一类扩散过程的最优停止

金融数学中关于美式期权的定价理论最后归结为一个对扩散过程的最优停止问题,扩散过程是特殊的马氏过程,本文讨论了当报酬函数非负时的值函数性质及其最优停时的表示。特别对带折扣的报酬的讨论,更加符合金融数学的需要     

Dynamic server assignment policies for assembly‐type queues with flexible servers

We seek dynamic server assignment policies in finite‐capacity queueing systems with flexible and collaborative servers, which involve an assembly and/or a disassembly operation. The objective is to maximize the steady‐state throughput. We completely characterize the optimal policy for a Markovian system with two servers, two feeder stations, and instantaneous assembly and disassembly operations. This optimal policy allocates one server per station unless one of the stations is blocked, in which case both servers work at the unblocked station. For Markovian systems with three stations and instantaneous assembly and/or disassembly operations, we consider similar policies that move a server away from his/her “primary” station only when that station is blocked or starving. We determine the optimal assignment of each server whose primary station is blocked or starving in systems with three stations and zero buffers, by formulating the problem as a Markov decision process. Using this optimal assignment, we develop heuristic policies for systems with three or more stations and positive buffers, and show by means of a numerical study that these policies provide near‐optimal throughput. Furthermore, our numerical study shows that these policies developed for assembly‐type systems also work well in tandem systems. © 2008 Wiley Periodicals, Inc. Naval Research Logistics, 2008     

基于学科间差异信息的协同优化改进算法

分析了MDO(Multidisciplinary Design Optimization)中广泛应用的协同优化算法的特点和存在的问题,提出了一种基于学科间差异信息的协同优化改进算法COMI(Collaborative Optimization based on Multidisciplinary Inconsistency).利用学科间差异信息构造了系统级松弛约束和系统级罚函数,利用遗传算法作为系统级优化算法,并采用标准算例比较了标准CO(Collaborative Optimization)算法、松弛CO算法与COMI算法的性能.结果表明COMI算法在设计结果可行性和最优值上平衡性较好.     

基于系统动力学的协同决策模型性能分析

为探索信息化作战中指挥控制关键因素,提出改进作战指挥体制的对策措施,采用系统动力学理论,对协同决策的结构、参与者和信息反馈关系等关键因素进行了分析,在此基础上构建了基于系统动力学的协同决策模型并进行了模拟仿真。结果表明,增加指挥控制机构之间的信息共享可以有效提升协同决策的效率,为建立协同决策指挥控制体制提供了借鉴意义。     

协同制造系统的可靠性分析

协同制造作为一种先进制造模式,逐渐成为研究的热点。而系统的可靠性是协同制造系统成功实施的关键因素之一。从协同制造系统的自身特点出发,阐述了进行协同制造系统可靠性研究的必要性和紧迫性。并给出了协同制造系统可靠性分析的框架模型,认为协同制造系统可靠性应该从人、工作流系统和设备硬件等几个方面进行综合研究,并对各部分的可靠性研究进行了概述。     

舰艇编队协同作战的空中目标威胁评估研究

从系统分析舰艇编队协同作战的空中目标威胁评估问题入手,深入研究了协同作战环境下编队空中目标威胁评估的基本过程。在此基础上,针对编队协同决策的特点,建立了基于两层决策的协同作战环境下编队空中目标威胁评估模型,从而提出了舰艇编队协同作战的空中目标威胁评估方法。最后,通过实例说明了所提方法的有效性。     

Choosing arrival process models for service systems: Tests of a nonhomogeneous Poisson process

Service systems such as call centers and hospital emergency rooms typically have strongly time‐varying arrival rates. Thus, a nonhomogeneous Poisson process (NHPP) is a natural model for the arrival process in a queueing model for performance analysis. Nevertheless, it is important to perform statistical tests with service system data to confirm that an NHPP is actually appropriate, as emphasized by Brown et al. [8]. They suggested a specific statistical test based on the Kolmogorov–Smirnov (KS) statistic after exploiting the conditional‐uniform (CU) property to transform the NHPP into a sequence of i.i.d. random variables uniformly distributed on [0,1] and then performing a logarithmic transformation of the data. We investigate why it is important to perform the final data transformation and consider what form it should take. We conduct extensive simulation experiments to study the power of these alternative statistical tests. We conclude that the general approach of Brown et al. [8] is excellent, but that an alternative data transformation proposed by Lewis [22], drawing upon Durbin [10], produces a test of an NHPP test with consistently greater power. We also conclude that the KS test after the CU transformation, without any additional data transformation, tends to be best to test against alternative hypotheses that primarily differ from an NHPP only through stochastic and time dependence. © 2014 Wiley Periodicals, Inc. Naval Research Logistics 61: 66–90, 2014     

固体推进剂裂纹摩擦热点形成细观模型分析

分析机械撞击载荷作用下复合固体推进剂内部裂纹摩擦形成热点过程。研究在压应力与剪切应力作用下闭合裂纹滑移、扩展、摩擦生热、热扩散、推进剂热分解及与气相产物相互作用。利用断裂力学、热传导、推进剂热分解动力学方法,建立裂纹摩擦热点细观模型。通过模型数值计算,探讨推进剂裂纹摩擦产生高温热点的过程和条件。分析计算表明裂纹摩擦和扩展可导致推进剂形成高温热点。     

低温推进剂供应管道系统充填过程的动力学模型

研究了低温推进剂液体火箭发动机供应管道系统充填过程的建模问题。低温推进剂的充填相变过程采用均相模型,对推进剂充填管道系统进行有限元分割,应用基本守恒定律于充满推进剂的单元和充满气体的单元,两相单元采用等效流容方程,建立了低温推进剂管道充填过程的有限元状态变量模型。充填的容腔视为两相单元,建立了其动力学模型。利用本文的模型,对液氢、液氧推进剂的管道充填过程进行了仿真计算,给出了有关计算结果。     

Optimization and mediated bartering models for ground delay programs

The Federal Aviation Administration (FAA) and the airline community within the United States have adopted a new paradigm for air traffic flow management, called Collaborative Decision Making (CDM). A principal goal of CDM is shared decision‐making responsibility between the FAA and airlines, so as to increase airline control over decisions that involve economic tradeoffs. So far, CDM has primarily led to enhancements in the implementation of Ground Delay Programs, by changing procedures for allocating slots to airlines and exchanging slots between airlines. In this paper, we discuss how these procedures may be formalized through appropriately defined optimization models. In addition, we describe how inter‐airline slot exchanges may be viewed as a bartering process, in which each “round” of bartering requires the solution of an optimization problem. We compare the resulting optimization problem with the current procedure for exchanging slots and discuss possibilities for increased decision‐making capabilities by the airlines. © 2005 Wiley Periodicals, Inc. Naval Research Logistics, 2006