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Stochastic perturbation of the Lighthill–Whitham–Richards model via the method of stochastic characteristics 基于随机特征的lighhill - whitham - richards模型的随机扰动
IF 2.6 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-05-07 DOI: 10.1186/s13362-021-00103-w
Nora Müller, Wolfgang Bock
In this paper we apply the method of stochastic characteristics to a Lighthill–Whitham–Richards model. The stochastic perturbation can be seen as errors in measurement of the traffic density. For concrete examples we solve the equation perturbed by a standard Brownian motion and the geometric Brownian motion without drift.
本文将随机特征方法应用于lighhill - whitham - richards模型。随机扰动可以看作是交通密度测量中的误差。对于具体的例子,我们求解了标准布朗运动和无漂移的几何布朗运动的摄动方程。
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引用次数: 0
Negative selection—a new performance measure for automated order execution 消极选择——自动订单执行的新性能度量
IF 2.6 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-03-23 DOI: 10.1186/s13362-021-00102-x
Miles Kumaresan, Nataša Krejić, Sanja Lončar
Automated Order Execution is the dominant way of trading at stock markets. Performance of numerous execution algorithms is measured through slippage from some benchmark. But measuring true slippage in algorithmic execution is a difficult task since the execution as well as benchmarks are function of market activity. In this paper, we propose a new performance measure for execution algorithms. The measure, named Negative Selection, takes a posterior look at the trading window and allows us to determine what would have been the optimal order placement if we knew in advance, before the actual trading, the complete market information during the trading window. We define the performance measure as the difference between the hypothetical optimal trading position and the actual execution. This difference is calculated taking into account all prices and traded quantities within the considered time window. Thus, we are capturing the impact caused by our own trading as a cost that affects all trades. Properties of Negative Selection, which make it well defined and objective are discussed. Some empirical results on real trade data are presented.
自动指令执行是股票市场交易的主要方式。许多执行算法的性能是通过一些基准的滑动来衡量的。但衡量算法执行的真正下滑是一项艰巨的任务,因为执行和基准都是市场活动的函数。在本文中,我们提出了一种新的执行算法的性能度量。这种方法被称为“负选择”(Negative Selection),它对交易窗口进行后向观察,并允许我们在实际交易之前提前知道交易窗口期间的完整市场信息,从而确定最优的下单方式。我们将绩效衡量定义为假设的最优交易头寸与实际执行之间的差异。这一差额是在考虑到所有价格和所考虑的时间窗口内的交易量的情况下计算出来的。因此,我们将自己的交易所造成的影响作为影响所有交易的成本。讨论了负选择的性质,使负选择具有明确的定义和客观性。本文给出了一些基于实际贸易数据的实证结果。
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引用次数: 0
Inverse ray mapping in phase space for two-dimensional reflective optical systems 二维反射光学系统的相空间反射线映射
IF 2.6 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-02-04 DOI: 10.1186/s13362-021-00100-z
Carmela Filosa, Jan ten Thije Boonkkamp, Wilbert IJzerman
A new method to compute the target photometric variables of non-imaging optical systems is presented. The method is based on the phase space representation of each surface that forms the optical system. All surfaces can be modeled as detectors of the incident light and emitters of the reflected light. Moreover, we assume that the source can only emit light and the target can only receive light. Therefore, one phase space is taken into account for the source and one for the target. For the other surfaces both the source and target phase spaces are considered. The output intensity is computed from the rays that leave the source and hit the target. We implement the method for two-dimensional optical systems, and we compare the new method with Monte Carlo (MC) ray tracing. This paper is a proof of principle. Therefore, we present the results for systems formed by straight lines which are all located in the same medium. Numerical results show that the intensity found with the ray mapping method equals the exact intensity. Accuracy and speed advantages of several orders are observed with the new method.
提出了一种计算非成像光学系统目标光度变量的新方法。该方法基于形成光学系统的每个表面的相空间表示。所有表面都可以被建模为入射光的探测器和反射光的发射器。此外,我们假设光源只能发光,目标只能接收光。因此,对源和目标分别考虑一个相空间。对于其他曲面,源相空间和目标相空间都被考虑。输出强度是根据离开光源并击中目标的光线计算的。我们将该方法应用于二维光学系统,并与蒙特卡罗(MC)光线跟踪方法进行了比较。这篇论文是一个原理证明。因此,我们给出了在同一介质中由直线组成的系统的结果。数值结果表明,用光线映射法得到的光强等于精确光强。实验结果表明,该方法在精度和速度上具有一定的优势。
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引用次数: 2
Pharmaceutical portfolio optimization under cost uncertainty via chance constrained-type method 成本不确定条件下药品投资组合优化的机会约束方法
IF 2.6 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-02-02 DOI: 10.1186/s13362-021-00099-3
Maboubeh Farid, A. Chaudhry, Magnus Ytterstad, S. Wiklund
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引用次数: 5
Flattening the curves: on-off lock-down strategies for COVID-19 with an application to Brazil. 曲线趋平:新冠肺炎防控策略在巴西的应用
IF 2.6 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-01-01 Epub Date: 2021-01-06 DOI: 10.1186/s13362-020-00098-w
Luís Tarrataca, Claudia Mazza Dias, Diego Barreto Haddad, Edilson Fernandes De Arruda

