Uniform quasi-concavity in probabilistic constrained stochastic programming

A probabilistic constrained stochastic linear programming problem is considered, where the rows of the random technology matrix are independent and normally distributed. The quasi-concavity of the constraining function needed for the convexity of the problem is ensured if the factors of the function are uniformly quasi-concave. A necessary and sufficient condition is given for that property to hold. It is also shown, through numerical examples, that such a special problem still has practical application in optimal portfolio construction.     

Adsorption of chlorophenol on the Cu(1 1 1) surface: A first-principles density functional theory study

The interaction between a 2-chlorophenol (C₆H₄OHCl) molecule and the Cu(1 1 1) surface has been investigated using density functional theory as an initial step in gaining a better understanding of the catalyzed formation of dioxin compounds on a clean copper surface. The 2-chlorophenol molecule is found to form several weakly bonded, horizontally and vertically oriented configurations. Dissociative modes have also been investigated. For the latter, the formation of phenyl and benzyne fragments is found to be more energetically favourable than the formation of 2-chlorophenoxy radicals.     

Adsorption and reactions of HN3 on Si(1 0 0)-2 × 1: A computational study

We have studied the adsorption and decomposition of HN₃ on Si(1 0 0)-2 × 1 surface using the hybrid density functional B3LYP method and effective core potential basis, LanL2DZ, with Si₁₅H₁₆ as a double dimer surface model for cluster calculations. The result shows that the barriers for the dissociative adsorption of HN₃ forming HN(a) + N₂(g) are quite low by stepwise dissociation processes occurring either on a dimer or across the dimers. The low activation energies are consistent with previous experimental observations that the molecularly adsorbed HN₃(a) can undergo decomposition producing HN(a) at low surface temperatures. On the other hand, the predicted activation energies for the N₃(a) + H(a) formation processes are all relatively higher. These results also explain the absence of the N₃(a) species in HREELS measurements following each annealing experiment. Several selected reaction paths were also confirmed with slab model calculations using an optimization approach coupling the energy and gradient calculations by the slab model with the geometrical optimization using Berny algorithm.In addition, the adsorbate effect was examined for the end-on and side-on molecular configurations. For the side-on adsorption configuration, all possible combinations with 1-4 adsorbates can exist on the four surface Si sites of the double dimers, with adsorption energies lying closely to the multiples of that of a single side-on adsorbate (LM2); i.e., adsorption energies are nearly additive. Interestingly, for the end-on adsorption, only 1 and 2 HN₃ molecules can adsorb on a dimer due to the presence of the negative charges on the remaining Si sites in the neighboring dimer. For the two end-on adsorbates on the same dimer, the total adsorption energy is close to two times that of HN₃(a) or LM1. For the mixed end-on/side-on configurations, only one of each type can co-exist on a single dimer pair (Si₁-Si₂ or Si₃-Si₄) sites with adsorption energy close to the sum of those of one end-on and one side-on adsorbate. Finally, the predicted reaction routes and vibrational frequencies showed good agreement with previous experimental results. The stabilities of many ad-species involved in these reactions with end-on and/or side-on configurations have been predicted together with the transition states connecting those species.     

回归分析在高等教育评价中建立预测模型的应用

对教育行为、教育规律进行数量化研究是很有意义的工作.本文尝试用回归分析理论,建立高等教育的预测模型,使用的主要方法是最小二乘法.     

Optimality conditions in portfolio analysis with general deviation measures

Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable could be the rate of return from a portfolio of financial instruments. General measures of deviation go beyond standard deviation in satisfying axioms that do not demand symmetry between ups and downs. The optimality conditions are applied to characterize the generalized ``master funds' which elsewhere have been developed in extending classical portfolio theory beyond the case of standard deviation. The consequences are worked out for deviation based on conditional value-at-risk and its variants, in particular.     

Lateral interactions and nonequilibrium in adsorption and desorption. Part 2. A kinetic lattice gas model for (2 × 2)-(3O + NO)/Ru(0 0 1)

A kinetic lattice gas model is set up to study nonequilibrium effects in thermal desorption caused by limited mobility in the adsorbate. Treating the theoretical desorption spectra as input data we show that nonequilibrium effects must show up when different types of Arrhenius analyses, such as threshold and isosteric methods, are applied. We obtain estimates of the lateral NO interaction energies. The theory developed here has broader applicability beyond the present system.     

New concepts and algorithms for portfolio choice

The paper studies the design of optimal (bond) portfolios taking into account various possible utility functions of an investor. The most prominent model for portfolio optimization was introduced by Markowitz. A real solution in this model can be achieved by quadratic programming routines for mean-variance analysis. Of course, there are many reasons for an investor to prefer other utility criteria than return/variance of return in the Markowitz model. In the last few years, many efficient multiple purpose optimization heuristics have been invented for the needs in optimizing telephone nets, chip layouts, job shop scheduling etc. Some of these heuristics have essential advantages: they are extremely flexible and very easy to implement on computers. One example of such an algorithm is the threshold-accepting algorithm (TA). TA is able to optimize portfolios under nearby arbitrary constraints and subject to nearly every utility function. In particular, the utility functions need neither to be convex, differentiable nor ‘smooth’ in any sense. We implemented TA for bond portfolio optimization with different utility criteria. The algorithms and computational results are presented. Under various utility functions, the ‘best’ portfolios look surprisingly different and have quite different qualities. Thus, for a portfolio manager it might be useful to provide himself with such a ‘multiple-taste’ optimizer in order to be able easily to readjust it according to his own personal utility considerations.     

Charge-changing transitions in an extended Lipkin-type model

Charge-changing transitions are considered in an extended Lipkin-Meshkov-Glick (LMG) model taking into account explicitly the proton and neutron degrees of freedom. The proton and neutron Hamiltonians are taken to be of the LMG form and, in addition, a residual proton-neutron interaction is included. Model charge-changing operators and their action on eigenfunctions of the model Hamiltonian are defined. Transition amplitudes of these operators are calculated using exact eigenfunctions and then the RPA approximation. The best agreement between the two kinds of calculation is obtained when the correlated RPA ground state, instead of the uncorrelated HF ground state, is employed and when the proton-neutron residual interaction, besides the proton-proton and neutron-neutron residual interactions, is taken into account in the model Hamiltonian. Received: 4 May 1998     

Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities

In this paper, we first define risk in an axiomatic way and a class of utility functions suitable for the so-called mean-risk analysis. Then, we show that, in a portfolio selection problem with multiple risky investments, an investor who is more risk averse in the Arrow-Pratt sense prefers less risk, in the sense of this paper, with less mean return, and an investor who displays increasing (decreasing) relative risk aversion becomes more conservative (aggressive) as the initial capital increases. The risk aversion effect for diversification on optimal portfolios is also discussed.