This paper discusses the valuation of the Credit Default Swap based on a jump market, in which the asset price of a firm follows a double exponential jump diffusion process, the value of the debt is driven by a geomet...This paper discusses the valuation of the Credit Default Swap based on a jump market, in which the asset price of a firm follows a double exponential jump diffusion process, the value of the debt is driven by a geometric Brownian motion, and the default barrier follows a continuous stochastic process. Using the Gaver-Stehfest algorithm and the non-arbitrage asset pricing theory, we give the default probability of the first passage time, and more, derive the price of the Credit Default Swap.展开更多
基于观测数据和作物模型相同化的田块尺度作物生长监测,对于农田精准管理具有重要意义。为构建能准确模拟旱区春小麦长势和产量的同化模拟模型,该研究利用SWAP(soil-water-atmosphere-plant)模型和迭代集合平滑器算法(iterative ensembl...基于观测数据和作物模型相同化的田块尺度作物生长监测,对于农田精准管理具有重要意义。为构建能准确模拟旱区春小麦长势和产量的同化模拟模型,该研究利用SWAP(soil-water-atmosphere-plant)模型和迭代集合平滑器算法(iterative ensemble smoother,IES),构建了适合旱区春小麦的SWAP-IES同化模拟系统,并利用2019—2020年田间观测试验数据,评估了同化叶面积指数(leaf area index,LAI)、土壤水分(soil water content,SW)及其组合在旱区春小麦生长模拟和估产中的作用。结果表明,相较于无同化情景,在吸收6次土壤水分观测数据后,模型对土壤水分模拟的R^(2)从0.48提升到0.87。同化LAI时,各水分胁迫处理下LAI的模拟精度均最高,R^(2)从无同化的0.35~0.62提升到0.76~0.96。同化LAI+SW时,各处理对生物量模拟的精度均最高,R^(2)从无同化的0.40~0.67提升到0.73~0.96。轻度水分胁迫处理(T4~T5)下,仅同化LAI即可达到较好的估产效果,相对误差为4.05%~9.17%,而在中度或重度水分胁迫处理(T1~T3)下,准确的产量估算需同时吸收LAI和SW,相对误差为3.87%~8.38%。开花期和拔节期的观测数据对提高SWAP-IES系统估产精度的作用最大,同时吸收开花期和拔节期LAI+SW观测数据时估产的R^(2)可从无同化的0.45提高到0.79。说明所构建的SWAP-IES同化模拟系统,在融入开花期和拔节期等关键生育期的观测数据后能有效模拟不同水分处理下春小麦生长和产量形成过程,可为田块尺度下旱区春小麦精准监测提供技术参考。展开更多
For a class of discrete-time systems with unmodeled dynamics and bounded disturbance, the design and analysis of robust indirect model reference adaptive control （MRAC） with normalized adaptive law are investigated....For a class of discrete-time systems with unmodeled dynamics and bounded disturbance, the design and analysis of robust indirect model reference adaptive control （MRAC） with normalized adaptive law are investigated. The main work includes three parts. Firstly, it is shown that the constructed parameter estimation algorithm not only possesses the same properties as those of traditional estimation algorithms, but also avoids the possibility of division by zero. Secondly, by establishing a relationship between the plant parameter estimate and the controller parameter estimate, some similar properties of the latter are also established. Thirdly, by using the relationship between the normalizing signal and all the signals of the closed-loop system, and some important mathematical tools on discrete-time systems, as in the continuous-time case, a systematic stability and robustness analysis approach to the discrete indirect robust MRAC scheme is developed rigorously.展开更多
Platform planning is one of the important problems in the command and control(C2) field. Hereto, we analyze the platform planning problem and present nonlinear optimal model aiming at maximizing the task completion qu...Platform planning is one of the important problems in the command and control(C2) field. Hereto, we analyze the platform planning problem and present nonlinear optimal model aiming at maximizing the task completion qualities. Firstly, we take into account the relation among tasks and build the single task nonlinear optimal model with a set of platform constraints. The Lagrange relaxation method and the pruning strategy are used to solve the model. Secondly, this paper presents optimization-based planning algorithms for efficiently allocating platforms to multiple tasks. To achieve the balance of the resource assignments among tasks, the m-best assignment algorithm and the pair-wise exchange(PWE)method are used to maximize multiple tasks completion qualities.Finally, a series of experiments are designed to verify the superiority and effectiveness of the proposed model and algorithms.展开更多
For a large class of discrete-time multivariable plants with arbitrary relative degrees, the design and analysis of the direct model reference adaptive control scheme are investigated under less restrictive assumption...For a large class of discrete-time multivariable plants with arbitrary relative degrees, the design and analysis of the direct model reference adaptive control scheme are investigated under less restrictive assumptions. The algorithm is based on a new parametrization derived from the high frequency gain matrix factorization Kp=LDU under the condition that the signs of the leading principal minors of/fp are known. By reproving the discrete-time Lp and L2σ norm relationship between inputs and outputs, establishing the properties of discrete-time adaptive law, defining the normalizing signal, and relating the signal with all signals in the closed-loop system, the stability and convergence of the discrete-time multivariable model reference adaptive control scheme are analyzed rigorously in a systematic fashion as in the continuous-time case.展开更多
基金Supported by The National Natural Science Foundation of China(71261015)Humanity and Social Science Youth Foundation of Education Ministry in China(10YJC630334)Program for Innovative Research Team in Universities of Inner Mongolia Autonomous Region
文摘This paper discusses the valuation of the Credit Default Swap based on a jump market, in which the asset price of a firm follows a double exponential jump diffusion process, the value of the debt is driven by a geometric Brownian motion, and the default barrier follows a continuous stochastic process. Using the Gaver-Stehfest algorithm and the non-arbitrage asset pricing theory, we give the default probability of the first passage time, and more, derive the price of the Credit Default Swap.
