基于数量柔性契约与Markov链的应急物资采购模型

突发灾害是以一定概率发生的随机事件,其状态总是不断发生转移,使政府已采购的应急物资在状态好转时易造成浪费,在状态持续恶化时难以满足突发需求,因此考虑突发灾害状态转移的应急物资采购策略对提升政府应急物资保障能力至关重要.本文将突发灾害状态转移过程视为一个有限次的齐次Markov链,构建了基于数量柔性契约的应急物资采购模型,分析了政企达成合作的条件与双方最优决策策略.采用数值计算与敏感性分析验证该模型的有效性,讨论了若干外生变量对政企最优决策策略与双方成本收益的影响,提出了重要的管理启示.结果表明,突发灾害状态转移情形下的应急物资采购模型既能提高政府应急物资保障能力,又可以保障企业合理收益与控制政府成本.     

广义递归光滑暧昧环境下动态资产配置和资产定价研究

本文采用一种广义递归光滑暧昧模型表示投资者在暧昧环境下的效用函数,该模型能将投资者风险厌恶、暧昧厌恶和跨期替代三者区分开.通过设定代表经济人的学习过程和信念更新机制,将这种效用模型应于基于消费的资产定价模型.当股利增长服从隐马尔可夫机制转换过程,经济人对隐状态存在暧昧性认知时,暧昧性和经济人暧昧厌恶偏好影响资产定价,以及经济人的最优消费计划和最优资产配置.研究结果表明,暧昧厌恶、暧昧环境中的学习和信念更新机制在解释资产定价之谜中起到了关键作用.暧昧厌恶经济人的悲观情绪扭曲其信念,这种信念随经济所处状态不同而发生变化,并对经济处于衰退时期的定价核给予了更高权重,以致于其投资策略更加保守.这种悲观行为有助于传播和放大对消费增长的冲击,并产生随时间而变动的资产溢价.     

Forecasting under model uncertainty: Non-homogeneous hidden Markov models with Pòlya-Gamma data augmentation

We consider finite state-space non-homogeneous hidden Markov models for forecasting univariate time series. Given a set of predictors, the time series are modeled via predictive regressions with state-dependent coefficients and time-varying transition probabilities that depend on the predictors via a logistic/multinomial function. In a hidden Markov setting, inference for logistic regression coefficients becomes complicated and in some cases impossible due to convergence issues. In this paper, we aim to address this problem utilizing the recently proposed Pólya-Gamma latent variable scheme. Also, we allow for model uncertainty regarding the predictors that affect the series both linearly — in the mean — and non-linearly — in the transition matrix. Predictor selection and inference on the model parameters are based on an automatic Markov chain Monte Carlo scheme with reversible jump steps. Hence the proposed methodology can be used as a black box for predicting time series. Using simulation experiments, we illustrate the performance of our algorithm in various setups, in terms of mixing properties, model selection and predictive ability. An empirical study on realized volatility data shows that our methodology gives improved forecasts compared to benchmark models.     

Shift-contagion in energy markets and global crisis

This paper presents an analysis of shift-contagion in energy markets, testing whether linkages between returns in energy markets increase during crisis periods. The research presented herein demonstrates how common movement between energy markets increases due to (i) shift-contagion across energy markets, reflected by structural transmission of shocks across markets and (ii) larger common shocks operating through standard cross-market interdependences. A regime-switching model was developed to detect shift-contagion across energy markets. In the approach adopted herein, the occurrence of shift-contagion is endogenously estimated rather than being exogenously assigned. The results show that shift-contagion has been a major feature of energy markets over the last decade. Evidence is presented which demonstrates that the linkages between energy markets do not appear to be stable. These results are remarkably accurate for forecasting Brent and natural gas for horizons for up to 50 days. Conversely, for WTI (West Texas Intermediate oil) and coal, the model performs well only for forecasting very short horizons (up to 20 days). For all products, the model shows significant biases for long horizons.     

Curie’s principle and causal graphs

Curie’s Principle says that any symmetry property of a cause must be found in its effect. In this article, I consider Curie’s Principle from the point of view of graphical causal models, and demonstrate that, under one definition of a symmetry transformation, the causal modeling framework does not require anything like Curie’s Principle to be true. On another definition of a symmetry transformation, the graphical causal modeling formalism does imply a version of Curie’s Principle. These results yield a better understanding of the logical landscape with respect to the relationship between Curie’s Principle and graphical causal modeling.     

