动态空域扇区划分管制员指派优化方法

以训练成本最小化为目标,构建了动态扇区划分管制员指派数学模型,通过引入虚拟扇区将模型设计成标准指派问题,为采用LINGO或MATLAB等工具求解奠定了基础.用空间集合抽象了管制员所管控扇区在扇区变动前后的位置关系,根据位置关系用代数式量化了指派成本.根据计算分析结果,提出了减少训练成本,缩短动态扇、区前置准备时间的建议措施.     

Differential game approach to pricing and advertising decisions

This study proposes a model to make concurrent decisions on dynamic pricing and advertising to maximise firms' profitability over an infinite time horizon in a duopoly market. To this end, the Nerlove-Arrow pricing and advertising model is designed in the presence of shifting costs in a dynamic duopolistic competition as a differential game. The Nash equilibrium solution is defined based upon a set of Hamilton–Jacobi–Bellman. Four scenarios are applied for economic interpretations and the efficacy of the model.     

基于排序预测的带交易费用在线投资组合策略

在线投资组合决策过程中频繁调整资产头寸会产生较多的交易费用。本文提出了一个综合考虑预期收益和交易费用的在线投资组合策略。通过预测资产的排序计算组合的预期收益,利用相对熵距离衡量交易费用,构造了一个极大化预期收益和极小化交易费用的优化模型,从而得到了一个在线投资组合更新策略。然后,从理论上证明了该策略具有BH泛证券性,即该策略与离线的最优购买并持有策略具有相同的渐近平均指数收益率。最后,采用中美股票市场实际数据,对该策略进行了数值分析。结果表明,该策略的表现优于已有的在线投资组合策略,且对模型的参数不敏感。     

An analysis of transaction costs in participating life insurance under mean–variance preferences

Transaction costs with respect to distribution and administration play a crucial role for the performance of participating life insurance products. The aim of this paper is to investigate the impact of such initial and annual transaction costs on policyholder mean–variance preferences depending on the contract features, comparing a point-to-point guarantee, a cliquet-style guarantee, and a money-back guarantee with annual surplus component. We extend previous work by deriving analytical solutions for the maximum allowed initial transaction costs as well as the risk aversion parameter that ensure a given customer preference level for different contract types. We further conduct simulation analyses to identify key factors in regard to transaction costs. One main finding is that in the present setting, insurers can indeed charge higher costs for more complex products with cliquet-style features, and that the difference in costs between the various product types increases considerably in a low interest-rate environment. However, these results are heavily impacted and even reversed depending on the risk–return asset characteristics, as insurers with a riskier asset management strategy may no longer be able to charge higher transaction costs for complex products with a strong annual cliquet-style surplus participation component without reducing their attractiveness to customers.     

A cutting plane approach to capacitated lot-sizing with start-up costs

We consider a mixed integer model for multi-item single machine production planning, incorporating both start-up costs and machine capacity. The single-item version of this model is studied from the polyhedral point of view and several families of valid inequalities are derived. For some of these inequalities, we give necessary and sufficient facet inducing conditions, and efficient separation algorithms. We use these inequalities in a cutting plane/branch and bound procedure. A set of real life based problems with 5 items and up to 36 periods is solved to optimality.     

Dynamic scheduling to minimize lost sales subject to set-up costs

We consider scheduling a shared server in a two-class, make-to-stock, closed queueing network. We include server switching costs and lost sales costs (equivalently, server starvation penalties) for lost jobs. If the switching costs are zero, the optimal policy has a monotonic threshold type of switching curve provided that the service times are identical. For completely symmetric systems without set-ups, it is optimal to serve the longer queue. Using simple analytical models as approximations, we derive a heuristic scheduling policy. Numerical results demonstrate the effectiveness of our heuristic, which is typically within 10% of optimal. We also develop and test a heuristic policy for a model in which the shared resource is part of a series network under a CONWIP release policy. This revised version was published online in June 2006 with corrections to the Cover Date.     

Allocating costs of a shared server with stochastic service parameters and job class priorities

This paper develops an approach to allocate common costs to two divisions that share a process, where there is a trade-off between the joint investment in the process and the delays that a division’s jobs are expected to experience there. We allow one division’s jobs to have priority over the other division’s jobs. One purpose of allocation is to obtain accuracy in costing of products reflecting their consumption of resources. The second purpose, the incentive issue, is to elicit truthful reports of private information possessed by each division on (i) delay cost parameters or (ii) expected usage, this information being needed for the investment decision. In case (i), we find that when a division’s private information on its delay costs is poor or non-existent, it would prefer to invest at a weakly higher level than its accounting cost information justifies. In other words, a firm that allocates service center costs depending only on accounting measures of delay costs will under-invest in a shared facility. In case (ii), we find that to elicit truthful reporting by divisions requires a cost allocation rule that involves a complex monitoring of various physical parameters broadly related to the pattern of waiting times. This complexity is driven by the fact that one division has priority. However because actual usage provides an ex post estimate of expected usage up to some random error, a penalty scheme based on directly monitoring actual usage can be used to enforce truth telling up to any desired approximation.     

A unified approach to portfolio optimization with linear transaction costs

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the problem within our unified framework.     

带交易费用的证券组合投资选择的优化模型

本文利用在约束条件中加入证券多样化选择约束的办法来抵减非系统风险 ,就证券组合投资的选择问题 ,建立了带交易费用的综合考虑收益和风险的多目标规划模型 ,然后通过变换将不可微的多目标规划问题转化为一个多目标线性规划问题 ,最后给出了问题的一个算法和算例