Natural gas storage valuation and optimization: A real options application

In this article, we present an algorithm for the valuation and optimal operation of natural gas storage facilities. Real options theory is used to derive nonlinear partial‐integro‐differential equations (PIDEs), the solution of which give both valuation and optimal operating strategies for these facilities. The equations are designed to incorporate a wide class of spot price models that can exhibit the same time‐dependent, mean‐reverting dynamics, and price spikes as those observed in most energy markets. Particular attention is paid to the operational characteristics of real storage units. These characteristics include working gas capacities, variable deliverability and injection rates, and cycling limitations. We illustrate the model with a numerical example of a salt cavern storage facility that clearly shows how a gas storage facility is like a financial straddle with both put and call properties. Depending on the amount of gas in storage the relative influence of the put and call components vary. © 2009 Wiley Periodicals, Inc. Naval Research Logistics 2009     

一种基于0-1整数规划的全局数据分布优化方法

数据分布是影响并行程序在分布主存多处理机上执行性能的重要因素.针对分布主存多处理机中的数据分布问题,提出了一种基于0-1整数规划、利用数据变换技术进行有效数据分布的方法.该方法通过数据变换技术改变数据的存储布局,以使得数据能被有效地分布,并且该方法还利用数据分布图描述程序被并行的情况及其所含数组被访问的情况,并将全局数据分布优化问题转换为求解数据分布图中最优路径的问题,从而可用0-1整数规划求解最优路径问题.该方法能对多个嵌套循环中具有仿射数组下标的任意维数组进行有效的数据分布,并且也能使嵌套循环的并行度尽可能地大.另外,该方法也考虑了偏移常量的对准问题,从而能使数据通信量尽量地小.实验结果验证了该方法的有效性.     

反恐兵力分配运筹方法辅助决策研究

将影响兵力分配决策的各主要因素及其相互关系抽象为线性规划数学模型，通过数学模型的求解，可确定最佳兵力分配方案。模型的建立过程可灵活地体现所有主要的现实需要和考虑因素，因而具有广泛的适用性。计算机软件的引入，可瞬问求得最优解，满足实际作战需要。     

Investment in production resource flexibility: An empirical investigation of methods for planning under uncertainty

We examine several methods for evaluating resource acquisition decisions under uncertainty. Traditional methods may underestimate equipment benefit when part of this benefit comes from decision flexibility. We develop a new, practical method for resource planning under uncertainty, and show that this approach is more accurate than several commonly used methods. We successfully applied our approach to an investment problem faced by a major firm in the aviation information industry. Our recommendations were accepted and resulted in estimated annual savings in excess of $1 million (US). © 2003 Wiley Periodicals, Inc. Naval Research Logistics, 2003     

一种开发逻辑程序中AND并行性的静态编译方法

逻辑程序AND并行性的开发是逻辑程序并行执行研究中的一个重要课题。文中提出了一种开发逻辑程序中AND并行性的静态编译方法。该方法分成三个阶段:第一阶段,进入模式(entry mode) 的分析;第二阶段,退出模式(exit mode) 的生成;第三阶段,执行图表达式(execution graphexpression) 的确定。通过运行一些基准程序可知,与其它方法相比,该方法能在“生产者一消费者”原则(producer-consumer scheme) 下最大限度地开发AND并行性,且只需很小的动态开销。     

线性分式规划原始单纯形算法有限性问题

本文用一个数值例子说明用[1] 和[2] 中的原始单纯形算法求解退化的线性分式规划(LFP) 可能会出现基循环,从而得不到最优解。于是就此情形引入了Bland规则,并建立了有限性算法。     

两种选址问题的算法及有关结论

本文提出两种选址问题,对其局部最优性建立了充要条件,并在此基础上提出了该类问题的有效算法。     

Replacing nonidentical vital components to extend system life

We consider a system that depends on a single vital component. If this component fails, the system life will terminate. If the component is replaced before its failure then the system life may be extended; however, there are only a finite number of spare components. In addition, the lifetimes of these spare components are not necessarily identically distributed. We propose a model for scheduling component replacements so as to maximize the expected system survival. We find the counterintuitive result that when comparing components' general lifetime distributions based on stochastic orderings, not even the strongest ordering provides an a priori guarantee of the optimal sequencing of components. © 2008 Wiley Periodicals, Inc. Naval Research Logistics, 2008     

Dynamic order acceptance and capacity planning on a single bottleneck resource

We present a tactical decision model for order acceptance and capacity planning that maximizes the expected profits from accepted orders, allowing for aggregate regular as well as nonregular capacity. The stream of incoming order arrivals is the main source of uncertainty in dynamic order acceptance and the company only has forecasts of the main properties of the future incoming projects. Project proposals arrive sequentially with deterministic interarrival times and a decision on order acceptance and capacity planning needs to be made each time a proposal arrives and its project characteristics are revealed. We apply stochastic dynamic programming to determine a profit threshold for the accept/reject decision as well as to deterministically allocate a single bottleneck resource to the accepted projects, both with an eye on maximizing the expected revenues within the problem horizon. We derive a number of managerial insights based on an analysis of the influence of project and environmental characteristics on optimal project selection and aggregate capacity usage. © 2007 Wiley Periodicals, Inc. Naval Research Logistics, 2007     

谈算法研究

算法是计算机程序设计的核心。本文结合实际应用,通过研究算法所取得的成效,说明算法研究的必要性和重要作用。