On gamma estimation via matrix kriging

In financial engineering, sensitivities of derivative prices (also known as the Greeks) are important quantities in risk management, and stochastic gradient estimation methods are used to estimate them given the market parameters. In practice, the surface (function) of the Greeks with respect to the underlying parameters is much more desired, because it can be used in real‐time risk management. In this paper, we consider derivatives with multiple underlying assets, and propose three stochastic kriging‐based methods, the element‐by‐element, the importance mapping, and the Cholesky decomposition, to fit the surface of the gamma matrix that can fulfill the time constraint and the precision requirement in real‐time risk management. Numerical experiments are provided to illustrate the effectiveness of the proposed methods.     

新体制导航信号下I/Q幅相不一致对接收机测距零值的影响分析

随着现代化导航信号带宽的增大,由于可以大幅降低采样率,复信号采样的优势日趋明显。由于存在I/Q幅相误差,复信号采样对导航接收机伪距测量造成了一定影响。改进了信道非理想与I/Q幅相误差共同影响BPSK/QPSK信号零值测量的分析模型;在该模型基础上,推导得到了任意I/Q误差和信道非理想特性影响BOC信号伪距零值的模型;探讨了二者在频域抗干扰应用场景下引起的零值变化;理论分析与软件接收机仿真结果高度吻合,误差在1.5×10^-4码片内,证明了分析模型的精确性。该分析方法可用于对高性能导航接收机信道特性进行事先约束及筛选,以确保干扰场景下的零值变化满足要求。     

战场数据融合仿真系统设计与实现

介绍了一种战场数据融合仿真系统的设计与实现方法。该系统由场景设定、信号产生、融合跟踪处理、目标识别、态势与威胁估计与数据库支持等功能子系统组成,模拟了数据融合的整个信息处理流程,包括:主动探测雷达、雷达侦察设备、通信侦察设备和敌我识别器获取敌我目标观测信息、利用多传感器跟踪数据对目标进行融合跟踪、提取辐射源电磁信息特征对敌方目标识别,进而形成态势与威胁估计。最终在Visual C#开发平台上利用MapX和ORACLE开发了战场数据融合仿真系统,并成功应用于实际系统中,取得了较好的效果。     

基于动态行为监测的木马检测系统设计

首先介绍了特洛伊木马的基本概念及常用的木马检测方法,然后在分析传统的基于静态特征的木马检测技术缺点的基础上,结合基于动态行为监测的木马检测思想,研究以木马植入、隐蔽和恶意操作所需资源的控制和动态可疑行为监测相结合的隐藏木马检测技术,并提出了基于动态行为监测的木马检测系统的基本框架,给出了动态行为监测的相关策略和可疑行为的分析与判定的方法。     

基于博弈论的C~4ISR系统监视与侦察功能模型

监视与侦察已成为现代C4ISR系统的重要组成部分,传统的监视与侦察系统效能分析方法存在模型难以建立、结果不准确等问题,很难量化其与作战效果之间的影响。在对基于Lanchester方程的C4ISR系统建模方法进行研究的基础上,提出了反映监视与侦察功能的Lanchester方程模型,并引入博弈论分析了战场上信息的不对称对交战结果的影响,克服了描述C4ISR系统的Lanchester方程没有考虑作战单元、对手和环境间的动态交互以及数学结构简单的缺点。仿真结果验证了模型的有效性。     

基于模糊自适应变维Kalman滤波器的跟踪算法(英文)

针对不同阶数的Kalman滤波器具有不同的跟踪能力与跟踪效率之间存在的矛盾,设计了一种模糊自适应变维跟踪算法(FAVD)。该算法使用两级滤波器,根据目标机动性的变化,适当地调整滤波器的阶数,使跟踪结果快速收敛,很好地解决了矛盾。同时通过模糊推理机制,在线调节高阶滤波器的参数,使适用范围大大增强,提高自适应能力,从而使该算法可以采用较少的模型覆盖较多的目标运动模式,达到很好的跟踪滤波效果,计算量也会大大减小。通过对计算机仿真结果分析表明,提出的算法具有可靠、计算简便、快速等特点,模型滤波精度较高,并可实现实时跟踪预测,具有一定的理论价值和实用价值。     

Fully sequential procedures for comparing constrained systems via simulation

We consider the problem of finding the system with the best primary performance measure among a finite number of simulated systems in the presence of a stochastic constraint on a single real‐valued secondary performance measure. Solving this problem requires the identification and removal from consideration of infeasible systems (Phase I) and of systems whose primary performance measure is dominated by that of other feasible systems (Phase II). We use indifference zones in both phases and consider two approaches, namely, carrying out Phases I and II sequentially and carrying out Phases I and II simultaneously, and we provide specific example procedures of each type. We present theoretical results guaranteeing that our approaches (general and specific, sequential and simultaneous) yield the best system with at least a prespecified probability, and we provide a portion of an extensive numerical study aimed at evaluating and comparing the performance of our approaches. The experimental results show that both new procedures are useful for constrained ranking and selection, with neither procedure showing uniform superiority over the other.© 2010 Wiley Periodicals, Inc. Naval Research Logistics, 2010     

Path optimization for the resource‐constrained searcher

We formulate and solve a discrete‐time path‐optimization problem where a single searcher, operating in a discretized three‐dimensional airspace, looks for a moving target in a finite set of cells. The searcher is constrained by maximum limits on the consumption of one or more resources such as time, fuel, and risk along any path. We develop a specialized branch‐and‐bound algorithm for this problem that uses several network reduction procedures as well as a new bounding technique based on Lagrangian relaxation and network expansion. The resulting algorithm outperforms a state‐of‐the‐art algorithm for solving time‐constrained problems and also is the first algorithm to solve multi‐constrained problems. © 2010 Wiley Periodicals, Inc. Naval Research Logistics, 2010     

Newsvendor bounds and heuristics for serial supply chains with regular and expedited shipping

We study an infinite‐horizon, N‐stage, serial production/inventory system with two transportation modes between stages: regular shipping and expedited shipping. The optimal inventory policy for this system is a top–down echelon base‐stock policy, which can be computed through minimizing 2N nested convex functions recursively (Lawson and Porteus, Oper Res 48 (2000), 878–893). In this article, we first present some structural properties and comparative statics for the parameters of the optimal inventory policies, we then derive simple, newsvendor‐type lower and upper bounds for the optimal control parameters. These results are used to develop near optimal heuristic solutions for the echelon base‐stock policies. Numerical studies show that the heuristic performs well. © 2009 Wiley Periodicals, Inc. Naval Research Logistics, 2010     

XMSF下新兴开放标准的集成和验证

建模与仿真领域中实现资源重用、共享和互操作的基本途径是标准化。诸多开放互操作标准的提出和应用成功解决了各自领域的互操作问题,推动了仿真技术的发展。关于这些开放标准的讨论及应用情况都已有相当数量的文献予以介绍,但具体涉及同一框架下各标准之间相互作用或影响情况却鲜有提及。依托XMSF框架,选取了MDA、BOM、SRML、MSDL、C-BML五种主流的新兴开放标准,通过XMSF案例对这些标准在XMSF中的集成应用进行了详细研究,评估它们在一起时可能为仿真领域带来的影响和能力。