This paper considers the rational expectations model with multiplicative noise and input delay,where the system dynamics rely on the conditional expectations of future states.The main contribution is to obtain a suffi...This paper considers the rational expectations model with multiplicative noise and input delay,where the system dynamics rely on the conditional expectations of future states.The main contribution is to obtain a sufficient condition for the exact controllability of the rational expectations model.In particular,we derive a sufficient Gramian matrix condition and a rank condition for the delay-free case.The key is the solvability of the backward stochastic difference equations with input delay which is derived from the forward and backward stochastic system.展开更多
This article studied on five elements system and set general and strict model expectations combining with Traditional Chinese Medicine Zang-fu organs theory,in which absolute stable state,conditional stable state or t...This article studied on five elements system and set general and strict model expectations combining with Traditional Chinese Medicine Zang-fu organs theory,in which absolute stable state,conditional stable state or transient stability and instability in mathematical models were corresponding to human healthy state,sub-healthy state(pathological plateau phase) and health deterioration state respectively.Model parameters were set up according to the mutual generation and restriction relations among five elements.The dynamic model of Five-Elements System was built,of which impulse responses were corresponding to human response under TCM treatment.Analyses of initial value and excitation response were conducted by numerical simulation and results turned out to meet the requirements of general model expectation:five elements system dynamic model had self-organization function;there existed only one non-global stable point and instability region in the five-dimensional space consisting of variables,in which instability was corresponding to pathological deterioration;system stable region was an unbounded domain and it included the stable sub-regions of special straight line-type,ray-type and line segment-type.Among those ray-types,some contained "Regression Peak" were classed as conditional stable regions while others as absolute ones.The existence of this peak indicates that our body must exceed a "Regression Threshold" when transiting from sub-healthy state(pathological plateau phase) to healthy state through self-regulation mechanism.Impulse excitation can reduce certain threshold and then increase the system health level,which is complied with the operating principle of Five-Elements System and the empirical rule of TCM clinical practice.This model has revealed qualitatively the inherent movement law of Five-Elements System and thus provides a new analysis tool for basic theoretical study on TCM.展开更多
In this current paper, the exposure time effects on four endocrine disruptors and teleost fishes were evaluated using the reduced life expectancy (RLE) model based on the effect concentration (EC<sub>50</sub&...In this current paper, the exposure time effects on four endocrine disruptors and teleost fishes were evaluated using the reduced life expectancy (RLE) model based on the effect concentration (EC<sub>50</sub>) of available literature published. The result on the regression analysis over different exposure times has demonstrated that the EC<sub>50</sub> of hepatic biomarkers falls with increasing exposure times in a predictable manner. The slopes of the regression equations reflect the strength of the toxic effects on the various teleost fish. The EC<sub>50</sub> reduction over time can be interpreted based on the bioconcentration process, which can be used to understand transfer routes of the compounds from water to fish body. RLE model also provides useful information in assessing the toxic effects on fish life expectancy as a result of the occurrence of compounds.展开更多
This paper aims to evaluate the effectiveness of the Chinese crop insurance program in terms of farmers＇ utility and welfare. A simulation model based on the power utility function was first developed to evaluate the...This paper aims to evaluate the effectiveness of the Chinese crop insurance program in terms of farmers＇ utility and welfare. A simulation model based on the power utility function was first developed to evaluate the effectiveness of crop insurance. Then, the Monte Carlo approach was used to generate the datasets of area, price, yield, cost, and income based on the characteristics of representative farmers, which were clustered and calibrated using the farm-level data of 574 individual farmers from five Chinese provinces. Finally, the effectiveness of Chinese crop insurance was evaluated by comparing the certainty equivalence（CE） of farmers＇ utility/welfare under alternative crop insurance scenarios. Government subsidy is a necessary premise for implementing the crop insurance program. The government should subsidize more than 50% of the crop insurance premium to motivate more farmers to participate in the program. The findings also show that the current crop insurance program in China has increased the farmers＇ welfare but still need to be improved to achieve the Pareto improvement and to make full use of the financial fund of the government. This paper is believed to not only extend academic research but also has significant implications for policymakers, especially in the context of rapid development of Chinese crop insurance with much issues such as rate, subsidy and coverage level needed to be improved.展开更多
