一种有效的参数估计方法在预缩聚反应中应用

采用改进的遗传算法解决复杂聚合反应模型的参数估计问题.算法采用排序选择、多点交叉和变异优选策略,有效地提高遗传算法的搜索性能,避免了序贯优化方法有可能存在局部极值的问题.根据文献数据,仿真结果表明,该算法在参数估计中,具有参数搜索范围大、收敛速度快和精度高等特点,它能够有效地解决非线性参数估计问题.     

基于Agent的成本估算系统

致力于为产品设计提供快速、正确的成本估算信息反馈 ,设计和实现了合同网组织结构下基于智能体 ( Agent)的成本估算系统 .本文以反射型 Agent模型为指导 ,建立了用于成本估算的 Agent行为模型 ,并进一步用面向对象的方法论设计和实现了系统的 Agent模型库 ,提出并实现了基于消息的 Agent行为组织方法和基于 Agent的 Agent设计方法.     

嵌套Logistic模型的矩估计

讨论多元极值分布嵌套 Logistic模型 ,给出了分布参数的矩估计及其渐近协方差阵元素的显式表示和数值结果 .当边缘参数相等时 ,用合并样本估计公共参数 ,可以提高估计量的精度 .     

交通荷载作用下低路堤动力特性试验研究

结合连盐高速低路堤,对路堤进行了动应力、振动响应等现场测试,分析了路基中附加动应力及振动位移的变化规律.并且通过应力控制的室内动三轴试验,采用一定的动应力频率、不同的循环应力比来模拟交通荷载,研究了在循环荷载作用下,连盐高速公路饱和软粘土的轴向累计应变、孔隙水压力和轴向周期应变软化的变化规律.实验结果表明:路堤中动应力和振动位移随行车速度和车重的增加而增加,随深度的增加而降低,有效影响深度达2.5 m;原状土的临界循环应力比远大于重塑土,承受循环应力能力高于重塑土.因此,要加强浅层路基强度,同时要减少对底部下卧层软粘土的扰动.其结果可为在软土地基上设计和施工低路堤高速公路提供有益的参考.     

一种正弦波信号频率幅值的高精度估计方法

为了提高正弦波信号频率和幅值的频域估计精度,提出了窗函数迭代逼近方法.Matlab仿真结果表明,该方法切实可行,估计精度可以提高4~5个数量级,且与频率偏差δ基本无关.     

存在相位噪声和信道估计偏差影响的空相关MIMO-OFDM系统的性能分析

为了进一步了解相位噪声和信道估计偏差在空相关多输入多输出正交频分复用(MIMO-OFDM)系统中的作用,对存在相位噪声和信道估计偏差影响的空相关MIMO-OFDM系统的性能进行了分析.利用模型表达了空相关MIMO-OFDM系统的复包络信号,推导了在相位噪声和信道估计偏差影响下的空相关MIMO-OFDM系统的有效数据符号的信噪比表达式,给出了在相位噪声和信道估计偏差影响下的空相关MIMO-OFDM系统的差错性能指标.研究表明,理论计算和计算机仿真的空相关MIMO-OFDM系统的差错性能结果在各种不同相位噪声和信道估计偏差影响下都比较吻合.     

考虑多因素扰动的项目关键链缓冲区间设置及控制模型

项目规划及执行过程中极易出现不确定性,故需对项目关键链缓冲区间进行动态调整以适应项目任务关系变化.针对项目计划关键链缓冲区间设置及调整控制问题,本文提出了一种考虑多因素扰动的缓冲设置及调整控制联动模型.项目初始缓冲设置充分考虑项目工序安全工期、网络复杂程度及资源紧张程度等因素影响,项目执行过程中将缓冲/资源绩效指数与Bayes估计相结合,通过对Weibull分布参数估计实现缓冲信息的递阶转换,提升对缓冲使用的控制能力,最后通过实例验证所提方法与控制模型的有效性.     

Revisiting Targeted Factors

This paper proposes new methods for ‘targeting’ factors estimated from a big dataset. We suggest that forecasts of economic variables can be improved by tuning factor estimates: (i) so that they are both more relevant for a specific target variable; and (ii) so that variables with considerable idiosyncratic noise are down‐weighted prior to factor estimation. Existing targeted factor methodologies are limited to estimating the factors with only one of these two objectives in mind. We therefore combine these ideas by providing new weighted principal components analysis (PCA) procedures and a targeted generalized PCA (TGPCA) procedure. These methods offer a flexible combination of both types of targeting that is new to the literature. We illustrate this empirically by forecasting a range of US macroeconomic variables, finding that our combined approach yields important improvements over competing methods, consistently surviving elimination in the model confidence set procedure. Copyright © 2016 John Wiley & Sons, Ltd.     

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.     

The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models

We study the effect of parameter and model uncertainty on the left‐tail of predictive densities and in particular on VaR forecasts. To this end, we evaluate the predictive performance of several GARCH‐type models estimated via Bayesian and maximum likelihood techniques. In addition to individual models, several combination methods are considered, such as Bayesian model averaging and (censored) optimal pooling for linear, log or beta linear pools. Daily returns for a set of stock market indexes are predicted over about 13 years from the early 2000s. We find that Bayesian predictive densities improve the VaR backtest at the 1% risk level for single models and for linear and log pools. We also find that the robust VaR backtest exhibited by linear and log pools is better than the backtest of single models at the 5% risk level. Finally, the equally weighted linear pool of Bayesian predictives tends to be the best VaR forecaster in a set of 42 forecasting techniques.