A practical assessment of risk-averse approaches in production lot-sizing problems

ABSTRACT

This paper presents an empirical assessment of four state-of-the-art risk-averse approaches to deal with the capacitated lot-sizing problem under stochastic demand. We analyse two mean-risk models based on the semideviation and on the conditional value-at-risk risk measures, and alternate first and second-order stochastic dominance approaches. The extensive computational experiments based on different instances characteristics and on a case-study suggest that CVaR exhibits a good trade-off between risk and performance, followed by the semideviation and first-order stochastic dominance approach. For all approaches, enforcing risk-aversion helps to reduce the cost-standard deviation substantially, which is usually accomplished via increasing production rates. Overall, we can say that very risk-averse decision-makers would be willing to pay an increased price to have a much less risky solution given by CVaR. In less risk-averse settings, though, semideviation and first-order stochastic dominance can be appealing alternatives to provide significantly more stable production planning costs with a marginal increase of the expected costs.     

Systematic convergence of nonlinear stochastic estimators on the Special Orthogonal Group SO(3)

This paper introduces two novel nonlinear stochastic attitude estimators developed on the Special Orthogonal Group with the tracking error of the normalized Euclidean distance meeting predefined transient and steady‐state characteristics. The tracking error is confined to initially start within a predetermined large set such that the transient performance is guaranteed to obey dynamically reducing boundaries and decrease smoothly and asymptotically to the origin in probability from almost any initial condition. The proposed estimators produce accurate attitude estimates with remarkable convergence properties using measurements obtained from low‐cost inertial measurement units. The estimators proposed in continuous form are complemented by their discrete versions for the implementation purposes. The simulation results illustrate the effectiveness and robustness of the proposed estimators against uncertain measurements and large initialization error, whether in continuous or discrete form.     

随机库存分配问题的一种求解方法

讨论了在VMI管理思想下对具有随机需求特性的多客户库存分配问题 ,重点论述了有效近似算法的设计过程 ,最后基于一组模拟数据给出了一个算例。     

个性化公开密钥系统的设计

论文提出利用用户提供的个性化信息来随机产生关联大素数,保证了素数选取的随机化、个性化,提高了RSA算法的安全性。     

Parameter Uncertainty and Policy Intensity: Some Extensions and Suggestions for Further Work

The effects of parameter uncertainty on optimal policy have been a matter of interest for academics, and even for some policymakers, for a long time. Two lines of literature have developed analytical results on this matter. The first line uses static models and the second dynamic models. In this dynamic line most of the results are confined to models with a single state and a single control variable. In this paper we want to encourage the analysis of more general dynamic cases. To do so, the results in the dynamic line are extended from one-state and one-control finite horizon models to models with a pair of control variables. We then discuss some of the hurdles which must be surmounted for the results to be made more general and suggests some lines for further research. JEL classification: C61; E61     

An original approximate method for estimating the invariant probability distribution of a large class of multi-dimensional nonlinear stochastic oscillators

This paper proposes an original method for obtaining analytical approximations of the invariant probability density function of multi-dimensional Hamiltonian dissipative dynamic systems under Gaussian white noise excitations, with linear non-conservative parts and nonlinear conservative parts. The method is based on an exact result and a heuristic argument. Its pertinence is attested by numerical tests.     

A robust adaptive pole‐placement controller without strictly positive real condition

This paper considers the adaptive pole‐placement control problem for system (1) with unmodelled dynamics η_n dominated by a small constant ε multiplied by a quantity independent of ε but tending to infinity as the past input, output, and noise grow. Using bounded external excitation and randomly varying truncation techniques, we give a design method of adaptive pole‐placement controller. It is shown that the closed‐loop system is globally stable, the estimation error for the parameter contained in the modelled part is of order ε, and the closed‐loop system under the adaptive pole‐placement control law is suboptimal in the sense of $$\mathop{\lim\sup}\limits_{{n\to\infty }}{1\over n}\mathop{\sum}\limits_{i=0}^n{\left({A^{*}(z)y_{n}‐L(z)C(z)w_{n}‐B(z)R(z)y_{n}^{*}}\right)^{2}{\leq}O({\varepsilon}^{2})+\gamma^{2}\mathop{\sum}\limits_{j=1}^q{b_{j}^{2}}}$$\nopagenumbers\end while the SPR condition used usually in other papers is replaced by a stability condition. Copyright © 2001 John Wiley & Sons, Ltd.     

Optimal and self‐tuning fusion Kalman filters for discrete‐time stochastic singular systems

Based on the optimal fusion estimation algorithm weighted by scalars in the linear minimum variance sense, a distributed optimal fusion Kalman filter weighted by scalars is presented for discrete‐time stochastic singular systems with multiple sensors and correlated noises. A cross‐covariance matrix of filtering errors between any two sensors is derived. When the noise statistical information is unknown, a distributed identification approach is presented based on correlation functions and the weighted average method. Further, a distributed self‐tuning fusion filter is given, which includes two stage fusions where the first‐stage fusion is used to identify the noise covariance and the second‐stage fusion is used to obtain the fusion state filter. A simulation verifies the effectiveness of the proposed algorithm. Copyright © 2008 John Wiley & Sons, Ltd.     

一种外置式视频同步信号发生器的设计

对随机视频信号的特点进行了研究，提出了采用谱分析提取随机视频信号的同步频率的方法，根据数据传输的要求设计了基于USB接口的外置式视频同步信号发生器并给出了系统的硬件框图和软件流程。系统具有自动分析随机视频信息隐含的同步信号频率，精确产生同步脉冲信号的特点，满足随机视频信号采集和稳定显示的同步要求。同步精度达到300帧内图像漂移小于1个像素。利用该视频同步信号发生器控制非标准图像采集卡实现了计算机辐射的随机视频信号的采集和稳定显示。     

具有减少辨识参数的随机多变量极点配置自适应控制器

本文提出了一种新的限制输出个数减少随机多变量自适应控制中辨识参数的方法，并给出了减少辨识参数的极点配置自适应算法。虽然采用ｎ个输入１个输出的减少辨识参数的模型来设计控制器，但所提出的控制器能够保证被控系统的几个输出跟踪参考输入信号，仿真结果表明，所提出的方法是成功的。