This article analyzes the Pareto optimal allocations,agreeable trades and agreeable bets under the maxmin Choquet expected utility(MCEU)model.We provide several useful characterizations for Pareto optimal allocations ...This article analyzes the Pareto optimal allocations,agreeable trades and agreeable bets under the maxmin Choquet expected utility(MCEU)model.We provide several useful characterizations for Pareto optimal allocations for risk averse agents.We derive the formulation descriptions for non-existence agreeable trades or agreeable bets for risk neutral agents.We build some relationships between ex-ante stage and interim stage on agreeable trades or bets when new information arrives.展开更多
This paper applies double-uncertainty optimization theory to the operation of AC/DC hybrid microgrids to deal with uncertainties caused by a high proportion of intermittent energy sources.A fuzzy stochastic expectatio...This paper applies double-uncertainty optimization theory to the operation of AC/DC hybrid microgrids to deal with uncertainties caused by a high proportion of intermittent energy sources.A fuzzy stochastic expectation economic model for day-ahead scheduling based on uncertain optimization theory is proposed to minimize the operational costs of hybrid AC/DC microgrids.The fuzzy stochastic alternating direction multiplier method is proposed to solve the double-uncertainty optimization problem.A real-time intra-day unbalanced power adjustment model is established to minimize real-time adjustment costs.Through comparative analysis of deterministic optimization,stochastic optimization and fuzzy stochastic optimization of day-ahead scheduling and real-time adjustment,the validity of fuzzy stochastic optimization based on a fuzzy stochastic expectation model is proved.展开更多
We propose a forward approach to study the performance of liquidation strategies under sequential model parameter updates.The forward liquidation program consists of pasting forward in time and in a time-consistent fa...We propose a forward approach to study the performance of liquidation strategies under sequential model parameter updates.The forward liquidation program consists of pasting forward in time and in a time-consistent fashion a series of optimal liquidation problems.They are triggered at the parameter shift instances,thus entirely eliminating model error,and last at most till the next parameter update.However,due to the nature of the model dynamics,solutions may cease to exist in finite time,even before the subsequent parameter update.Furthermore,forward liquidation strategies may never lead to full liquidation,even though they maximize the average utility of revenue and always preserve time-consistency.In juxtaposition,the traditional approach delivers full liquidation at the sought horizon but encounters considerable model error,generates value erosion,and is time-inconsistent.展开更多
In this paper,we consider the generalized Nash equilibrium with shared constraints in the stochastic environment,and we call it the stochastic generalized Nash equilibrium.The stochastic variational inequalities are e...In this paper,we consider the generalized Nash equilibrium with shared constraints in the stochastic environment,and we call it the stochastic generalized Nash equilibrium.The stochastic variational inequalities are employed to solve this kind of problems,and the expected residual minimization model and the conditional value-at-risk formulations defined by the residual function for the stochastic variational inequalities are discussed.We show the risk for different kinds of solutions for the stochastic generalized Nash equilibrium by the conditional value-at-risk formulations.The properties of the stochastic quadratic generalized Nash equilibrium are shown.The smoothing approximations for the expected residual minimization formulation and the conditional value-at-risk formulation are employed.Moreover,we establish the gradient consistency for the measurable smoothing functions and the integrable functions under some suitable conditions,and we also analyze the properties of the formulations.Numerical results for the applications arising from the electricity market model illustrate that the solutions for the stochastic generalized Nash equilibrium given by the ERM model have good properties,such as robustness,low risk and so on.展开更多
This paper considers the so-called expected residual minimization(ERM)formulation for stochastic second-order cone complementarity problems,which is based on a new complementarity function called termwise residual com...This paper considers the so-called expected residual minimization(ERM)formulation for stochastic second-order cone complementarity problems,which is based on a new complementarity function called termwise residual complementarity function associated with second-order cone.We show that the ERM model has bounded level sets under the stochastic weak R0-property.We further derive some error bound results under either the strong monotonicity or some kind of constraint qualifications.Then,we apply the Monte Carlo approximation techniques to solve the ERM model and establish a comprehensive convergence analysis.Furthermore,we report some numerical results on a stochastic second-order cone model for optimal power flow in radial networks.展开更多
基金supported by the National Natural Science Foundation of China under Grants 61821004,62250056,62350710214,U23A20325,62350055the Natural Science Foundation of Shandong Province,China(ZR2021ZD14,ZR2021JQ24)+2 种基金High-level Talent Team Project of Qingdao West Coast New Area,China(RCTD-JC-2019-05)Key Research and Development Program of Shandong Province,China(2020CXGC01208)Science and Technology Project of Qingdao West Coast New Area,China(2019-32,2020-20,2020-1-4).
