不允许借贷的最优消费及资产决策模型研究

引入遗留财富重视程度因子,在无借贷约束和不允许借贷约束的条件下,建立了有穷时间限的最优消费与资产决策模型.运用随机最优控制理论及鞅最优性原理求出了模型的显式最优解.在此基础上,运用比较静态分析方法考察了在有约束和没有约束两种市场中的消费行为,并对两种市场中的消费和资产决策行为进行了比较研究.     

具有随机通信逻辑的网络控制系统稳定性分析

针对具有带宽约束的网络控制系统,讨论了在随机通信逻辑调度策略下系统的稳定性问题.将基于时倚泊松过程的随机通信逻辑引入系统中,建立了泊松强度与系统估计偏差之间的函数关系.利用随机点过程方法,证明了系统状态的更新时刻具有Markov特性,进而将系统转化为Markov跳变系统.利用随机稳定性理论,得到系统几乎处处稳定和均方渐近稳定的充分条件.仿真算例表明了该调度策略的有效性.     

Hybrid dynamics of stochastic programs

We provide Stochastic Concurrent Constraint Programming (sCCP), a stochastic process algebra based on CCP, with a semantics in terms of hybrid automata. We associate with each sCCP program both a stochastic and a non-deterministic hybrid automaton. Then, we compare such automata with the standard stochastic semantics (given by a Continuous Time Markov Chain) and the one based on ordinary differential equations, obtained by a fluid-flow approximation technique. We discuss in detail two case studies: Repressilator and the Circadian Clock, with particular regard to the robustness exhibited by the different semantic models and to the effect of discreteness in dynamical evolution of such systems.     

Maximum likelihood analysis of algorithms and data structures

We present a new approach for an average-case analysis of algorithms and data structures that supports a non-uniform distribution of the inputs and is based on the maximum likelihood training of stochastic grammars. The approach is exemplified by an analysis of the expected size of binary tries as well as by three sorting algorithms and it is compared to the known results that were obtained by traditional techniques. Investigating traditional settings like the random permutation model, we rediscover well-known results formerly derived by pure analytic methods; changing to biased data yields original results. All but one step of our analysis can be automated on top of a computer-algebra system. Thus our new approach can reduce the effort required for an average-case analysis, allowing for the consideration of realistic input distributions with unknown distribution functions at the same time. As a by-product, our approach yields an easy way to generate random combinatorial objects according to various probability distributions.     

Modeling data envelopment analysis by chance method in hybrid uncertain environments

This article first presents several formulas of chance distributions for trapezoidal fuzzy random variables and their functions, then develops a new class of chance model (C-model for short) about data envelopment analysis (DEA) in fuzzy random environments, in which the inputs and outputs are assumed to be characterized by fuzzy random variables with known possibility and probability distributions. Since the objective and constraint functions contain the chance of fuzzy random events, for general fuzzy random inputs and outputs, we suggest an approximation method to compute the chance. When the inputs and outputs are mutually independent trapezoidal fuzzy random variables, we can turn the chance constraints and the chance objective into their equivalent stochastic ones by applying the established formulas for the chance distributions. In the case when the inputs and the outputs are mutually independent trapezoidal fuzzy random vectors, the proposed C-model can be transformed to its equivalent stochastic programming one, in which the objective and the constraint functions include a number of standard normal distribution functions. To solve such an equivalent stochastic programming, we design a hybrid algorithm by integrating Monte Carlo (MC) simulation and genetic algorithm (GA), in which MC simulation is used to calculate standard normal distribution functions, and GA is used to solve the optimization problems. Finally, one numerical example is presented to demonstrate the proposed modeling idea and the efficiency in the proposed model.     

Delay-dependent stability analysis for Markovian jump systems with interval time-varying-delays

This paper proposes improved stochastic stability conditions for Markovian jump systems with interval time-varying delays. In terms of linear matrix inequalities (LMIs), less conservative delay-range-dependent stability conditions for Markovian jump systems are proposed by constructing a different Lyapunov-Krasovskii function. The resulting criteria have advantages over some previous ones in that they involve fewer matrix variables but have less conservatism. Numerical examples are provided to demonstrate the efficiency and reduced conservatism of the results in this paper.     

Real-time guaranteed cost control of MIMO networked control systems with packet disordering

This paper discusses guaranteed cost control for multi-input and multi-output (MIMO) networked control systems (NCSs) with multi-channel packet disordering. Considering the time-varying and bounded network transmission delay, packet dropout and packet disordering, a novel model of NCSs is proposed by introducing the concept of packet displacement. It is worthwhile mentioned that this model can fully describe the dynamic characteristic of network and always guarantee the newest control input executed by the plant, which makes that the plant can be controlled in real time. The resulting closed-loop systems are jump linear systems due to the newest signals executed subject to Markovian chains. A real-time controller is designed for uncertain and certain NCSs based on Markovian theory combined with linear matrix inequality (LMI) techniques such that the closed-loop cost function value is not more than a specified upper bound that varies according to Quality of Services (QOS). Finally, numerical examples are given to illustrate the effectiveness of the proposed method.     

Decision making in dynamic stochastic Cournot games

In this paper, the Cournot competition is modeled as a stochastic dynamic game. In the proposed model, a stochastic market price function and stochastic dynamic decision functions of the rivals are considered. Since the optimal decision of a player needs the estimation of the unknown parameters of the market and rivals’ decisions, a combined estimation-optimization algorithm for decision making is proposed. The history of the rivals’ output quantities (supplies) and the market clearing price (MCP) are the only available information to the players. The convergence of the algorithm (for both estimation and decision making processes) is discussed. In addition, the stability conditions of the equilibrium points are analyzed using the converse Lyapunov theorem. Through the case studies, which are performed based on the California Independent System Operator (CA-ISO) historical public data, the theoretical results and the applicability of the proposed method are verified. Moreover, a comparative study among the agents using the proposed method, naïve expectation and adaptive expectation in the market is performed to show the effectiveness and applicability of the proposed method.     

Disc cutters plane layout design of the full-face rock tunnel boring machine (TBM) based on different layout patterns

The quality of plane layout design of the disc cutters for the full-face rock tunnel boring machine (TBM) directly affects the balance of force distribution on the cutter head during the excavating. Various layout patterns have been adopted in practice during the layout design of the disc cutters. Considering the engineering technical requirements and the corresponding structure design requirements of the cutter head, this study formulates a nonlinear multi-objective mathematical model with multiple constraints for the disc cutters plane layout design, and analyses the characteristics of a multi-spiral layout pattern, a dynamic star layout pattern and a stochastic layout pattern. And then a genetic algorithm is employed to solve a disc cutters’ multi-spiral layout problem, and a cooperative co-evolutionary genetic algorithm (CCGA) is utilized to solve a disc cutters’ star or stochastic layout problems. The emphasis was put on the study of superiority of three different layout patterns. Finally, an instance of the disc cutters’ plane layout design was solved by the proposed methods using three different kinds of layout patterns. Experimental results showed the effectiveness of the method of combining the mathematical model with the algorithms, and the pros and cons of the three layout patterns.