基于鲁棒性的外加航班机组配对研究

为了提高中小型航空公司的服务水平,增强其应对外加航班的灵活性,文章针对外加航班机组配对问题设计了新型的机组配对方案.在基于传统的机组配对模型上,满足外加航班机组配对的要求下,提出具有鲁棒性的机组配对模型.之后通过算例分析,用CPLEX软件对所建立的模型进行求解,得出了模型下目标函数的最优解.最后通过不同结果的对比,显示了鲁棒性建模方法的好处并表明鲁棒性模型在以相对较小的成本增加而不干扰已有航班的情况下可以为恢复提供自然的选择,为中小型航空公司在处理外加航班问题上提供有意义的参考.     

Lévy noise with memory

In this article we propose a characteristic functional for Lévy stable noise with temporal correlations. The non-Markovian characteristic functional is inferred from a physical model that describes a particle interacting with an inhomogeneous environment.     

Arbitrary truncated Levy flight: Asymmetrical truncation and high-order correlations

The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. The generalized correlation approach has been used to describe a non-Gaussian random walk with independent, identically distributed increments in the general case, and high-order correlations have been investigated. The cumulants of an asymmetrically truncated Levy distribution have been found. The behaviors of asymmetrically truncated Levy flight, as a particular case of a random walk, are considered. It is shown that, in the Levy regime, high-order correlations between values of asymmetrically truncated Levy flight exist. The source of high-order correlations is the non-Gaussianity of the increments: the increment skewness generates threefold correlation, and the increment kurtosis generates fourfold correlation.     

Lévy walks for turbulence: A numerical study

We present a numerical study of enhanced diffusion, for which the mean-squared displacement follows asymptotically r ²(t) t , > 1. We simulate continuous time random walks with waiting-time distributions which couple the spatial and temporal parameters; this gives rise to Lévy-walks. Our results confirm the theoretically predicted long-time behavior and demonstrate its temporal regime of validity. Furthermore, the simulations document the appearance of (parameter-dependent) transitions between regular and enhanced diffusion regimes.     

Dynamics of normal and anomalous diffusion in nonlinear Fokker-Planck equations

Consequences of the connection between nonlinear Fokker-Planck equations and entropic forms are investigated. A particular emphasis is given to the feature that different nonlinear Fokker-Planck equations can be arranged into classes associated with the same entropic form and its corresponding stationary state. Through numerical integration, the time evolution of the solution of nonlinear Fokker-Planck equations related to the Boltzmann-Gibbs and Tsallis entropies are analyzed. The time behavior in both stages, in a time much smaller than the one required for reaching the stationary state, as well as towards the relaxation to the stationary state, are of particular interest. In the former case, by using the concept of classes of nonlinear Fokker-Planck equations, a rich variety of physical behavior may be found, with some curious situations, like an anomalous diffusion within the class related to the Boltzmann-Gibbs entropy, as well as a normal diffusion within the class of equations related to Tsallis’ entropy. In addition to that, the relaxation towards the stationary state may present a behavior different from most of the systems studied in the literature.     

Lévy flights in inhomogeneous environments

We study the long time asymptotics of probability density functions (pdfs) of Lévy flights in confining potentials that originate from inhomogeneities of the environment in which the flights take place. To this end we employ two model patterns of dynamical behavior: Langevin-driven and (Lévy-Schrödinger) semigroup-driven dynamics. It turns out that the semigroup modeling provides much stronger confining properties than the standard Langevin one. For computational and visualization purposes our observations are exemplified for the Cauchy driver and its response to external polynomial potentials (referring to Lévy oscillators), with respect to both dynamical mechanisms. We discuss the links of the Lévy semigroup motion scenario with that of random searches in spatially inhomogeneous media.     

Leptokurtic portfolio theory

The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The theory is called Leptokurtic, because it minimises the effects from “fat tails” of returns. The leptokurtic portfolio theory provides an optimal portfolio for investors, who define their risk-aversion as unwillingness to experience sharp drawdowns in asset prices. Two types of risks in asset returns are defined: a fluctuation risk, that has Gaussian distribution, and a drawdown risk, that deals with distribution tails. These risks are quantitatively measured by defining the “noise kernel” — an ellipsoidal cloud of points in the space of asset returns. The size of the ellipse is controlled with the threshold parameter: the larger the threshold parameter, the larger return are accepted for investors as normal fluctuations. The return vectors falling into the kernel are used for calculation of fluctuation risk. Analogously, the data points falling outside the kernel are used for the calculation of drawdown risks. As a result the portfolio optimisation problem becomes three-dimensional: in addition to the return, there are two types of risks involved. Optimal portfolio for drawdown-averse investors is the portfolio minimising variance outside the noise kernel. The theory has been tested with MSCI North America, Europe and Pacific total return stock indices.     

Walks on Apollonian networks

We carry out comparative studies of random walks on deterministic Apollonian networks (DANs) and random Apollonian networks (RANs). We perform computer simulations for the mean first-passage time, the average return time, the mean-square displacement, and the network coverage for the unrestricted random walk. The diffusions both on DANs and RANs are proved to be sublinear. The effects of the network structure on the dynamics and the search efficiencies of walks with various strategies are also discussed. Contrary to intuition, it is shown that the self-avoiding random walk, which has been verified as an optimal local search strategy in networks, is not the best strategy for the DANs in the large size limit.     

Smoothening transition of a two-dimensional pressurized polymer ring

We revisit the problem of a two-dimensional polymer ring subject to an inflating pressure differential. The ring is modeled as a freely jointed closed chain of N monomers. Using a Flory argument, mean-field calculation and Monte Carlo simulations, we show that at a critical pressure, p_c ∼ N^-1, the ring undergoes a second-order phase transition from a crumpled, random-walk state, where its mean area scales as 〈A〉 ∼ N, to a smooth state with 〈A〉 ∼ N². The transition belongs to the mean-field universality class. At the critical point a new state of polymer statistics is found, in which 〈A〉 ∼ N^3/2. For p ≫ p_c we use a transfer-matrix calculation to derive exact expressions for the properties of the smooth state.