we investigate the dynamics of a nonlinear economic cycle model. The necessary and sufficient conditions are given to guarantee the existence and stability of the fixed point. It is also shown that the system undergoes a Neimark–Sacker bifurcation by using center manifold theorem and bifurcation theory. Furthermore, Marotto’s chaos is proved when certain conditions are satisfied. Numerical simulations are presented not only to illustrate our results with the theoretical analysis, but also to exhibit the complex dynamical behaviour, such as the period-10, -16, -20 orbits, attracting invariant cycles, quasi-periodic orbits, 10-coexisting chaotic attractors, and boundary crisis. Specifically, we have stabilized the chaotic orbits at an unstable fixed point using the feedback control method.     

非线性非均衡蛛网模型的动态分析

描述单商品市场价格波动的蛛网模型是动态经济分析中的经典模型 ,证明了由模型 ( )所生成的价格序列在一定的条件下不会出现 3以上周期运动和混沌现象 ,并对其进行稳定性分析 ,得到模型关于均衡价格稳定的六个判别定理 .     

Stochastic chaos in a Duffing oscillator and its control

Stochastic chaos discussed here means a kind of chaotic responses in a Duffing oscillator with bounded random parameters under harmonic excitations. A system with random parameters is usually called a stochastic system. The modifier ‘stochastic’ here implies dependent on some random parameter. As the system itself is stochastic, so is the response, even under harmonic excitations alone. In this paper stochastic chaos and its control are verified by the top Lyapunov exponent of the system. A non-feedback control strategy is adopted here by adding an adjustable noisy phase to the harmonic excitation, so that the control can be realized by adjusting the noise level. It is found that by this control strategy stochastic chaos can be tamed down to the small neighborhood of a periodic trajectory or an equilibrium state. In the analysis the stochastic Duffing oscillator is first transformed into an equivalent deterministic nonlinear system by the Gegenbauer polynomial approximation, so that the problem of controlling stochastic chaos can be reduced into the problem of controlling deterministic chaos in the equivalent system. Then the top Lyapunov exponent of the equivalent system is obtained by Wolf’s method to examine the chaotic behavior of the response. Numerical simulations show that the random phase control strategy is an effective way to control stochastic chaos.     

含间隙非线性弹性超材料的低频宽带机理北大核心CSCD

揭示了基于非线性混沌理论含间隙的非线性局域共振结构的低频宽带形成机理,提出了一类含间隙非线性局域共振结构设计的新理念.在该间隙非线性局域共振系统中,产生了非线性混沌现象,且这种非线性运动可以成功地改变振动噪声中的频谱结构,当系统运动进入混沌状态时,线性谱能量大大削弱,变成了一个连续的宽频谱,进而有效隔离低频线谱.有限元计算结果表明,正是这个间隙引起的非线性混沌现象导致了低频宽带的产生,且理论分析和有限元分析结果高度一致.因此,这类含间隙非线性局域共振弹性超材料结构的设计新思想为局域共振弹性超材料的发展开辟了新天地,且基于非线性混沌理论的低频带隙的形成机理为减振降噪应用研究奠定了非常重要的理论基础.     

Study on a 3-dimensional game model with delayed bounded rationality

A nonlinear dynamic triopoly game model is studied based on the theory of nonlinear dynamics and previous researches in this paper. A lagged structure is introduced to the model to study stability conditions of the Nash equilibrium under a local adjustment process when players price their products with delayed bounded rationality. Numerical simulations are provided to demonstrate the complexity of system evolvement and influence of the strategy of delayed bounded rationality on system stability. We find that besides the lagged structure, suitable delayed parameters are also important factors to eliminate chaos or expand the stable region of the system, and various players’ adjustment parameters have different effect on stability of the system.