国际原油价格预测的双层随机整数规划模型、算法及应用

根据国际原油价格近期数据及原油价格变化量,给出了国际原油价格改变量的状态转移概率(或频率)矩阵.依此提出以国际原油价格预测误差的期望与方差最小为最优目标,建立国际原油价格预测的双层随机整数规划,并论述该优化问题最优解的存在性, 根据约束特性构造了优化算法.同时按照国内现行成品油定价机制, 提出的优化算法,对国内成品油调价进行了预测,实证分析表明提出的模型与优化算法具有一定的预测精度和较好的实用性.

International crude prices forecast ofdoublerandom integer programming model,algorithm and application

According to the international price of crude oil and its change of recent data, we give the matrix of the amount of international crude oil prices change state transition probability (or frequency). According to the international crude oil price forecasting error minimum expectation and variance as the optimal target, taking the international crude oil price forecasting error minimum expectation and variance as the optimal index, a double random integer programming model to predict the price of international crude oil is proposed. Then we discuss the existence of optimal solution. According to the constraint characteristics optimization algorithm is constructed. At the same time, according to the current domestic refined oil pricing mechanism, we predict the domestic refined oil price adjustment by applying the optimization algorithm which is proposed in this paper. The empirical analysis shows that the model in this paper is of certain accuracy and practicability of the optimization algorithm.