基于复杂项目群优化选择的水电经济效益计算

针对目前已运行水电站经济效益计算存在的问题,本文提出了基于大系统分解协调模型选择水电站在不同运行时间的最优等效替代运行位置.考虑目前电力系统中正在逐步推行的两部制电价（容量电价与电量电价）,研究中分别计算了已运行水电站最优等效替代位置的边际容量成本和边际电量成本,并将其分别作为已运行水电站优化运行中各时段（刻）经济效益计算的容量价格与电量价格.以运行水电站经济效益最大作为优化准则,采用动态规划方法对其进行实时调度,从而实现其经济运行调度.文章给出的实例计算表明,本文提出的方法与模型是可行的.     

Existence and continuous dependence on parameters of radially symmetric solutions to astrophysical model of self‐gravitating particles

In this paper, we obtain the existence of a radial solution for some elliptic nonlocal problem with constraints. The problem is described as stationary state of some evolutionary models provided the pressure function conveys some form arising from statistical mechanics. To be more specific, we consider the following forms of the statistics: Michie‐King, Maxwell‐Boltzmann, Fermi‐Dirac, Bose‐Einstein, and polytrope. The most recent models were suggested by H. J. de Vega at al. and P. H. Chavanis et al.. We prove the continuous dependence of stationary solutions on parameters for the given statistics.     

Dynamic spatial price equilibrium problem: regularity results and computational procedure

In this paper we consider the dynamic spatial price equilibrium problem and the associated evolutionary variational inequality. In particular the regularity of equilibrium solutions is studied and a method for solving the dynamic spatial price equilibrium problem is presented. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models

We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the zero-coupon bond price. The results of this paper are naturally related to similar results on affine term structure models of Hyndman (Math. Financ. Econ. 2(2):107–128, 2009) due to the relationship between quadratic functionals of Gaussian processes and linear functionals of affine processes. Similar to the affine case a sufficient condition for the explicit solutions to hold is the solvability in a fixed interval of Riccati-type ordinary differential equations. However, in contrast to the affine case, these Riccati equations are easily associated with those occurring in linear-quadratic control problems. We also consider quadratic models for a risky asset price and characterize the futures price and forward price of the asset in terms of similar FBSDEs. An example is considered, using an approach based on stochastic flows that is related to the FBSDE approach, to further emphasize the parallels between the affine and quadratic models. An appendix discusses solvability and explicit solutions of the Riccati equations.     

Global existence of classical solutions for a class of diffusive ecological models with two free boundaries and cross-diffusion

In this paper we consider a class of diffusive ecological models with two free boundaries and with cross-diffusion and self-diffusion in one space dimension. The systems under consideration are strongly coupled, and the position of each free boundary is determined by the Stefan condition. We first show local existence of the solutions for the ecological models under some assumptions, and then prove the global existence of the solutions under extra assumptions. Our approach to the problem is by suitable changes, fixed point theorems and various estimates. Applications of these results are given to a two-species diffusive predator–prey model and a two-species diffusive competition model.     

A discrete long-term location–price problem under the assumption of discriminatory pricing: Formulations and parametric analysis

We consider a competitive location problem in which a new firm has to make decisions on the locations of several new facilities as well as on its price setting in order to maximise profit. Under the assumption of discriminatory prices, competing firms set a specific price for each market area. The customers buy one unit of a single homogeneous price-inelastic product from the facility that offers the lowest price in the area the consumers belong to. Three customer choice rules are considered in order to break ties in the offered prices. We prove that, considering long-term competition on price, this problem can be reduced to a problem with decisions on location only. For each one of the choice rules the location problem is formulated as an integer programming model and a parametric analysis of these models is given. To conclude, an application with real data is presented.     

Optimal dynamic pricing of inventories with stochastic demand and discounted criterion

We consider a continuous time dynamic pricing problem for selling a given number of items over a finite or infinite time horizon. The demand is price sensitive and follows a non-homogeneous Poisson process. We formulate this problem as to maximize the expected discounted revenue and obtain the structural properties of the optimal revenue function and optimal price policy by the Hamilton-Jacobi-Bellman (HJB) equation. Moreover, we study the impact of the discount rate on the optimal revenue function and the optimal price. Further, we extend the problem to the case with discounting and time-varying demand, the infinite time horizon problem. Numerical examples are used to illustrate our analytical results.     

Dynamic mean-risk optimization in a binomial model

We consider a dynamic mean-risk problem, where the risk constraint is given by the Average Value–at–Risk. As financial market we choose a discrete-time binomial model which allows for explicit solutions. Problems where the risk constraint on the final wealth is replaced by intermediate risk constraints are also considered. The problems are solved with the help of the theory of Markov decision models and a Lagrangian approach.     

