The effects of model parameter deviations on the variance of a linearly filtered time series

We consider a general linear filtering operation on an autoregressive moving average (ARMA) time series. The variance of the filter output, which is an important quantity in many applications, is not known with certainty because it depends on the true ARMA parameters. We derive an expression for the sensitivity (i.e., the partial derivative) of the output variance with respect to deviations in the model parameters. The results provide insight into the robustness of many common statistical methods that are based on linear filtering and also yield approximate confidence intervals for the output variance. We discuss applications to time series forecasting, statistical process control, and automatic feedback control of industrial processes. © 2010 Wiley Periodicals, Inc. Naval Research Logistics, 2010     

Integrating decisions with advance supply information in an assemble-to-order system

We study a periodic-review assemble-to-order (ATO) system with multiple components and multiple products, in which the inventory replenishment for each component follows an independent base-stock policy and stochastic product demands are satisfied according to a First-Come-First-Served rule. We assume that the replenishment for various component suffers from lead time uncertainty. However, the decision maker has the so-called advance supply information (ASI) associated with the lead times and thus can take advantage of the information for system optimization. We propose a multistage stochastic integer program that incorporates ASI to address the joint optimization of inventory replenishment and component allocation. The optimal base-stock policy for the inventory replenishment is determined using the sample average approximation algorithm. Also, we provide a modified order-based component allocation (MOBCA) heuristic for the component allocation. We additionally consider a special case of the variable lead times where the resulting two-stage stochastic programming model can be characterized as a single-scenario case of the proposed multistage model. We carry out extensive computational studies to quantify the benefits of integrating ASI into joint optimization and to explore the possibility of employing the two-stage model as a relatively efficient approximation scheme for the multistage model.     

关于半鞅向量随机积分的两个结果

首先利用半鞅Girsanov定理与闭图像定理证明了:若{Xn}是带滤基的完备概率空间(Ω,F,F,P)中的一列半鞅,其中滤基F=(Ft)t≥0满足通常条件,且{Xn}在关于P的Emery拓扑空间中收敛于X,则当概率测度Q相似文献   

基于DSP+FPGA的导航计算机数据采集与处理硬件设计

根据捷联惯导系统中数据采集和运算处理的要求,提出了以高性能DSP为核心,由FPGA构成主要外部输入输出接口的导航计算机硬件设计方案;设计了I/F转换电路;给出了各电路的硬件结构框图和各器件的特性、选择与应用。从硬件方面分别讲述了FPGA和DSP的工作过程和功能。利用本方案,对实现军事和工程领域中导航系统微小型化、降低系统成本和体积具有重要意义。     

Adjacency‐based local top‐down search method for finding maximal efficient faces in multiple objective linear programming

It is well‐known that the efficient set of a multiobjective linear programming (MOLP) problem can be represented as a union of the maximal efficient faces of the feasible region. In this paper, we propose a method for finding all maximal efficient faces for an MOLP. The new method is based on a condition that all efficient vertices (short for the efficient extreme points and rays) for the MOLP have been found and it relies on the adjacency, affine independence and convexity results of efficient sets. The method uses a local top‐down search strategy to determine maximal efficient faces incident to every efficient vertex for finding maximal efficient faces of an MOLP problem. To our knowledge, the proposed method is the first top‐down search method that uses the adjacency property of the efficient set to find all maximal efficient faces. We discuss this and other advantages and disadvantages of the algorithm. We also discuss some computational experience we have had with our computer code for implementing the algorithm. This computational experience involved solving several MOLP problems with the code.     

New inequalities for finite and infinite group problems from approximate lifting

In this paper, we derive new families of facet‐defining inequalities for the finite group problem and extreme inequalities for the infinite group problem using approximate lifting. The new valid inequalities for the finite group problem include two‐ and three‐slope facet‐defining inequalities as well as the first family of four‐slope facet‐defining inequalities. The new valid inequalities for the infinite group problem include families of two‐ and three‐slope extreme inequalities. These new inequalities not only illustrate the diversity of strong inequalities for the finite and infinite group problems, but also provide a large variety of new cutting planes for solving integer and mixed‐integer programming problems. © 2008 Wiley Periodicals, Inc. Naval Research Logistics, 2008     

合成分队双层主从决策模型研究

针对合成分队不同指挥层级之间的决策交互优化问题,提出了基于主从决策的双层武器目标分配模型。该模型能够体现上下指挥层级之间交互式决策协调优化的特点:上层目标为主攻方向我方遭受威胁最小,下层目标为对敌打击最大。结合合成分队作战决策的特点和要求,提出了一种求解该模型的改进型粒子群优化算法。仿真结果表明,该模型合理有效,改进的求解算法能够获得满意解。     

采用PWPF调节器的再入飞行器最优控制分配方法

针对具有反作用控制系统(Reaction Control System,RCS)和气动舵两类控制机构的再入飞行器,提出一种基于脉宽脉频(Pulse-Width Pulse-Frequency,PWPF)调节器的最优控制分配方法。将RCS的输入信号转化为连续变化量,RCS与气动舵的控制分配问题被描述为二次规划问题,并采用有效集方法对其求解。采用离散法和PWPF调节器将优化结果转化为RCS的开关机状态。与混合整数规划问题相比,连续二次规划问题更容易求解,计算速度更快。通过对二次规划问题的重构,该算法能有效地应对故障情况。     

基于无线双工通信系统分组数据传输的探讨

分析了军用无线双工通信系统数据传输资源,指出了存在的问题及改进办法;利用话音、报文、传真、数据电路交换信令的工作模式标示,提出了基于无线双工通信系统的数据传输TCP/IP结构体系及协议栈,并探讨了网络适配和实现与军用公共数据网、地域通信网（电路交换网、分组交换网）、数字化部队单工无线电数据网互联的关键技术。     

机器翻译中语义块汉英变换处理

首先解释了要素句蜕的内涵,同时介绍了HNC理论的句蜕观,并依据HNC句类理论提出了汉英机器翻译中,要素句蜕处理的具体规则,还结合真实语料进行了验证。