期刊文献+
共找到188篇文章
< 1 2 10 >
每页显示 20 50 100
Multistage Stochastic Programming Model for the Portfolio Problem of a Property-Liability Insurance Company 被引量:3
1
作者 王春峰 杨建林 蒋祥林 《Transactions of Tianjin University》 EI CAS 2002年第3期203-206,共4页
The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod mod... The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod model for its portfolio problem. The model is a multistage stochastic programming which considers transaction costs, cash flow between time periods, and the matching of asset and liability; it does not depend on the assumption for normality of return distribution. Additionally, an investment constraint is added. The numerical example manifests that the multiperiod model can more effectively assist the property-liability insurer to determine the optimal composition of insurance and investment portfolio and outperforms the single period one. 展开更多
关键词 property-liability insurance company portfolio management multiperiod model multistage stochastic programming
在线阅读 下载PDF
A simulation-based two-stage interval-stochastic programming model for water resources management in Kaidu-Konqi watershed,China 被引量:6
2
作者 Yue HUANG Xi CHEN +2 位作者 YongPing LI AnMing BAO YongGang MA 《Journal of Arid Land》 SCIE 2012年第4期390-398,共9页
This study presented a simulation-based two-stage interval-stochastic programming (STIP) model to support water resources management in the Kaidu-Konqi watershed in Northwest China. The modeling system coupled a dis... This study presented a simulation-based two-stage interval-stochastic programming (STIP) model to support water resources management in the Kaidu-Konqi watershed in Northwest China. The modeling system coupled a distributed hydrological model with an interval two-stage stochastic programing (ITSP). The distributed hydrological model was used for establishing a rainfall-runoff forecast system, while random parameters were pro- vided by the statistical analysis of simulation outcomes water resources management planning in Kaidu-Konqi The developed STIP model was applied to a real case of watershed, where three scenarios with different water re- sources management policies were analyzed. The results indicated that water shortage mainly occurred in agri- culture, ecology and forestry sectors. In comparison, the water demand from municipality, industry and stock- breeding sectors can be satisfied due to their lower consumptions and higher economic values. Different policies for ecological water allocation can result in varied system benefits, and can help to identify desired water allocation plans with a maximum economic benefit and a minimum risk of system disruption under uncertainty. 展开更多
关键词 OPTIMIZATION two-stage stochastic programming UNCERTAINTY water resources management hydrological model Kaidu-Konqi watershed Tarim River Basin
在线阅读 下载PDF
Principal-subordinate hierarchical multi-objective programming model of initial water rights allocation 被引量:5
3
作者 Dan WU Feng-ping WU Yan-ping CHEN 《Water Science and Engineering》 EI CAS 2009年第2期105-116,共12页
The principal-subordinate hierarchical multi-objective programming model of initial water rights allocation was developed based on the principle of coordinated and sustainable development of different regions and wate... The principal-subordinate hierarchical multi-objective programming model of initial water rights allocation was developed based on the principle of coordinated and sustainable development of different regions and water sectors within a basin. With the precondition of strictly controlling maximum emissions rights, initial water rights were allocated between the first and the second levels of the hierarchy in order