实时OD估计中卡尔曼滤波算法研究

ITS研究中，动态OD矩阵估计是交通动态分配的关键因素。针对OD矩阵难以获得的问题，回顾动态OD矩阵估计理论的发展历程，明确该领域研究中的三个关键问题：状态变量的选择、系统方程的确定、OD量与路段流量的关系（分配矩阵）。在此基础上介绍一种基于历史OD矩阵数据的估计方法，卡尔曼滤波算法，为动态OD矩阵估计理论的进一步的研究奠定基础。     

Personalized multi-period tour recommendations

During a trip planning, tourists gather information from different sources, select and rank the places to visit according to their personal interests, and try to devise daily tours among them. This paper addresses the complex selection and touring problem and proposes a “filter-first, tour-second” framework for generating personalized tour recommendations for tourists based on information from social media and other online data sources. Collaborative filtering is applied to identify a subset of optional points of interest that maximize the potential satisfaction, while there are some preselected mandatory points that the tourists must visit. Next, the underlying orienteering problem is solved via an Iterated Tabu Search algorithm. The goal is to generate tours that contain all mandatory points and maximize the total score collected from the optional points visited daily, taking into account different day availabilities and opening hours, limitations on the tour lengths, budgets and other restrictions. Computational experiments on benchmark datasets indicate that the proposed touring algorithm is very competitive. Furthermore, the proposed framework has been evaluated on data collected from Foursquare. The results show the practical utility and the temporal efficacy of the recommended tours.     

The European refugee crisis and the natural rate of output

The European Commission follows a harmonized approach for calculating structural (potential) output for EU member states that takes into account labour as an important ingredient. This article shows how the recent huge migrants’ inflow to Europe affects trend output. Due to the fact that the immigrants immediately increase the working population but effectively do not enter the labour market, we illustrate that the potential output is potentially upward biased without any corrections. Taking Germany as an example, we find that the average medium-term potential growth rate is lower if the migration flow is modelled adequately compared to results based on the unadjusted European Commission procedure.     

PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION

This paper studies the price‐setting problem of market makers under risk neutrality and perfect competition in continuous time. The classic approach of Glosten–Milgrom is followed. Bid and ask prices are defined as conditional expectations of a true value of the asset given the market makers' partial information that includes the customers' trading decisions. The true value is modeled as a Markov process that can be observed by the customers with some noise at Poisson times. A mathematically rigorous analysis of the price‐setting problem is carried out, solving a filtering problem with endogenous filtration that depends on the bid and ask price processes quoted by the market maker. The existence and uniqueness of the bid and ask price processes is shown under some conditions.     

动液面谱减法滤波

动液面滤波是油井检测动液面的关键技术之一。文章利用谱减法处理油井动液面信号,消除背景噪声的影响,并改进谱减法应用到动液面滤波,取得较好的滤波效果,从而提高对液面反射波位置的辨识能力。     

Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets

We examine the spillovers of the US subprime crisis to Asian and European economies and in particular to what extent currency and stock markets have been affected by the crisis. Linear and nonlinear dependencies are detected after pairwise and system-wise causality analysis. A new stepwise multivariate filtering approach is implemented after controlling for conditional heteroskedasticity in the raw data and in VAR/VECM residuals using multivariate GARCH models. Significant nonlinear causal linkages persisted even after the application of GARCH-BEKK, CCC-GARCH and DCC-GARCH modelling. This indicates that volatility effects might partly induce nonlinear causality. Perhaps new short-term asset-pricing models could be developed to explain this stylized fact. These results might also have important implications for hedging, trading strategies and financial market regulation.     

一种基于Edline线特征的车道线识别算法

为了提升车道线检测的准确性和实时性,改良车道偏离预警系统的性能,提出了一种新的车道线识别算法。首先应用投影法对采集到的图像设立感兴趣区域,以此来减少图像中存在的干扰信息;其次应用一种改进后的自适应高斯滤波算法对采集所得图像进行平滑处理,减少图像中不必要的细节;最后采用边缘绘制算法进行边缘检测,在此基础上,提出一种线段检测算法——Edline算法提取边缘线,对检测到的直线段进行筛选和聚类。利用引用计数法对车道线进行跟踪和预测。结果表明,新算法的平均处理时间为17.1 ms,准确率为96.19%,将其应用在车道偏离预警系统中可以有效地提高预警效率,提升预警的准确性和响应速度。研究结果丰富了车道线识别理论,可为车道偏离预警系统的应用及基础研究提供参考。     

结合像素域JND阈值空间相关性与图像块类型的残差滤波算法

为了更好地将人眼视觉感知特性应用于视频压缩系统,从而去除视频的视觉冗余成分,在利用像素域的恰可察失真(Just Noticeable Distortion,JND)阈值的基础上,结合JND阈值的空间相关性与图像块类型,提出了一种改进的残差滤波算法。该算法首先在像素域计算出每个像素的JND阈值,然后在变换单元(Transform Unit,TU)中挖掘每个像素JND阈值与其周围邻近像素JND阈值之间的空间相关性,再利用索贝儿(Sobel)边缘检测算子将TU分成不同类型的图像块,并且计算出对应的复杂度因子,最后结合上述像素JND阈值的空间相关性和TU复杂度因子对TU残差进行滤波。提出的算法模型可以嵌入到高效率视频编码(High Efficiency Video Coding,HEVC)框架。实验结果表明,在全I帧配置下,提出的算法与标准算法HM16.0相比,在人眼主观感知质量基本一致的情况下,平均可节省16.1%的码率。     

中国单一货币供给规则

中国货币供应量和经济目标相关程度高,具有较好的可测性、可控性;在中国实行有规则、透明度高、连贯性强的单一货币规则是可行的;严格执行货币供给量与相关经济目标挂钩的数量型货币政策,有助于确保物价稳定和经济平稳增长。