Economic lot and delivery scheduling problem for multi-stage supply chains

The economic lot and delivery scheduling problem for a multi-stage supply chain comprising multiple items is studied in this paper. It is required to develop a synchronized replenishment strategy, and specify the sequence of production and the replenishment cycle time that achieves synchronization through the supply chain at minimum cost. The problem is presented in a novel formulation based on the quadratic assignment representation. The common cycle time and the integer multipliers policies are adopted to accomplish the desired synchronization. The two policies are represented by nonlinear models handled through a hybrid algorithm. The algorithm combines linearization, outer approximation and Benders decomposition techniques. Results of the two policies demonstrate that a cost reduction up to16.3% can be attained by employing the integer multipliers policy instead of the common cycle time. Computational experiments show the efficiency of the new formulation and solution algorithm by reaching the optimal solution for large problem instances in short time.     

H＋与B原子碰撞电离微分散射截面的研究

利用初态程函近似一连续扭曲波方法（CDW—EIS）研究了质子与B原子的碰撞电离过程。计算了入射粒子能量分别为100keV／u,1000keV／u,10000keV／u情况下的1s、2s、2p分波电离二阶微分截面及其总的二阶微分散射截面。并利用计算结果详细讨论和分析了软碰撞（SC）、电子俘获到入射粒子连续态（ECC）和两体相遇碰撞（BE）的碰撞电离机理,并对各分波二阶微分散射截面进行了比较。     

Sequential point estimation of the powers of a normal scale parameter

We consider the sequential point estimation problem of the powers of a normal scale parameter σ^r with r≠ 0 when the loss function is squared error plus linear cost. It is shown that the regret due to using our fully sequential procedure in ignorance of σ is asymptotically minimized for estimating σ⁻². We also propose a bias-corrected procedure to reduce the risk and show that the larger the distance between r and −2 is, the more effective our bias-corrected procedure is. Received August 2000     

KMT-type inequalities and goodness-of-fit tests

The implications of the probability inequality of Komløs, Major and Tusnády (1975) for the theory of goodness-of-fit tests, especially tests based on stochastic integrals with respect to the basic martingale in the random censoring model, are discussed. Choices of the integrand of the stochastic integral which yield highly efficient generalized rank and supremum type tests are given for the simple as well as the composite null hypothesis.     

一族非李普希兹系数的随机微分方程

在非李普希兹条件下,对带跳随机微分方程数值方法的研究微乎其微。在非李普希兹系数下,对带跳随机微分方程数值方法进行了研究,并且得出近似解关于时间和开始点在Lp空间上一致收敛到解析解。     

An approximation formula for normal implied volatility under general local stochastic volatility models

We approximate normal implied volatilities by means of an asymptotic expansion method. The contribution of this paper is twofold: to our knowledge, this paper is the first to provide a unified approximation method for the normal implied volatility under general local stochastic volatility models. Second, we applied our framework to polynomial local stochastic volatility models with various degrees and could replicate the swaptions market data accurately. In addition we examined the accuracy of the results by comparison with the Monte‐Carlo simulations.     

一种新的频率规划方法

本文针对目前频率规划中存在的问题,提出了利用专家系统和改进遗传算法及分层技术等来克服手工频率规划过于烦琐和电子地图要求极高及频带紧张的障碍,从而在缺少准确电子地图的情况下,借助专家的经验和知识同时利用改进的优化算法亦能给出较准确的频率规划方案。同时提出了改进的模糊似然推理方法。此外我们开发了智能多层频率规划ＣＡＤ软件包,并给出仿真结果。     

ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING

We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi‐ or single‐asset options. The underlying asset prices are assumed to follow lognormal processes, although our results can be extended to certain other price processes for the underlying. For some multi‐asset options a strong condition holds, whereby each compound exchange option is equivalent to a standard single‐asset option under a modified measure, and in such cases an almost exact analytic price exists. More generally, approximate analytic prices for multi‐asset options are derived using a weak lognormality condition, where the approximation stems from making constant volatility assumptions on the price processes that drive the prices of the subordinate basket options. The analytic formulae for multi‐asset option prices, and their Greeks, are defined in a recursive framework. For instance, the option delta is defined in terms of the delta relative to subordinate multi‐asset options, and the deltas of these subordinate options with respect to the underlying assets. Simulations test the accuracy of our approximations, given some assumed values for the asset volatilities and correlations. Finally, a calibration algorithm is proposed and illustrated.     

一种基于二次项逼近的DDS算法及其实现

阐述了直接数字合成器（DDS）的基本原理,分析了现有DDS算法的优缺点,设计出基于二次 项逼近的DDS算法,并给出该算法的电路实现。最后通过该算法的仿真分析表明,该算法实现 的DDS其无杂散动态范围(SFDR)高达-105 dBc,且占用较少的资源,满足雷达、信号源等系 统对高性能、低功耗的设计要求。