RSB-CWS算法解决CVRP问题

RSB-CWS算法结合了蒙特卡洛模拟和CWS节省算法,利用蒙特卡洛模拟对CWS算法节省列表中顾客对间的边进行模拟,模拟过程中采用基于类几何分布的直接抽样方法进行路径采样。对模拟得到的边序列应用CWS算法,所得解的质量能达到或者优于当前最优解.与其他CVRP问题算法相比具有高效、高质量的特点,且可以解决规模较大的CVRP问题。     

基于Copula函数和蒙特卡洛模拟方法的权证定价

在分析计算单一权证价格的基础上,提出了利用Copula函数和蒙特卡洛模拟的方法来计算多种权证的定价模型。具体实例分析表明,该方法可为投资者提供有益的投资决策参考。     

基于多标度分形理论的金融资产收益非对称性测度方法研究

基于多标度分形理论,提出了一种新的更适用于实际金融资产收益数据的非对称性测度方法——两阶段非对称性检验法（Two-step asymmetry testing,TAT）,并运用Monte Carlo模拟考察了其与传统的偏度系数检验法的非对称性判定结论差异。实证结果表明：总体来讲,本文提出的两阶段非对称性检验法在常用检验水平下取得了较偏度系数法更为准确的金融资产收益非对称性判定结论,且两阶段非对称性检验法较偏度系数法更适用于具有非独立、非正态特性数据的非对称性检验。     

Which covariates should be controlled in propensity score matching? Evidence from a simulation study

Propensity score matching is a widely‐used method to measure the effect of a treatment in social as well as medicine sciences. An important issue in propensity score matching is how to select conditioning variables in estimation of the propensity scores. It is commonly mentioned that variables which affect both program participation and outcomes are selected. Using Monte Carlo simulation, this paper shows that efficiency in estimation of the Average Treatment Effect on the Treated can be gained if all the available observed variables in the outcome equation are included in the estimation of propensity scores. This result still holds in the presence of non‐sampling errors in the observed control variables.     

Efficient learning via simulation: A marginalized resample-move approach

In state–space models, parameter learning is practically difficult and is still an open issue. This paper proposes an efficient simulation-based parameter learning method. First, the approach breaks up the interdependence of the hidden states and the static parameters by marginalizing out the states using a particle filter. Second, it applies a Bayesian resample-move approach to this marginalized system. The methodology is generic and needs little design effort. Different from batch estimation methods, it provides posterior quantities necessary for full sequential inference and recursive model monitoring. The algorithm is implemented both on simulated data in a linear Gaussian model for illustration and comparison and on real data in a Lévy jump stochastic volatility model and a structural credit risk model.     

Exact confidence sets and goodness-of-fit methods for stable distributions

Usual inference methods for stable distributions are typically based on limit distributions. But asymptotic approximations can easily be unreliable in such cases, for standard regularity conditions may not apply or may hold only weakly. This paper proposes finite-sample tests and confidence sets for tail thickness and asymmetry parameters (α$\alpha$ and β$\beta$) of stable distributions. The confidence sets are built by inverting exact goodness-of-fit tests for hypotheses which assign specific values to these parameters. We propose extensions of the Kolmogorov–Smirnov, Shapiro–Wilk and Filliben criteria, as well as the quantile-based statistics proposed by McCulloch (1986) in order to better capture tail behavior. The suggested criteria compare empirical goodness-of-fit or quantile-based measures with their hypothesized values. Since the distributions involved are quite complex and non-standard, the relevant hypothetical measures are approximated by simulation, and p$p$-values are obtained using Monte Carlo (MC) test techniques. The properties of the proposed procedures are investigated by simulation. In contrast with conventional wisdom, we find reliable results with sample sizes as small as 25. The proposed methodology is applied to daily electricity price data in the US over the period 2001–2006. The results show clearly that heavy kurtosis and asymmetry are prevalent in these series.     

空间加权矩阵设置与空间面板参数估计效率

总结了常用的空间加权矩阵的一般构建方法和研究领域内新提出的空间加权矩阵的构建方法,从宏观与微观层面,量化分析了空间加权矩阵设置对于空间面板参数估计效率、空间效应识别的影响效应。结论表明：宏观数据层面,随着空间加权矩阵复杂程度的提高,无论是空间面板固定效应模型还是空间面板随机效应模型,参数估计的有效性与一致性都显著提高并且广义矩参数估计方法优于拟极大似然估计方法,复合的空间加权矩阵条件下,拉格朗日乘子检验方法的功效更高;微观数据层面,回归结果表明四种不同类型的空间加权矩阵的设置,对于聚集外部性引致的企业全要素生产率增长的空间边界的识别具有显著影响,复合的空间加权矩阵更有效。     

银行排队系统服务效率问题研究

银行排长队现象是困扰银行和客户的难题,其实质是排队系统的效率问题。叫号机变多队一多服务台系统为单队一多服务台系统,改变了排队系统模型。本文运用蒙特卡罗仿真方法对两种排队系统模型进行比较,发现叫号机确实可以有效提升银行服务系统的效率。     

Knowledge flows and the geography of networks: A strategic model of small world formation

This paper aims to demonstrate that the strategic approach to link formation can generate networks that share some of the main structural properties of most real social networks. For this purpose, we introduce a spatialized variation of the Connections model [Jackson, M.O., Wolinsky, A., 1996. A strategic model of social and economic networks. Journal of Economic Theory 71, 44–74] to describe the strategic formation of links by agents who balance the benefits of forming links resulting from imperfect knowledge flows against their costs, which increase with geographic distance. We show, for intermediate levels of knowledge transferability, clustering occurs in geographical space and a few agents sustain distant connections. Such networks exhibit the small world property (high clustering and short average relational distances). When the costs of link formation are normally distributed across agents, asymmetric degree distributions are also obtained.     

Managing tourism investment opportunities under uncertainty: a real options approach

This paper provides an empirical example of the valuation of real options in a large‐scale tourism project. The main aim of this article is to elaborate the investment decision process in the evaluation of a ski centre enlargement project by employing elements of the real options methodology. Monte Carlo simulation was used to value the options as it offers the flexibility to directly simulate the uncertainty factors. Traditional discount cash flow analysis points the investment as profitable, although the real options approach proves it as not economically feasible. Copyright © 2006 John Wiley & Sons, Ltd.