共查询到20条相似文献,搜索用时 9 毫秒
1.
In this article, we derive a solution for a linear stochastic model on a complex time domain. In this type of models, the time domain can be any collection of points along the real number line, so these models are suitable for problems where events do not occur at evenly-spaced time intervals. We present examples based on well-known results from economics and finance to illustrate how our model generalizes and extends conventional dynamic models. 相似文献
2.
We develop methods for solving nonlinear stochastic dynamic difference games using orthogonal polynomial collocation techniques. The methods are applied to models of world commodity markets in which governments compete against each other using storage as a strategy variable. The rational expectations equilibrium outcomes under four different game structures are derived numerically and compared using stochastic simulation techniques. 相似文献
3.
In this article, we consider a portfolio optimization problem of the Merton’s type with complete memory over a finite time horizon. The problem is formulated as a stochastic control problem on a finite time horizon and the state evolves according to a process governed by a stochastic process with memory. The goal is to choose investment and consumption controls such that the total expected discounted utility is maximized. Under certain conditions, we derive the explicit solutions for the associated Hamilton–Jacobi–Bellman (HJB) equations in a finite-dimensional space for exponential, logarithmic, and power utility functions. For those utility functions, verification results are established to ensure that the solutions are equal to the value functions, and the optimal controls are also derived. 相似文献
4.
本文考察了一个随机延滞的时序模型:x(n+ 1) =∑η( n+ 1)l=0al| xn+ 1| s+ εn-1,n 0 ,0 相似文献
5.
Cohen and Elliott (2010) introduced the backward stochastic difference equations (BSDEs) on spaces related to discrete time, finite state processes. Motivated by obtaining the explicit solution of a linear BSDE under their framework, we develop a new type of Girsanov transformation in this paper. 相似文献
6.
Many practical decision problems involve both nonlinear relationships and uncertainties. The resulting stochastic nonlinear programs become quite difficult to solve as the number of possible scenarios increases. In this paper, we provide a decomposition method for problems in which nonlinear constraints appear within periods. We also show how the method extends to lower bounding refinements of the set of scenarios when the random data are independent from period to period. We then apply the method to a stochastic model of the U.S. economy based on the Global 2100 method developed by Manne and Richels.This material is based upon work supported by the National Science Foundation under Award Numbers SES-9211937 and DDM-9215921.The research was performed under appointment to the U.S. Department of Energy, Graduate Fellowships for Global Change Program, administered by Oak Ridge Institute for Science and Education. 相似文献
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We justify and discuss expressions for joint lower and upper expectations in imprecise probability trees, in terms of the sub- and supermartingales that can be associated with such trees. These imprecise probability trees can be seen as discrete-time stochastic processes with finite state sets and transition probabilities that are imprecise, in the sense that they are only known to belong to some convex closed set of probability measures. We derive various properties for their joint lower and upper expectations, and in particular a law of iterated expectations. We then focus on the special case of imprecise Markov chains, investigate their Markov and stationarity properties, and use these, by way of an example, to derive a system of non-linear equations for lower and upper expected transition and return times. Most importantly, we prove a game-theoretic version of the strong law of large numbers for submartingale differences in imprecise probability trees, and use this to derive point-wise ergodic theorems for imprecise Markov chains. 相似文献
9.
Alexander Shapiro 《Operations Research Letters》2009,37(3):143-147
We discuss time consistency of multistage risk averse stochastic programming problems. The concept of time consistency is approached from an optimization point of view. That is, at each state of the system optimality of a decision policy should not involve states which cannot happen in the future. 相似文献
10.
Lisa A. Korf 《Annals of Operations Research》2006,142(1):165-186
Traditional approaches to solving stochastic optimal control problems involve dynamic programming, and solving certain optimality
equations. When recast as stochastic programming problems, structural aspects such as convexity are retained, and numerical
solution procedures based on decomposition and duality may be exploited. This paper explores a class of stationary, infinite-horizon
stochastic optimization problems with discounted cost criterion. Constraints on both states and controls are permitted, and
modeled in the objective function by allowing it to take infinite values. Approximating techniques are developed using variational
analysis, and intuitive lower bounds are obtained via averaging the future. These bounds could be used in a finite-time horizon
stochastic programming setting to find solutions numerically.
Research supported in part by a grant of the National Science Foundation.
AMS Classification 46N10, 49N15, 65K10, 90C15, 90C46 相似文献
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12.
Jinde Wang 《Annals of Operations Research》1991,31(1):371-384
This paper summarizes the main results on approximate nonlinear programming algorithms investigated by the author. These algorithms are obtained by combining approximation and nonlinear programming algorithms. They are designed for programs in which the evaluation of the objective functions is very difficult so that only their approximate values can be obtained. Therefore, these algorithms are particularly suitable for stochastic programming problems with recourse.Project supported by the National Natural Science Foundation of China. 相似文献
13.
Silvia Vogel 《Mathematical Programming》1992,56(1-3):91-119
In this paper we assume that a deterministic multiobjective programming problem is approximated by surrogate problems based on estimations for the objective functions and the constraints. Making use of a large deviations approach, we investigate the behaviour of the constraint sets, the sets of efficient points and the solution sets if the size of the underlying sample tends to infinity. The results are illustrated by applying them to stochastic programming with chance constraints, where (i) the distribution function of the random variable is estimated by the empirical distribution function, (ii) certain parameters have to be estimated. 相似文献
14.