to promote fair and coordinated development across different regions of the basin and coordinated and efficient water use across different water sectors, realize the maximum comprehensive benefits to the basin, promote the unity of quantity and quality of initial water rights allocation, and eliminate water conflict across different regions and water sectors. According to interactive decision-making theory, a principal-subordinate hierarchical interactive iterative algorithm based on the satisfaction degree was developed and used to solve the initial water rights allocation model. A case study verified the validity of the model. 展开更多
关键词 initial water rights allocation principal-subordinate hierarchy multi-objective programming model satisfaction degree
在线阅读 下载PDF
An Interactive Fuzzy Satisficing Method for Multiobjective Stochastic Integer Programming with Simple Recourse
4
作者 Masatoshi Sakawa Takeshi Matsui 《Applied Mathematics》 2012年第10期1245-1251,共7页
This paper considers multiobjective integer programming problems involving random variables in constraints. Using the concept of simple recourse, the formulated multiobjective stochastic simple recourse problems are t... This paper considers multiobjective integer programming problems involving random variables in constraints. Using the concept of simple recourse, the formulated multiobjective stochastic simple recourse problems are transformed into deterministic ones. For solving transformed deterministic problems efficiently, we also introduce genetic algorithms with double strings for nonlinear integer programming problems. Taking into account vagueness of judgments of the decision maker, an interactive fuzzy satisficing method is presented. In the proposed interactive method, after determineing the fuzzy goals of the decision maker, a satisficing solution for the decision maker is derived efficiently by updating the reference membership levels of the decision maker. An illustrative numerical example is provided to demonstrate the feasibility and efficiency of the proposed method. 展开更多
关键词 MULTIOBJECTIVE programming stochastic programming FUZZY programming INTERACTIVE Methods SIMPLE RECOURSE model
在线阅读 下载PDF
Relationship between Maximum Principle and Dynamic Programming in Stochastic Differential Games and Applications
5
作者 Jingtao Shi 《American Journal of Operations Research》 2013年第6期445-453,共9页
This paper is concerned with the relationship between maximum principle and dynamic programming in zero-sum stochastic differential games. Under the assumption that the value function is enough smooth, relations among... This paper is concerned with the relationship between maximum principle and dynamic programming in zero-sum stochastic differential games. Under the assumption that the value function is enough smooth, relations among the adjoint processes, the generalized Hamiltonian function and the value function are given. A portfolio optimization problem under model uncertainty in the financial market is discussed to show the applications of our result. 展开更多
关键词 stochastic Optimal Control stochastic Differential GAMES Dynamic programming MAXIMUM PRINCIPLE PORTFOLIO Optimization model Uncertainty
在线阅读 下载PDF
Multi-objective planning model for simultaneous reconfiguration of power distribution network and allocation of renewable energy resources and capacitors with considering uncertainties 被引量:10
6
作者 Sajad Najafi Ravadanegh Mohammad Reza Jannati Oskuee Masoumeh Karimi 《Journal of Central South University》 SCIE EI CAS CSCD 2017年第8期1837-1849,共13页
