In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump ...In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.展开更多
Fault reconfiguration of shipboard power system is viewed as a typical nonlinear and multi-objective combinatorial optimization problem. A comprehensive reconfiguration model is presented in this paper, in which the r...Fault reconfiguration of shipboard power system is viewed as a typical nonlinear and multi-objective combinatorial optimization problem. A comprehensive reconfiguration model is presented in this paper, in which the restored loads, switch frequency and generator efficiency are taken into account. In this model, analytic hierarchy process(AHP) is proposed to determine the coefficients of these objective functions. Meanwhile, a quantum differential evolution algorithm with triple quantum bit code is proposed. This algorithm aiming at the characteristics of shipboard power system is different from the normal quantum bit representation. The individual polymorphic expression is realized, and the convergence performance can be further enhanced in combination with the global parallel search capacity of differential evolution algorithm and the superposition properties of quantum theory. The local optimum can be avoided by dynamic rotation gate. The validity of algorithm and model is verified by the simulation examples.展开更多
基金Projects(71271215,71221061) supported by the National Natural Science Foundation of ChinaProject(2011DFA10440) supported by the International Science&Technology Cooperation Program of ChinaProject(CX2012B067) supported by Hunan Provincial Innovation Foundation for Postgraduate,China
文摘In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.
基金the National Natural Science Foundation of China(No.51175321)the Innovation Program of Shanghai Municipal Education Commission(No.12ZZ158)
文摘Fault reconfiguration of shipboard power system is viewed as a typical nonlinear and multi-objective combinatorial optimization problem. A comprehensive reconfiguration model is presented in this paper, in which the restored loads, switch frequency and generator efficiency are taken into account. In this model, analytic hierarchy process(AHP) is proposed to determine the coefficients of these objective functions. Meanwhile, a quantum differential evolution algorithm with triple quantum bit code is proposed. This algorithm aiming at the characteristics of shipboard power system is different from the normal quantum bit representation. The individual polymorphic expression is realized, and the convergence performance can be further enhanced in combination with the global parallel search capacity of differential evolution algorithm and the superposition properties of quantum theory. The local optimum can be avoided by dynamic rotation gate. The validity of algorithm and model is verified by the simulation examples.