The current COVID-19 pandemic is affecting different countries in different ways. The assortment of reporting techniques alongside other issues, such as underreporting and budgetary constraints, makes predicting the spread and lethality of the virus a challenging task. This work attempts to gain a better understanding of how COVID-19 will affect one of the least studied countries, namely Brazil. Currently, several Brazilian states are in a state of lock-down. However, there is political pressure for this type of measures to be lifted. This work considers the impact that such a termination would have on how the virus evolves locally. This was done by extending the SEIR model with an on / off strategy. Given the simplicity of SEIR we also attempted to gain more insight by developing a neural regressor. We chose to employ features that current clinical studies have pinpointed has having a connection to the lethality of COVID-19. We discuss how this data can be processed in order to obtain a robust assessment.

Supplementary information: The online version contains supplementary material available at 10.1186/s13362-020-00098-w.

当前的COVID-19大流行以不同的方式影响着不同的国家。各种各样的报告技术以及其他问题,如少报和预算限制,使得预测病毒的传播和致命性成为一项具有挑战性的任务。这项工作旨在更好地了解COVID-19将如何影响研究最少的国家之一,即巴西。目前,巴西的几个州处于封锁状态。然而,目前存在要求取消这类措施的政治压力。这项工作考虑了这种终止将对病毒如何在局部进化产生的影响。这是通过使用开/关策略扩展SEIR模型来完成的。考虑到SEIR的简单性,我们还试图通过开发神经回归器来获得更多的洞察力。我们选择使用当前临床研究已经确定的与COVID-19致命性有关的特征。我们将讨论如何处理这些数据以获得可靠的评估。补充信息:在线版本包含补充资料,下载地址:10.1186/s13362-020-00098-w。
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引用次数: 30
Cost effective reproduction number based strategies for reducing deaths from COVID-19. 基于繁殖数量的成本效益战略,减少 COVID-19 的死亡人数。
IF 1.2 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-01-01 Epub Date: 2021-06-28 DOI: 10.1186/s13362-021-00107-6
Christopher Thron, Vianney Mbazumutima, Luis V Tamayo, Léonard Todjihounde

In epidemiology, the effective reproduction number R e is used to characterize the growth rate of an epidemic outbreak. If R e > 1 , the epidemic worsens, and if R e < 1 , then it subsides and eventually dies out. In this paper, we investigate properties of R e for a modified SEIR model of COVID-19 in the city of Houston, TX USA, in which the population is divided into low-risk and high-risk subpopulations. The response of R e to two types of control measures (testing and distancing) applied to the two different subpopulations is characterized. A nonlinear cost model is used for control measures, to include the effects of diminishing returns. Lowest-cost control combinations for reducing instantaneous R e to a given value are computed. We propose three types of heuristic strategies for mitigating COVID-19 that are targeted at reducing R e , and we exhibit the tradeoffs between strategy implementation costs and number of deaths. We also consider two variants of each type of strategy: basic strategies, which consider only the effects of controls on R e , without regard to subpopulation; and high-risk prioritizing strategies, which maximize control of the high-risk subpopulation. Results showed that of the three heuristic strategy types, the most cost-effective involved setting a target value for R e and applying sufficient controls to attain that target value. This heuristic led to strategies that begin with strict distancing of the entire population, later followed by increased testing. Strategies that maximize control on high-risk individuals were less cost-effective than basic strategies that emphasize reduction of the rate of spreading of the disease. The model shows that delaying the start of control measures past a certain point greatly worsens strategy outcomes. We conclude that the effective reproduction can be a valuable real-time indicator in determining cost-effective control strategies.

