具有偏好系数允许卖空的投资组合模型解存在的条件

在投资组合各种模型中,具有偏好系数的投资组合模型是最重要的模型之一,对其求解的研究具有理论价值。本文利用矩阵分块理论对此模型进行了研究,并给出了此模型解存在的一个充分条件。     

A new importance sampling Monte Carlo method for a flow network reliability problem

The exact evaluation of the probability that the maximum st‐flow is greater than or equal to a fixed demand in a stochastic flow network is an NP‐hard problem. This limitation leads one to consider Monte Carlo alternatives. In this paper, we propose a new importance sampling Monte Carlo method. It is based on a recursive use of the state space decomposition methodology of Doulliez and Jamoulle during the simulation process. We show theoretically that the resulting estimator belongs to the variance‐reduction family and we give an upper bound on its variance. As shown by experimental tests, the new sampling principle offers, in many cases, substantial speedups with respect to a previous importance sampling based on the same decomposition procedure and its best performances are obtained when highly reliable networks are analyzed. © 2002 Wiley Periodicals, Inc. Naval Research Logistics 49: 204–228, 2002; DOI 10.1002/nav.10004     

计算边界范围的选取对渗流作用下边坡稳定性分析精度的影响

目前针对渗流作用下边坡的稳定性分析一般都是首先通过渗流计算求得坡体内浸润面的位置,然后再进行安全系数的求解,所以当坡体后部地下水补给充足时,边界范围的选取将直接影响到坡体内浸润面的位置和安全系数的计算结果.由于PLAXIS有限元程序在渗流计算方面具有比较强大的功能,因此采用该软件对边界范围对渗流作用下边坡稳定性分析精度的影响进行研究.从算例所得到的结果看,当左边距等于10倍坡高时,安全系数的变化逐渐稳定,左边距的增大对安全系数不再产生影响.     

管壳式换热器强制对流换热与阻力特性研究

用实验与软件模拟相结合的方法研究了波纹管与直管的换热性能和阻力特性.壳程采用通入高温烟气,测试了不同水量情况下波纹管的平均对流换热系数和阻力系数,拟合出了所测参数范围内的换热和阻力关联式,并比较了相同管径的波纹管与直管的换热效果.为波纹管在换热领域的应用提供一些依据.     

熔锥型保偏光纤耦合器耦合系数分析

耦合系数会直接影响到偏振光经过耦合器熔锥区后的光能量分布,从而影响保偏光纤耦合器的耦合性能。基于光波导模式耦合理论,建立了熔锥型保偏光纤耦合器的耦合模型,推导出了适应于纤芯为圆型、偏振主轴非平行时保偏光纤耦合器的耦合系数计算公式,形式简单、应用方便。为耦合模方程的求解以及耦合器的性能分析提供了前提条件,从而为熔锥型保偏光纤耦合器的高性能制造提供了理论指导。     

光纤陀螺随机漂移分析与建模方法

随机漂移是影响光纤陀螺精度的重要因素。根据光纤陀螺静态漂移测试信号,利用Allan方差法对光纤陀螺随机漂移误差进行了分离和辨识,并分析了系数拟合过程中最小二乘法的病态矩阵问题。最后探讨了利用AIC准则和长自回归法建立光纤陀螺随机漂移ARMA模型的方法,为进一步对光纤陀螺输出信号进行滤波处理奠定了基础。     

不同海拔地区发射药安定性试验数据差异分析

按照同一试验方法,同一发射药分别在高原地区和内陆地区两地进行安定性试验对比。结果表明：同海拔高差测得的CO2体积分数差别为36％左右。因此,在对不同海拔地区发射药安定性试验数据进行处理时,需考虑气压因素影响,进行气压校正。     

软件系统的可靠性综合评估模型研究*

主要研究了软件系统可靠性的评估方法。基于软件系统的基本结构和体系,对软件系统层次可靠性进行分析,并对影响可靠性的因素进行了分析;根据各分系统失效对整体系统失效影响程度的大小,通过事件测试分析得到实际参数,在给出重要度系数的基础上,建立了串并联系统间权重系数模型,并通过Bayes分析建立了软件系统的可靠性综合评估模型,从而达到对软件系统可靠性综合评估的目的。算例表明该可靠性综合评估模型具有一定的工程应用价值。     

Response surface analysis of two‐stage stochastic linear programming with recourse

We apply the techniques of response surface methodology (RSM) to approximate the objective function of a two‐stage stochastic linear program with recourse. In particular, the objective function is estimated, in the region of optimality, by a quadratic function of the first‐stage decision variables. The resulting response surface can provide valuable modeling insight, such as directions of minimum and maximum sensitivity to changes in the first‐stage variables. Latin hypercube (LH) sampling is applied to reduce the variance of the recourse function point estimates that are used to construct the response surface. Empirical results show the value of the LH method by comparing it with strategies based on independent random numbers, common random numbers, and the Schruben‐Margolin assignment rule. In addition, variance reduction with LH sampling can be guaranteed for an important class of two‐stage problems which includes the classical capacity expansion model. © 1999 John Wiley & Sons, Inc. Naval Research Logistics 46: 753–776, 1999     

A nonparametric approach to accelerated life testing under multiple stresses

Accelerated life testing (ALT) is concerned with subjecting items to a series of stresses at several levels higher than those experienced under normal conditions so as to obtain the lifetime distribution of items under normal levels. A parametric approach to this problem requires two assumptions. First, the lifetime of an item is assumed to have the same distribution under all stress levels, that is, a change of stress level does not change the shape of the life distribution but changes only its scale. Second, a functional relationship is assumed between the parameters of the life distribution and the accelerating stresses. A nonparametric approach, on the other hand, assumes a functional relationship between the life distribution functions at the accelerated and nonaccelerated stress levels without making any assumptions on the forms of the distribution functions. In this paper, we treat the problem nonparametrically. In particular, we extend the methods of Shaked, Zimmer, and Ball [7] and Strelec and Viertl [8] and develop a nonparametric estimation procedure for a version of the generalized Arrhenius model with two stress variables assuming a linear acceleration function. We obtain consistent estimates as well as confidence intervals of the parameters of the life distribution under normal stress level and compare our nonparametric method with parametric methods assuming exponential, Weibull and lognormal life distributions using both real life and simulated data. © 1998 John Wiley & Sons, Inc. Naval Research Logistics 45: 629–644, 1998