This research develops a comprehensive method to solve a combinatorial problem consisting of distribution system reconfiguration, capacitor allocation, and renewable energy resources sizing and siting simultaneously a... This research develops a comprehensive method to solve a combinatorial problem consisting of distribution system reconfiguration, capacitor allocation, and renewable energy resources sizing and siting simultaneously and to improve power system's accountability and system performance parameters. Due to finding solution which is closer to realistic characteristics, load forecasting, market price errors and the uncertainties related to the variable output power of wind based DG units are put in consideration. This work employs NSGA-II accompanied by the fuzzy set theory to solve the aforementioned multi-objective problem. The proposed scheme finally leads to a solution with a minimum voltage deviation, a maximum voltage stability, lower amount of pollutant and lower cost. The cost includes the installation costs of new equipment, reconfiguration costs, power loss cost, reliability cost, cost of energy purchased from power market, upgrade costs of lines and operation and maintenance costs of DGs. Therefore, the proposed methodology improves power quality, reliability and security in lower costs besides its preserve, with the operational indices of power distribution networks in acceptable level. To validate the proposed methodology's usefulness, it was applied on the IEEE 33-bus distribution system then the outcomes were compared with initial configuration. 展开更多
关键词 optimal reconfiguration renewable energy resources sitting and sizing capacitor allocation electric distribution system uncertainty modeling scenario based-stochastic programming multi-objective genetic algorithm
在线阅读 下载PDF
Analysis of Energy Storage Operation Configuration of Power System Based on Multi-Objective Optimization 被引量:1
7
作者 Linyao Zhou Tengfei Ma 《Journal of Electronic Research and Application》 2022年第4期13-37,共25页
Driven by the goal of“carbon neutrality,”the increase in use of renewable energy power systems will be inevitable in the future.Uncontrolled output power and random volatility make it difficult to balance power in r... Driven by the goal of“carbon neutrality,”the increase in use of renewable energy power systems will be inevitable in the future.Uncontrolled output power and random volatility make it difficult to balance power in real time during system operation.Therefore,energy storage is considered to be an effective way to ensure the real-time balance of system power.However,cost of energy storage is relatively expensive.As a solution,energy storage can be used to balance the system power in order to reduce system operating costs.Taking the high proportion of wind power systems as an example,the impact of the“supply side”low-carbon transformation on the economics and reliability of power system operation is explored.In order to solve the problem of power system operation configuration optimization under the background of“carbon neutrality,”this paper establishes a multi-objective programming model. 展开更多
关键词 multi-objective planning Energy storage analysis Carbon-neutral Carbon neutrality multi-objective programming model
在线阅读 下载PDF
Bi-Criteria Optimization Technique in Stochastic System Maintenance Allocation Problem 被引量:3
8
作者 Irfan Ali S. Suhaib Hasan 《American Journal of Operations Research》 2013年第1期17-29,共13页
In this paper, the problem of optimum allocation of repairable and replaceable components in a system is formulated as a Bi-objective stochastic non linear programming problem. The system maintenance time and cost are... In this paper, the problem of optimum allocation of repairable and replaceable components in a system is formulated as a Bi-objective stochastic non linear programming problem. The system maintenance time and cost are random variable and has gamma and normal distribution respectively. A Bi-criteria optimization technique, weighted Tchebycheff is used to obtain the optimum allocation for a system. A numerical example is also presented to illustrate the computational details. 展开更多
