Optimal nonmyopic gambling strategy for the generalized Kelly criterion

We consider the optimal wagers to be made by a gambler who starts with a given initial wealth. The gambler faces a sequence of two-outcome games, i.e., “win” vs. “lose,” and wishes to maximize the expected value of his terminal utility. It has been shown by Kelly, Bellman, and others that if the terminal utility is of the form log x, where x is the terminal wealth, then the optimal policy is myopic, i.e., the optimal wager is always to bet a constant fraction of the wealth provided that the probability of winning exceeds the probability of losing. In this paper we provide a critique of the simple logarithmic assumption for the utility of terminal wealth and solve the problem with a more general utility function. We show that in the general case, the optimal policy is not myopic, and we provide analytic expressions for optimal wager decisions in terms of the problem parameters. We also provide conditions under which the optimal policy reduces to the simple myopic case. © 1997 John Wiley & Sons, Inc. Naval Research Logistics 44: 639–654, 1997     

助推-滑翔式导弹中段弹道方案的初步分析

建立了助推—滑翔式弹道中段的无量纲运动方程。采用非线性规划方法实现弹道优化。首先求解不同初始速度、速度倾角和最大升阻比的最大射程弹道,然后考虑驻点热流、过载约束,求解总气动加热最小和射程最大的最优弹道。基于前者的计算结果分析了初始条件对最大射程弹道的影响。将考虑约束的再入滑翔弹道与弹道式再入的特征参数比较,表明再入滑翔弹道的峰值热流较小,而总气动加热增加,但再入滑翔飞行时间在一般锥形体再入机动飞行器的热防护系统可承受的时间范围内。     

电力市场环境下发电厂机组检修计划

分析了传统的统一调度下和电力市场环境下发电厂机组检修计划的不同,在此基础上提出不同于以往的检修计划方法。以检修费用、电价收益损失和违约金之和最小为目标函数,然后采用0-1整数规划的直接枚举法求解。最后通过算例论证了该方法的可行性。     

专用字符集译码逻辑的程序优化设计

提出了一种组合逻辑译码电路优化设计的基本原则 ,给出了基于该优化设计原则的程序设计所涉及的关键数据结构和算法 ,并利用现有中小规模译码驱动电路 744 8系列芯片和门电路等实现了工程实践中需要的特殊字符集译码优化设计的参考电路 .     

The parallel replacement problem with demand and capital budgeting constraints

A generalized parallel replacement problem is considered with both fixed and variable replacement costs, capital budgeting, and demand constraints. The demand constraints specify that a number of assets, which may vary over time, are required each period over a finite horizon. A deterministic, integer programming formulation is presented as replacement decisions must be integer. However, the linear programming relaxation is shown to have integer extreme points if the economies of scale binary variables are fixed. This allows for the efficient computation of large parallel replacement problems as only a limited number of 0–1 variables are required. Examples are presented to provide insight into replacement rules, such as the “no‐splitting‐rule” from previous research, under various demand scenarios. © 2000 John Wiley & Sons, Inc. Naval Research Logistics 47: 40–56, 2000     

Orbix的分布对象计算性能分析

通过一个计数器的分布对象设计及Orbix实现,阐明了先进的分布对象技术标准CORBA的核心概念以及符合CORBA2．0标准的中间件产品Orbix的分布对象设计和实现过程,通过计算比较并分析了Orbix在单机和网络分布环境下实现效率的差异,并提出了用单机模拟网络环境下分布对象实现效率的方法．     

A comparative study of three tool replacement/operation sequencing strategies in a flexible manufacturing system

This paper studies three tool replacement/operation sequencing strategies for a flexible manufacturing system over a finite time horizon: (1) failure replacement—replace the tool only upon failure, (2) optimal preventive tool replacement for a fixed sequence of operations, and (3) joint scheduling of the optimal preventive tool replacement times and the optimal sequence of operations. Stochastic dynamic decision models are used for strategies 2 and 3. The optimization criterion for strategies 2 and 3 is the minimization of the total expected cost over the finite time horizon. We will show through numerical studies that, with the same amount of information, the total expected costs can be reduced considerably by choosing an optimal strategy. Our conclusion is that in flexible manufacturing, optimal tool replacement and optimal operations sequencing are not separate issues. They should be considered jointly to minimize the expected total cost. © 2000 John Wiley & Sons, Inc. Naval Research Logistics 47: 479–499, 2000     

对潜搜索的灰色整数规划模型

在对潜搜索中,针对搜索兵力武器装备战技性能的优劣、指挥人员的军政素质的高低、水文气象条件的好坏等因素均会随着时间的推移而发生变化的特点,为了取得最佳的搜潜效果,需要根据时间变化给不同的作战单元分派不同的作战任务.将整数规划与灰色模型相结合,建立了对潜搜索的灰色整数规划模型,给出了检验方法和求解步骤,并举例分析说明.经验证,该模型精度等级较高,且能使各作战单元的搜索效率达到最佳,因此,可资对潜搜索兵力分配时借鉴.     

弹炮混编防空群兵力分配模型

针对对付现代日益发展的空袭手段的一种有效方法--弹炮混编防空布势中存在的防空武器种类繁多,兵力分配复杂,难以充分发挥各自效能的问题,建立了非线性规划模型,利用动态规划对该模型进行分析,运用拉格朗日降维法进行降维,将三维降为二维.经防空作战的实例验证该算法不但能将两维降到单维,而且还可以将多维降到单维,能节省计算机的内存使用率,提高仿真计算的速度,符合信息化条件下指挥决策实时化的要求且分配效果较好.     

Optimizing barge utilization in hinterland container transportation

In hinterland container transportation the use of barges is getting more and more important. We propose a real‐life operational planning problem model from an inland terminal operating company, in which the number of containers shipped per barge is maximized and the number of terminals visited per barge is minimized. This problem is solved with an integer linear program (ILP), yielding strong cost reductions, about 20%, compared to the method used currently in practice. Besides, we develop a heuristic that solves the ILP in two stages. First, it decides for each barge which terminals to visit and second it assigns containers to the barges. This heuristic produces almost always optimal solutions and otherwise near‐optimal solutions. Moreover, the heuristic runs much faster than the ILP, especially for large‐sized instances.