基于灰色理论的价格控制问题及其算法

针对排污收费的最优定价问题,提出了基于灰色理论的价格控制问题,并给出了该问题的模型及相关的定理。在约束域为非空紧集的条件下,证明了漂移型价格控制问题的最优解一定可以在约束域的极点达到。针对漂移型价格控制问题,采用价格控制问题的搜索算法的求解技术,把灰参数看做一个新的决策变量,将该问题转化为多个含参数的非线性规划问题。最后,通过一算例验证了模型及求解方法的有效性。     

Capacitated procurement planning with price-sensitive demand and general concave-revenue functions

This paper develops effective solution methods for discrete-time, finite-horizon procurement planning problems with economies of scale in procurement, price-sensitive demand, and time-invariant procurement capacities. Our models consider general concave-revenue functions in each time period, and seek to maximize total revenue less procurement and inventory holding costs. We consider the case in which prices may vary dynamically, as well the important practical case in which a constant price is required during the planning horizon. Under mild conditions on the revenue function properties, we provide polynomial-time solution methods for this problem class. The structural properties of optimal solutions that lead to efficient solution methods also serve to sharpen intuition regarding optimal demand management strategies in complex planning situations.     

储存时间有上限的两阶段供应链排序问题

研究一类储存时间有上限的两阶段供应链排序问题.两阶段是指工件先加工,后运输:加工阶段是一台加工机器逐个加工工件;运输阶段是无限台车辆分批运输完工的工件.工件的运输完成时刻与完工时刻之差定义为工件的储存时间,且有相应的储存费用,且任意工件的储存时间都不超过某一常数.若工件的运输完成时刻早于(晚于)交货期窗口的开始(结束)时刻,则有相应的提前(延误)惩罚费用.目标是极小化总提前惩罚费用、总延误惩罚费用、总储存费用、总运输费用以及与交货期窗口有关的费用之和.先证明该问题是NP-难的,后对单位时间的储存费用不超过单位时间的延误惩罚费用的情形给出了伪多项式时间算法.     

Dynamic pricing of inventory/capacity with infrequent price changes

We consider a problem of dynamically pricing a single product sold by a monopolist over a short time period. If demand characteristics change throughout the period, it becomes attractive for the company to adjust price continuously to respond to such changes (i.e., price-discriminate intertemporally). However, in practice there is typically a limit on the number of times the price can be adjusted due to the high costs associated with frequent price changes. If that is the case, instead of a continuous pricing rule the company might want to establish a piece-wise constant pricing policy in order to limit the number of price adjustments. Such a pricing policy, which involves optimal choice of prices and timing of price changes, is the focus of this paper.We analyze the pricing problem with a limited number of price changes in a dynamic, deterministic environment in which demand depends on the current price and time, and there is a capacity/inventory constraint that may be set optimally ahead of the selling season. The arrival rate can evolve in time arbitrarily, allowing us to model situations in which prices decrease, increase, or neither. We consider several plausible scenarios where pricing and/or timing of price changes are endogenized. Various notions of complementarity (single-crossing property, supermodularity and total positivity) are explored to derive structural results: conditions sufficient for the uniqueness of the solution and the monotonicity of prices throughout the sales period. Furthermore, we characterize the impact of the capacity constraint on the optimal prices and the timing of price changes and provide several other comparative statics results. Additional insights are obtained directly from the solutions of various special cases.     

Dynamic pricing and inventory control: robust vs. stochastic uncertainty models—a computational study

In this paper, we consider a variety of models for dealing with demand uncertainty for a joint dynamic pricing and inventory control problem in a make-to-stock manufacturing system. We consider a multi-product capacitated, dynamic setting, where demand depends linearly on the price. Our goal is to address demand uncertainty using various robust and stochastic optimization approaches. For each of these approaches, we first introduce closed-loop formulations (adjustable robust and dynamic programming), where decisions for a given time period are made at the beginning of the time period, and uncertainty unfolds as time evolves. We then describe models in an open-loop setting, where decisions for the entire time horizon must be made at time zero. We conclude that the affine adjustable robust approach performs well (when compared to the other approaches such as dynamic programming, stochastic programming and robust open loop approaches) in terms of realized profits and protection against constraint violation while at the same time it is computationally tractable. Furthermore, we compare the complexity of these models and discuss some insights on a numerical example.     

Fuzzy versions of the covering circle problem

In this paper we consider two fuzzy versions of the well-known problem of determining the smallest circle (center and radius) that would cover a given finite set of points in the plane when the locations of points are not precise but fuzzy. The first is modeled as a possibility-constrained mathematical program while the second is modeled as a necessity-constrained one. Polynomial algorithms are presented for both the versions. Also, a numerical example is included for one case. These models and solutions are of interest in both theoretical and practical contexts.     

