Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance

This paper investigates a stochastic optimal control problem with delay and of mean-field type, where the controlled state process is governed by a mean-field jump–diffusion stochastic delay differential equation. Two sufficient maximum principles and one necessary maximum principle are established for the underlying system. As an application, a bicriteria mean–variance portfolio selection problem with delay is studied to demonstrate the effectiveness and potential of the proposed techniques. Under certain conditions, explicit expressions are provided for the efficient portfolio and the efficient frontier, which are as elegant as those in the classical mean–variance problem without delays.     

Variance analysis of identified linear MISO models having spatially correlated inputs,with application to parallel Hammerstein models

This contribution concerns variance analysis of linear multi-input single-output models when the inputs are temporally white but where different inputs may be correlated. An expression is provided for the variance of a linearly parametrized estimate of the frequency response function from one block, i.e. from one input to the output. In particular, this expression reveals that the variance increases in one block when the number of estimated parameters in another block is increased, but levels off when the number of parameters in the other block reaches the number of parameters in the block in question. It also quantifies exactly how correlation between inputs affects the resulting accuracy and a graphical representation is provided for this purpose. The results are applicable to parallel MISO Hammerstein models when the nonlinearities are known and generalize an existing variance expression for this type of model.     

预测控制约束边界效应与解决方法研究

约束预测控制（Constrained model predictive control,CMPC）中,因约束的存在,优化过程中最优控制作用可能会在可行域的边界取值,也就是说会 有一个或多个变量饱和,即约束边界效应. 而过程控制中操纵变量饱和是我们不希望出现的. 对此,首先基于稳态模型,对期望值位于可行域内时最优解必在期望值处达到给出证明;同时证明了期望值在可行域外时最优解可转化为期望值到可行域的投影. 其次,针对变量在动态及稳态过程中饱和的情况提出了改善控制性能的措施——调整目标函数;终端约束的加入,为预测控制系统稳定性提供了保障. 通过对包含约束的连续搅拌釜式反应器（Continuous stirred tank reactor,CSTR）系统进行仿真实验,验证了所提方法的正确性,并说明了对目标函数进行适当调整,可有效改善系统的控制性能.     

路径长度受限的随机需求VRP的模型和算法

路径长度受限的随机需求VRP在生产、生活中有着广泛的应用。给出了路径长度受限的随机需求VRP问题的线性整数规划模型,在不允许部分服务和仅能服务失败一次的策略下设计了一个启发式算法。该算法以离散优化中广泛应用的扫描算法为基础生成服务的一个初始可行方案,然后利用模拟退火算法改进得到近似最优解。对需求为二项分布的50个结点、1个服务中心的问题进行了数值试验,数值结果表明该算法对求解路径长度受限的随机需求VRP是有效的。     

基于FPGA实现AES的侧信道碰撞攻击

为了解决攻击点在能量迹中具体位置的识别问题,在对侧信道碰撞攻击技术研究的基础上,提出了通过计算能量迹中每个采样点的方差来识别攻击点的方差检查技术。并利用基于相关系数的碰撞检测方法,对一种AES的FPGA实现实施了攻击。实验结果表明,方差检查技术可以有效地识别攻击点在能量迹中的具体位置。     

Experimental design in soap manufacturing for optimization of fuzzified process capability index

In manufacturing industries, the quality of a product depends on the combined effect of multiple input variables working singly or together and therefore attention has been given on process capability indices to shift from single to multivariate domain. In case of multivariable domain the capability to incorporate uncertainties at the time of decision making becomes necessary. Fuzzy system is introduced to take care of this requirement. In this article the process parameters of soap manufacturing industries have been analyzed. The process capability is determined using Fuzzy Inference System rule editor based on a set of justified if then statements as applicable for the process. The data has been collected in linguistic form to derive its process capability, using a set of justified rules and the effect of each factor has been determined using Design of Experiments (DoE) and analysis of variance technique (ANOVA) for improving the soap quality from perspective of its softness. This article ventures to propose a new methodology by integrating Fuzzy with DoE providing better result followed by DoE and Fuzzy Inference system in isolation.     

Formulation of unified Jacobian for serial-parallel manipulators

This paper presents a general approach for Jacobian analysis of serial-parallel manipulators (S-PMs) formed by two lower mobility parallel manipulators (PMs) connected in serials. Based on the kinematic relation, coupling and constraint properties of each PM, the unified forward and inverse Jacobian matrices for S-PMs are derived in explicit form. It is shown that the Jacobian matrices of S-PMs have unified forms, which include the complete information of each PM. A (3-RPS)+(3-SPS/UP) S-PM is used as an example to demonstrate the proposed approach. The established model is applicable for S-PMs with various architectures.     

Credit rating with a monotonicity-constrained support vector machine model

Deciding whether borrowers can fulfill their obligations is a major issue for financial institutions, and while various credit rating models have been developed to help achieve this, they cannot reflect the domain knowledge of human experts. This paper proposes a new rating model based on a support vector machine with monotonicity constraints derived from the prior knowledge of financial experts. Experiments conducted on real-world data sets show that the proposed method, not only data driven but also domain knowledge oriented, can help correct the loss of monotonicity in data occurring during the collecting process, and performs better than the conventional counterpart.     

On the performance of economic model predictive control with self-tuning terminal cost

In this paper, we analyze the closed-loop performance of a recently introduced economic model predictive control (MPC) scheme with self-tuning terminal cost. To this end, we propose to use a generalized terminal region constraint instead of a generalized terminal equality constraint within the repeatedly solved optimization problem, which allows us to obtain improved closed-loop asymptotic average performance bounds. In particular, these bounds can be obtained a priori. We discuss how the necessary parameters for the generalized terminal region setting can be calculated, and we illustrate our findings with two numerical examples.     

图的点可区别边染色算法研究

针对一般图设计了一种新型的点可区别边染色算法。该算法把概率思想和图染色相结合, 根据点可区别边染色的约束规则确立目标函数, 利用交换规则逐步寻优, 当目标函数的值满足要求时染色成功。给出详细算法步骤并进行了测试和分析, 实验结果表明该算法可以求出满足猜想的点可区别边色数。