基于逆向强化学习的装船时堆场翻箱智能决策

集装箱码头装船时堆场翻箱具有时序性与动态性，属于NP（non?deterministic polynomial）难问题。针对常见的顺岸式集装箱码头堆场，以最小化总翻箱次数为优化目标，考虑翻箱对装船连续性及效率的影响，基于马尔科夫决策过程构建装船时堆场翻箱模型，设计逆向强化学习算法。为验证算法的有效性，以随机决策为基准，将设计的逆向强化学习算法与码头常见规则决策、随机决策对比。结果表明，贝位堆存状态不佳时，常见的规则决策不一定优于随机决策；逆向强化学习算法可有效挖掘隐含专家经验，收敛至最小翻箱次数的概率更高，且不同堆存状态下均能更好地限制单次发箱的翻箱次数，可实现装船时堆场翻箱智能决策。     

基于隐马尔科夫模型的网络安全风险评估方法

为了能实时准确地评估网络安全风险,提出一种基于隐马尔科夫模型的网络安全风险评估方法。该方法基于隐马尔科夫模型对目标网络进行建模,通过节点的直接风险和相关性引起的间接风险来量化节点的安全风险;考虑节点在网络中的重要性程度,结合节点安全风险,量化目标网络的整体安全风险。通过实验对所提方法进行验证。实验结果表明：该方法能够对由节点相关性和节点重要性程度所带来的网络安全风险进行量化,使得网络安全风险评估结果更加准确、可信。与传统的网络安全风险评估方法相比,该方法能够更加及时地发现网络中的异常风险变化情况,为网络安全防御策略的及时调整提供依据。     

媒体报道下随机SIQS流行病模型的动态行为研究

研究了媒体报道干预策略下的随机SIQS流行病模型.构造合适的Lyapunov函数,使用Itô公式和马尔可夫半群理论,证明了基本再生数R₀^s可用于控制随机流行病模型的动态行为,即如果再生数R₀^s<1,并且在其他条件下,疾病将消亡;如果再生数R₀^s>1,并且在其他条件下,疾病是持久性的.结论表明：大的白噪声可以抑制疾病的爆发,这为制定有用的控制策略来调节疾病的动态行为提供有效帮助.最后通过数值模拟验证了这一结果.     

改进Markov过程的异构无线网络垂直切换算法

针对当前异构无线网络垂直切换算法存在切换次数多, 服务质量难以满足实际应用需要的问题, 以获得更优的异构无线网络服务质量为目标, 提出一种基于改进Markov过程的异构无线网络垂直切换算法. 首先, 建立异构无线网络整体性能评价指标体系, 然后采用灰色关联分析法确定网络整体性能评价指标的权重值, 最后利用Markov决策过程对异构无线网络的状态进行预测, 选择最优的接入网络, 并通过异构无线网络垂直切换的仿真对比实验测试和分析其性能. 实验结果表明, 相对其他异构无线网络垂直切换算法, 该算法可降低平均切换次数, 避免了频繁切换现象的发生, 大幅度减少了网络数据传输的丢包率, 改善了用户满意度, 获得了更高的服务质量.     

T-S模糊切换系统的非脆弱鲁棒H∞ 控制

为解决传统控制器在存在参数摄动时使闭环系统可靠性及期望的动态性能下降问题,针对一类基于T-S 模糊模型描述的不确定非线性时变时滞切换系统,进行了非脆弱鲁棒H∞控制器设计。首先,应用平行分布补偿法( PDC: Parallel Distributed Compensation) 算法,建立了非线性切换闭环系统的全局模糊模型; 其次,基于平均驻留时间法( ADT: Average Dwell Time) 通过构造出模糊基依赖的Lyapunov-Krasovskii 泛函,得到闭环系统非脆弱鲁棒H_∞控制器存在条件,并将控制器的设计转化为求解一组线性矩阵不等式的凸优化问题。最后,仿真算例验证了该方法的可行性。