在流行病学中,有效繁殖数 R e 用于描述流行病爆发的增长率。如果 R e > 1,则疫情恶化,如果 R e 1,则疫情减弱并最终消亡。在本文中,我们研究了美国德克萨斯州休斯敦市 COVID-19 改良 SEIR 模型中 R e 的特性,该模型将人口分为低风险亚人口和高风险亚人口。该模型将人口分为低风险亚人口和高风险亚人口,并描述了 R e 对应用于两种不同亚人口的两种控制措施(检测和拉开距离)的响应。控制措施采用非线性成本模型,以包括收益递减效应。计算出将瞬时 R e 降低到给定值的最低成本控制组合。我们提出了三种旨在减少 R e 的 COVID-19 启发式策略,并展示了策略实施成本与死亡人数之间的权衡。我们还考虑了每种策略的两种变体:基本策略,即只考虑控制措施对 R e 的影响,而不考虑亚人群;高风险优先策略,即最大限度地控制高风险亚人群。结果表明,在这三种启发式策略中,最具成本效益的策略是为 R e 设定一个目标值,并采取足够的控制措施来达到该目标值。这种启发式策略首先是严格控制整个人群,然后增加检测。与强调降低疾病传播速度的基本策略相比,最大限度地控制高危人群的策略成本效益较低。模型显示,将控制措施的开始时间推迟到某一点后,战略结果会大大恶化。我们的结论是,有效繁殖率可以作为一个有价值的实时指标,用于确定具有成本效益的控制策略。
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引用次数: 0
Mathematical Modeling, Simulation and Optimization for Power Engineering and Management 电力工程与管理的数学建模、仿真与优化
IF 2.6 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-01-01 DOI: 10.1007/978-3-030-62732-4
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引用次数: 6
German Success Stories in Industrial Mathematics 德国工业数学的成功案例
IF 2.6 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-01-01 DOI: 10.1007/978-3-030-81455-7
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引用次数: 2
Dynamics of epidemic diseases without guaranteed immunity. 没有保证免疫力的流行病动态。
IF 2.6 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-01-01 Epub Date: 2021-02-22 DOI: 10.1186/s13362-021-00101-y
Kurt Langfeld

The pandemic of Severe Acute Respiratory Syndrome Coronavirus 2 (SARS-CoV-2) suggests a novel type of disease spread dynamics. We here study the case where infected agents recover and only develop immunity if they are continuously infected for some time τ. For large τ, the disease model is described by a statistical field theory. Hence, the phases of the underlying field theory characterise the disease dynamics: (i) a pandemic phase and (ii) a response regime. The statistical field theory provides an upper bound of the peak rate of infected agents. An effective control strategy needs to aim to keep the disease in the response regime (no 'second' wave). The model is tested at the quantitative level using an idealised disease network. The model excellently describes the epidemic spread of the SARS-CoV-2 outbreak in the city of Wuhan, China. We find that only 30% of the recovered agents have developed immunity.

严重急性呼吸系统综合症冠状病毒 2(SARS-CoV-2)的大流行提出了一种新型疾病传播动力学。我们在此研究的是受感染的病原体只有在持续感染一段时间 τ 后才能恢复并产生免疫力的情况。因此,基本场论的阶段描述了疾病的动态特征:(i) 大流行阶段和 (ii) 反应机制。统计场理论提供了受感染病原体峰值率的上限。有效的控制策略需要将疾病控制在反应机制中(没有 "第二波")。我们利用一个理想化的疾病网络对该模型进行了定量测试。该模型出色地描述了 SARS-CoV-2 在中国武汉市的流行传播情况。我们发现,只有 30% 的康复者产生了免疫力。
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引用次数: 0
Mathematical models of the spread and consequences of the SARS-CoV-2 pandemics: Effects on health, society, industry, economics and technology. SARS-CoV-2大流行传播和后果的数学模型:对健康、社会、工业、经济和技术的影响。
IF 2.6 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Pub Date : 2021-01-01 Epub Date: 2021-09-20 DOI: 10.1186/s13362-021-00111-w
Alessandra Micheletti, Adérito Araújo, Neil Budko, Ana Carpio, Matthias Ehrhardt
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引用次数: 1
期刊
Journal of Mathematics in Industry
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