Bounding multi-stage stochastic programs from above

The purpose of this paper is to present general approaches for bounding some multi-stage stochastic programs from above. The results are based on restricting the solution set, such that the remaining multi-stage stochastic program is easy to solve. An example where the methods can be applied is presented.Supported in part by NATO Collaborative Research Grant No. 0785/87.     

一种转基因猪血中重组人血清白蛋白分离纯化新方法

基因工程技术已经成为研究和生产重组人血清白蛋白(rHSA)替代人血清白蛋白(HSA)的重点技术,而白蛋白的纯化则是该技术的关键。本文主要介绍了从转基因猪血中纯化rHSA的一种新方法,即热乙醇沉淀与多级色谱分离相结合的rHSA纯化方法。热乙醇沉淀法可从猪血浆中获得rHSA粗提取液,此时rHSA的纯度可达69.5%,回收率达51.3%。进一步采用多级色谱分离法,即阴离子交换色谱和反相色谱法进一步纯化,得到rHSA的最终纯度约为100.0%,总回收率为41.1%。该方法为从转基因猪血浆中大规模纯化用于临床和生化研究的高纯度rHSA提供可能,同时也为rHSA替代HSA奠定了基础。     

误差合成空间固定系数模型的多阶段广义最小二乘估计

本文对时变系数的空间面板数据模型进行了研究,所研究的模型利用扰动项中的空间个体成分将不同时期的方程联系起来,同时,自变量系数和空间自回归系数是时变的,但不会随着观测个体的变动而变动。本文利用基于可行的广义最小二乘估计的多阶段方法对模型参数进行了估计,研究了估计量的大样本性质,并利用Monte Carlo方法模拟了其小样本性质。模拟结果表明,估计量的渐近性质随着样本容量的增加而改善。对中国省级地区间财税策略互动行为的实证案例也体现了本文理论模型的应用价值。     

近红外光谱快速测定红花逆流提取过程中羟基红花黄色素A的含量

采用近红外光谱(NIRS)透射法对红花罐组式逆流提取过程中羟基红花黄色素A(Hydroxysafflor yellow A,HSYA)的含量进行快速无损的测定.在红花逆流提取过程中,以高效液相色谱法(HPLC)为对照分析方法,测定提取液中羟基红花黄色素A的含量,运用偏最小二乘(PLS)法建立NIR光谱与羟基红花黄色素A的HPLC分析值之间多元校正模型,并对逆流提取过程的未知样本进行含量预测.校正模型相关系数达到0.982,预测相关系数达到0.965,RMSEC和RMSEP分别为0.053和0.075,RSEC和RSEP分别为3.96%和5.25%.结果表明,NIRS可以作为一种准确、快速、无损的检测方法用于检测中药逆流提取过程有效成分含量变化规律.     

线圈炮电枢电磁-热耦合仿真分析

 从麦克斯韦方程组和导热微分方程出发,导出了3维多级感应线圈炮电磁场、温度场分布的基本方程,并以电磁场和温度场有限元分析为基础,建立了3维有限元分析模型,忽略级间的相互影响,多级线圈炮中电枢温升可以等效为多个单级电枢的温升,运用通用有限元分析软件ANSYS的耦合计算流程,对单级感应线圈炮中电枢电磁场和温度场进行仿真。计算中考虑了材料物理参数随温度变化对温度场的影响。仿真结果表明：电枢内的温升主要分布在电枢的外表面和尾部;电枢的温度随着电容器组电压和电容增加而升高,这是因为总能量增大,电枢中涡流也增大,从而电枢的温度升高;电枢的触发位置和速度匹配关系,也会对电枢温升造成很大的影响;电枢的温度随着级数的增加逐渐升高,说明电枢在一定级数后达到了材料的熔点而被破坏。     

A multi-period stochastic portfolio optimization model applied for an airline company in the EU ETS

This paper aims to set up and solve a multi-period stochastic portfolio optimization model from an airline company’s point of view, considering all the specific European Union Emissions Trading Scheme (EU ETS) regulatory, managerial and trading constraints (i.e. physical constraints). Our contribution to existing academic literature is multiple. As the first ever case, we apply this technique to the aviation sector, a newly included sector within the EU ETS. More than mainly incorporating physical and technical (‘engineering’) features and focusing on short-term planning issues, we particularly address financial features and focus on mid-term planning issues. Therefore, instead of using spot prices, we run Monte Carlo simulations of correlated geometric Brownian motions (GBM) for traded futures prices of various emission allowance types for different CO₂ delivery time periods. We thereby specifically refer to the existing exchange-traded emission allowance types EU Emission Allowance (EUA) and Certified Emission Reduction (CER). By implementing actually valid and real-world-oriented regulatory constraints for EU ETS, namely managerial and trading constraints, our model implies a real-life application. We also highlight the possibility of banking and borrowing of emission allowances between CO₂ compliance periods, which is a crucial regulatory feature of EU ETS.     

基于不完全偏好信息的多阶段应急群决策方法

针对灾害事件的多阶段演化特征,研究多阶段应急群决策方法。在复杂的决策环境下,为了解决决策专家难以对应急方案进行准确评价的问题,允许专家以残缺精确数与残缺模糊数判断矩阵给出偏好信息;而且,多阶段应急群决策模型通过构建目标规划模型对决策专家进行分阶段赋权,并解得各决策阶段下群体的方案偏好,最后通过求解决策阶段权重,获取全局群体偏好最优解。应用于危险化学品液态苯泄漏的应急处置案例验证了该方法的可行性与有效性。     

Multiperiod Portfolio Optimization with Terminal Liability: Bounds for the Convex Case

This paper is concerned with an investor trading in multiple securities over many time periods in order to meet an outstanding liability at some future date. The investor is concerned with maximizing the expected profits from portfolio rebalancing under an initial wealth restriction to meet the future liabilities. We formulate the problem as a discrete-time stochastic optimization model and allow asset prices to have continuous probability distributions on compact domains. For the case of Markovian price uncertainty and convex terminal liability, we develop a simplicial approximation, under which bounds on the problem can be computed efficiently. Computations only require evaluating a dynamic programming recursion, which thus, allows its application to problems with a large number of trading periods. The bounds are tight in that they are exact in certain cases. Numerical results are given to demonstrate the computational efficiency of the procedure.     

一类多步矩阵对策上的计策问题

以有序树为工具,研究了可以描述连环计,诱敌深入等多步矩阵对策上的一类计策模型.在不考虑信息环境的封闭对策系统中,及局中人对每一步矩阵对策的赢得矩阵,两个局中人的策略集合以及局中人的理性等的了解都是局中人的共同知识的假定下,提出了局中人的最优计策链及将计就计等概念,研究了局中人中计和识破计策的固有概率,讨论了局中人在什么情况下最好主动用计,在什么情况下最好从动用计以及求解最优计策等问题.     

抽样调查的设计与分析(Ⅰ)

本文讨论抽样调查实践中有关设计和数据分析的若干问题．第一部分主要涉及设计问题．