一类扩散过程的最优停止

金融数学中关于美式期权的定价理论最后归结为一个对扩散过程的最优停止问题,扩散过程是特殊的马氏过程,本文讨论了当报酬函数非负时的值函数性质及其最优停时的表示。特别对带折扣的报酬的讨论,更加符合金融数学的需要     

Dynamic server assignment policies for assembly‐type queues with flexible servers

We seek dynamic server assignment policies in finite‐capacity queueing systems with flexible and collaborative servers, which involve an assembly and/or a disassembly operation. The objective is to maximize the steady‐state throughput. We completely characterize the optimal policy for a Markovian system with two servers, two feeder stations, and instantaneous assembly and disassembly operations. This optimal policy allocates one server per station unless one of the stations is blocked, in which case both servers work at the unblocked station. For Markovian systems with three stations and instantaneous assembly and/or disassembly operations, we consider similar policies that move a server away from his/her “primary” station only when that station is blocked or starving. We determine the optimal assignment of each server whose primary station is blocked or starving in systems with three stations and zero buffers, by formulating the problem as a Markov decision process. Using this optimal assignment, we develop heuristic policies for systems with three or more stations and positive buffers, and show by means of a numerical study that these policies provide near‐optimal throughput. Furthermore, our numerical study shows that these policies developed for assembly‐type systems also work well in tandem systems. © 2008 Wiley Periodicals, Inc. Naval Research Logistics, 2008     

适用于GPU处理的长更新周期卫星导航信号载波相位跟踪环路

针对短环路更新间隔下GPU处理效率受限而长更新间隔下传统跟踪环路在高动态场景下不稳健的这一矛盾,提出一种可适应高动态场景的长更新间隔载波相位跟踪算法,该算法设计了一种低复杂度线性调频信号参数估计方法,实现跟踪初始阶段多普勒及变化率的精确估计进而消除大部分信号动态,在跟踪过程中采用4阶卡尔曼滤波对残余信号相位及动态进行精细跟踪。经仿真验证,200 ms更新间隔下,可实现多普勒一次/二次变化率分别达800 Hz/s、64 Hz/s²正弦运动场景下载波相位的快速稳定跟踪,1次更新即可收敛,跟踪灵敏度低至23 d B-Hz,相位跟踪精度远优于传统3阶锁相环路。     

改进多重信号分类算法的宽带频谱快速感知方法

针对宽带频谱感知中采样率大、感知时间长的问题,在调制宽带转换器采样的基础上提出了一种改进多重信号分类算法的宽带频谱快速感知方法。调制宽带转换器对宽带频谱进行欠奈奎斯特采样,以最小描述长度准则估计信号个数,用改进多重信号分类谱估计信号位置。算法引入调整因子,使得多重信号分类谱中信号位置更为明显,降低了噪声的干扰。整个感知过程无须重构原始波形,无须计算频谱,大大降低了计算量,而且感知算法计算复杂度低,提高了感知效率。仿真结果表明,在低信噪比的情况下,该算法仍具有很好的检测性能。     

Choosing arrival process models for service systems: Tests of a nonhomogeneous Poisson process

Service systems such as call centers and hospital emergency rooms typically have strongly time‐varying arrival rates. Thus, a nonhomogeneous Poisson process (NHPP) is a natural model for the arrival process in a queueing model for performance analysis. Nevertheless, it is important to perform statistical tests with service system data to confirm that an NHPP is actually appropriate, as emphasized by Brown et al. [8]. They suggested a specific statistical test based on the Kolmogorov–Smirnov (KS) statistic after exploiting the conditional‐uniform (CU) property to transform the NHPP into a sequence of i.i.d. random variables uniformly distributed on [0,1] and then performing a logarithmic transformation of the data. We investigate why it is important to perform the final data transformation and consider what form it should take. We conduct extensive simulation experiments to study the power of these alternative statistical tests. We conclude that the general approach of Brown et al. [8] is excellent, but that an alternative data transformation proposed by Lewis [22], drawing upon Durbin [10], produces a test of an NHPP test with consistently greater power. We also conclude that the KS test after the CU transformation, without any additional data transformation, tends to be best to test against alternative hypotheses that primarily differ from an NHPP only through stochastic and time dependence. © 2014 Wiley Periodicals, Inc. Naval Research Logistics 61: 66–90, 2014     

