Partial equilibrium in risk‐based production decisions

Characteristically, a small subset of operational problems admit risk neutrality when contingent claims methodology were used in their analysis. That is, for the majority of manufacturing and production problems, operating cash flows are not directly linked to prices of traded assets. However, to the extent that correlations can be estimated, the methodology's applicability to a broader set of operational problems is supported. Our article addresses this issue with the objective of extending the use of contingent claims techniques to a larger set of operational problems. In broad terms, this objective entails a partial equilibrium approach to the problem of valuing uncertain cash flows. To this end, we assume risk aversion and cast our approach within Merton's intertemporal capital asset pricing model. In this context, we formulate a “generic” production valuation model that is framed as an exercise in stochastic optimal control. The model is versatile in its characterization and can easily be adapted to accommodate a wide‐ranging set of risk‐based operational problems where the underlying sources of uncertainty are not traded. To obtain results, the model is recast as a stochastic dynamic program to be solved numerically. The article addresses a number of fundamental issues in the analysis risk based decision problems in operations. First, in the approach provided, decisions are analyzed under a properly defined risk structure. Second, the process of analysis leads to suitably adjusted probability distributions through which, appropriately discounted expectations are derived. Third, through consolidating existing concepts into a standard and adaptable framework, we extend the applicability of contingent claims methodology to a broader set of operational problems. The approach is advantageous as it obviates the need for exogenously specifying utility functions or discount rates.© 2011 Wiley Periodicals, Inc. Naval Research Logistics, 2011     

Optimal path finding in direction,location, and time dependent environments

This article examines optimal path finding problems where cost function and constraints are direction, location, and time dependent. Recent advancements in sensor and data‐processing technology facilitate the collection of detailed real‐time information about the environment surrounding a ground vehicle, an airplane, or a naval vessel. We present a navigation model that makes use of such information. We relax a number of assumptions from existing literature on path‐finding problems and create an accurate, yet tractable, model suitable for implementation for a large class of problems. We present a dynamic programming model which integrates our earlier results for direction‐dependent, time and space homogeneous environment, and consequently, improves its accuracy, efficiency, and run‐time. The proposed path finding model also addresses limited information about the surrounding environment, control‐feasibility of the considered paths, such as sharpest feasible turns a vehicle can make, and computational demands of a time‐dependent environment. To demonstrate the applicability and performance of our path‐finding algorithm, computational experiments for a short‐range ship routing in dynamic wave‐field problem are presented. © 2012 Wiley Periodicals, Inc. Naval Research Logistics, 2012     

Economic lot sizing with constant capacities and concave inventory costs

This article studies the classical single‐item economic lot‐sizing problem with constant capacities, fixed‐plus‐linear order costs, and concave inventory costs, where backlogging is allowed. We propose an O(T³) optimal algorithm for the problem, which improves upon the O(T⁴) running time of the famous algorithm developed by Florian and Klein (Manage Sci18 (1971) 12–20). Instead of using the standard dynamic programming approach by predetermining the minimal cost for every possible subplan, we develop a backward dynamic programming algorithm to obtain a more efficient implementation. © 2012 Wiley Periodicals, Inc. Naval Research Logistics, 2012     

Newsvendor problems with sequentially revealed demand information

This article analyzes a capacity/inventory planning problem with a one‐time uncertain demand. There is a long procurement leadtime, but as some partial demand information is revealed, the firm is allowed to cancel some of the original capacity reservation at a certain fee or sell off some inventory at a lower price. The problem can be viewed as a generalization of the classic newsvendor problem and can be found in many applications. One key observation of the analysis is that the dynamic programming formulation of the problem is closely related to a recursion that arises in the study of a far more complex system, a series inventory system with stochastic demand over an infinite horizon. Using this equivalence, we characterize the optimal policy and assess the value of the additional demand information. We also extend the analysis to a richer model of information. Here, demand is driven by an underlying Markov process, representing economic conditions, weather, market competition, and other environmental factors. Interestingly, under this more general model, the connection to the series inventory system is different. © 2012 Wiley Periodicals, Inc. Naval Research Logistics 2012     

基于模型参数辨识的动力调谐陀螺故障诊断方法

提出了基于动调陀螺转子动力学模型参数辨识的陀螺故障诊断方法 ,详细探讨了其中的关键技术 ,并以某型捷联惯导系统中的动调陀螺为对象 ,在实测信号的基础上进行了故障仿真与实际诊断。结果表明该方法能有效地诊断动调陀螺故障 ,具有一定的实际应用价值 ,并为陀螺故障诊断研究提供了新的途径和思路。     

装备精确修理浅析

如何用有限的装备修理力量,在战役全过程中尽可能多地修复战损装备,提高装备参战率,是战役装备修理的任务.提出精确修理以装备动态需求为依据,通过优化装备修理各要素,为战损装备提供"精确"的服务,来实现装备修理的快速高效,并通过建立修理人员效能评估模型,说明精确修理的高效性.     

具有倒“Y”型吊挂的降落伞系统动力学建模

具有倒"Y"型吊挂的降落伞系统在回收领域具有广泛的应用.建立了这类系统的动力学模型,包括考虑附加质量的一般刚体动力学方程和基于"平衡点"假设的吊挂系统建模方法.利用该模型对某型飞船空投试验情况进行了仿真分析,通过与试验数据对比,验证了模型的有效性.     

一种求解飞行器廓线间断处超音速复杂流场的方法

用有限体积法求解三维完全气体的Ｎａｖｉｅｒ－Ｓｔｏｋｅｓ方程,并将通量守恒的分区计算方法和Ｂ－Ｌ湍流模型修正结合在一起,捕捉到了间断处的分离涡、激波、膨胀波等流场信息     

电磁轨道发射装置动态电感梯度分析

推导了导轨间磁场均匀分布和非均匀分布两种情况下电感梯度数学计算模型。引入了速度频率来模拟电枢发射过程速度趋肤效应,对导轨二维模型以及三维电磁场模型进行时谐仿真,并将获得的单位长度电感以及电感梯度,分别用于电气仿真系统中电感和电枢推力的计算。电气仿真和试验结果表明,电流和出口速度误差均在2%以内,证明了动态电感梯度分析及参数提取方法的正确性和准确性。     

Bayesian selling problem with partial information

We introduce an optimal stopping problem for selling an asset when the fixed but unknown distribution of successive offers is from one of n possible distributions. The initial probabilities as to which is the true distribution are given and updated in a Bayesian manner as the successive offers are observed. After receiving an offer, the seller has to decide whether to accept the offer or continue to observe the next offer. Each time an offer is observed a fixed cost is incurred. We consider both the cases where recalling a past offer is allowed and where it is not allowed. For each case, a dynamic programming model and some heuristic policies are presented. Using simulation, the performances of the heuristic methods are evaluated and upper bounds on the optimal expected return are obtained. © 2013 Wiley Periodicals, Inc. Naval Research Logistics, 2013