文摘This paper considers the rational expectations model with multiplicative noise and input delay,where the system dynamics rely on the conditional expectations of future states.The main contribution is to obtain a sufficient condition for the exact controllability of the rational expectations model.In particular,we derive a sufficient Gramian matrix condition and a rank condition for the delay-free case.The key is the solvability of the backward stochastic difference equations with input delay which is derived from the forward and backward stochastic system.
基金supported by the National Basic Research Program of China (973 Program, No. 2006CB504509)the Science Foundation of Shanghai Municipal Commission of Science and Technology (No. 2007DZ19722, 2008DZ19733000, 2009DZ1974303)+1 种基金the Doctoral Fund of Ministry of Education of China (No. 200802461152)the Fudan Young Teacher's Research Foundation (No. 09FQ07)
文摘This article studied on five elements system and set general and strict model expectations combining with Traditional Chinese Medicine Zang-fu organs theory,in which absolute stable state,conditional stable state or transient stability and instability in mathematical models were corresponding to human healthy state,sub-healthy state(pathological plateau phase) and health deterioration state respectively.Model parameters were set up according to the mutual generation and restriction relations among five elements.The dynamic model of Five-Elements System was built,of which impulse responses were corresponding to human response under TCM treatment.Analyses of initial value and excitation response were conducted by numerical simulation and results turned out to meet the requirements of general model expectation:five elements system dynamic model had self-organization function;there existed only one non-global stable point and instability region in the five-dimensional space consisting of variables,in which instability was corresponding to pathological deterioration;system stable region was an unbounded domain and it included the stable sub-regions of special straight line-type,ray-type and line segment-type.Among those ray-types,some contained "Regression Peak" were classed as conditional stable regions while others as absolute ones.The existence of this peak indicates that our body must exceed a "Regression Threshold" when transiting from sub-healthy state(pathological plateau phase) to healthy state through self-regulation mechanism.Impulse excitation can reduce certain threshold and then increase the system health level,which is complied with the operating principle of Five-Elements System and the empirical rule of TCM clinical practice.This model has revealed qualitatively the inherent movement law of Five-Elements System and thus provides a new analysis tool for basic theoretical study on TCM.
文摘In this current paper, the exposure time effects on four endocrine disruptors and teleost fishes were evaluated using the reduced life expectancy (RLE) model based on the effect concentration (EC<sub>50</sub>) of available literature published. The result on the regression analysis over different exposure times has demonstrated that the EC<sub>50</sub> of hepatic biomarkers falls with increasing exposure times in a predictable manner. The slopes of the regression equations reflect the strength of the toxic effects on the various teleost fish. The EC<sub>50</sub> reduction over time can be interpreted based on the bioconcentration process, which can be used to understand transfer routes of the compounds from water to fish body. RLE model also provides useful information in assessing the toxic effects on fish life expectancy as a result of the occurrence of compounds.
基金the National Science & Technology Pillar Program during the 12th Five-year Plan period (2014BAL07B03-02)Agricultural Risk Management Projet Cooperated with Organization for Economic Co-operation and Development (OECD)
文摘This paper aims to evaluate the effectiveness of the Chinese crop insurance program in terms of farmers＇ utility and welfare. A simulation model based on the power utility function was first developed to evaluate the effectiveness of crop insurance. Then, the Monte Carlo approach was used to generate the datasets of area, price, yield, cost, and income based on the characteristics of representative farmers, which were clustered and calibrated using the farm-level data of 574 individual farmers from five Chinese provinces. Finally, the effectiveness of Chinese crop insurance was evaluated by comparing the certainty equivalence（CE） of farmers＇ utility/welfare under alternative crop insurance scenarios. Government subsidy is a necessary premise for implementing the crop insurance program. The government should subsidize more than 50% of the crop insurance premium to motivate more farmers to participate in the program. The findings also show that the current crop insurance program in China has increased the farmers＇ welfare but still need to be improved to achieve the Pareto improvement and to make full use of the financial fund of the government. This paper is believed to not only extend academic research but also has significant implications for policymakers, especially in the context of rapid development of Chinese crop insurance with much issues such as rate, subsidy and coverage level needed to be improved.