关键词 Selective Maintenance WEIGHTED Tchebycheff Technique MULTI-CRITERIA Optimization stochastic programming CHANCE CONSTRAINED Modified E-model System Reliability
在线阅读 下载PDF
Bi-Level Programming for the Optimal Nonlinear Distance-Based Transit Fare Structure Incorporating Principal-Agent Game
9
作者 Xin Sun Shuyan Chen Yongfeng Ma 《Journal of Harbin Institute of Technology(New Series)》 CAS 2022年第5期69-77,共9页
The urban transit fare structure and level can largely affect passengers’travel behavior and route choices.The commonly used transit fare policies in the present transit network would lead to the unbalanced transit a... The urban transit fare structure and level can largely affect passengers’travel behavior and route choices.The commonly used transit fare policies in the present transit network would lead to the unbalanced transit assignment and improper transit resources distribution.In order to distribute transit passenger flow evenly and efficiently,this paper introduces a new distance-based fare pattern with Euclidean distance.A bi-level programming model is developed for determining the optimal distance-based fare pattern,with the path-based stochastic transit assignment(STA)problem with elastic demand being proposed at the lower level.The upper-level intends to address a principal-agent game between transport authorities and transit enterprises pursing maximization of social welfare and financial interest,respectively.A genetic algorithm(GA)is implemented to solve the bi-level model,which is verified by a numerical example to illustrate that the proposed nonlinear distance-based fare pattern presents a better financial performance and distribution effect than other fare structures. 展开更多
关键词 bi-level programming model principal-agent game nonlinear distance-based fare path-based stochastic transit assignment
在线阅读 下载PDF
Stochastic occupancy-integrated MPC for multi-objective optimal built environment control
10
作者 Hanbei Zhang Christian Ankerstjerne Thilker +4 位作者 Fu Xiao Henrik Madsen Rongling Li Tianyou Ma Kan Xu 《Building Simulation》 2025年第8期1963-1999,共37页
Efficient built environment control is essential for balancing energy consumption,thermal comfort,and indoor air quality(IAQ),especially in spaces with highly dynamic and intermittent occupancy patterns.Traditional co... Efficient built environment control is essential for balancing energy consumption,thermal comfort,and indoor air quality(IAQ),especially in spaces with highly dynamic and intermittent occupancy patterns.Traditional control strategies,such as fixed schedules or simple occupancy-based rules,often fail to address the stochastic nature of occupancy behaviors,leading to suboptimal performance.This study proposes a stochastic occupancy-integrated model predictive control(MPC)strategy that advances built environment optimization through several innovative contributions.First,the proposed MPC integrates stochastic occupancy number predictions into its control scheme,enabling multi-objective optimization considering thermal comfort and IAQ for spaces with sudden occupancy changes and irregular usage.Second,the stochastic differential equations(SDE)-based building dynamic models are developed considering the stochasticity and time-inhomogeneity of occupancy heat gains and CO_(2)generations in the prediction of indoor temperature,CO_(2)concentration and energy consumption.Third,a