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     

Designing and pricing menus of extended warranty contracts

Extended warranties provide “piece of mind” to a consumer in that product failures which occur after the base warranty expires are rectified at little or no cost. They also provide an additional source of revenue for manufacturers or third‐party providers, such as retailers or insurance providers, and help cultivate consumer loyalty. In this article, we analyze a number of extended warranty contracts which differ in design, including restrictions on deferrals and renewals. With the use of dynamic programming, we compute the optimal strategy for a consumer with perfect information and determine the optimal pricing policy for the provider given the consumer's risk characterization. We also provide insight into when different contracts should be issued. Finally, we illustrate how profits can be dramatically increased by offering menus of warranty contracts, as opposed to stand alone contracts, with the use of integer programming. Surprisingly, risk‐taking consumers provide the greatest benefit to offering menus. These insights can help a company develop a comprehensive warranty planning strategy for given products or product lines. © 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.     

信息中心网络缓存节点位置选择算法

信息中心网络（Information-Centric Networking, ICN）“泛在缓存”的特性,引发数据副本率过高、缓存空间不能充分利用等问题。为了解决上述问题,分别从用户、服务提供商和网络运营商的角度出发,以最小化网络流量与网络费用开销为优化目标建立两个单目标优化模型,并将二者结合为帕累托模型;基于帕累托求解方法中数学规划法的思想,详细描述缓存节点位置选择算法。仿真结果表明：在流量性价比方面,所提缓存节点选择算法优于ICN的默认缓存机制;在网络费用开销方面,所提算法更适用于只有少数内容较为流行的网络中,而在所有内容都流行的情况下,ICN中默认的“遍地缓存”机制更为适宜。     

A multi‐stage stochastic programming approach for network capacity expansion with multiple sources of capacity

In networks, there are often more than one sources of capacity. The capacities can be permanently or temporarily owned by the decision maker. Depending on the nature of sources, we identify the permanent capacity, spot market capacity, and contract capacity. We use a scenario tree to model the uncertainty, and build a multi‐stage stochastic integer program that can incorporate multiple sources and multiple types of capacities in a general network. We propose two solution methodologies for the problem. Firstly, we design an asymptotically convergent approximation algorithm. Secondly, we design a cutting plane algorithm based on Benders decomposition to find tight bounds for the problem. The numerical experiments show superb performance of the proposed algorithms compared with commercial software. © 2016 Wiley Periodicals, Inc. Naval Research Logistics 63: 600–614, 2017     

一种连续修正速度方向的导引方法

考虑制导炮弹由身管武器发射,其飞行控制能力和导引信息量有限,基于预测落点位置偏差量来修正速度方向并在控制时间内连续分配导引指令的思想,提出了一种新的三维末制导方法。根据非线性弹道方程组的级数解预测弹丸落点位置,得到落点与目标的偏差,并提出了两种通过此偏差解算当前速度方向修正量的方法。取剩余飞行时间为修正时间,通过将速度方向修正量分配到整个剩余导引段建立了加速度修正公式,以减小导引指令饱和的可能性。通过连续地预测落点和分配加速度指令来实时地导引飞行。仿真结果表明：该导引方法简单可行,精度高,对控制能力要求较低,且具备较好的制导效果和毁伤效果,为该体制制导炮弹的应用提供参考依据。     

适用于认知无线传感器网络的高效频谱分配方法

广泛工作在ISM(Industrial,Scientific and Medical)频段的无线传感器网络面临严重的频谱稀缺问题。在无线通信中,动态频谱分配被认为是提高频谱效能的重要途径。针对典型集中式管理的认知无线传感器网络设计了基于图着色结合负载强度的高效频谱分配算法。首先在协议干扰模型下确保频谱资源在空间上充分利用,随后综合考虑节点负载强度与公平性建立优化模型并按照乘子法加拟牛顿法框架求解最优值。仿真实验表明算法与固定频谱分配方式和传统自适应频谱分配算法相比,在系统吞吐量和节点缓冲区队列长度两个关键性能指标上具有显著优势。     

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。     

基于双层规划的通信干扰兵力部署优化

投掷式通信干扰机是未来通信对抗装备发展的一种趋势,针对其压制无线战术通信的兵力部署优化问题,引入"通信干扰压制概率"和"通信干扰效益"两个指标,建立了基于双层规划的兵力部署优化模型,上层规划以整体通信干扰效益最大化为目标,下层为随机机会约束规划,以通信干扰压制概率满足一定置信水平为约束,以干扰机需求量最小化为目标。采用随机模拟、遗传算法和动态规划相结合的混合智能算法求解双层规划模型,并通过算例分析验证了模型的有效性。