两个安全第一思想模型的比较分析

针对投资者可能的投资需求确立了基于安全第一思想下两个相近的投资目标:1、极大化投资末期总收益率超过给定水平α的概率;2、极小化投资末期总收益率与给定水平α的距离.并分别就这两个目标建立了优化决策模型,得到了模型解析解,最后对两个模型结果进行了比较分析和经济解释.     

Experiences in Expert Systems

This paper describes some work carried out in the Scientific Research and Development Branch (SRDB) of the Home Office, intended to contribute to an overall aim of building up internal expertise in the field of expert systems. This was done by carrying out a number of pilot and demonstrator projects, two of which are described in some detail. The plan, which proved successful, was to build as far as possible on the relevant skills already possessed by an OR group in the branch. The lessons learned from these are summarized in the hope that they will be of use to other groups who wish to become involved in this important area.     

Program explanations and causal relevance

Frank Jackson and Philip Pettit have defended a non-reductive account of causal relevance known as the ‘program explanation account’. Allegedly, irreducible mental properties can be causally relevant in virtue of figuring in non-redundant program explanations which convey information not conveyed by explanations in terms of the physical properties that actually do the ‘causal work’. I argue that none of the possible ways to spell out the intuitively plausible idea of a program explanation serves its purpose, viz., defends non-reductive physicalism against Jaegwon Kim’s Causal Exclusion Argument according to which non-reductive physicalism is committed to epiphenomenalism because irreducible mental properties are ‘screened off’ from causal relevance by their physical realizers. Jackson and Pettit’s most promising explication of a program explanation appeals to the idea of invariance of effect under variation of realization, but I show that invariance of effect under variation of realization is neither necessary nor sufficient for causal relevance.     

Order restricted randomized designs for control versus treatment comparison

We develop a method of randomizing units to treatments that relies on subjective judgement or on possible coarse modeling to produce restrictions on the randomization. The procedure thus fits within the general framework of ranked set sampling. However, instead of selecting a single unit from each set for full measurement, all units within a set are used. The units within a set are assigned to different treatments. Such an assignment translates the positive dependence among units within a set into a reduction in variation of contrasting features of the treatments. A test for treatment versus control comparison, with controlled familywise error rate, is developed along with the associated confidence intervals. The new procedure is shown to be superior to corresponding procedures based on completely randomized or ranked set sample designs. The superiority appears both in asymptotic relative efficiency and in power for finite sample sizes. Importantly, this test does not rely on perfect rankings; rather, the information in the data on the quality of rankings is exploited to maintain the level of the test when rankings are imperfect. The asymptotic relative efficiency of the test is not affected by estimation of the quality of rankings, and the finite sample performance is only mildly affected.     

基于BDF的无约束优化方法的收敛性分析

1.介 绍 在上个世纪的七十年代末、八十年代初,基于常微分方程的优化方法或者说同伦方法是一类与拟牛顿法和共轭梯度法等我们所熟知的优化方法相竞争的重要方法[1-6,8,13,14,16].由于这类方法只是简单地利用现成的数值求解常微分方程的软件包,如CVODE[7]、LSODE[12],对同伦方程(一般是一个常微分方程的初值问题)进行计算,除了一些特殊的病态问题     

When should you sack a football manager? Results from a simple model applied to the English Premiership

What strategy should a football (soccer, in American parlance) club adopt when deciding whether to sack its manager? This paper introduces a simple model assuming that a club's objective is to maximize the number of league points that it scores per season. The club's strategy consists of three choices: the length of the honeymoon period during which it will not consider sacking a new manager, the level of the performance trapdoor below which the manager get the sack, and the weight that it will give to more recent games compared to earlier ones. Some data from the last six seasons of the English Premiership are used to calibrate the model. At this early stage of the research, the best strategy appears to have only a short honeymoon period of eight games (much less than the actual shortest period of 12 games), to set the trapdoor at 0.74 points per game, and to put 47% of the weight on the last five games. A club adopting this strategy would obtain on average 56.8 points per season, compared to a Premiership average of 51.8 points.     

On Bayes and unbiased estimators of loss

We consider estimation of loss for generalized Bayes or pseudo-Bayes estimators of a multivariate normal mean vector, θ. In 3 and higher dimensions, the MLEX is UMVUE and minimax but is inadmissible. It is dominated by the James-Stein estimator and by many others. Johnstone (1988, On inadmissibility of some unbiased estimates of loss,Statistical Decision Theory and Related Topics, IV (eds. S. S. Gupta and J. O. Berger), Vol. 1, 361–379, Springer, New York) considered the estimation of loss for the usual estimatorX and the James-Stein estimator. He found improvements over the Stein unbiased estimator of risk. In this paper, for a generalized Bayes point estimator of θ, we compare generalized Bayes estimators to unbiased estimators of loss. We find, somewhat surprisingly, that the unbiased estimator often dominates the corresponding generalized Bayes estimator of loss for priors which give minimax estimators in the original point estimation problem. In particular, we give a class of priors for which the generalized Bayes estimator of θ is admissible and minimax but for which the unbiased estimator of loss dominates the generalized Bayes estimator of loss. We also give a general inadmissibility result for a generalized Bayes estimator of loss. Research supported by NSF Grant DMS-97-04524.