摘要:

Efficient decisions in portfolio models are modelled here as two-person games, which may be both zero-sum and non-zero-sum. In the zero-sum case, mixed strategy solutions are characterized in different ways in both static and dynamic games and it is shown that the traditional solutions of mean variance portfolio theory can be generalized considerably.

ISSN:0020-7721    

DOI:10.1080/00207728908910218

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor

摘要:

The problems of discrete optimization are of importance in a number of applications. One of the various problems of discrete minimization with special constraints, not previously considered, is formulated. A complexity degree of the assigned problem is studied from the viewpoint of algorithm theory. Non–deterministically polynomial (NP)–compleleness of the discrete minimization problem is shown. The algorithms proposed for the solution of a frequently occurring special case of the problem have polynomial time complexity and their set is a finite polynomial approximated scheme.

ISSN:0020-7721    

DOI:10.1080/00207728908910219

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor

摘要:

A model of group technology (GT) production systems including the cost of raw material processing is developed. It is assumed that the throughput time in a given GT cell depends linearly on the lot size. The optimal GT lot–size formula is derived and its properties discussed. The variability with respect to changes in the annual demand rate, the average carrying cost rate, and the rate charged per unit of cell production time are examined and evaluated. A typical case study is worked out to illustrate the analytical results.

ISSN:0020-7721    

DOI:10.1080/00207728908910220

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor

摘要:

Block-oriented models having only one multiplier and the Volterra kernels that describe them are summarized. The kernel estimation of the discrete Volterra series is dealt with. It is pointed out that while the Volterra kernels can easily be derived from the block-oriented models, the structure and the parameters of the block-oriented models cannot be computed in a trivial way from the estimated Volterra kernels. Both graphical and analytical procedures are recommended for the structural identification. The method is supported by several simulation examples.

ISSN:0020-7721    

DOI:10.1080/00207728908910221

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor

摘要:

A rational procedure is developed for ranking the multiobjectives of a vector maximum problem, thereby leading to proper assignment of weights to the objectives. To achieve this, we determine the range of each decision variable from the constraints set and transform them into the unit interval. After scaling the decision variables, we scale down the objectives also into the unit interval. Following Yager (1981), an ordering function of the objectives is determined. This ordering function value is nothing but the strength of preference inherent in the objectives. Accepting the strength of preference, we obtain the weights for the respective objectives. A numerical example is given to illustrate the procedure.

ISSN:0020-7721    

DOI:10.1080/00207728908910222

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor

摘要:

A method is proposed for designing regulating feedback control laws in switched-mode DC-to-DC power supplies such as the boost converter. A physically meaningful local state coordinate transformation is proposed on the average pulse-width-modulated controlled converter which results in a perturbed linear tangent model independent of the operating point. Such a model exhibits a linear structure in Brunovsky's canonical form. Conceptually, the feedback regulation scheme is thus considerably simplified.

ISSN:0020-7721    

DOI:10.1080/00207728908910223

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor

摘要:

Cooperative games in which the dynamics are described by Ito equations are considered. Using a result of Elliott for zero-sum games we prove sufficient conditions for the existence of mean-square strategies and Nash-bargaining solutions in cooperative stochastic differential games.

ISSN:0020-7721    

DOI:10.1080/00207728908910224

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor

摘要:

The characterization of the non-causal impulse response functions is considered. Specifically, expressions for rational, continuous, non-causal impulse response functions corresponding to different rational factorizations of the spectral density function of continuous ARMA(p, q) models are derived. Furthermore, with the restriction on the continuity condition of impulse response at the origin, certain models are found to be inadmissible representations of the non-causal impulse response functions.

ISSN:0020-7721    

DOI:10.1080/00207728908910225

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor

摘要:

A mathematical model appropriate for the calculation of transient neutral currents, when a single circuit three-phase transmission line is switched on, is presented. The practical condition or sequential pole switching of multi-switch circuit breakers is considered. The analysts is based on the Laplace transform concept, while the convolution theorem is used for the determination of original and deduced Laplace transforms. The earth return effect is accounted for which makes the line parameters frequency dependent. The proposed concept is applied successfully to the calculation of transient neutral currents at the sending end of a typical 500 kV, 500 km transmission line. The results obtained indicate that, in such cases, special protection should be considered.

ISSN:0020-7721    

DOI:10.1080/00207728908910226

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor

摘要:

The problem of optimal end-to-end control of a maximum entropy flow equivalent queueing model of virtual circuit packet-switched networks with non-exponential channel transmission limes is investigated. A new Norton-maximum entropy algorithm is proposed in order to reduce the complexity of the end-to-end network and facilitate the optimization process. It is shown that the flow control mechanism maximizing the throughput, under a bounded time delay criterion, is of ‘window’ type (bang-bang control). The maximum number of packets in transit within the system (i.e. sliding window size) is derived in terms of the maximum allowed average time delay, flow equivalent parameters, and maximum input rate. Numerical results provide useful information on how critically the optimal throughput is affected by the distributional form of the channel transmission times.

ISSN:0020-7721    

DOI:10.1080/00207728908910227

出版商:Taylor & Francis Group    

年代:1989

数据来源: Taylor