级联型多电平变流器控制策略的比较和分析

介绍了阶梯波、载波相移脉宽调制和分段SPWM调制等几种级联型多电平变流器的控制策略,并对它们的优缺点进行了分析和比较,并指出了分段SPWM控制策略是另外两种方法的一种折中方案,它综合了阶梯波和载波相移PWM调制方法的优点,既可以减少开关损耗,又可以使得输出波形性能满足要求.最后给出了几种控制策略产生的输出波形的谐波频谱,验证了分段SPWM方案的可行性和分析的正确性.     

机器人足球训练中视觉感知与动作执行同步机制

主要研究RoboCup训练中球员视觉感知与动作执行同步的技术.在全面分析RoboCup现有同步方法存在问题的基础上,提出一种动态的视角调整方法,即通过对球员视角宽度的调整控制视觉信息到达的时刻,结合动作指令发送的特殊策略,实现球员向服务器发送指令时机的优化,以达到最佳同步效果.关于球员视角宽度动态切换的实现,具体包括:基于增强视觉检测的视角切换与分类视角动态切换2种方法.对比实验证实了该同步技术的优越性.     

基于马尔可夫链的体育成绩管理分析系统

以管理信息系统技术和马尔可夫链思想为基础,结合Windows Access数据库服务器的相关技术,用Delphi7.0作为前台应用程序开发工具,建立了一个体育成绩管理分析系统.介绍了马尔可夫链思想,设计了系统功能,描述了系统的数据库结构,最后用马尔可夫链思想对教学结果进行了评估.该系统具有简单实用、操作方便、可靠性强等特点.     

基于马尔可夫决策过程的MES系统动态调度方法

针对以事件为驱动的网络化制造环境下生产系统的特征,扩展马尔可夫决策过程,根据生产制造的特点进行动态生产调度方法的研究.以面向用户标准为基础,用制造系统响应时间来评价调度算法在不同规则下具有的性能特点;根据分析结果分别确定各种调度规则在预期时间内能够达到生产优化调度或满意调度的可能程度.将调度规则与实际生产相结合,设计网络化制造环境下动态调度指令单管理系统,实现制造管理的信息化.本系统可以按照用户需求实时反映生产制造信息;根据企业情况确定调度规则,生成调度决策方案,最大程度保证企业利益.     

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.     

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.     

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.     

具有不可比状态信息的可修MS-PMS可靠性分析

针对复杂多阶段任务系统(PMS)中存在的元件状态多态性和不可比性问题,提出了系统与元件两层的分层模块构建方法,应用连续时间Markov模型(CTMC)描述可修元件之间状态的相依和变迁的动态行为,应用多态多值决策图(MVDD)构建系统的结构函数.为处理元件状态不可比情形,将其分为组内、组间及无约束状态三组,应用CTMC构建了不同变迁约束下部件处于不同阶段时的状态组的联合概率模型,发展了具有不可比元件状态的多状态多阶段任务系统(MSPMS)可靠性分析方法.最后,通过简约形式的飞行任务系统实例,结果表明CTMC下分层分组模块分析方法能有效计算MS-PMS的可靠度,验证了模型与分析方法的可行性.     

Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time‐varying behavior have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time varying. It is shown that a two‐state Gaussian hidden Markov model with time‐varying parameters is able to reproduce the long memory of squared daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time‐varying behavior of the parameters also leads to improved one‐step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations. Copyright © 2016 John Wiley & Sons, Ltd.     

Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations

This paper provides clear‐cut evidence that the out‐of‐sample VaR (value‐at‐risk) forecasting performance of alternative parametric volatility models, like EGARCH (exponential general autoregressive conditional heteroskedasticity) or GARCH, and Markov regime‐switching models, can be considerably improved if they are combined with skewed distributions of asset return innovations. The performance of these models is found to be similar to that of the EVT (extreme value theory) approach. The performance of the latter approach can also be improved if asset return innovations are assumed to be skewed distributed. The performance of the Markov regime‐switching model is considerably improved if this model allows for EGARCH effects, for all different volatility regimes considered. Copyright © 2014 John Wiley & Sons, Ltd.