Diana S. Yakowitz 《Computational Optimization and Applications》1994,3(1):59-81
In this paper a regularized stochastic decomposition algorithm with master programs of finite size is described for solving two-stage stochastic linear programming problems with recourse. In a deterministic setting cut dropping schemes in decomposition based algorithms have been used routinely. However, when only estimates of the objective function are available such schemes can only be properly justified if convergence results are not sacrificed. It is shown that almost surely every accumulation point in an identified subsequence of iterates produced by the algorithm, which includes a cut dropping scheme, is an optimal solution. The results are obtained by including a quadratic proximal term in the master program. In addition to the cut dropping scheme, other enhancements to the existing methodology are described. These include (i) a new updating rule for the retained cuts and (ii) an adaptive rule to determine when additional reestimation of the cut associated with the current solution is needed. The algorithm is tested on problems from the literature assuming both descrete and continuous random variables.A majority of this work is part of the author's Ph.D. dissertation prepared at the University of Arizona in 1990. 相似文献
15.
The primary goal of this paper is to price European options in the Merton's frame- work with underlying assets following jump-diffusion using fuzzy set theory. Owing to the vague fluctuation of the real financial market, the average jump rate and jump sizes cannot be recorded or collected accurately. So the main idea of this paper is to model the rate as a triangular fuzzy number and jump sizes as fuzzy random variables and use the property of fuzzy set to deduce two different jump-diffusion models underlying principle of rational expectations equilibrium price. Unlike many conventional models, the European option price will now turn into a fuzzy number. One of the major advantages of this model is that it allows investors to choose a reasonable European option price under an acceptable belief degree. The empirical results will serve as useful feedback information for improvements on the proposed model. 相似文献
16.
In this paper, we model and solve profit maximization problem of a telecommunications Bandwidth Broker (BB) under uncertain market and network infrastructure conditions. The BB may lease network capacity from a set of Backbone Providers (BPs) or from other BBs in order to gain profit by leasing already purchased capacity to end-users. BB’s problem becomes harder to deal with when bandwidth requests of end-users, profit and cost margins are not known in advance. The novelty of the proposed work is the development of a mechanism via combining fuzzy and stochastic programming methodologies for solving complex BP selection and bandwidth demand allocation problem in communication networks, based on the fact that information needed for making these decisions is not available prior to leasing capacity. In addition, suggested model aims to maximize BB’s decision maker’s satisfaction ratio rather than just profit. As a solution strategy, the resulting fuzzy stochastic programming model is transformed into deterministic crisp equivalent form and then solved to optimality. Finally, the numerical experiments show that on the average, proposed approach provides 14.30% more profit and 69.50% more satisfaction ratio compared to deterministic approaches in which randomness and vagueness in the market and infrastructure are ignored. 相似文献
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Optimal nonlinear feedback control of quasi-Hamiltonian systems 总被引:12,自引:0,他引:12
An innovative strategy for optimal nonlinear feedback control of linear or nonlinear stochastic dynamic systems is proposed
based on the stochastic averaging method for quasi-Hamiltonian systems and stochastic dynamic programming principle. Feedback
control forces of a system are divided into conservative parts and dissipative parts. The conservative parts are so selected
that the energy distribution in the controlled system is as requested as possible. Then the response of the system with known
conservative control forces is reduced to a controlled diffusion process by using the stochastic averaging method. The dissipative
parts of control forces are obtained from solving the stochastic dynamic programming equation.
Project supported by the National Natural Science Foundation of China (Grant No. 19672054) and Cao Guangbiao High Science
and Technology Development Foundation of Zhejiang University. 相似文献
19.
Peter Kink 《随机分析与应用》2018,36(2):240-256
We derive several new results on a well-known stochastic logistic equation. For the martingale case, we compute the distribution of the solution, mean passage times, and the distribution of hitting times, all in closed form. For the case of constant coefficients, we also find mean passage times and for the general equation we give the weak solution expressed in terms of stochastic quadratures. We also show how these quadratures may be considerably simplified using the results for the martingale case. As it turns out, the martingale case has a particularly elegant weak solution, and to a large degree its structure carries over to the general case. 相似文献
20.
The treasurer of a bank is responsible for the cash management of several banking activities. In this work, we focus on two of them: cash management in automatic teller machines (ATMs), and in the compensation of credit card transactions. In both cases a decision must be taken according to a future customers demand, which is uncertain. From historical data we can obtain a discrete probability distribution of this demand, which allows the application of stochastic programming techniques. We present stochastic programming models for each problem. Two short-term and one mid-term models are presented for ATMs. The short-term model with fixed costs results in an integer problem which is solved by a fast (i.e. linear running time) algorithm. The short-term model with fixed and staircase costs is solved through its MILP equivalent deterministic formulation. The mid-term model with fixed and staircase costs gives rise to a multi-stage stochastic problem, which is also solved by its MILP deterministic equivalent. The model for compensation of credit card transactions results in a closed form solution. The optimal solutions of those models are the best decisions to be taken by the bank, and provide the basis for a decision support system. 相似文献