Characterisation of optimal dual measures via distortion

Abstract We derive representations for optimal martingale measures in a two-factor Markovian model, by seeking ramifications of a distortion power solution (Zariphopoulou (2001)) of the primal utility maximisation problem, for the dual problem. This provides an alternative to existing methods in the literature for characterising optimal measures, and gives new results in the form of a novel representation for the dual stochastic control problem, and in the form of Esscher transform relations between the optimal measure and the minimal measure.     

集装箱单箱三维装载问题研究

集装箱装载问题是多约束多目标的组合优化问题,属于NP完全问题,即在有限的时间内找不到问题最优解.鉴于最大穴度算法在装箱领域的成功经验,将其与分层算法相结合构造混合算法,解决装箱问题,以求得全局最优解或次优解.运用举例和对比分析验证了该算法的有效性,能够直接应用于物资的集装箱配载.     

装卸同步模式下桥吊调度问题研究

为了提高集装箱码头装卸效率,减少桥吊的空运行现象,实现桥吊的满负荷工作,提出了装船作业和卸船作业同时进行的同步装卸方法。同步装卸是集装箱码头为提高装卸效率及桥吊利用率而采取的一种新的调度方法。建立了同步装卸模型并用模拟退火算法求解,运用实例对模型和算法进行验证。结果表明同步装卸模式可以减少装卸作业时间,提高桥吊装卸效率。     

The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later

Abstract In a recent critical review of de Finetti’s paper “Il problema dei pieni’’, the Nobel Prize winner Harry Markowitz recognized the primacy of de Finetti in applying the mean-variance approach to finance, but pointed out that de Finetti did not solve the problem for the general case of correlated risks. We argue in this paper that a more fair sentence would be: de Finetti did solve the general problem but under an implicit hypothesis of regularity which is not always satisfied. Moreover, a natural extension of de Finetti’s procedure to non-regular cases offers a general solution for the correlation case and shows that de Finetti anticipated a modern mathematical programming approach to mean-variance problems. Mathematics Subject Classification (2000): 91B30, 90C20 Journal of Economic Literature Classification: G11, C61, B23, D81, G22     

一类集装箱布局问题的优化计算

本文对一类集装箱布局问题，即待布物体为单一长方体的装箱布局优化计算问题进行讨论，根据待布物体的尺寸，把集装箱的平面分为二个区域，从而使剩余待布区域最小。方法计算过程简单，效果明显。这类问题在集装箱运输中有大量应用。     

集装箱堆场出口箱堆存模型及其算法

本文提出了不同重量、不同目的港的集装箱按照一定顺序随机到达堆场的堆存模型。模型同时考虑了集装箱目的港、箱重和作业难度三个因素，这样可以保证装船时尽量少倒箱，极大地提高了装船效率。本文给出了启发式算法解决该问题。实例结果表明，按照此算法可在装船作业时倒箱次数较少的情况下产生实用的实配载图。     

Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations

The purpose of this paper is to develop a methodology which will use economic data to detect the existence of boundedly rational economic agents. The bounded rationality model presented in this paper generalizes a linear dynamic rational expectations model by nesting two types of expectations. In this paper, it is claimed that the bounded rationality model as presented can be transformed into an optimal regulator problem with distortions. As a result, the methodologies developed by the optimal control theory can be used to solve the model. The likelihood function for the model is constructed by the Kalman filtering using the solution of the model. Maximum Likelihood Estimation (MLE) is performed to test for bounded rationality in the U.S. cattle market for the period from 1900 to 1990. The empirical results indicate that some fraction of economic agents in the market are boundedly rational.     

