基于logit模型的生物质供应链集成优化

针对农户的选择偏好,引入基于logit的离散计量分析模型,以研究秸秆收购价格、成本及政府补贴对农户生物质供应选择行为的影响。在此基础上,应用Stackelberg博弈模型对生物质供应链中加工厂、收集站和农户等不同利益主体之间的决策进行分析,确定了最优的生物质收购价格及收集站的服务半径。最后,通过算例分析验证了上述优化决策模型的有效性。研究表明,农户供应模式的选择与其对效用的敏感程度有关;政府实行补贴激励不仅能提高农户将秸秆直接送至加工厂的积极性,对加工厂和收集站的利益也有不同程度的提高。     

Pricing strategies with reference effects in competitive industries

This paper examines the effect of reference prices on companies operating within competitive industries. We confirm that even with competition, firms optimally price high in the short term to generate a high reference price and then decrease this price over time. Competitors' prices converge toward each other over time, emphasizing the short‐term nature of reference prices. We then show that pricing optimally to take advantage of reference prices generates a positive externality for other firms in an industry, such that competitors may generate higher profit. The longer the focus of a given firm, the more profit the firm generates, but less relative to its competitors. This arises because the externalities created through pricing high to increase reference prices outweigh the benefits of the higher reference prices themselves. If pricing managers are compensated relative to their competition, this suggests that short‐termism may be implicitly encouraged to the detriment of profit.     

Coordination between strategic forest management and tactical logistic and production planning in the forestry supply chain

In this paper, we study the coordination mechanism in the forestry supply chain between strategic forest management and tactical production planning. We first formulate an integrated model to establish a theoretical benchmark for performance of the entire supply chain. It is a mixed integer programming model that involves harvesting, bucking, transportation, production, and sales decisions for both tactical and strategic planning levels. We then present two sequential approaches S‐A and S‐B where the coordination is done through internal pricing. S‐A is the approach currently used in practice where harvesting in the forest is the main driver of the supply chain activities and internal pricing is introduced to control bucking decision in a separate stage. In contrast, S‐B takes downstream demand information into consideration and internal pricing directly influences harvesting decision in the first stage. In order to find the appropriate setting of internal pricing that leads to the system optimum, we suggest two heuristics H‐I and H‐II. The internal pricing in H‐I is based on dual values and in H‐II, it is derived from a Lagrangian decomposition. A real‐life case study in the Chilean forestry industry is used to compare the results of different approaches. It is shown that the new sequential approach S‐B generates as good feasible solution as that obtained from the integrated approach but in much less time. Both heuristics H‐I and H‐II bring about near‐optimal feasible solutions. H‐II also provides optimistic bound of the optimal objective function value, which can be used as a measure of the solution quality.     

分数跳-扩散下外汇期权定价

用保险精算方法,在股票价格服从分数跳-扩散过程,且无风险利率、波动率和期望收益率为时间的非随机函数,给出了外汇期权定价公式.     

基础项目融资中政府担保的定价

在基础项目融资中,政府提供的担保有效地促进了基础项目融资的发展.政府提供担保会给政府造成或有债务,需要采用定量方法研究担保,从而为政府的担保提供量化依据.论文在分析担保期权特性基础上,采用期权理论建立了担保的定价模型,并研究了模型在基础项目融资收益担保中的应用.     

针对两类投资者的指数连结型金融产品

为了能够同时满足两类风险与收益偏好不同的投资者的理财需求.设计了一种指数连结型集合资产管理产品,其到期收益依据投资期内标的指数的表现.从投资者的角度对产品进行了定价分析,发现两类投资者的存在使得各自的收益都有所改善;此外,从资产管理机构的角度设计了避险策略,按照此策略进行操作能够同时满足两类投资者的风险与收益要求.     

在分数Brown运动环境下具有红利支付期权定价的鞅分析

本文在分数Brown运动环境下,利用基础资产价格逼近过程的鞅性,推导分析了具有红利支付时期期权定价方程.     

基于多摇臂赌博机的产品定价算法

针对在线零售商在不完全需求信息下的单产品定价问题,提出了一种基于多摇臂赌博机的产品定价算法。为了提升多摇臂赌博机算法在定价问题中的效果,该算法利用了需求曲线的单调性,并加入了消费者偏好识别。对消费者的保留价格进行分析得到消费者购买概率,将在线零售商的定价问题建模为多摇臂赌博机模型,给出了相应的定价算法并进行了理论分析,最后通过仿真实验比较了相关算法的定价效果。仿真结果表明该算法提高了在线零售商的收益。     

Logit模型下的道路拥堵收费策略改善效果分析

为探讨拥堵收费策略的改善效果,从出行者的综合成本出发,构建适用于拥堵收费的路阻函数和Logit交通分配模型,探讨拥堵收费下交通出行在路网上的重新分配.并以南京市应天大街高架为例设置了拥堵收费虚拟方案,应用路阻函数和交通分配模型进行分析后得出拥堵收费在交通出行量分布、出行分担率、道路服务水平和行程速度上的改善效果.结果表明:拥堵收费能有效引导交通出行的重新分布,提高路网总体通行效率和服务水平,可以认为拥堵收费对交通的改善具有一定效果,但改善效果和拥堵收费费率不是线性正比关系,本次虚拟收费方案下收费费率为5元/次时可取得最佳改善效果.     

城市出租车拥挤收费

建立了多方式分担模型来分析拥挤收费背景下出租车是否也应征收拥挤费问题,并设计了求解模型的遗传算法。研究利用双层规划模型对该问题进行了描述,其中下层规划为组合网络均衡模型,刻画了出租车拥挤收费前后对出行产生、出行方式划分、出行路径选择及出行分布的影响,构建了与之等价的变分不等式;上层规划为社会福利的最大化。算例结果表明,是否应该对拥挤收费区域内的出租车征收拥挤费主要取决于私家车与出租车的单位距离运营成本之比。通常情况下(当二者的比值小于5.6时),对出租车进行拥挤收费就能获得更大的社会福利。