Warranty claims modeling

A company wishes to estimate or predict its financial exposure in a reporting period of length T (typically one quarter) because of warranty claims. We propose a fairly general random measure model which allows computation of the Laplace transform of the total claim made against the company in the reporting interval due to warranty claims. When specialized to a Poisson process of both sales and warranty claims, statistical estimation of relevant quantities is possible. The methodology is illustrated by analyzing automobile sales and warranty claims data from a large car manufacturer for a single car model and model year. © 2008 Wiley Periodicals, Inc. Naval Research Logistics, 2008     

固体推进剂裂纹摩擦热点形成细观模型分析

分析机械撞击载荷作用下复合固体推进剂内部裂纹摩擦形成热点过程。研究在压应力与剪切应力作用下闭合裂纹滑移、扩展、摩擦生热、热扩散、推进剂热分解及与气相产物相互作用。利用断裂力学、热传导、推进剂热分解动力学方法,建立裂纹摩擦热点细观模型。通过模型数值计算,探讨推进剂裂纹摩擦产生高温热点的过程和条件。分析计算表明裂纹摩擦和扩展可导致推进剂形成高温热点。     

低温推进剂供应管道系统充填过程的动力学模型

研究了低温推进剂液体火箭发动机供应管道系统充填过程的建模问题。低温推进剂的充填相变过程采用均相模型,对推进剂充填管道系统进行有限元分割,应用基本守恒定律于充满推进剂的单元和充满气体的单元,两相单元采用等效流容方程,建立了低温推进剂管道充填过程的有限元状态变量模型。充填的容腔视为两相单元,建立了其动力学模型。利用本文的模型,对液氢、液氧推进剂的管道充填过程进行了仿真计算,给出了有关计算结果。     

ARMED NON-STATE ACTORS IN AFRICA AND THE BAN ON ANTI-PERSONNEL LANDMINES

A truly universal ban on anti-personnel mines cannot be realized without engagement of armed non-state actors and armed groups operating outside state control, including rebels and national liberation movements. Events after 9/11 have complicated engagement with organizations that can be classified as ‘terrorists’. Yet, the use of anti-personnel landmines itself can be viewed as an act of terrorism and African leaders have, on various occasions, classified the use of landmines and the presence of unexploded ordnance as engendering insecurity and a serious impediment to development. The success of a total ban ultimately depends upon ensuring that armed non-state actors act in accordance with international humanitarian law. The Geneva Call Deed of Commitment for Adherence to a Total Ban on Anti-Personnel Mines and for Cooperation in Mine Action (DoC) might be described as an alternative instrument to the Anti-Personnel Mine Ban Convention and can serve an important and impartial channel of communication with non-state actors. Already 18 armed groups in Africa have signed the Geneva Call DoC.     

土体泊松比对压入管桩单桩挤土位移场的影响

基于ABAQUS有限元软件,采用主从接触算法模拟桩-土相互作用、修正剑桥模型作为土体本构模型,通过在桩顶施加竖向位移荷载以及合适的网格划分技术建立了较为符合压入管桩压桩实际的有限元模型。利用得到的有限元模型模拟了压入管桩压桩产生的挤土位移场,对不同泊松比时压入管桩单桩挤土位移场进行了对比分析。结果表明:不同泊松比时竖向和水平挤土位移场沿深度方向和径向的分布规律趋于一致;土体泊松比的变化会对压入管桩压桩产生的竖向和水平挤土位移场产生较大影响;泊松比越大,压桩产生的竖向和水平挤土位移越大。