基于遗传算法的军用集装箱装载优化

以军用集装箱装载为研究对象，在考虑实际应用中的一些约束条件下，构造了军用物资的装载优化模型，提出了一种军用集装箱三维装载的遗传算法。该算法考虑了货物放置方向、装载客积、装载质量及装载重心等约束条件。最后对一个案例进行了计算，验证了该模型的有效性，并且利用3ds max得到了装载方案的三维图。     

安吉物流装车道位利用率优化设计

随着整车物流的发展，装车道位成了企业运作的关键资源和制约因素。为了解决装车道位紧缺的压力以及装车效率过低的问题，文中以提高装车道位利用率为目的，通过AutoCAD软件设计“集装箱立体道位”为新的装车道位，促使装车时间下降。开发新的预调度指令以适应新的装车模式，运用交通信号灯变化原理解决轿运车出入库瓶颈问题，保证了装车效率和道位利用率的提高，最终使仓库使用率得到提高。     

Application of optimal control in man power planning

Many techniques are met in the literature (see for instance Bartholomew and Forbes (Statistical Techniques for Manpower Planning. wiley, New York 1979); Gunz (Organiz. Stud. 9(4), 529–554, 1988); Becker and Huselid (Human Resour. Manage. 38, 287–301, 1999); Wagner et al. (J. Manage. Med. 14(5/6), 383–405, 2000); Harris and Ogbonna (J. Business Res. 51, 157–166, 2001); Rogg et al. (J. Manage. 27, 431–449, 2001), among others), for planning the manpower resources. However, we haven’t seen in the literature an empirical study regarding the proper application of optimal control, which considered to be the most efficient method for multi-objective programming. With this in mind, we analyse in this paper the way of applying optimal control for manpower planning. For this purpose, and in order to facilitate the presentation, we first adopted a comparatively simple dynamic system (plant), with analytical presentation of stocks and flows. Next we proceed to the formulation of an optimal control problem, aiming to achieve in the most satisfactory way some preassigned targets. These targets mainly refer to a desirable trajectory of the plant stocks over time, in order to fully satisfy the needs for human resources over the planning horizon. Finally we present a method of solution of the formulated control problem which is based on the use of the generalized inverse Lazaridis (Qual. Quan. 120, 297–306, 1986). We believe that it is very important for successful management, that the policy makers have to know the effect of their polices and to determine the optimal path of the state variables (i.e. the ones describing the system) before the realization of the plan, so as to be able to reform their strategies, reallocate the resources and arrange the infrastructure accordingly, if all these are necessary, as it can be depicted from the optimal control solution.     

移动式垃圾转运站箱体有限元分析与优化设计

利用ANSYS软件对移动式垃圾转运站箱体结构建立了参数化几何模型和有限元分析模型,采用接触副合理解决了推头、垃圾、箱体间的接触和轴销连接问题.在此基础上进行了压缩进程、上车进程、满载颠簸、刹车行驶、卸料顶起和翻斗作业最大反力等11种危险工况下的约束、加载和结构有限元分析计算,得出各工况下结构的应力分布和最大应力.采用ANSYS与导重法相结合的结构优化方法对移动式垃圾转运站箱体结构进行了优化设计,在满足结构强度要求的前提下,使箱体结构的总重量减少了20.2％.     

Transferia: solving local pain or bringing global gain?

ABSTRACT

The sustainability of container transferia, a specific type of intermodal terminals located in the vicinity of ports, is analysed in an external cost evaluation. This concept enables transporting large amounts of containers from a port to a transferium, outside the most congested area, by high-frequency barge or rail transport. From this point onwards, the transport is executed by truck or intermodal. The paper presents a case study of maritime-based container transport in Belgium. A geographic information systems-based model compares transport alternatives, regarding their societal impact. The findings suggest that when trucks perform the hinterland transport to transferia instead of direct truck transport to the port, the production of external costs decreases in the port area, but remains stable in the hinterland. However, when intermodal chains can replace these truck services to the transferia, external costs remain limited in the port area, but also decrease in the hinterland in most cases.     

基于遗传算法的车辆路径问题ExtendSim仿真与优化

文章首先介绍了物流领域中经典的车辆路径问题（VRP）,以及解决该问题的算法,然后论述了遗传算法在解决VRP上的应用,并详细地叙述ExtendSim仿真软件如何对某一VRP进行建模优化,最后得出最优方案.验证了这一仿真优化方法是解决VRP的一种有效途径.     

