不完全市场下有违约风险的欧式期权定价

为了研究不完全市场对有违约风险欧式期权定价的影响,结合Klein的有违约风险期权处理方法和Cochrane与Saa-Requejo的不完全市场处理方法给有违约风险的欧式期权定价,得到不完全市场下有违约风险欧式期权的一般化定价公式.进一步推导出一些特定欧式期权的定价公式,并指出这些公式均为一般化定价公式的特例.结果表明定价公式结合了上述两个模型的优点,因此特别适合于给基于不可交易资产有违约风险期权定价.     

An improved branch-and-bound algorithm to minimize the weighted flowtime on identical parallel machines with family setup times

This article investigates identical parallel machines scheduling with family setup times. The objective function being the weighted sum of completion times, the problem is known to be strongly NP-hard. We propose a constructive heuristic algorithm and three complementary lower bounds. Two of these bounds proceed by elimination of setup times or by distributing each of them to jobs of the corresponding family, while the third one is based on a lagrangian relaxation. The bounds and the heuristic are incorporated into a branch-and-bound algorithm. Experimental results obtained outperform those of the methods presented in previous works, in term of size of solved problems.     

基于不完备检测的并联系统维修决策研究

为了提高系统的可靠度,并联技术在重要系统上被广泛地采用.针对并联系统中的两冗余部件在物理性能、工作环境等方面的相似性以及检测时存在不完备的特点,提出了不完备交叉检测策略.为此研究了并联系统在此策略下的不同更新情况和相应的更新概率,以检测间隔和检测次数为优化变量、可靠度为约束、期望维修费用率为目标函数,建立了并联系统的优化维修模型.最后,通过实例验证了模型的有效性和经济性.     

DECISION MAKING - THE ANALYTIC HIERARCHY AND NETWORK PROCESSES (AHP/ANP)

This is the first part of an introduction to multicriteria decision making using the Analytic Hierarchy Process (AHP) and its generalization, the Analytic Network Process (ANP). The discussion involves individual and group decisions both with the independence of the criteria from the alternatives as in the AHP and also with dependence and feedback in the entire decision structure as in the ANP. This part explains the Analytic Hierarchy Process, with examples, and presents in some detail the mathematical foundations. An exposition of the Analytic Network Process and its applications will appear in later issues of this journal.     

AUTOMATIC DECISION-MAKING： NEURAL FIRING AND RESPONSE

1. Introduction This is the fourth exposition on theAnalytic Hierarchy Process. It is true thatmany decisions we make subconsciously ariseout of our physical and biological needs andderive from the pressure to survive physically.We also make subconsciou…     

Fundamentals of the analytic network process — Dependence and feedback in decision-making with a single network

The Analytic Network Process (ANP) is a multicriteria theory of measurement used to derive relative priority scales of absolute numbers from individual judgments (or from actual measurements normalized to a relative form) that also belong to a fundamental scale of absolute numbers. These judgments represent the relative influence, of one of two elements over the other in a pairwise comparison process on a third element in the system, with respect to an underlying control criterion. Through its supermatrix, whose entries are themselves matrices of column priorities, the ANP synthesizes the outcome of dependence and feedback within and between clusters of elements. The Analytic Hierarchy Process (AHP) with its independence assumptions on upper levels from lower levels and the independence of the elements in a level is a special case of the ANP. The ANP is an essential tool for articulating our understanding of a decision problem. One had to overcome the limitation of linear hierarchic structures and their mathematical consequences. This part on the ANP summarizes and illustrates the basic concepts of the ANP and shows how informed intuitive judgments can lead to real life answers that are matched by actual measurements in the real world (for example, relative dollar values) as illustrated in market share examples that rely on judgments and not on numerical data. Thomas L. Saaty holds the Chair of University Professor, Katz Graduate School of Business, University of Pittsburgh, Pittsburgh, PA, and obtained his Ph.D. in mathematics from Yale University. Before that he was a professor at the Wharton School of the University of Pennsylvania for ten years. Prior to that he spent seven years at the Arms Control and Disarmament Agency in the State Department in Washington, DC, that carried out the arms reduction negotiations with the Soviets in Geneva. His current research interests include decision-making, planning, conflict resolution and synthesis in the brain. As a result of his search for an effective means to deal with weapons tradeoffs at the Disarmament Agency and, more generally, with decision-making and resource allocation, Professor Saaty developed The Analytic Hierarchy Process (AHP) and its generalization to dependence and feedback, the Analytic Network Process (ANP). He is co-developer of the software Expert Choice and of the software Super Decisions for decisions with dependence and feedback. He has authored or co-authored twelve books on the AHP/ANP. Professor Saaty has also written a number of other books that embrace a variety of topics, including Modern Nonlinear Equations, Nonlinear Mathematics, Graph Theory, The Four Color Problem, Behavioral Mathematics, Queuing Theory, Optimization in Integers, Embracing the Future and The Brain: Unraveling the Mystery of How It Works. His most recent book is Creative Thinking, Problem Solving & Decision Making. The book is a rich collection of ideas, incorporating research by a growing body of researchers and practitioners, profiles of creative people, projects and products, theory, philosophy, physics and metaphysics...all explained with a liberal dose of humor. He has published more than 300 refereed articles in a wide variety of professional journals. He has been on the editorial boards of Mathematical Reviews, Operations Research, Naval Research Logistics Quarterly, Mathematical and Computer Modeling, Socio-Economic Planning Sciences, Applied Mathematics Letters, and several others. He also served as consultant to many corporations and governments.     

Editorial

Systemic Practice and Action Research -     

基于PSO-ABC的混合算法求解复杂约束优化问题

为了改善粒子群优化（particle swarm optimization, PSO)算法在处理复杂约束优化问题时的求解效果,提出了一种基于粒子群和人工蜂群的混合优化(particle swarm optimization artificial bee colony,PSO-ABC)算法。在采用可行性规则进行约束处理的基础上,将PSO种群分为可行子群和不可行子群,并在ABC算法从粒子种群中选择蜜源时,保留部分较优的可行解信息和约束违反程度较低的不可行解信息,弥补了联赛选择算子在处理最优点位于约束边界附近的问题时存在的不足。同时,使用禁忌表存储局部极值,减小了PSO算法陷入局部最优的危险。针对4个标准测试实例的实验结果表明,该算法能够寻得更优的约束最优化解,且稳健性更强。     

Global awareness, future city design and decision making

Our world has been changing at an exponential rate.As a result of this rapid growth,we will be forced to make changes in not only the way we live in the environment but also in the environment itself such as designing the cities of the future to be in greater harmony with the increasing population and growing complexity.The paper contains both reflections on global awareness and comprehensive criteria and their priorities for choosing the most desirable city.     

Interdisciplinarity: Potentials and Challenges

Interdisciplinarity, as a concept and practice, is reviewed and related to a recent article (Romm, 1998) in this journal. Authors advocating interdisciplinarity for social research and problem solving seem to have diverse, if often largely implicit, epistemological, and other assumptions informing their proposals. Romm (1998) develops and advocates a critical and reflexive orientation for tying interdisciplinarity to action research and related endeavors. For some academicians, however, interdisciplinarity appears to be considered a relatively unproblematic pursuit of merely selecting appropriate methods. Significant issues and questions concerning interdisciplinary pursuits, particularly in academic settings, exist and are briefly explored, based on the experiences and perceptions of the author. Basic structures and processes found in fields such as action research/science and management systems often seem neglected and very much needed for interdisciplinary inquiry and knowledge construction.