Systems Engineering - Theory & Practice最新文献

A single-machine scheduling problem with an unavailable period to minimize makespan is discussed in this article. The disrupted job is assumed to be semiresumable. It is shown that the relative worst-case error bound of the longest processing time (LPT) algorithm is α/2, where α is reprocess-ratio. Furthermore, an example is provided to show the tightness of this bound, and then a LPT-based heuristic is proposed. Computational results show that this heuristic is quite effective in finding an optimal or near-optimal solution. Effects of different parameters on this algorithm are also analyzed.

Dependence plays an important role in risk management. Copula gradually becomes a useful tool for risk analysis because of its description of correlation of portfolio in finance. By using the Mixed Gumbel Copula and generalized Pareto distribution, an appropriate model is created to describe the dependence of two exchange rates - English Pound and Eurodollar. Then, the changes in dependence structure, which is modeled by using change-point techniques, are discussed. The results indicate that the change of dependence structure between these exchange return rates have close relations to some important finance events. This methodology is applied in many financial fields such as capital pricing and risk management.

Because of the uncertainty, openness, and complexity of modern transportation system, the path optimization becomes a challenge in most cases. To address this challenge, we propose a Frequency-domain Spanning Graph (FSG) method for searching the optimal path of stochastic transportation network in terms of various probability distribution function of path optimization problem. Furthermore, we design an improved algorithm to achieve the FSG model based on generalized adjacency matrix. By using FSG method to execute the mutual transformation of probability function between time-domain and frequency-domain, the quantitative analysis for the dynamic process of pass rate (probability) between node couple O-D (origin node and destination) can be obtained directly, and continuous probability distribution and discrete probability distribution can be handled. In addition, the algorithm is highly effective, and easy to be realized with low complexity. To demonstrate the performance of our method, a detailed example is implemented, and the results show that our method has the feasibility and effectiveness when compared with traditional method.

Empirical studies on models of signaling games are reviewed, and game evolutionary characteristics of administrative agents in the integration process of Chinese urban agglomerations are briefly set forth in this article. Based on this, signaling game model of labor market from Spence is used for reference, and the model in which administrative agents build collaborative mechanism and enhance collaborative returns based on signaling game is constructed. Case analysis about integration of urban agglomeration of Yangzi River Delta indicates that signaling game among administrative agents is one of the factors influencing the integration of urban agglomeration of Yangzi River Delta. The result of game equilibrium shows that accumulated levels of collaborative information and transfer effects of collaborative signals among administrative agents accelerate the process of integration of urban agglomeration of Yangzi River Delta in China.

Schedule arrangement is a key to success in urban development. In conventional practice, however, schedule arrangement in urban development is merely taken into account at the conceptual level. This study efficiently and effectively investigates and discusses the urban planning process based on the theory of systems engineering by an integral approach of quality and quantity, theory and practice, and government and market views. Support from specialist and financial model analysis also plays dominant roles in urban planning process. Furthermore, based on the outputs of models and experiences from a number of different urban planning projects, a decision-making model created by Da Yue Consulting Co., Ltd (DYCCL) has been applied in consulting project in Huainan of Anhui province. The evaluation of schedules in urban development process can be effectively settled via application of decision-making model.

This article analyzes the mechanism of investor sentiment impact on stock price based on the noise trading theory of Delong et al. The market turn over, close-end fund discount, and growth rate of investor accounts are chosen as indirect investor sentiment index to construct comprehensive sentiment index on the basis of factor analysis approach. The relationship between investor sentiment and stock returns in China's stock markets is tested using the regression method of ordinary least squares (OLS) and generalized autoregressive conditional heteroskedasticity in mean model (GARCH-M). The results show that investor sentiment is a systematic factor in forming stock prices. Stock price fluctuates with the fluctuation of investor sentiment, but the impact due to positive and negative investor sentiment changes is different. The impact of positive changes is stronger than that of passive changes. The volatility of stock returns caused by investor sentiment changes is a systematic risk.

Asymmetric mode is proposed to analyze the effects of asymmetries on R&D investment, output, profit, and social welfare in a duopoly with semi-collusion. Simulations show that the agent with lower initial cost has higher R&D expenditures, output, and profit; the agent with a higher innovation ability has higher R&D expenditure and output, while the profit depends on its spillover; under the condition of asymmetric spillover, the agent with lower spillover has lower R&D expenditure higher output and profit; when the difference of initial cost and innovation ability is lower and the two agents' spillover is close to 0 or 1, the welfare reaches high.