Regression analysis of right-censored failure time data with missing censoring indicators

This paper discusses regression analysis of right-censored failure time data when censoring indicators are missing for some subjects. Several methods have been developed for the analysis under different situations and especially, Goetghebeur and Ryan considered the situation where both the failure time and the censoring time follow the proportional hazards models marginally and developed an estimating equation approach. One limitation of their approach is that the two baseline hazard functions were assumed to be proportional to each other. We consider the same problem and present an efficient estimation procedure for regression parameters that does not require the proportionality assumption. An EM algorithm is developed and the method is evaluated by a simulation study, which indicates that the proposed methodology performs well for practical situations. An illustrative example is provided.     

Optimal investment and reinsurance of an insurer with model uncertainty

We introduce a novel approach to optimal investment–reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is governed by either a compound Poisson process or its diffusion approximation. The company can also transfer a certain proportion of the insurance risk to a reinsurance company by purchasing reinsurance. The optimal investment–reinsurance problems with model uncertainty are formulated as two-player, zero-sum, stochastic differential games between the insurance company and the market. We provide verification theorems for the Hamilton–Jacobi–Bellman–Isaacs (HJBI) solutions to the optimal investment–reinsurance problems and derive closed-form solutions to the problems.     

Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth

We consider a problem of optimal reinsurance and investment with multiple risky assets for an insurance company whose surplus is governed by a linear diffusion. The insurance company’s risk can be reduced through reinsurance, while in addition the company invests its surplus in a financial market with one risk-free asset and n risky assets. In this paper, we consider the transaction costs when investing in the risky assets. Also, we use Conditional Value-at-Risk (CVaR) to control the whole risk. We consider the optimization problem of maximizing the expected exponential utility of terminal wealth and solve it by using the corresponding Hamilton-Jacobi-Bellman (HJB) equation. Explicit expression for the optimal value function and the corresponding optimal strategies are obtained.     

改进差分进化算法求解装载率凹费用装箱问题

研究了广泛存在于物流作业中一类新型的装箱问题,主要特征体现在箱子使用费用是关于装载率的凹函数。为求解问题,提出了一种基于分组编码策略的改进差分进化算法,以避免常规实数和整数编码方法存在放大搜索空间的不足。针对分组编码策略,定制化设计了以促进优秀基因传播为导向的新型变异和交叉操作,另外还嵌入了以物品置换为邻域的自适应局部搜索操作以增强局部搜索能力。对以往文献给出算例在不同凹费用函数下进行测试,实验结果显示所提出的算法明显优于BFD启发式算法,并且较遗传算法也有显著性改进。     

流动微泡群瞬态空化强度时域分布的比例反馈调节*

声波、血流环境及流动微泡群的稳定性都会影响焦区内瞬态空化强度(ICI)在超声作用时间内的分布,从而影响基于瞬态空化的治疗效率和生物安全性。本文在搭建仿体中流动微泡群瞬态空化发生和实时测量系统的基础上,设计了基于LabView FPGA的比例反馈控制器,在保持脉冲重复频率和脉冲长度不变的条件下,通过选择适当的比例系数,依据当前周期的声波激励下实时测量的ICI,实时调节下一周期声波信号的峰值负压,以调控ICI在时间上的分布。研究表明,在最优比例系数(1 × 107)下,和开环系统相比,ICI的稳定率提升~2.31 倍,ICI的时域下降速率减小~94.41%;在超声作用时间内总ICI也基本达到期望水平。这些结果表明该比例反馈控制器在调控脉冲超声激励下流动微泡群ICI时域分布的有效性,有望改进瞬态空化在相关疾病治疗中的效率和安全性。     

Numerical solution of an optimal investment problem with proportional transaction costs

This paper mainly concerns the numerical solution of a nonlinear parabolic double obstacle problem arising in a finite-horizon optimal investment problem with proportional transaction costs. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints and the properties of the utility function allow to obtain the optimal investment solution from a nonlinear problem posed in one spatial variable. The proposed numerical methods mainly consist of a localization procedure to pose the problem on a bounded domain, a characteristics method for time discretization to deal with the large gradients of the solution, a Newton algorithm to solve the nonlinear term in the governing equation and a projected relaxation scheme to cope with the double obstacle (free boundary) feature. Moreover, piecewise linear Lagrange finite elements for spatial discretization are considered. Numerical results illustrate the performance of the set of numerical techniques by recovering all qualitative properties proved in Dai and Yi (2009) [6].     

考虑成本因素的税企博弈模型

本在献[1]的基础上,进一步考虑成本因素在更为一般的条件下建立了新的税企博弈模型,得到国家税务机关最优混合策略及其骗税罚款系数公式,并且指出献[1]的结论是本的一个推论。     

An Exact Procedure for the Resource-Constrained Weighted Earliness–Tardiness Project Scheduling Problem

In this paper we study the resource-constrained project scheduling problem with weighted earliness–tardinesss penalty costs. Project activities are assumed to have a known deterministic due date, a unit earliness as well as a unit tardiness penalty cost and constant renewable resource requirements. The objective is to schedule the activities in order to minimize the total weighted earliness–tardinesss penalty cost of the project subject to the finish–start precedence constraints and the constant renewable resource availability constraints. With these features the problem becomes highly attractive in just-in-time environments.We introduce a depth-first branch-and-bound algorithm which makes use of extra precedence relations to resolve resource conflicts and relies on a fast recursive search algorithm for the unconstrained weighted earliness–tardinesss problem to compute lower bounds. The procedure has been coded in Visual C++, version 4.0 under Windows NT. Both the recursive search algorithm and the branch-and-bound procedure have been validated on a randomly generated problem set.     

Some results on the proportional reversed hazards model

The proportional reversed hazards model consists in describing random failure times by a family {[F(x)]^θ, θ>0} of distribution functions, where F(x) is a baseline distribution function. We show various results on this model related to some topics in reliability theory, including ageing notions of random lifetimes, comparisons based on stochastic orders, and relative ageing of distributions.     

Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints

We will propose a branch and bound algorithm for calculating a globally optimal solution of a portfolio construction/rebalancing problem under concave transaction costs and minimal transaction unit constraints. We will employ the absolute deviation of the rate of return of the portfolio as the measure of risk and solve linear programming subproblems by introducing (piecewise) linear underestimating function for concave transaction cost functions. It will be shown by a series of numerical experiments that the algorithm can solve the problem of practical size in an efficient manner. Received: July 15, 1999 / Accepted: October 1, 2000?Published online December 15, 2000