Stochastic regularization for the mean-variance allocation scheme

Despite being based on sound principles, the original Markovitz portfolio allocation theory cannot produce sound allocations, and restrictions or modifications need to be imposed from outside the theory in order to obtain meaningful portfolios. This is unsatisfactory, and the reasons for this failure are discussed, in particular, the unavoidable small eigenvalues of the covariance. Within the original principles of risk minimization and return maximization, several modifications of the original theory are introduced. First, the strategic and tactical time horizons are separated. A base long-term allocation is chosen at the strategic time horizon, while the portfolio is optimized at the tactical time horizon using information from the price histories. Second, the tactical portfolio is financed by the strategic one, and a funding operator is introduced. The corresponding optimal allocation (without constraints) has one free parameter fixing the leverage. Third, the transaction costs are taken into account. This includes the current re-allocation cost, but crucially the expected costs of the next reallocation. This last term depends on the sensitivity of the allocation with respect to the covariance, and the expectation introduces another dependency on the (inverse) covariance. The new term regularizes the original minimization problem by modifying the lower part of the spectrum of the covariance, leading to meaningful portfolios. Without constraints, the final Lagrangian can be minimized analytically, with a solution that has a structure similar to the original Markovitz solution, but with the inverse covariance regularized by the expected transaction costs.     

Pareto efficient allocation of an in-motion wireless charging infrastructure for electric vehicles in a multipath network

Electric vehicles (EV) use an eco-friendly technology that limits the greenhouse gas emissions of the transport sector, but the limited battery capacity and the density of the battery are the major barriers to the widespread adoption of EV. To mitigate this, a good method seems to be the innovative wireless charging technology called ‘On-Line EV (OLEV)’, which is a contactless electric power transfer technology. This EV technology has the potential to charge the vehicle’s battery dynamically while the vehicle is in motion. This system helps to reduce not only the size of the battery but also its cost, and it also contributes to extending the driving range before the EV has to stop. The high cost of this technology requires an optimal location of the infrastructure along the route. For this reason, the objective of this paper is to study the problem of the location of the wireless charging infrastructure in a transport network composed of multiple routes between the origin and the destination. To find a strategic solution to this problem, we first and foremost propose a nonlinear integer programming solution to reach a compromise between the cost of the battery, which is related to its capacity, and the cost of installing the power transmitters, while maintaining the quality of the vehicle’s routing. Second, we adapt the multi-objective particle swarm optimization (MPSO) approach to our problem, as the particles were robust in solving nonlinear optimization problems. Since we have a multi-objective problem with two binary variables, we combine the binary and discrete versions of the particle swarm optimization approach with the multi-objective one. The port of Le Havre is presented as a case study to illustrate the proposed methodology. The results are analyzed and discussed in order to point out the efficiency of our resolution method.     

如何进一步优化“哑铃式”生产工艺

煤炭科研院所转制后的企业大多采用"哑铃式"生产模式,即设计、组装(生产的两头)由自身控制,中间加工环节放在各外委厂家加工,以避免科研院所自身加工生产条件不足的缺陷,在转制起始阶段能迅速组织生产,形成较为快速的经济增长。但随着产品品种逐渐增多、产品生产数量日益增加,采用本模式的生产工艺逐步暴露出一定的缺陷,如:产品质量的不稳定、产品库存的积压、产品成本的增加等等一系列问题。因此本文将通过对多种新产生问题的分析,提出进一步优化"哑铃式"生产工艺的方法。     

湘桂铁路下穿全兴高速公路设计方案优化

新建湘桂铁路于DK233+503处下穿全兴高速公路,原设计采用顶进框架桥方案。通过对安全质量的可控性、经济、工期等方面进行综合比选,取消顶进框架桥,变更为公路箱梁桥上跨铁路方案,采用分幅封道、分幅施工,既安全快速地穿过全兴高速公路,又创造了良好的经济效益和社会效益,为类似的工程提供了一定的参考价值。     

山区高速公路施工成本控制——优化大临工程及设计方案节约施工成本

本文以承秦高速三标为背景,通过优化施工便道、临时电力、弃土场、拌和站、梁场等大临工程施工方案,优化隧道、桥梁设计方案,有效降低了施工成本,取得了较好的经济效益,对山区高速公路施工成本管理有一定的借鉴意义。     

工程优化设计

加强工程设计方案优化已成为现代工程建设开展的重要工作,是控制工程成本、提高工程造价管理的关键。基于此,论述工程优化设计的影响因素与不足,提出搞好优化设计的几点建议。     