Dynamical systems and variational inequalities

The variational inequality problem has been utilized to formulate and study a plethora of competitive equilibrium problems in different disciplines, ranging from oligopolistic market equilibrium problems to traffic network equilibrium problems. In this paper we consider for a given variational inequality a naturally related ordinary differential equation. The ordinary differential equations that arise are nonstandard because of discontinuities that appear in the dynamics. These discontinuities are due to the constraints associated with the feasible region of the variational inequality problem. The goals of the paper are two-fold. The first goal is to demonstrate that although non-standard, many of the important quantitative and qualitative properties of ordinary differential equations that hold under the standard conditions, such as Lipschitz continuity type conditions, apply here as well. This is important from the point of view of modeling, since it suggests (at least under some appropriate conditions) that these ordinary differential equations may serve as dynamical models. The second goal is to prove convergence for a class of numerical schemes designed to approximate solutions to a given variational inequality. This is done by exploiting the equivalence between the stationary points of the associated ordinary differential equation and the solutions of the variational inequality problem. It can be expected that the techniques described in this paper will be useful for more elaborate dynamical models, such as stochastic models, and that the connection between such dynamical models and the solutions to the variational inequalities will provide a deeper understanding of equilibrium problems.     

Solving a minimum-power covering problem with overlap constraint for cellular network design

We consider a type of covering problem in cellular networks. Given the locations of base stations, the problem amounts to determining cell coverage at minimum cost in terms of the power usage. Overlap between adjacent cells is required in order to support handover. The problem we consider is NP-hard. We present integer linear models and study the strengths of their continuous relaxations. Preprocessing is used to reduce problem size and tighten the models. Moreover, we design a tabu search algorithm for finding near-optimal solutions effectively and time-efficiently. We report computational results for both synthesized instances and networks originating from real planning scenarios. The results show that one of the integer models leads to tight bounds, and the tabu search algorithm generates high-quality solutions for large instances in short computing time.     

Optimal stopping of switching diffusions with state dependent switching rates

This paper is concerned with a continuous-time and infinite-horizon optimal stopping problem in switching diffusion models. In contrast to the assumption commonly made in the literature that the regime-switching is modeled by an independent Markov chain, we consider in this paper the case of state-dependent regime-switching. The Hamilton–Jacobi–Bellman (HJB) equation associated with the optimal stopping problem is given by a system of coupled variational inequalities. By means of the dynamic programming (DP) principle, we prove that the value function is the unique viscosity solution of the HJB system. As an interesting application in mathematical finance, we examine the problem of pricing perpetual American put options with state-dependent regime-switching. A numerical procedure is developed based on the DP approach and an efficient discrete tree approximation of the continuous asset price process. Numerical results are reported.     

Real-time dispatch of trams in storage yards

Real-time dispatch problems arise when preparing and executing the daily schedule of local transport companies. We consider the daily dispatch of transport vehicles like trams in storage yards. Immediately on arrival, each tram has to be assigned to a location in the depot and to an appropriate round trip of the next schedule period. In order to achieve a departure order satisfying the scheduled demand, shunting of vehicles may be unavoidable. Since shunting takes time and causes operational cost, the number of shunting movements should be minimized without violation of operational constraints. As an alternative, we may serve some round trips with trams of type differing from the requested type. In practice, the actual arrival order of trams may differ substantially from the scheduled arrival order. Then, dispatch decisions are due within a short time interval and have to be based on incomplete information. For such real-time dispatch problems, we develop combinatorial optimization models and exact as well as heuristic algorithms. Computational experience for real-world and random data shows that the derived methods yield good (often optimal) solutions within the required tight time bounds. This revised version was published online in June 2006 with corrections to the Cover Date.     

Exponential decay in one-dimensional Type II/III thermoelasticity with two porosities

In this paper, we consider the theory of thermoelasticity with a double porosity structure in the context of the Green–Naghdi Types II and III heat conduction models. For the Type II, the problem is given by four hyperbolic equations, and it is conservative (there is no energy dissipation). We introduce in the system a couple of dissipation mechanisms in order to obtain the exponential decay of the solutions. To be precise, we introduce a pair of the following damping mechanisms: viscoelasticity, viscoporosities, and thermal dissipation. We prove that the system is exponentially stable in three different scenarios: viscoporosity in one structure jointly with thermal dissipation, viscoporosity in each structure, and viscoporosity in one structure jointly with viscoelasticity. However, if viscoelasticity and thermal dissipation are considered together, undamped solutions can be obtained     

Fuzzy goal programming models for analyzing demand coverage

The main objective of demand coverage models is to locate servers so that a given demand space is appropriately covered. Most existing models assume that demand is located at specific points within an area and that coverage is evaluated by certain quantifiable criteria. However, in realistic applications, the concept of coverage may also include qualitative aspects. Moreover, the location of the servers may be determined on the basis of more than one objective. In this paper, we present a number of fuzzy goal programming models for demand coverage. We consider three objectives: (a) maximization of total coverage, (b) maximization of minimum coverage, and (c) minimization of distance to servers of uncovered demand points. Through a series of realistic problem instances, we demonstrate that the proposed models provide satisfactory solutions with respect to all three objectives.