Mixture estimation with state-space components and Markov model of switching

The paper proposes a recursive algorithm for estimation of mixtures with state-space components and a dynamic model of switching. Bayesian methodology is adopted. The main features of the presented approach are: (i) recursiveness that enables a real-time performance of the algorithm; (ii) one-pass elaboration of the data sample; (iii) dynamic nature of the model of switching active components; (iv) orientation at explicit solutions with exploitation of numerical procedures only in those parts which cannot be computed analytically; (v) systematic approach to the Bayesian mixture estimation theory.     

Subgame-perfection in free transition games

We prove the existence of a subgame-perfect ε-equilibrium, for every ε > 0, in a class of multi-player games with perfect information, which we call free transition games. The novelty is that a non-trivial class of perfect information games is solved for subgame-perfection, with multiple non-terminating actions, in which the payoff structure is generally not (upper or lower) semi-continuous. Due to the lack of semi-continuity, there is no general rule of comparison between the payoffs that a player can obtain by deviating a large but finite number of times or, respectively, infinitely many times. We introduce new techniques to overcome this difficulty.     

Dynamic decision making for graphical models applied to oil exploration

We present a framework for sequential decision making in problems described by graphical models. The setting is given by dependent discrete random variables with associated costs or revenues. In our examples, the dependent variables are the potential outcomes (oil, gas or dry) when drilling a petroleum well. The goal is to develop an optimal selection strategy of wells that incorporates a chosen utility function within an approximated dynamic programming scheme. We propose and compare different approximations, from naive and myopic heuristics to more complex look-ahead schemes, and we discuss their computational properties. We apply these strategies to oil exploration over multiple prospects modeled by a directed acyclic graph, and to a reservoir drilling decision problem modeled by a Markov random field. The results show that the suggested strategies clearly improve the naive or myopic constructions used in petroleum industry today. This is useful for decision makers planning petroleum exploration policies.     

Competition among non-life insurers under solvency constraints: A game-theoretic approach

We formulate a noncooperative game to model competition for policyholders among non-life insurance companies, taking into account market premium, solvency level, market share and underwriting results. We study Nash equilibria and Stackelberg equilibria for the premium levels, and give numerical illustrations.     

Bayesian analysis of loss reserving using dynamic models with generalized beta distribution

A Bayesian approach is presented in order to model long tail loss reserving data using the generalized beta distribution of the second kind (GB2) with dynamic mean functions and mixture model representation. The proposed GB2 distribution provides a flexible probability density function, which nests various distributions with light and heavy tails, to facilitate accurate loss reserving in insurance applications. Extending the mean functions to include the state space and threshold models provides a dynamic approach to allow for irregular claims behaviors and legislative change which may occur during the claims settlement period. The mixture of GB2 distributions is proposed as a mean of modeling the unobserved heterogeneity which arises from the incidence of very large claims in the loss reserving data. It is shown through both simulation study and forecasting that model parameters are estimated with high accuracy.     

Weibull分布步进应力加速寿命试验的Bayes估计

本文研究了定时和定数截尾情形CE模型下Weibull分布场合步进应力加速寿命试验的Bayes估计.利用加速系数和加速方程将各种加速应力水平下的尺度参数换算为正常应力水平下的尺度参数,从而获得含正常应力下尺度参数的似然函数.在参数先验的选取时,尺度参数和加速系数分别取共轭先验和无信息先验,当形状参数m<1和m>1时分别取Beta分布和Gamma分布作为其先验.在平方损失下,利用Gibbs抽样和切片抽样给出了该模型参数的Bayes估计.最后,通过Monte Carlo模拟表明该Bayes估计是有效的.     

广义矩阵分布下多元回归模型的贝叶斯推断

考虑具有奇异矩阵椭球等高分布误差的多元线性回归模型的贝叶斯统计推断,在非信息先验下得到了系数矩阵关于Hausdorff测度的后验边缘分布和未来观察值的预测分布,并得到了一类特殊奇异矩阵椭球等高分布下误差协方差矩阵的后验边缘分布.对于具有奇异矩阵正态分布误差的多元线性回归模型,在广义正态-逆Wishart共轭先验下得到了类似的后验边缘分布和预测分布结果.在上述两种先验分布下,回归系数矩阵的后验边缘分布和预测分布是双奇异矩阵t分布,这种分布具有关于Hausdorff测度的精确密度.结果表明,在非信息先验下,回归系数矩阵的后验边缘分布和未来观察值的预测分布在奇异矩阵椭球等高分布类中具有稳健性.     

对称群上Cayley图的条件匹配排除数

一个图的条件匹配排除数是最少的边的数量,使得从图中删除这些边后形成的图既没有孤立点,也没有完美匹配和几乎完美匹配.条件匹配排除数是衡量网络在边故障情况下的鲁棒性的参数之一.本文给出了对称群上Cayley图的条件匹配排除数.     

软件测试过程中的参与方关系分析

针对典型的第三方测试和内部测试情形进行建模,重点分析测试过程中参与方的合作关系问题.通过混合策略的贝叶斯纳什均衡给出第三方测试过程适用条件,采用沙普利值对参与方合作可能性进行探讨.根据内部测试与第三方测试过程的内在差别,利用重复博弈方法对其进行分析,提出了软件测试过程博弈分析的基本研究过程框架.     

Learning Bayesian Networks with the Combination of Evolutionary Algorithm and EMI Method

Most Bayesian network （BN） learning algorithms use EMI algorithm to deal with incomplete data. But EMI algorithm is of low efficiency due to its iterative parameter refinement, and the problem will become even worse when multiple runs of EMI algorithm are needed. Besides, EMI algorithm usually converges to local maxima, which also degrades the accuracy of EMI based BN learning algorithms. In this paper, we replace EMI algorithm used in BN learning tasks with EMI method to deal with incomplete data. EMI is a very efficient method, which estimates probability distributions directly from incomplete data rather than performs iterative refinement of parameters. Base on EMI method, we propose an effec- tive algorithm, namely EMI-EA. EMI-EA algorithm uses EMI method to estimate probability distribution over local structures in BNs, and evaluates BN structures with a variant of MDL scoring function. To avoid getting into local maxima of the search process, EMI-EA evolves BN struc- tures with an Evolutionary algorithm （EA）. The experi- mental results on Alarm, Asia and an examplar network show that EMI-EA algorithm outperforms EMI-EA for all samples and E-TPDA algorithms for small and middle size of samples in terms of accuracy. In terms of efficiency, EMI-EA is comparable with E-TPDA algorithm and much more efficient than EMI-EA algorithm. EMI-EA also out- performs EMI-EA and M-V algorithm when learning BNs with hidden variables.