基于启发式算法的多元物资集装配载优化问题研究

结合集装化运输的特点和要求，在考虑实际应用约束条件下。采用整体装填、空间分割、装载间隙合并等策略，提出了一种基于启发式算法的集装化配载问题的解决方法。实例对比分析表明该算法有效可行，可直接用于指导多元物资的装载实践。     

Incomplete markets, ambiguity, and irreversible investment

The problem of irreversible investment with idiosyncratic risk is studied by interpreting market incompleteness as a source of ambiguity over the appropriate no-arbitrage discount factor. The maxmin utility over multiple priors framework is used to model and solve the irreversible investment problem. Multiple priors are modeled using the notion of κ‐ignorance. This set-up is used to analyze finitely lived options. For infinitely lived options the notion of constant κ‐ignorance is introduced. For these sets of density generators the corresponding optimal stopping problem is solved for general (in-)finite horizon optimal stopping problems driven by geometric Brownian motion. It is argued that an increase in the set of priors delays investment, whereas an increase in the degree of market completeness can have a non-monotonic effect on investment.     

Privatization of businesses and flexible investment: a real option approach

In this article, we study the situation, where the opportunity is given to invest into a government-owned business by partial privatization to a private company. After payment of an initial installment cost, the private company’s investments are flexible within a range [0, k] until the business is completed. We model the problem in a real option framework, using geometric mean reversion to describe the dynamics of the business. We determine the optimal time for the private company to enter and pay the initial installment cost as well as the optimal dynamic investment strategy that it follows afterward. For the latter, analytic solution cannot be obtained. We use quadratic splines in order to solve the corresponding dynamic programming problem. Finally, we determine the optimal degree of privatization in our model from the government’s perspective.     

货物配装和车辆路径问题的一种联合求解方法

货物配装和车辆路径问题(VRP)都是NP难问题,启发式算法是求解此类问题的常用方法。求解单配送中心多车型的货物配送问题,需要改进传统遗传算法:首先采用双层结构表示染色体,车辆数无需事先确定;然后对随机产生的客户序列,利用三叉树算法进行货物配装确定每辆车的配装方案,从而可以知道每个客户的货物装车顺序;依据先装后卸的原则,可得每辆车的客户装车顺序的逆序便是每辆车的客户配送顺序;最终得到货物配装方案和配送方案。基于此思想,通过Java编程验证了一个实例,证明算法切实可行,对实际作业有一定借鉴作用。     

基于遗传算法轿车焊装车间车辆路径优化

遗传算法是一种模拟自然进化过程搜索最优解的方法。通过建立某轿车焊装车间车辆路径问题数学模型,然后利用遗传算法求解该问题,最后在Matlab软件中进行编程求解,有效地求解出问题的最优解或近似最优解。     

基于遗传算法的钢筋混凝土梁优化设计

针对传统结构设计中存在的问题,提出了用遗传算法对建筑工程中常用的钢筋混凝土梁进行了优化设计的研究。以梁的工程造价为目标函数,建立了满足混凝土结构设计规范中承载力、正常使用和构造要求的优化设计模型,根据模型特点,对遗传算法进行了改进,应用到混凝土梁优化设计中,提高了全局搜索能力,保证能够收敛到最优解。通过实例分析,结果表明,能够很快地收敛到最优解,应用到工程能够大大地降低成本。     

物流配送中心车辆优化安排的研究

针对物流配送中心如何根据货物运单来调度运输车辆的问题,在研究了各种货物配装优化模型的基础上,建立了车辆安排的多目标优化模型。然后,利用线性加权法和主要目标法将多目标优化问题转化为单目标优化问题,采用精确算法思想进行模型求解。最后,编程实现了车辆优化安排功能,将该功能应用到了物流配送中心管理系统中,通过实例验证了该模型的优越性和实用性。