This paper deals with the problem of designing robust sequential covariance intersection(SCI)fusion Kalman filter for the clustering multi-agent sensor network system with measurement delays and uncertain noise varian...This paper deals with the problem of designing robust sequential covariance intersection(SCI)fusion Kalman filter for the clustering multi-agent sensor network system with measurement delays and uncertain noise variances.The sensor network is partitioned into clusters by the nearest neighbor rule.Using the minimax robust estimation principle,based on the worst-case conservative sensor network system with conservative upper bounds of noise variances,and applying the unbiased linear minimum variance(ULMV)optimal estimation rule,we present the two-layer SCI fusion robust steady-state Kalman filter which can reduce communication and computation burdens and save energy sources,and guarantee that the actual filtering error variances have a less-conservative upper-bound.A Lyapunov equation method for robustness analysis is proposed,by which the robustness of the local and fused Kalman filters is proved.The concept of the robust accuracy is presented and the robust accuracy relations of the local and fused robust Kalman filters are proved.It is proved that the robust accuracy of the global SCI fuser is higher than those of the local SCI fusers and the robust accuracies of all SCI fusers are higher than that of each local robust Kalman filter.A simulation example for a tracking system verifies the robustness and robust accuracy relations.展开更多
In sequential auctions the phenomenon of declining prices is often observed, which in theory can be represented by a supermartingale. This paper employs the perspective that bidders' values may change over stages ...In sequential auctions the phenomenon of declining prices is often observed, which in theory can be represented by a supermartingale. This paper employs the perspective that bidders' values may change over stages and the common priors are sequentially adjusted by the remaining bidders. It is shown that the declining price sequence can be explained by the adjustment of common priors between auctions. The adjustment of common priors is characterized by stochastic orders. Sufficient and necessary conditions for a supermartingale price sequence are derived.展开更多
In many auctions,buyers know beforehand little about objects to be sold in the future.Whether and how to reveal information about future objects is an important decision problem for sellers.In this paper,two objects a...In many auctions,buyers know beforehand little about objects to be sold in the future.Whether and how to reveal information about future objects is an important decision problem for sellers.In this paper,two objects are sold sequentially and each buyer's valuation for the second object is k times that for the first one,and the true value of k is sellers' private information.The authors identify three factors which affect sellers' revelation strategies: The market's competition intensity which is characterized by the number of buyers,buyers' prior information about the second object,and the difference degree between two objects which is characterized by k.The authors give not only conditions under which revealing information about the second object in advance benefits the seller,but also the optimal releasing amount of information in the market with two sellers and one seller,respectively.展开更多
In this paper we reanalyze Said’s(2011) work by retaining all his assumptions except that we use the first-price auction to sell differentiated goods to buyers in dynamic markets instead of the second-price auction. ...In this paper we reanalyze Said’s(2011) work by retaining all his assumptions except that we use the first-price auction to sell differentiated goods to buyers in dynamic markets instead of the second-price auction. We conclude that except for the expression of the equilibrium bidding strategy, all the results for the first-price auction are exactly the same as the corresponding ones for the second-price auction established by Said(2011). This implies that the well-known "revenue equivalence theorem"holds true for Said’s(2011) dynamic model setting.展开更多
利用昆明国际花卉拍卖市场(KIFA)的交易数据,分析"荷式"序贯拍卖的价格反常现象,得到了两个重要结论,一个是与Van den Berg等(2001)类似的结论:KIFA存在价格反常现象且价格的强下降发生在剩余数量较少时.另一个是:价格的强下...利用昆明国际花卉拍卖市场(KIFA)的交易数据,分析"荷式"序贯拍卖的价格反常现象,得到了两个重要结论,一个是与Van den Berg等(2001)类似的结论:KIFA存在价格反常现象且价格的强下降发生在剩余数量较少时.另一个是:价格的强下降还发生在序贯拍卖初期.此外,进一步研究赢标者策略性行为对价格趋势的影响,主要从赢标者是否首次赢标、估价、学习次数三个角度加以分析.结果显示:当赢标者为首次赢标时,将减缓价格下降效应;后轮赢标者估价高或学习次数多则分别减缓或加大了价格下降效应,且赢标者估价与学习次数间存在交叉效应.研究表明KIFA的赢标者发现了价格反常现象并采取了策略性行为.展开更多
