STUDY ON CONTINUOUS-TIME HEDGING PROBLEM IN INCOMPLETE MARKETS

Introduction　　 The essence of dynamic- hedging is the abilityto replicate exactly the payoff ofa complex securityby a dynamic portfolio strategy of simpler securi-ties which is self- financing,i.e.,no cash inflowsor outflows except at the start and at the end.Ifthis strategy exists,the initial cost of the portfoliomust equal the price of the complex security.Oth-erwise,an arbitrage opportunity exists. In reality,the market is incomplete.There are institutionalrigidities,transaction costs,te…     

区域铁路网趋稳规模测算方法

以区域铁路客货运输量为中间载体,将区域铁路网规模测算问题划分为2阶段,分别建立数学规划模型进行求解,即第1阶段考虑区域经济发展、运输需求、服务人口数量和产业需求等因素,确定区域经济发展稳定状态下的合理区域铁路客货运量,在此基础上,进一步考虑国土系数、线路展开系数等因素,分析铁路客货运量与合理区域铁路网规模的内在联系和规律,从而最终确定适配的区域铁路网趋稳规模。以长江中下游地区为例进行实证分析,通过区域铁路发展特征对模型参数进行合理标定后计算,发现其所需区域铁路网总体规模为60 366 km,而目前区域内铁路网规模仅为22 642 km,不满足率高达62.49%,因此,急需加快该区域内的铁路网建设以保障和促进该区域社会经济的健康快速发展。     

技术直达列车编组计划的阶跃函数模型及同构变换

本文构造了技术直达列车编组计划（ＴＦＰ）问题的阶跃函数模型。通过对该模型做同构变换，获得了该问题的几种典型优化模型形式：线性０－１规划模型，目标函数为线性而约束条件是二次的０－１规划模型。从而为引进各种特定的算法提供了条件。文末以五个支点站为例给出了各种模型的具体形式。     

Strategic evacuation planning with pedestrian guidance and bus routing: a mixed integer programming model and heuristic solution

This paper presents a mathematical model to plan emergencies in a densely populated urban zone where a certain numbers of pedestrians depend on transit for evacuation. The proposed model features an integrated operational framework, which simultaneously guides evacuees through urban streets and crosswalks (referred to as “the pedestrian network”) to designated pickup points (e.g., bus stops), and routes a fleet of buses at different depots to those pick‐up points and transports evacuees to their destinations or safe places. In this level, the buses are routed through the so‐called “vehicular network.” An integrated mixed integer linear program that can effectively take into account the interactions between the aforementioned two networks is formulated to find the maximal evacuation efficiency in two networks. Because the large instances of the proposed model are mathematically difficult to solve to optimality, a two‐stage heuristic is developed to solve larger instances of the model. Results from hundreds of numerical examples analysis indicate that proposed heuristic works well in providing (near) optimal or feasibly good solutions for medium‐scale to large‐scale instances that may arise in real transit‐based evacuation situations in a much shorter amount of computational time compared with cplex (can find optimal/feasible solutions for only five instances within 3 hours of running). Copyright © 2016 John Wiley & Sons, Ltd.     

A network enhancement model with integrated lane reorganization and traffic control strategies

Lane reorganization strategies such as lane reversal, one‐way street, turning restriction, and cross elimination have demonstrated their effectiveness in enhancing transportation network capacity. However, how to select the most appropriate combination of those strategies in a network remains challenging to transportation professionals considering the complex interactions among those strategies and their impacts on conventional traffic control components. This article contributes to developing a mathematical model for a traffic equilibrium network, in which optimization of lane reorganization and traffic control strategies are integrated in a unified framework. The model features a bi‐level structure with the upper‐level model describing the decision of the transportation authorities for maximizing the network capacity. A variational inequality (VI) formulation of the user equilibrium (UE) behavior in choosing routes in response to various strategies is developed in the lower level. A genetic algorithm (GA) based heuristic is used to yield meta‐optimal solutions to the model. Results from extensive numerical analyses reveal the promising property of the proposed model in enhancing network capacity and reducing congestion. Copyright © 2016 John Wiley & Sons, Ltd.     

物流联盟伙伴选择优化研究

以降低供应链总作业成本和总作业时间为目标,研究一种选择物流企业联盟伙伴来构建供应链的有效方法。供应链由多个环节组成,每个环节的企业的性质不同。首先应用AHP方法结合DEA方法对供应链各环节的不同企业进行有效评价;然后根据评价结果初选出少量企业;最后以降低供应链物流总成本和运作时间为目标,应用机会约束规划选出各环节最佳物流企业组建供应链。方法应用于选择物流企业组建供应链可以有效降低供应链作业时间和作业成本。     

收费道路均衡配流的双层规划模型分析

考虑弹性用户需求下,当两点之间的收费额增加时,阻抗会随之增加,交通需求量会相应减少,引入新的交通阻抗函数。根据弹性交通需求下交通均衡配流,考虑一个双层规划模型来考虑道路经营者收费道路费率制定,同时在这个基础上给出了基于遗传一模拟退火的混合优化算法（GASA）求解算法,最后通过一个数值算例加以简单的论证,得到比较合理的费率。     

超对策模型中结局偏好模糊认知信息的融合

提出了一种新的超对策结局偏好模糊认知信息的融合方法.用一种模糊集结算子来表示专家群体对其他局中人结局偏好的模糊认知,通过求解线性规划模型得到结局偏好群体模糊认知的水平截集;以与模糊数的截集相关的解模糊函数和Newton-Cotes积分公式,得到专家群体对其他局中人结局偏好清晰认知的关系矩阵;运用大多数一致性优胜者模糊集来确定其他局中人的结局偏好向量.给出的数值例子说明了文中提出方法的有效性.     

汉语编程在MapX二次开发中的应用

交通地理信息系统因具有强大的信息服务和管理功能,越来越受到人们的重视。MapX作为GIS设计中一个常用的功能组件,其当前的主要编程环境是英文,这对于英文程度不高的汉语软件开发者来说无疑是个羁绊。因此,通过实例详细说明在易语言汉语编程开发环境下如何利用MapX开发GIS软件的方法,对于该组件的进一步推广应用具有一定的意义。     

故障诊断动态阈值生成算法研究

阈值的确定是基于模型的故障检测过程中重要的一环,文中利用具有不确定性双线性系统作为误差系统来生成残数.将该残数与设定的阈值进行比较,该阈值由具有未知不确定上界作为参数的线性系统生成.而这些未知不确定性上界可由某些设计参数替代.基于这一观点,提出了一种算法来选择设计参数值,以使无故障时选定的阈值大于残数值.应用实例表明动态生成阈值可以极大减少故障的误报率,从而验证了该参数设计算法的有效性.