Systems Engineering - Theory & Practice最新文献

This article constructed a WACD(1,1)-UHF-GARCH(1,1)-IVaR Model to the stock market of China with the theory of ACD and UHF-GARCH, and took Shanghai Pudong Development Bank as an example, gave an empirical analysis to the intraday Value at Risk adjusted by liquidity in our stock market combining the liquidity indicators designed by price impact model. The result shows that: first, the transactions duration has strong clustering character; second, there is also strong GARCH effect on high-frequency data, and good news will come out more volatility than bad news, but the effect of both news impacting on the market have obviously reduced after considering the influence of liquidity; finally, Monte Carlo simulation shows that the Value at Risk will underestimate the real losses without considering the liquidity effects.

Evolutionary programming (EP) with Gauss mutation operator has premature convergence. The main reason is that mutation value produced by Gauss mutation operator is so small that every variable in individual and individual itself may not be mutation. This research improved EP algorithm in three aspects of mutation operator, computation of individual opponent value, and search space. First, Gauss mutation operator is replaced with the improved discrete cosine-transformation operator which can produce a large value of mutation. Application of the formula of dynamic and proportional mutation can adjust every component value dynamically in individual, and the strategy of multiindividual competition enlarges the number of searches greatly within the solution space. Second, a model of complicate ordering business is proposed. Finally, the ordering plan is optimized by using the improved EP algorithm, EP with Gauss mutation operator and random mutation operator in Matlab. The result of simulated experiment shows that precision of the solution using the improved algorithm is demonstrated better than other algorithms. As a result, the improved algorithm has effectively solved the problem of premature convergence.

Via analyzing the weights transferring effect of state variable weight vector from viewpoint of weight varying rate, the law of weights transferring between factors and the mechanism of variable weight synthesis is revealed. Furthermore, considering the balance level of factor state vector, the general principle of how to select the appropriate state variable weight vector in decision making is discussed. Simultaneously, a method of determining the parameter of exponential-type state variable weight vector is given. Finally, an example is given to illustrate the developed approach.

To deeply reveal the structure characters of the real weighted complex networks, their clustering and correlation measures are given and compared from the views of topological and weighted networks respectively. The structure of Chinese national economic industry in 2002 is an example to illustrate. The input-output relevancy complex network of national economic industry departments is established, the clustering and correlation characters of this industry relation network are analyzed by the software tool MATLAB with the input-output data published by the national economic accounting department. Therefore, the input-output relevancy structure characters of the national economic departments in our country are sufficiently explored.

As to the problem of single-leg seating control of airlines' revenue management in the off-season, this paper uses a new callable mechanism named after callable ticket options to construct a single-leg, three-stage (callable-fare-stage, low-fare-stage, and high-fare-stage) random integer model. We show that by this callable ticket option, the arbitrage in risk hedging can be attained, the characteristic of optimal callable tickets amount can be given, and the numerical simulation results assure the effectiveness of the callable mechanism.

This study aims to examine the relationship between the surges of the US & Japan direct investment into China and the growth of the U.S. trade deficit with China. This empirical study is based on the Johansen Co-integration test, Error Correction Model, and Granger causality test during the period 1980—2006. The results show that the rapidly growing U.S. trade deficit with China is directly linked to the growth of U.S and Japanese multinationals; FDI has a significant positive impact on the export-promotion and negative impact on import-substitution of China industries. This article uses regression analysis to examine the impact of the U.S. direct investment into China on the growth of US manufacturing exports and imports with China in recent years, based on the extensive gravity model and Panel data estimation techniques. The estimation results are consistent with direct investment in China by US firms primarily serving to boost China's exports to the United States while displacing, at least to some extent, the export of goods to China by firms based on the United States, further worsens US trade deficit with China.

In this article, we present a more practical mathematical model of vehicle routing problem with pick-up and delivery, which considers the soft time request, vehicle fixed cost, vehicle full-load coefficient. The simulated annealing algorithm was improved to solve the model, the exchange in the lines and between the lines were both used to produces the new solution, through increasing the memory function, using the double termination criterion. We test the new algorithm through a certain scale example, the experimental results show that the new algorithm can obtain better solution, better stability, and high calculation efficiency.

Considering the important role of representation element in an interval-valued fuzzy set for decision analysis, the concepts of three parameters interval-valued fuzzy set and three parameters interval-valued fuzzy value are proposed, and some operators on three parameters interval-valued fuzzy values are given, and a new distance between three parameters interval-valued fuzzy values is defined. Based on the proposed distance, a TOPSIS decision-making method is shown for a multicriteria decision-making model on three parameters interval-valued fuzzy sets. Finally, a practical example is provided to illustrate the method's effectiveness.