文摘基于观测数据和作物模型相同化的田块尺度作物生长监测,对于农田精准管理具有重要意义。为构建能准确模拟旱区春小麦长势和产量的同化模拟模型,该研究利用SWAP(soil-water-atmosphere-plant)模型和迭代集合平滑器算法(iterative ensemble smoother,IES),构建了适合旱区春小麦的SWAP-IES同化模拟系统,并利用2019—2020年田间观测试验数据,评估了同化叶面积指数(leaf area index,LAI)、土壤水分(soil water content,SW)及其组合在旱区春小麦生长模拟和估产中的作用。结果表明,相较于无同化情景,在吸收6次土壤水分观测数据后,模型对土壤水分模拟的R^(2)从0.48提升到0.87。同化LAI时,各水分胁迫处理下LAI的模拟精度均最高,R^(2)从无同化的0.35~0.62提升到0.76~0.96。同化LAI+SW时,各处理对生物量模拟的精度均最高,R^(2)从无同化的0.40~0.67提升到0.73~0.96。轻度水分胁迫处理(T4~T5)下,仅同化LAI即可达到较好的估产效果,相对误差为4.05%~9.17%,而在中度或重度水分胁迫处理(T1~T3)下,准确的产量估算需同时吸收LAI和SW,相对误差为3.87%~8.38%。开花期和拔节期的观测数据对提高SWAP-IES系统估产精度的作用最大,同时吸收开花期和拔节期LAI+SW观测数据时估产的R^(2)可从无同化的0.45提高到0.79。说明所构建的SWAP-IES同化模拟系统,在融入开花期和拔节期等关键生育期的观测数据后能有效模拟不同水分处理下春小麦生长和产量形成过程,可为田块尺度下旱区春小麦精准监测提供技术参考。
基金supported by National Natural Science Foundation of China (No. 60774010, 10971256, 60974028)Natural Science Foundation of Jiangsu Province (No. BK2009083)+2 种基金Program for Fundamental Research of Natural Sciences in Universities of Jiangsu Province(No. 07KJB510114)Shandong Provincial Natural Science Foundation of China (No. ZR2009GM008)Natural Science Foundation of Jining University (No. 2009KJLX02)
文摘For a class of discrete-time systems with unmodeled dynamics and bounded disturbance, the design and analysis of robust indirect model reference adaptive control （MRAC） with normalized adaptive law are investigated. The main work includes three parts. Firstly, it is shown that the constructed parameter estimation algorithm not only possesses the same properties as those of traditional estimation algorithms, but also avoids the possibility of division by zero. Secondly, by establishing a relationship between the plant parameter estimate and the controller parameter estimate, some similar properties of the latter are also established. Thirdly, by using the relationship between the normalizing signal and all the signals of the closed-loop system, and some important mathematical tools on discrete-time systems, as in the continuous-time case, a systematic stability and robustness analysis approach to the discrete indirect robust MRAC scheme is developed rigorously.
基金supported by the National Natural Science Foundation of China(61573017 61703425)+2 种基金the Aeronautical Science Fund(20175796014)the Shaanxi Province Natural Science Foundation Research Project(2016JQ6062 2017JM6062)
文摘Platform planning is one of the important problems in the command and control(C2) field. Hereto, we analyze the platform planning problem and present nonlinear optimal model aiming at maximizing the task completion qualities. Firstly, we take into account the relation among tasks and build the single task nonlinear optimal model with a set of platform constraints. The Lagrange relaxation method and the pruning strategy are used to solve the model. Secondly, this paper presents optimization-based planning algorithms for efficiently allocating platforms to multiple tasks. To achieve the balance of the resource assignments among tasks, the m-best assignment algorithm and the pair-wise exchange(PWE)method are used to maximize multiple tasks completion qualities.Finally, a series of experiments are designed to verify the superiority and effectiveness of the proposed model and algorithms.
基金Supported-by Program for New Century Excellent Talents in Universities of China （NCET-05-0607）, National Natural Science Foundation of China （60774010）, and Program for Fundamental Research of Natural Sciences in Universities of Jiangsu Province （07KJB510114）
基金Program for New Century Excellent Talents in Universities of China (No.NCET-05-0607)National Natural Science Foundation ofChina (No.60774010).
文摘For a large class of discrete-time multivariable plants with arbitrary relative degrees, the design and analysis of the direct model reference adaptive control scheme are investigated under less restrictive assumptions. The algorithm is based on a new parametrization derived from the high frequency gain matrix factorization Kp=LDU under the condition that the signs of the leading principal minors of/fp are known. By reproving the discrete-time Lp and L2σ norm relationship between inputs and outputs, establishing the properties of discrete-time adaptive law, defining the normalizing signal, and relating the signal with all signals in the closed-loop system, the stability and convergence of the discrete-time multivariable model reference adaptive control scheme are analyzed rigorously in a systematic fashion as in the continuous-time case.
