卡尔曼滤波框架下优化增益异类噪声处理方法及其应用

针对基于卡尔曼滤波框架算法只能处理已知高斯噪声系统的局限性,设计能够同时处理含有异类噪声系统的改进算法.将不确定系统受到的干扰分成高斯噪声和未知有界噪声,对噪声特点进行分析,并将其加入状态方程和观测方程;在吸收集员滤波优点的基础上,对标准卡尔曼滤波进行改进,通过计算包含两种异类噪声系统状态的最小均方误差,得到该条件下滤...     

Simultaneous production of market‐specific and global products: A two‐stage stochastic program with additional demand after recourse

This paper analyzes the simultaneous production of market‐specific products tailored to the needs of individual regions and a global product that could be sold in many regions. We assume that the global product costs more to manufacture, but allows the decision concerning the allocation of products to regions to be delayed until after the manufacturing process has been completed. We further assume that there is additional demand after the region allocation but prior to delivery, extending the two‐stage stochastic program with recourse to include additional stochastic demand after the recourse. This scenario arises, for example, when there is additional uncertainty during a delivery delay which might occur with transoceanic shipments. We develop conditions for optimality assuming a single build‐allocate‐deliver cycle and stochastic demand during both the build and deliver periods. The optimal policy calls for the simultaneous production of market‐specific and global products, even when the global product is substantially more costly than the market‐specific product. In addition, we develop bounds on the performance of the optimal policy for the multicycle problem. © 2003 Wiley Periodicals, Inc. Naval Research Logistics 50: 438–461, 2003     

Optimal stopping in software testing

In this paper we address the problem of how to decide when to terminate the testing/modification process and to release the software during the development phase. We present a Bayesian decision theoretic approach by formulating the optimal release problem as a sequential decision problem. By using a non‐Gaussian Kalman filter type model, proposed by Chen and Singpurwalla (1994), to track software reliability, we are able to obtain tractable expressions for inference and determine a one‐stage look ahead stopping rule under reasonable conditions and a class of loss functions. © 2002 Wiley Periodicals, Inc. Naval Research Logistics, 2003     

随机动态规划的混合算法研究

针对随机条件下动态规划模型的主要特点,运用智能算法混合编程理论,设计了一种探索多阶段决策问题的智能混合算法.该算法首先将问题转化成一族同类型的一步决策子问题,然后利用随机模拟和遗传算法,依据训练样本形成的训练神经元网络,在单步决策中寻求最优策略和最优目标值,逐个求解,再据初始状态逆序求出最优策略序列和最优目标值.仿真结果表明,该算法具有一定的通用性,初始设计点可以随机产生,其计算精度不因函数的非线性强弱而受影响,对目标和约束的限制较少,可应用于多种形式的随机多阶段决策优化问题,较好地满足了随机动态规划模型求解和优化的要求.     

To wait or not to wait: Optimal ordering under lead time uncertainty and forecast updating

There has been a dramatic increase over the past decade in the number of firms that source finished product from overseas. Although this has reduced procurement costs, it has increased supply risk; procurement lead times are longer and are often unreliable. In deciding when and how much to order, firms must consider the lead time risk and the demand risk, i.e., the accuracy of their demand forecast. To improve the accuracy of its demand forecast, a firm may update its forecast as the selling season approaches. In this article we consider both forecast updating and lead time uncertainty. We characterize the firm's optimal procurement policy, and we prove that, with multiplicative forecast revisions, the firm's optimal procurement time is independent of the demand forecast evolution but that the optimal procurement quantity is not. This leads to a number of important managerial insights into the firm's planning process. We show that the firm becomes less sensitive to lead time variability as the forecast updating process becomes more efficient. Interestingly, a forecast‐updating firm might procure earlier than a firm with no forecast updating. © 2009 Wiley Periodicals, Inc. Naval Research Logistics, 2009     

