摘要
本文基于马尔可夫链在存储论中的应用,结合Ergodic定理,得到确定期货经纪公司保证金的Ergodic模型,即一个双目标规划问题,然后应用乘积最大化准则,将该模型转化为单目标规划问题来求解。该方法考虑期货经纪公司承担的风险和对投资者的吸引程度,为保证金的确定提供新的思路。
Based on using Markov chains in inventory theory, with the theory of Erodic, we get the Erodic model for futures broker to decide margin. It's a bi-objective optimization problem. Then with the rule of maximum of product, we transform it to a single-objective optimization problem. The method considers futures broker's risk and its attraction to investors. The result provides suggestions to futures broker to decide margin.
出处
《运筹与管理》
CSCD
2004年第4期98-101,共4页
Operations Research and Management Science
关键词
运筹学
马尔可夫链
Ergodic定理
均衡分布
乘积最大化准则
operational research
Markov chains
the theory of Ergodic
stationary distribution
the rule of maximum of product