TRNSYS-Python co-simulation platform is established to evaluate the MPC strategy’s performance,addressing the discrepancies between the SDE models used for MPC and the actual process of the target system.Finally,the study comprehensively evaluates the MPC’s multi-dimensional performance under different optimization weight combinations and benchmarks it against two baseline strategies:a fixed-schedule(FIX)strategy and occupancy-based control(OBC)strategies with varying per-person fresh airflow rates.Simulation results demonstrate that the proposed MPC achieves 32%energy savings and 17%IAQ improvement compared to the FIX strategy,and 30%thermal comfort improvement and 20%IAQ improvement with the same energy consumption compared to OBC.These findings highlight the robustness and enhanced performance of the proposed MPC in addressing the complexities of stochastic and time-varying occupancy,offering a state-of-the-art solution for energy-efficient and occupant-centric built environment control. 展开更多
关键词 model predictive control multi-objective optimization stochastic occupancy prediction inhomogeneous Markov chains built environment control TRNSYS simulation
原文传递
Asymptotically Optimal Scenario Analysis and Wait-and-See Model for Optimal Power Flow With Wind Power 被引量:27
11
作者 LI Jinghua WEI Hua MO Dong 《中国电机工程学报》 EI CSCD 北大核心 2012年第22期I0003-I0003,共1页
精确模拟风功率分布的场景,有效求解反映风电随机性的最优潮流模型,对大规模风电并网的经济调度、质量控制及安全运行均具有重要意义。引入风电随机变量,建立最优潮流的"wait-and-see"(WS-OPF)模型;采用优于其他指标的瓦瑟斯坦(Was... 精确模拟风功率分布的场景,有效求解反映风电随机性的最优潮流模型,对大规模风电并网的经济调度、质量控制及安全运行均具有重要意义。引入风电随机变量,建立最优潮流的"wait-and-see"(WS-OPF)模型;采用优于其他指标的瓦瑟斯坦(Wasserstein)距离为衡量指标,形成与风功率概率分布最优近似的场景模型,生成渐近最优场景,获得潮流分布及机组最优出力等指导调度安全经济运行的重要信息。最后,以IEEE 30和IEEE 300系统为例,对比各种距离指标的模拟精度,验证Wasserstein距离的优良性;同时,与不考虑风电随机性的模型相比,WS-OPF模型能更好地模拟风功率随机特性,提供与实际发生的风功率相近的调度方案,从而合理地规避风电接入电网的风险,提高风电的消纳能力。 展开更多
关键词 优化调度模型 渐近最优 最优潮流 风电 随机变量 电力系统
原文传递
STOCHASTIC PROGRAMMING METHOD FOR MULTIPERIOD CONSUMPTION AND INVESTMENT PROBLEMS WITH TRANSACTIONS COSTS
12
作者 CHENZhiping XUChengxian K.C.Yuen 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2004年第1期39-53,共15页
Using the GARCH model to describe the risky asset's return process so thatits time-varying moments and conditional heteroskedasticity can be properly reflected,general multiperiod optimal investment and consumptio... Using the GARCH model to describe the risky asset's return process so thatits time-varying moments and conditional heteroskedasticity can be properly reflected,general multiperiod optimal investment and consumption problems with both fixed andproportional transactions costs are investigated in this paper. We model this kind ofdifficult problems as a dynamic stochastic optimization problem, which can cope withdifferent utility functions and any number of time periods. The procedure to solve theresulting complex nonlinear stochastic optimization problem is discussed in detail and abranch-decomposition algorithm is devised. 展开更多
关键词 consumption and investment problems the GARCH model stochastic programming DECOMPOSITION
原文传递
Evaluation and advancement of the integrated circular economy model of farming and stock raising
13
作者 Qingsong Wang Mingqiang Liu +2 位作者 Yuzhou Tang Xueliang Yuan Qiao Ma 《Chinese Journal of Population,Resources and Environment》 2020年第4期350-360,共11页