基金Supported by National Natural Science Foundation of China(60874063)Innovation and Scientific Research Foundation of Graduate Student of Heilongjiang Province(YJSCX2012-263HLJ)
文摘This paper deals with the problem of designing robust sequential covariance intersection(SCI)fusion Kalman filter for the clustering multi-agent sensor network system with measurement delays and uncertain noise variances.The sensor network is partitioned into clusters by the nearest neighbor rule.Using the minimax robust estimation principle,based on the worst-case conservative sensor network system with conservative upper bounds of noise variances,and applying the unbiased linear minimum variance(ULMV)optimal estimation rule,we present the two-layer SCI fusion robust steady-state Kalman filter which can reduce communication and computation burdens and save energy sources,and guarantee that the actual filtering error variances have a less-conservative upper-bound.A Lyapunov equation method for robustness analysis is proposed,by which the robustness of the local and fused Kalman filters is proved.The concept of the robust accuracy is presented and the robust accuracy relations of the local and fused robust Kalman filters are proved.It is proved that the robust accuracy of the global SCI fuser is higher than those of the local SCI fusers and the robust accuracies of all SCI fusers are higher than that of each local robust Kalman filter.A simulation example for a tracking system verifies the robustness and robust accuracy relations.
基金supported by Beijing Higher Education Young Elite Teacher Project(YETP0964)the National Natural Science Foundation of China under Grant Nos.71171053 and 71473282+1 种基金211 Projects FoundationProjects from School of Economics at Central University of Finance and Economics
文摘In sequential auctions the phenomenon of declining prices is often observed, which in theory can be represented by a supermartingale. This paper employs the perspective that bidders' values may change over stages and the common priors are sequentially adjusted by the remaining bidders. It is shown that the declining price sequence can be explained by the adjustment of common priors between auctions. The adjustment of common priors is characterized by stochastic orders. Sufficient and necessary conditions for a supermartingale price sequence are derived.
基金supported by the National Natural Science Foundation of China under Grant Nos.61273206 and 71471069
文摘In many auctions,buyers know beforehand little about objects to be sold in the future.Whether and how to reveal information about future objects is an important decision problem for sellers.In this paper,two objects are sold sequentially and each buyer's valuation for the second object is k times that for the first one,and the true value of k is sellers' private information.The authors identify three factors which affect sellers' revelation strategies: The market's competition intensity which is characterized by the number of buyers,buyers' prior information about the second object,and the difference degree between two objects which is characterized by k.The authors give not only conditions under which revealing information about the second object in advance benefits the seller,but also the optimal releasing amount of information in the market with two sellers and one seller,respectively.
基金Supported by the National Natural Science Foundation of China(71171052)
文摘In this paper we reanalyze Said’s(2011) work by retaining all his assumptions except that we use the first-price auction to sell differentiated goods to buyers in dynamic markets instead of the second-price auction. We conclude that except for the expression of the equilibrium bidding strategy, all the results for the first-price auction are exactly the same as the corresponding ones for the second-price auction established by Said(2011). This implies that the well-known "revenue equivalence theorem"holds true for Said’s(2011) dynamic model setting.
文摘利用昆明国际花卉拍卖市场(KIFA)的交易数据,分析"荷式"序贯拍卖的价格反常现象,得到了两个重要结论,一个是与Van den Berg等(2001)类似的结论:KIFA存在价格反常现象且价格的强下降发生在剩余数量较少时.另一个是:价格的强下降还发生在序贯拍卖初期.此外,进一步研究赢标者策略性行为对价格趋势的影响,主要从赢标者是否首次赢标、估价、学习次数三个角度加以分析.结果显示:当赢标者为首次赢标时,将减缓价格下降效应;后轮赢标者估价高或学习次数多则分别减缓或加大了价格下降效应,且赢标者估价与学习次数间存在交叉效应.研究表明KIFA的赢标者发现了价格反常现象并采取了策略性行为.
