Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer

This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple risky assets. This paper obtains the optimal investment policy using the stochastic linear quadratic (LQ) control theory with no-shorting constraint. Then the efficient strategy (optimal investment strategy) and efficient frontier are derived explicitly by a verification theorem with the viscosity solution of Hamilton-Jacobi-Bellman (HJB) equation.     

Generalized variation iteration solution of an atmosphere-ocean oscillator model for global climate

A box model of the interhemispheric thermohaline circulation (THC) in atmosphere-ocean for global climate is considered. By using the generalized variational iteration method, the approximate solution of a simplified nonlinear model is studied. The generalized variational iteration method is an analytic method, and the obtained analytic solution can be operated sequentially. The authors also diversify qualitative and quantitative behaviors for corresponding physical quantities.     

Multi-granularity evolution analysis of software using complex network theory

Software systems are a typical kind of man-made complex systems. Understanding their evolutions can lead to better software engineering practices. In this paper, the authors use complex network theory as a tool to analyze the evolution of object-oriented (OO) software from a multigranularity perspective. First, a multi-granularity software networks model is proposed to represent the topological structures of a multi-version software system from three levels of granularity. Then, some parameters widely used in complex network theory are applied to characterize the software networks. By tracing the parameters’ values in consecutive software systems, we have a better understanding about software evolution. A case study is conducted on an open source OO project, Azureus, as an example to illustrate our approach, and some underlying evolution characteristics are uncovered. These results provide a different dimension to our understanding of software evolutions and also are very useful for the design and development of OO software systems.     

Design efficiency for minimum projection uniformity designs with two levels

The objective of this paper is to study the issue of design efficiency for minimum projection uniformity designs. The results show that for orthogonal arrays with strength two, the minimum projection uniformity criterion is a good surrogate for the design efficiency criterion proposed by Cheng, Deng and Tang (2002).     

Upwind finite volume element methods for one-dimensional semiconductor device

A fully discrete implicit Euler upwind finite volume element method is derived and studied for one-dimensional semiconductor device. Upwind scheme is introduced to deal with the convection-dominated diffusion equations in the semiconductor model. With different time steps for the electrostatic potential and the other unknown quantities, the computational procedure of the method is obtained. The local mass conservation laws are preserved under the framework of the upwind finite volume element schemes. A first-order accuracy in the L ²-norm is proved. Numerical experiments are given to validate the usefulness and efficiency of the method.     

Heterogeneity,nonlinearity and endogenous market volatility

This paper aims to contribute to the literature on the explanatory power of behavior models with heterogeneous agents. The authors present a new nonlinear structural stock market model which is a nonlinear deterministic process buffeted by dynamic noise. An exogenous noise is introduced to the model with the assumption of IID normal innovations of the fundamental value in order to investigate how noisy dynamics interacts with deterministic process. The market is composed of two typical trader types: the rational fundamentalists and the boundedly rational traders governed by greed and fear. The interaction between noise and deterministic element determines the evolution process of the system as key parameters are changed. The authors find the model is able to generate time series that exhibit dynamical and statistical properties closely resembling those of the S&P500 index, such as volatility clustering, fat tails (leptokurtosis), autocorrelation in square and absolute return, larger amplitude, crashes and bubbles. The authors also investigate the nonlinear dependence structure in our data. The results indicate that the GARCH-type model cannot completely account for all nonlinearity in our simulated market, which is thus consistent with the results from real markets. It seems that the nonlinear structural model is more powerful to give a satisfied explanation to market behavior than the traditional stochastic approach.     

Output-feedback control for nonholonomic systems with linear growth condition

This paper deals with the stabilization of the nonholonomic systems with strongly nonlinear uncertainties. The objective is to design an output feedback law such that the closed-loop system is globally asymptotically regulated at the origin. The systematic strategy combines the input-state scaling technique with the backstepping technique. A novel switching control strategy based on the output measurement of the first subsystem is employed to make the subsystem far away from the origin. The simulation demonstrates the effectiveness of the proposed controller.     

Community Development and Renaissance Social Humanism: Some Lessons for Systems Science

Starting from the crisis in our communities—research has indicated it to be widely spread—the author explores the scientific tradition preceding the rise of modernism in order to draw out a more humane way of thinking that may help our contemporary societies. He discerns between two types of Renaissance humanism, one characterised by its cleverness, the other by its compassion and desire to restore dignity to the lives of people struggling to escape the clutches of medievalism. The father of the latter is Erasmus of Rotterdam and we follow the development of his conception of a social humanism as it branches out, through the work of his successors, into every scientific discipline, both natural and human. These disciplines are united by an embracing systemic idea of philosophy that unites the mind with the heart and which Erasmus called “Philosophia Christi”. We examine the two main pillars upon which this philosophy is built, love for our neighbour and education as the only legitimate instrument to change society, and the extraordinary impact it had on science and on communities living in the seventeenth century. We contrast this with the idea of power, the chosen instrument of modernity to transform society, and trace some of its tragic outcomes. We conclude by discussing the incorporation of an Erasmian type of social humanism into systems education and the future development of such programmes.     

Codimension-two bifurcations analysis and tracking control on a discrete epidemic model

In this paper, the dynamic behaviors of a discrete epidemic model with a nonlinear incidence rate obtained by Euler method are discussed, which can exhibit the periodic motions and chaotic behaviors under the suitable system parameter conditions. Codimension-two bifurcations of the discrete epidemic model, associated with 1:1 strong resonance, 1:2 strong resonance, 1:3 strong resonance and 1:4 strong resonance, are analyzed by using the bifurcation theorem and the normal form method of maps. Moreover, in order to eliminate the chaotic behavior of the discrete epidemic model, a tracking controller is designed such that the disease disappears gradually. Finally, numerical simulations are obtained by the phase portraits, the maximum Lyapunov exponents diagrams for two different varying parameters in 3-dimension space, the bifurcation diagrams, the computations of Lyapunov exponents and the dynamic response. They not only illustrate the validity of the proposed results, but also display the interesting and complex dynamical behaviors.     

Viability criteria for differential inclusions

A method of verifying the viability criterion at a given point for a region with nonsmooth boundary, which is expressed by a quasidifferentiabl function, under a differential inclusion which is a convex hull of finitely many functions, is proposed. By this method, determining the viability is transformed into solving a number of systems of linear inequalities, or equivalently solving a number of linear programming problems. For the other differential inclusion, called the generalized convex process, it is shown that viability condition holds for a polytope if and only if it holds at all of its vertices. This result is an extension of corresponding one for a linear control system.