双侧风险度量方法及其在投资组合优化模型中的应用

现有的资产风险度量方法不能合理的反映收益的向上波动给投资者带来的风险感受,针对这一不足,本文提出了一种新的风险度量方法,这一方法综合考虑了投资者对于损失的规避和对超额收益的偏好,能够更为真实的反映投资者对于资产收益双侧波动的不同风险感受.同时本文结合新的风险度量方法给出了投资组合优化模型,并对模型的解从不同角度进行了分析.研究结果表明,新的风险度量方法可以为投资者提供更有效的投资决策依据,并且投资者的风险态度对于投资组合有效前沿和最优投资组合都有显著的影响.     

On the calculation of a membership function for the solution of a fuzzy linear optimization problem

In the present paper the fuzzy linear optimization problem (with fuzzy coefficients in the objective function) is considered. Recent concepts of fuzzy solution to the fuzzy optimization problem based on the level-cut and the set of Pareto optimal solutions of a multiobjective optimization problem are applied. Chanas and Kuchta suggested one approach to determine the membership function values of fuzzy optimal solutions of the fuzzy optimization problem, which is based on calculating the sum of lengths of certain intervals. The purpose of this paper is to determine a method for realizing this idea. We derive explicit formulas for the bounds of these intervals in the case of triangular fuzzy numbers and show that only one interval needs to be considered.     

对小麦发育后期茎秆抗倒性问题的研究

针对小麦发育后期茎秆抗倒伏性问题,首先运用了数理统计与分析的相关知识,建立了各品种小麦的抗倒伏指数模型并对其进行了求解;其次,通过建立相关性系数模型并结合SPSS软件分析研究了抗倒伏指数与茎秆外部形态特征之间的关系;然后,建立了以抗倒伏能力最强和经济系数最大为目标的双目标优化模型来确定不同单穗重小麦的理想株型结构;最后,建立了基于力学分析的小麦茎秆抗倒伏性能的综合评价模型与抗倒伏风速模型.     

A nonconvex approach to low‐rank matrix completion using convex optimization

This paper deals with the problem of recovering an unknown low‐rank matrix from a sampling of its entries. For its solution, we consider a nonconvex approach based on the minimization of a nonconvex functional that is the sum of a convex fidelity term and a nonconvex, nonsmooth relaxation of the rank function. We show that by a suitable choice of this nonconvex penalty, it is possible, under mild assumptions, to use also in this matrix setting the iterative forward–backward splitting method. Specifically, we propose the use of certain parameter dependent nonconvex penalties that with a good choice of the parameter value allow us to solve in the backward step a convex minimization problem, and we exploit this result to prove the convergence of the iterative forward–backward splitting algorithm. Based on the theoretical results, we develop for the solution of the matrix completion problem the efficient iterative improved matrix completion forward–backward algorithm, which exhibits lower computing times and improved recovery performance when compared with the best state‐of‐the‐art algorithms for matrix completion. Copyright © 2016 John Wiley & Sons, Ltd.     

Optimization of Neutrino Oscillation Parameters Using Differential Evolution

We show how the traditional grid based method for finding neutrino oscillation parameters m2 and tan 2θ can be combined with an optimization technique,Differential Evolution(DE),to get a significant decrease in computer processing time required to obtain minimal chi-square(χ2) in four different regions of the parameter space.We demonstrate efficiency for the two-neutrinos case.For this,the χ2 function for neutrino oscillations is evaluated for grids with different density of points in standard allowed regions of the parameter space of m2 and tan 2θ using experimental and theoretical total event rates of chlorine(Homestake),Gallex+GNO,SAGE,Superkamiokande,and SNO detectors.We find that using DE in combination with the grid based method with small density of points can produce the results comparable with the one obtained using high density grid,in much lesser computation time.     

A comparison of different entransy flow definitions and entropy generation in thermal radiation optimization

In thermal radiation, taking heat flow as an extensive quantity and defining the potential as temperature T or the black body emissive power U will lead to two different definitions of radiation entransy flow and the corresponding principles for thermal radiation optimization. The two definitions of radiation entransy flow and the corresponding optimization prin ciples are compared in this paper. When the total heat flow is given, the optimization objectives of the extremum entransy dissipation principles （EEDPs） developed based on potentials T and U correspond to the minimum equivalent temperature difference and the minimum equivalent blackbody emissive power difference respectively. The physical meaning of the definition based on potential U is clearer than that based on potential T, but the latter one can be used for the coupled heat transfer optimization problem while the former one cannot. The extremum entropy generation principle （EEGP） for thermal radiation is also derived, which includes the minimum entropy generation principle for thermal radiation. When the radiation heat flow is prescribed, the EEGP reveals that the minimum entropy generation leads to the minimum equivalent thermodynamic potential difference, which is not the expected objective in heat transfer. Therefore, the minimum entropy generation is not always appropriate for thermal radiation optimization. Finally, three thermal radiation optimization examples are discussed, and the results show that the difference in optimization objective between the EEDPs and the EEGP leads to the difference between the optimization results. The EEDP based on potential T is more useful in practical application since its optimization objective is usually consistent with the expected one.     

