A Characteristic Finite Volume Element Method for the Air Pollution Model

In this article, a characteristic finite volume element method is presented for solving air pollution models. The convection term is discretized using the characteristic method and diffusion term is approximated by finite volume element method. Compared with standard finite volume element method, our proposed method is more accurate and efficient, especially suitable to solve convection-dominated problems. The proposed numerical schemes are analyzed for convergence in L ₂ norm. Some numerical results are presented to demonstrate the efficiency and accuracy of the method.     

Graphical Models for Ordinal Data

This article considers a graphical model for ordinal variables, where it is assumed that the data are generated by discretizing the marginal distributions of a latent multivariate Gaussian distribution. The relationships between these ordinal variables are then described by the underlying Gaussian graphical model and can be inferred by estimating the corresponding concentration matrix. Direct estimation of the model is computationally expensive, but an approximate EM-like algorithm is developed to provide an accurate estimate of the parameters at a fraction of the computational cost. Numerical evidence based on simulation studies shows the strong performance of the algorithm, which is also illustrated on datasets on movie ratings and an educational survey.     

分层立方体网络的容错性分析

通过分层立方网络HCNn (n≥3)的容错性分析,从理论上探讨了分层立方网络基于比较模型的条件诊断度,并证明其条件诊断度为tc(HCNn)=3n?2,大约是传统诊断度(t(HCNn)=n+1)的3倍.     

中国股市行业板块的动态相关性建模——基于DCC—MVGARCH模型

相关性的讨论是现代金融分析的重要内容,行业板块的相关分析是组合投资的关键步骤。基于能刻画动态相关的DCC-MVGARCH模型对我国波动剧烈的六个股市行业板块进行了相关性研究,结果表明：十个板块相关性序列可看成常量,Pearson相关系数仍能刻画其相对大小,这为机构投资者按Pearson相关系数进行组合构建提供了实证依据;五个动态相关性序列是宽平稳而非严平稳的,适合采用随机过程建模以实现预测,另外动态相关性与时变波动率存在一定的关系,当波动率增强时,相关性有随之增大的趋势。     

理赔额与理赔间隔相依的风险模型的若干结论

本文研究了一类具有相依结构的风险模型.利用无穷小方法,得到了Gerber-Shiu罚金折现期望函数所满足的积分-微分方程,给出了破产时刻,破产赤字及破产前瞬时盈余的拉普拉斯变换的积分-微分方程的应用.最后,在具有常数红利边界下的同-风险模型中,分析了红利支付的期望现值.     

基于KKT和量子遗传算法的风火电联合上网最优决策

研究了同时考虑节能减排效益和经济效益时,风火电联合上网的决策模型,并采用提出的KKT框架下的量子遗传算法进行模型的求解。综合考虑风电和火电的特点,建立经济效益函数和节能减排效益函数以及相关的约束条件,最终确立多目标决策模型。在KKT框架下将多目标函数转化为单目标,并利用量子遗传算法进行模型的求解。算例分析显示本文提出的KKT框架下的量子遗传算法在决策模型的求解时能够利用更少的CPU运行时间获得更优的决策结果,与其他常用的优化模型相比具有较高的优越性。     

关于地球健康的双层耦合网络模型

建立了一个基于平均场动力学的微分方程组和反应—扩散模型的双层耦合网络模型,用来分析、预测及评价地球生物与环境的健康问题。在双层耦合网络模型中,根据地球地理和气候分布,将全球划分为九块区域,并以此作为全球网络的节点;同时,七个具有代表性的反映地球健康状况的元素,如人口密度、森林、空气质量、生物多样性等,被挑选出作为元素网络的节点。再通过平均场动力学微分方程,建立并描述了各个元素间的联系与相互作用;利用数据确定模型参数,从而完善模型,最后,以此模型完成寻找临界点、灵敏度分析、网络结构分析、引入不确定性等工作。     

Chan-Vese模型的共轭梯度算法

随着图像采集设备的发展和对图像分辨率要求的提高,人们对图像处理算法在收敛速度和鲁棒性方面提出了更高的要求.从优化的角度对Chan-Vese模型进行算法上的改进,即将共轭梯度法应用到该模型中,使得新算法有更快的收敛速度.首先,简单介绍了Chan-Vese模型的变分水平集方法的理论框架;其次,将共轭梯度算法引入到该模型的求解,得到了模型的新的数值解方法;最后,将得到的算法与传统求解Chan-Vese模型的最速下降法进行了比较.数值实验表明,提出的共轭梯度算法在保持精度的前提下有更快的收敛速度.     

局部平稳短期利率扩散模型的半参数估计

主要研究局部平稳扩散模型的半参数估计．首先,基于局部常数拟合,利用局部加权最小二乘法得到了漂移参数函数的估计量．同时,通过Kolmogorov向前方程,得到了扩散函数的估计量．然后,分别讨论了所得估计量的相合性和渐近正态性．最后,通过模拟研究说明了估计量的有效性．     

Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance

This article is concerned with a risk-sensitive stochastic optimal control problem motivated by a kind of optimal portfolio choice problem in the financial market. The maximum principle for this kind of problem is obtained, which is similar in form to its risk-neutral counterpart. But the adjoint equations and maximum condition heavily depend on the risk-sensitive parameter. This result is used to solve a kind of optimal portfolio choice problem and the optimal portfolio choice strategy is obtained. Computational results and figures explicitly illustrate the optimal solution and the sensitivity to the volatility rate parameter.