What you should know about approximate dynamic programming

Approximate dynamic programming (ADP) is a broad umbrella for a modeling and algorithmic strategy for solving problems that are sometimes large and complex, and are usually (but not always) stochastic. It is most often presented as a method for overcoming the classic curse of dimensionality that is well‐known to plague the use of Bellman's equation. For many problems, there are actually up to three curses of dimensionality. But the richer message of approximate dynamic programming is learning what to learn, and how to learn it, to make better decisions over time. This article provides a brief review of approximate dynamic programming, without intending to be a complete tutorial. Instead, our goal is to provide a broader perspective of ADP and how it should be approached from the perspective of different problem classes. © 2009 Wiley Periodicals, Inc. Naval Research Logistics 2009     

基于任意分布随机Petri网的装备维修保障建模与分析

通过将任意分布随机Petri网的基本理论和算法应用到装备维修保障的建模与分析,建立了维修保障系统的任意随机Petri网模型,实现了随机Petri网中变换概率服从指数分布的限制.根据实际系统中相关数据的统计分析和经验估计,以便为利用矩姆函数分析方法对维修保障系统的性能进行分析,为维修保障决策层提供参考,获得了一些有价值的性能指标信息.     

自行火炮扭力轴载荷谱的测量及疲劳寿命预测

为预测自行火炮扭力轴寿命,对某型自行火炮在不同工况下进行实车试验,获得了多工况下扭力轴的载荷谱。受力分析表明,表面最大拉应力是扭力轴的破坏应力;提出基于随机响应面对扭力轴寿命进行预测的方法,将低周疲劳寿命表达式中的随机参数表示为标准随机变量,引人随机响应的Hermite多项展开式进行拟合,建立了扭力轴疲劳寿命的显式函数。通过对实测载荷谱进行统计分析,依据寿命表达式可以预测扭力轴疲劳寿命,并给出概率分布。该方法弥补了传统响应面法以一般多项式拟合时不能保证收敛性的缺陷。     

采用SHLPN分析特种车载总线网络可靠性

针对特种车载总线网络可靠性难以评估的问题,提出采用随机高级Petri网(Stochastic High-level Petri Net,SHLPN)分析特种车载总线网络可靠性。深入分析特种车载总线网络故障模式的基础上,将其等效为冗余总线控制器模块、远程终端模块和冗余链路模块的串联,分别建立各个模块的SHLPN模型,得到了各个模块的稳态可用度计算式,进而综合得到特种车载总线网络的稳态可用度计算式。最后,实例分析验证了所提方法的有效性。     

The probability of the existence of a feasible flow in a stochastic transportation network

Stochastic transportation networks arise in various real world applications, for which the probability of the existence of a feasible flow is regarded as an important performance measure. Although the necessary and sufficient condition for the existence of a feasible flow represented by an exponential number of inequalities is a well‐known result in the literature, the computation of the probability of all such inequalities being satisfied jointly is a daunting challenge. The state‐of‐the‐art approach of Prékopa and Boros, Operat Res 39 (1991) 119–129 approximates this probability by giving its lower and upper bounds using a two‐part procedure. The first part eliminates all redundant inequalities and the second gives the lower and upper bounds of the probability by solving two well‐defined linear programs with the inputs obtained from the first part. Unfortunately, the first part may still leave many non‐redundant inequalities. In this case, it would be very time consuming to compute the inputs for the second part even for small‐sized networks. In this paper, we first present a model that can be used to eliminate all redundant inequalities and give the corresponding computational results for the same numerical examples used in Prékopa and Boros, Operat Res 39 (1991) 119–129. We also show how to improve the lower and upper bounds of the probability using the multitree and hypermultitree, respectively. Furthermore, we propose an exact solution approach based on the state space decomposition to compute the probability. We derive a feasible state from a state space and then decompose the space into several disjoint subspaces iteratively. The probability is equal to the sum of the probabilities in these subspaces. We use the 8‐node and 15‐node network examples in Prékopa and Boros, Operat Res 39 (1991) 119–129 and the Sioux‐Falls network with 24 nodes to show that the space decomposition algorithm can obtain the exact probability of these classical examples efficiently. © 2016 Wiley Periodicals, Inc. Naval Research Logistics 63: 479–491, 2016