Geometric and operational optimization of 20-kHz probe-type sonoreactor for enhancing sonochemical activity

The use of a 20-kHz probe-type sonicator irradiating downward in a 500 mL vessel was optimized for the enhancement of the sonochemical activity in terms of the geometric and operational factors. These factors included the probe immersion depth (the vertical position of the probe), input power, height of the liquid from the bottom, horizontal position of the probe, and thickness of bottom plate The sonochemical oxidation reactions were investigated both quantitatively and qualitatively using calorimetry, KI dosimetry, and luminol (Sonochemiluminescence, SCL) techniques. The sonochemical activity was very positively affected by the vertical boundaries. The highest sonochemical activity was obtained when the probe was placed close to the bottom of the vessel (immersion depth of 60 mm), with a high input power (input power of 75%), and optimal liquid height condition (liquid height of 70 mm). The SCL image analysis showed that the cavitational activity zone gradually expanded around the probe body and changed into a circular shape as the experimental conditions were optimized, and consequently the sonochemical activity increased. The formation of a large bright circular-shaped activity zone could be attributed to the strong reflections of the ultrasound firstly, at the vessel bottom and secondly, at the liquid surface. On the other hand, the cavitational activity zone and the sonochemical activity were negatively affected by the horizontal boundaries when the probe was placed close to the side wall of the vessel. In addition, it was found that the sonochemical activity was also significantly affected by the thickness of the support plate owing to the reflection and transmission of the ultrasound at the boundary between the liquid and the solid media.     

Generative Art with Swarm Landscapes

We present a generative swarm art project that creates 3D animations by running a Particle Swarm Optimization algorithm over synthetic landscapes produced by an objective function. Different kinds of functions are explored, including mathematical expressions, Perlin noise-based terrain, and several image-based procedures. A method for displaying the particle swarm exploring the search space in aesthetically pleasing ways is described. Several experiments are detailed and analyzed and a number of interesting visual artifacts are highlighted.     

基于TDLAS技术的CH4气体检测与温度补偿方法

CH₄气体的精准检测对防止矿井瓦斯爆炸,确保安全生产至关重要。目前基于可调谐半导体激光吸收光谱技术（TDLAS）存在因温度变化导致气体浓度测量误差较大。探究了基于TDLAS的CH₄气体检测系统与温度补偿方法,分析温度对CH₄气体吸收谱线的影响,通过算法补偿模型消除环境温度对CH₄气体检测的影响。依据TDLAS技术原理及相关理论,对系统发射单元、吸收池、信号接收单元、数据处理单元进行设计,搭建了基于TDLAS技术的CH₄气体浓度检测系统,实验检测了不同环境温度（10~50 ℃）时0.04%CH₄气体浓度,分析温度变化对CH₄气体在波长为1.653 μm处吸收谱线强度和半宽度的影响。为消除温度对CH₄气体检测的影响并提高补偿效果,采用粒子群优化算法（PSO）优化BP神经网络（BPNN）的最佳权值和阈值,建立CH₄气体的PSO-BP温度补偿模型,克服了BP神经网络收敛速度慢、易陷入局部最优的缺点。结果表明：（1）基于TDLAS的CH₄气体检测浓度随环境温度升高而下降,整个实验温度内相对误差范围为4.25%~12.13%,不同环境温度下CH₄气体检测浓度与温度之间的关系可用一元三次多项式表示;（2）CH₄气体的吸收强度和半宽度随着温度的升高而下降,与温度变化之间的关系为单调递减函数,温度对CH₄气体吸收谱线强度的相对变化率大于吸收谱线半宽度的相对变化率,CH₄气体吸收谱线的强度更容易受温度变化的影响;（3）BP神经网络和PSO-BP模型测试样本的绝对平均误差（MAE）分别为12.88%和1.81%,平均绝对百分比误差（MAPE）分别为2.3%和0.3%,均方根误差（RMSE）分别为15.96%和2.69%,相关系数R2分别为0.980 6和0.999 6。通过建立PSO-BP温度补偿模型,补偿效果大部分分布在±1.0%的误差范围内,MAE,MAPE,RMSE和R2等评价指标均大幅度提升,对提高TDLAS技术在矿井CH₄的精准检测具有一定的参考意义。