基于SD模型的诸城市农业结构仿真优化研究

［目的］预测2017—2035年诸城市农业结构的变化趋势，对农业结构进行多情景优化仿真，提出优化调整建议。［方法］文章以山东省诸城市作为研究对象，将农业结构划分为种植、种养结合和加工休闲3个子系统，选取56个指标，运用多元统计回归分析等方法构建41个方程，建立农业结构系统动力学（System Dynamics，简称SD）模型，运用Vensim—PLE软件进行仿真优化分析。［结果］SD模型预测结果表明，到2035年，粮食作物播种面积1105万hm2，总产量8037万t，经济作物播种面积652万hm2，总产量15203万t； 生猪出栏量达到29615万头，家禽出栏量1105 231亿只，畜禽粪污利用率8792%； 农业总产值达到25132亿元，休闲农业产值6134亿元，食品加工业产值1 25263亿元。假设种植业生产中的农业科技投入增加2个百分点， 2035年粮食作物产量较优化前增加576万t； 经济作物产量较优化前增加2814万t； 假设有机肥施用补贴增加3个百分点， 2035年畜禽粪污利用率较优化前提高762个百分点； 假设农产品加工业的研发力度和科技投入增加1个百分点， 2035年食品加工产值较优化前增加73521亿元； 农产品加工业产值占农业总产值比值由优化前的325：1达到41：1。［结论］为进一步推进诸城市农业结构调整，迫切需要加大农业科技投入，完善有机肥扶持政策，培育种养结合新型经营主体，重点扶持培育加工龙头企业，发展现代化休闲农场，促进农业产业融合发展。     

基于加权Voronoi多边形的山区农村居民点优化布局———以重庆市崇龛镇与石龙镇为例

中国的城市化进程伴随着农村人口向城市大量转移,使得乡村普遍面临人口流失、耕地撂荒及居民点闲置等问题,严重限制农村地区的经济发展,影响基础设施与公共服务设施的配置效率。优化农村居民点布局,实现资源的集约节约利用是国家新型城镇化规划的重要内容。文章以重庆市潼南县崇龛镇与巴南区石龙镇为例,探讨西南地区农村居民点空间布局优化的科学方法。首先,结合西南地区特有的自然人文条件,运用GIS空间分析技术与景观格局指数分析居民点分布特征;然后,构建包括限制性评价与适宜性评价两个阶段的西南地区居民点综合评价体系;基于对未来乡村发展趋势的判断,依据公平与效率原则,将现有居民点划分为发展型、保留型及迁并型等3类;在此基础上,运用加权Voronoi图确定重点发展型居民点的增长极引力范围,明确迁并型居民点与保留型居民点的发展方向,最终确定农村居民点布局的优化方案。经过优化,崇龛镇基于效率原则确定出222个重点发展型居民点,节约农村居民点用地0.813km2;石龙镇基于公平原则整理出416个重点发展型居民点,节约农村居民点用地0.301km2。研究能为2个示范镇农村居民点的规划优化提供科学依据,也为西南地区开展新型城镇化规划提供参考。     

矿井通风三维可视化系统及优化

系统建立了三维仿真框架,建立了三维空间属性模型和非空间属性模型,分别对空间数据和非空间数据进行储存和管理。并建立了Hardy-Cross迭代模型和离散反馈型神经网络模型优化通风网络模型。并以C#语言来实现系统的功能。     

基于通勤行为的小城镇土地利用与格局优化对策研究——以扬中市为例

研究目的:从居民的通勤行为特征中寻求小城镇土地利用格局优化路径,为产城融合的实现提供理论支持。研究方法:构建通勤流矩阵,运用Arc GIS路径分析测算通勤距离,并通过缓冲区分析通勤距离在空间上的特征,并与土地利用类型进行对比分析,同时建立通勤距离与社会经济因素的回归方程,分析通勤距离的影响因素。研究结果:小城镇通勤方式以便捷型工具为主,通勤高峰集中于上下班,通勤距离随着城镇化和工业化水平的提高,短距离占比增大。主要结论:在城镇化和工业化发展较快的区域,短距离通勤集聚更具有"同心圆"特征,核心力更强。工业化带动的聚集结构呈现出"条带形"态势,与区域工业布局结构有较密切的关系,也与城镇化和工业化扩增融合有关。短距离通勤集聚区会随着城镇化水平的提高而由"双核"向"单核"结构发展,并针对以上问题提出了相应的对策。