The integrated circular economy model of farming and stock raising(ICEMFSR)has attracted increased attention as an effective model for solving the current irrational allocation of agricultural resources and realizing ... The integrated circular economy model of farming and stock raising(ICEMFSR)has attracted increased attention as an effective model for solving the current irrational allocation of agricultural resources and realizing the agricultural value-added industrial chain.This study uses emergy analysis to comprehensively examine and evaluate the economic benefits,environmental pressures,and sustainable development levels of ICEMFSR in Shucheng County,China.The results show that the ICEMFSR possesses the value of popularization with optimally allocated resources in the studied region,in which the emergy yield ratio(EYR),emergy loading ratio(ELR),and emergy sustainable index(ESI)in this model accounted for 3.59,1.25,and 2.89,respectively.This result indicates a leading position in the national agricultural system.Hence,this study constructs a new model based on the coupling of emergy evaluation and multi-objective linear programming to study ICEMFSR.Consequently,the EYR,ELR,and ESI respectively varied by +24.23%,10.40%,and +38.06%after replanning of ICEMFSR.This variation implies a significant improvement in the sustainable development level of the model.In addition,the optimized scenario design for key substances is proposed based on traceability and the reduce-reuse-recycle principle,including biogasification of crop straw and enhancement of crop scientific planting capacity. 展开更多
关键词 Circular economy model Emergy evaluation multi-objective linear programming Optimization suggestions
在线阅读 下载PDF
Investigation on Energetic Optimization Problems of Stochastic Thermodynamics with Iterative Dynamic Programming
14
作者 Linchen Gong Ming Li Zhong-can Ou-Yang 《Communications in Computational Physics》 SCIE 2010年第5期904-926,共23页
The energetic optimization problem,e.g.,searching for the optimal switching protocol of certain system parameters to minimize the input work,has been extensively studied by stochastic thermodynamics.In this work,we st... The energetic optimization problem,e.g.,searching for the optimal switching protocol of certain system parameters to minimize the input work,has been extensively studied by stochastic thermodynamics.In this work,we study this problem numerically using iterative dynamic programming.The model systems under investigation are toy actuators consisting of spring-linked beads with loading force imposed on both ending beads.For the simplest case,i.e.,a one-spring actuator driven by tuning the stiffness of the spring,we compare the optimal control protocol of the stiffness for both the overdamped and the underdamped situations,and discuss how inertial effects alter the irreversibility of the driven process and thus modify the optimal protocol.Then,we study the systems with multiple degrees of freedom by constructing oligomer actuators,in which the harmonic interaction between the two ending beads is tuned externally.With the same rated output work,actuators of different constructions demand different minimal input work,reflecting the influence of the internal degrees of freedom on the performance of the actuators. 展开更多
关键词 Iterative dynamic programming stochastic thermodynamics harmonic model
原文传递
A joint stochastic programming approach for aircraft landing and terminal traffic flow problem under weather scenarios
15
作者 T.C.Yeung Chenliang Zhang +1 位作者 Zhongyi Jin Kam K.H.Ng 《Journal of the Air Transport Research Society》 2024年第2期255-264,共10页