基金supported by the National Natural Science Foundation of China(No.12171471)Natural Science Foundation of Jiangsu Province(No.BK20221543).
文摘This article analyzes the Pareto optimal allocations,agreeable trades and agreeable bets under the maxmin Choquet expected utility(MCEU)model.We provide several useful characterizations for Pareto optimal allocations for risk averse agents.We derive the formulation descriptions for non-existence agreeable trades or agreeable bets for risk neutral agents.We build some relationships between ex-ante stage and interim stage on agreeable trades or bets when new information arrives.
基金supported by the National Natural Science Foundation of China(No.51577068)Science&Technology Foundation of SGCC(No.520201150012)
文摘This paper applies double-uncertainty optimization theory to the operation of AC/DC hybrid microgrids to deal with uncertainties caused by a high proportion of intermittent energy sources.A fuzzy stochastic expectation economic model for day-ahead scheduling based on uncertain optimization theory is proposed to minimize the operational costs of hybrid AC/DC microgrids.The fuzzy stochastic alternating direction multiplier method is proposed to solve the double-uncertainty optimization problem.A real-time intra-day unbalanced power adjustment model is established to minimize real-time adjustment costs.Through comparative analysis of deterministic optimization,stochastic optimization and fuzzy stochastic optimization of day-ahead scheduling and real-time adjustment,the validity of fuzzy stochastic optimization based on a fuzzy stochastic expectation model is proved.
文摘We propose a forward approach to study the performance of liquidation strategies under sequential model parameter updates.The forward liquidation program consists of pasting forward in time and in a time-consistent fashion a series of optimal liquidation problems.They are triggered at the parameter shift instances,thus entirely eliminating model error,and last at most till the next parameter update.However,due to the nature of the model dynamics,solutions may cease to exist in finite time,even before the subsequent parameter update.Furthermore,forward liquidation strategies may never lead to full liquidation,even though they maximize the average utility of revenue and always preserve time-consistency.In juxtaposition,the traditional approach delivers full liquidation at the sought horizon but encounters considerable model error,generates value erosion,and is time-inconsistent.
基金National Natural Science Foundation of China(No.11601541,No.12171027)State Key Laboratory of Scientific and Engineering Computing,Chinese Academy of SciencesYouth Foundation of Minzu University of China(No.2021QNPY98).
文摘In this paper,we consider the generalized Nash equilibrium with shared constraints in the stochastic environment,and we call it the stochastic generalized Nash equilibrium.The stochastic variational inequalities are employed to solve this kind of problems,and the expected residual minimization model and the conditional value-at-risk formulations defined by the residual function for the stochastic variational inequalities are discussed.We show the risk for different kinds of solutions for the stochastic generalized Nash equilibrium by the conditional value-at-risk formulations.The properties of the stochastic quadratic generalized Nash equilibrium are shown.The smoothing approximations for the expected residual minimization formulation and the conditional value-at-risk formulation are employed.Moreover,we establish the gradient consistency for the measurable smoothing functions and the integrable functions under some suitable conditions,and we also analyze the properties of the formulations.Numerical results for the applications arising from the electricity market model illustrate that the solutions for the stochastic generalized Nash equilibrium given by the ERM model have good properties,such as robustness,low risk and so on.
基金This work was supported in part by the National Natural Science Foundation of China(Nos.71831008,11671250,11431004 and 11601458)Humanity and Social Science Foundation of Ministry of Education of China(No.15YJA630034)+2 种基金Shandong Province Natural Science Fund(No.ZR2014AM012)Higher Educational Science and Technology Program of Shandong Province(No.J13LI09)Scientific Research of Young Scholar of Qufu Normal University(No.XKJ201315).
文摘This paper considers the so-called expected residual minimization(ERM)formulation for stochastic second-order cone complementarity problems,which is based on a new complementarity function called termwise residual complementarity function associated with second-order cone.We show that the ERM model has bounded level sets under the stochastic weak R0-property.We further derive some error bound results under either the strong monotonicity or some kind of constraint qualifications.Then,we apply the Monte Carlo approximation techniques to solve the ERM model and establish a comprehensive convergence analysis.Furthermore,we report some numerical results on a stochastic second-order cone model for optimal power flow in radial networks.
