EQUIVALENCIES IN THE FISHERY

Abstract We consider the management of a resource by a sole owner whose utility depends on income and leisure. Income is generated from time spent harvesting the resource and time spent working for a wage in the nonfishing sector. Our analysis produces two results. (i) The sole owner maximizing discounted utility will seek to achieve the same steady‐state optimum as a manager seeking to maximize discounted net revenue. (ii) The approach paths to the common steady‐state optimum will be the same if the utility function is linear in income and separable in income and leisure. These equivalencies are illustrated in a numerical example.     

Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints

ABSTRACT

We consider, within a Markovian complete financial market, the problem of finding the least expensive portfolio process meeting, at each payment date, three different types of risk criterion. Two of them encompass an expected utility-based measure and a quantile hedging constraint imposed at inception on all the future payment dates, while the other one is a quantile hedging constraint set at each payment date over the next one. The quantile risk measures are defined with respect to a stochastic benchmark and the expected utility-based constraint is applied to random payment dates. We explicit the Legendre-Fenchel transform of the pricing function. We also provide, for each quantile hedging problem, a backward dual algorithm allowing to compute their associated value function by backward recursion. The algorithms are illustrated with a numerical example.     

Wealth optimization and dual problems for jump stock dynamics with stochastic factor

An incomplete financial market is considered with a risky asset and a bond. The risky asset price is a pure jump process whose dynamics depends on a jump-diffusion stochastic factor describing the activity of other markets, macroeconomics factors or microstructure rules that drive the market. With a stochastic control approach, maximization of the expected utility of terminal wealth is discussed for utility functions of constant relative risk aversion type. Under suitable assumptions, closed form solutions for the value functions and for the optimal strategy are provided and verification results are discussed. Moreover, the solution to the dual problems associated with the utility maximization problems is derived.     

Asymptotic analysis for Merton's problem with transaction costs in power utility case

We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of the fractional power series expansions of the value function and the no-trading region.     

多周期公用工程系统运行的模型,优化方法与应用

针对多周期公用工程系统的运行优化问题，考虑了设备的启停费用的情况下。建立了混合整数非线性规划模型并证明了最优解的存在性。针对该运行优化问题本将其分解成若干子问题，然后利用改进的Hooke-Jeeves优化算法求解每个子问题。应用于具体实例，其数值结果与其它方法得到的相比。运行时间短，且更适合多周期公用工程问题的求解。     

电子政务系统中面向公众的个性化信息服务模型

电子政务作为Internet的主要应用领域，已受到世界各国的普遍关注。面对公众各种服务需求日趋个性化，如何打破政府职能机构的条块分割，构建一个一体化的虚拟政府，集成各类信息资源，为公众提供“一站式”的、个性化的服务，是当前电子政务理论和实践的热点课题。本文首先提出一个面向公众的“一站式”服务总体框架；其次，将个性化信息服务的概念引入到电子政务系统中，构建一个个性化信息服务模型；最后，运用数据挖掘技术对模型中的关键技术加以实现。     

非对称开采时矿柱失稳的尖点突变模型

针对非对称开采时矿柱稳定性问题建立了一个简化的力学模型．基于势能原理,应用尖点突变理论对矿柱成为非稳定系统进行了探讨,导出了失稳的充要条件、矿柱变形突跳量和能量释放表达式,为定量研究其失稳问题奠定了基础．结果表明:系统的失稳不仅与其所受载荷有关,而且与其内部刚度分配有关,当相对刚度值越大,所承受的临界载荷也越大,越不容易失稳．反之,越容易失稳,且失稳时所释放的能量越大,危害也越大．给出了算例,其计算结果可为安排开采顺序、合理布置采场等提供依据．     

Multicategory classification via discrete support vector machines

Discrete support vector machines (DSVM), originally proposed for binary classification problems, have been shown to outperform other competing approaches on well-known benchmark datasets. Here we address their extension to multicategory classification, by developing three different methods. Two of them are based respectively on one-against-all and round-robin classification schemes, in which a number of binary discrimination problems are solved by means of a variant of DSVM. The third method directly addresses the multicategory classification task, by building a decision tree in which an optimal split to separate classes is derived at each node by a new extended formulation of DSVM. Computational tests on publicly available datasets are then conducted to compare the three multicategory classifiers based on DSVM with other methods, indicating that the proposed techniques achieve significantly higher accuracies. This research was partially supported by PRIN grant 2004132117.     

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.     

Outlier Mining Based on Principal Component Estimation

Outlier mining is an important aspect in data mining and the outlier mining based on Cook distance is most commonly used. But we know that when the data have multicoUinearity, the traditional Cook method is no longer effective. Considering the excellence of the principal component estimation, we use it to substitute the least squares estimation, and then give the Cook distance measurement based on principal component estimation, which can be used in outlier mining. At the same time, we have done some research on related theories and application problems.