A stochastic programming model on the combination of aircraft landing problem and terminal traffic flow management under uncertainty is proposed in this work.In reality,various kinds of uncertainties,including adverse... A stochastic programming model on the combination of aircraft landing problem and terminal traffic flow management under uncertainty is proposed in this work.In reality,various kinds of uncertainties,including adverse weather events,occur more frequently and interrupt air traffic operations.Some of these uncertain events can appear and disappear in a short period.Furthermore,the occurrence of these events affects the flights significantly,delaying the flights or event harming the safety of passengers.Thus,it is essential to respond to these uncertainties to ensure the level of safety at runtime.Runway operation may cease due to strong wind shear,turbulence,microburst or other extreme weather scenarios,is limited due to the restricted airspace capacity,and we extend the problem covering the terminal airspace.The proposed model can significantly reduce the total delay time of aircraft in the computations. 展开更多
关键词 stochastic programming model Aircraft landing problem Terminal traffic flow problem Sample Average Approximation
在线阅读 下载PDF
应对大规模海风接入的电网侧储能两阶段选址定容随机规划方法 被引量:4
16
作者 王春玲 董萍 +2 位作者 可思为 马铭宇 刘明波 《高电压技术》 北大核心 2025年第4期1696-1707,共12页
为应对大规模海上风电的随机性及不确定性,作为灵活性资源的储能受到日益广泛的关注。然而,现有针对新能源并网的储能配置研究聚焦在电源侧,缺乏对电网侧储能的优化配置研究。针对此问题,在考虑海上风电不同出力区间预测误差的基础上,... 为应对大规模海上风电的随机性及不确定性,作为灵活性资源的储能受到日益广泛的关注。然而,现有针对新能源并网的储能配置研究聚焦在电源侧,缺乏对电网侧储能的优化配置研究。针对此问题,在考虑海上风电不同出力区间预测误差的基础上,提出一种电网侧储能两阶段选址定容配置方法。第1阶段基于海上风电出力及负荷数据,采用多场景随机规划方法,以经济性最优配置储能容量,最大限度的补偿风电预测误差,减少弃风量和切负荷量;第2阶段建立基于优先选址的多时段最优潮流模型,考虑系统安全性及网络架构,以机组成本最小为目标进行储能选址定容。最后,采用修改后的IEEE39节点系统进行仿真模拟,结合储能综合评价模型,验证本文方法的有效性。 展开更多
关键词 储能选址定容 海上风电 多场景随机规划 蒙特卡洛模拟 多时段最优潮流 储能综合评价模型
原文传递
基于随机规划的滑行道与跑道资源综合优化调度研究 被引量:1
17
作者 周笑桐 程傲 +2 位作者 张颖 尹嘉男 徐世民 《昆明理工大学学报(自然科学版)》 北大核心 2025年第1期170-177,213,共9页
针对机场场面运行中各个资源高度耦合导致场面活动难以协调,以及受不确定因素影响导致场面运行策略执行性低等问题,研究了不确定性场景下滑行道与跑道资源综合调度方法.考虑各个资源的耦合方式,以及预计推出时间不确定性的影响,对进离... 针对机场场面运行中各个资源高度耦合导致场面活动难以协调,以及受不确定因素影响导致场面运行策略执行性低等问题,研究了不确定性场景下滑行道与跑道资源综合调度方法.考虑各个资源的耦合方式,以及预计推出时间不确定性的影响,对进离场航班在跑道与滑行道的运行进行综合优化调度,构建滑行道与跑道资源一体化综合调度随机规划模型,并应用模拟退火算法对模型进行求解,获得对离场航班的推出时间、进离场航班在滑行道的路径和过点时间以及跑道起降时间的综合优化调度方案.以昆明长水机场为例,构建场面滑行路段网络拓扑结构节点-链接模型为每架航班规划场面滑行路径,并对所提随机规划模型进行验证分析.实验结果表明:不确定性水平高低以及交通流量均会影响推出延误与滑行时间大小,置信水平对推出延误影响更突出;考虑预计推出时间不确定性的随机规划模型优化方案较确定性优化方案抗干扰能力更强,更具稳健性. 展开更多
关键词 滑行道调度 起降顺序优化 随机规划模型 模拟退火 场面运行优化
原文传递
不确定场景下船舶尾气排放监测无人机选址路径优化
18
作者 胡碟 胡志华 李姚娜 《广西大学学报(自然科学版)》 北大核心 2025年第1期38-49,共12页
为了减小船舶排放监测场景下不确定因素的干扰并提高检测效率,研究无人机船舶排放监测选址路径优化问题时应考虑船舶位置不确定性对岸上基站选址的影响。针对船舶实时运动、无人机伴飞等特征建立无人机选址路径随机规划模型,设计2种选... 为了减小船舶排放监测场景下不确定因素的干扰并提高检测效率,研究无人机船舶排放监测选址路径优化问题时应考虑船舶位置不确定性对岸上基站选址的影响。针对船舶实时运动、无人机伴飞等特征建立无人机选址路径随机规划模型,设计2种选址规则并采用禁忌搜索算法求解岸上基站选址问题,进一步设计遗传算法优化无人机监测路径。数值实验结果表明,相同实验场景中,遗传算法在求解速度上具有显著优势,其求解速度是CPLEX求解的6倍;无人机数量和伴飞时长影响无人机监测任务,每增加1架无人机,无人机飞行总时间平均增加0.26 h,但可平均提前0.12 h完成监测任务;伴飞时长每增加了0.6 min,总飞行时间增加0.1~0.35 h。无人机速度提升5%,其飞行总时间可平均变化2.8%左右,随着无人机速度提升,飞行时间呈现递减趋势,其变化幅度逐渐减小。 展开更多
关键词 无人机 船舶排放监测 选址路径问题 随机规划模型 两阶段启发式算法
在线阅读 下载PDF
随机利率与通胀风险下带有最低担保的均值–方差养老金计划
19
作者 寇梦柯 常浩 《工程数学学报》 北大核心 2025年第1期97-113,共17页
研究了在利率风险和通胀风险环境下带有最低担保的均值–方差养老金计划问题。在缴费确定型养老金计划中,其中缴费率是预先确定的,养老金的给付取决于养老金积累阶段的缴费和投资收益,而且投资风险完全由养老金成员承担。因此,实现养老... 研究了在利率风险和通胀风险环境下带有最低担保的均值–方差养老金计划问题。在缴费确定型养老金计划中,其中缴费率是预先确定的,养老金的给付取决于养老金积累阶段的缴费和投资收益,而且投资风险完全由养老金成员承担。因此,实现养老金的精准投资以及提高养老金的给付效率,对于缓解当前的养老压力具有重要意义。假设利率模型由Cox-Ingersoll-Ross利率模型描述,为了维持养老金成员退休后的生活水平,养老金计划的终端财富收益应超过最低担保。应用拉格朗日对偶定理和随机动态规划原理,求解扩展的Hamilton-Jacobi-Bellman方程,得到有效策略和有效前沿的显式表达式。结果表明:利率风险、通胀风险和工资风险环境下的资本市场线在均值–标准差平面内仍然是一条直线。 展开更多
关键词 DC型养老金计划 利率风险 通胀风险 最低担保 均值–方差模型 随机动态规划原理
在线阅读 下载PDF
OPTIMIZING CHINA'S EXPORT STRUCTURE COMBINING GOAL PROGRAMMING AND NON-COMPETITIVE INPUT-OUTPUT MODEL 被引量:2
20
作者 MU Zhirui YANG Cuihong 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2014年第4期712-728,共17页
supported by the Taishan Scholar Construction Engineering by Shandong Government the National Natural Science Foundation of China under Grant Nos.61120106011 and 61203029
关键词 Export structure goal programming multi-objective model non-competitive input-outputmodel processing export.
原文传递
上一页 1 2 10 下一页 到第
使用帮助 返回顶部