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基于重要性采样的超图网络高效表示方法
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作者 邵豪 王伦文 +1 位作者 朱然刚 刘辉 《软件学报》 EI CSCD 北大核心 2024年第9期4390-4407,共18页
现有的超图网络表示方法需要分析全批量节点和超边以实现跨层递归扩展邻域,这会带来巨大的计算开销,且因过度扩展导致更低的泛化精度.为解决这一问题,提出一种基于重要性采样的超图表示方法.首先,它将节点和超边看作是两组符合特定概率... 现有的超图网络表示方法需要分析全批量节点和超边以实现跨层递归扩展邻域,这会带来巨大的计算开销,且因过度扩展导致更低的泛化精度.为解决这一问题,提出一种基于重要性采样的超图表示方法.首先,它将节点和超边看作是两组符合特定概率测度的独立同分布样本,用积分形式解释超图的结构特征交互;其次,设计带可学习参数的邻域重要性采样规则,根据节点和超边的物理关系和特征计算采样概率,逐层递归采集固定数目的对象,构造一个更小的采样邻接矩阵;最终,利用蒙特卡洛方法近似估计整个超图的空间特征.此外,借鉴PINN的优势,将需要缩减的方差作为物理约束加入到超图神经网络中,以获取更具泛化能力的采样规则.多个数据集上的广泛实验表明,所提出的方法能够获得更准确的超图表示结果,同时具有更快的收敛速度. 展开更多
关键词 复杂网络 超图表示学习 重要性采样 蒙特卡洛估计 物理信息神经网络
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基于波动持续性的最优组合构建与分散化研究 被引量:7
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作者 刘海飞 李心丹 +1 位作者 柏巍 周明杰 《管理科学学报》 CSSCI CSCD 北大核心 2019年第1期44-56,共13页
构建恰当资产组合来减少风险,是投资组合理论研究的重要目标.由于金融时间序列的波动往往会伴随着持续性特征,该种特性会增大组合未来收益的风险.本文通过构建随机波动模型序列持续性最优投资组合模型,以降低金融资产波动的持续性特征... 构建恰当资产组合来减少风险,是投资组合理论研究的重要目标.由于金融时间序列的波动往往会伴随着持续性特征,该种特性会增大组合未来收益的风险.本文通过构建随机波动模型序列持续性最优投资组合模型,以降低金融资产波动的持续性特征对组合收益波动的影响;并通过研究其分散化水平,考察该投资组合构建方法的有效性与稳健性.研究发现:与均值方差的组合模型相比较,序列持续性组合的风险分散化水平更好.此研究在资产组合选择方面,具有较为重要的理论价值及实践意义. 展开更多
关键词 随机波动模型 马尔科夫链蒙特卡洛估计 持续性投资组合 风险分散化
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我国货币政策与利率期限结构——基于无套利泰勒规则视角的分析
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作者 郭俊芳 王雪标 周生宝 《商业研究》 CSSCI 北大核心 2017年第11期40-50,共11页
中长期利率信息对货币政策制定具有重要指导意义,关系到货币政策的实施效果。本文利用仿射无套利宏观金融模型构建包含收益率曲线完整信息的基准、后顾、前瞻、前瞻后顾混合型四种无套利泰勒规则,通过与传统泰勒规则单方程模型对比考察... 中长期利率信息对货币政策制定具有重要指导意义,关系到货币政策的实施效果。本文利用仿射无套利宏观金融模型构建包含收益率曲线完整信息的基准、后顾、前瞻、前瞻后顾混合型四种无套利泰勒规则,通过与传统泰勒规则单方程模型对比考察中长期利率信息是否显著影响利率规则对宏观经济的反应。实证发现无套利泰勒规则隐含的中长期利率对宏观经济的反应信息以及宏观变量内生波动性使利率对产出的反应减小,对通胀反应更加积极但仍然小于1;利率期限结构提供的宏观一致预期信息使无套利前瞻和混合型规则有效避免了单方程泰勒规则由于缺乏高质前瞻信息而对产出的过度刺激,同时也使通胀反应显著且顺周期;我国货币政策一定程度上存在以无套利混合型泰勒规则为特征的规律性。 展开更多
关键词 货币政策 泰勒规则 利率期限结构 无套利 马尔科夫链蒙特卡洛估计
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机动目标跟踪的非线性算法
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作者 于国桥 张安清 《火力与指挥控制》 CSCD 北大核心 2007年第6期15-17,24,共4页
卡尔曼滤波器对线性高斯滤波问题能提供最优解,而对目标运动模型、观测方程等要求的非线性就不再适合,提出了一种机动目标自适应非线性粒子滤波算法-“粒子滤波器”(Particle Filters PF)法,这种方法不受线性化误差和高斯噪声假定的限制... 卡尔曼滤波器对线性高斯滤波问题能提供最优解,而对目标运动模型、观测方程等要求的非线性就不再适合,提出了一种机动目标自适应非线性粒子滤波算法-“粒子滤波器”(Particle Filters PF)法,这种方法不受线性化误差和高斯噪声假定的限制,适用于任何状态转换或测量模型,分析比较了粒子滤波(PF)与扩展卡尔曼滤波算法(EKF)的滤波精度、运算量等方面指标。给出了基于典型非线性模型的算法仿真,仿真结果表明粒子滤波新方法优于EKF对机动目标跟踪。 展开更多
关键词 机动目标跟踪 粒子滤波 序列蒙特卡洛 贝叶斯估计
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水库群调度效益与风险综合影响定量分析 被引量:4
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作者 高翔 《水利规划与设计》 2019年第6期16-19,64,共5页
文章结合自适应水量调度模型和蒙特卡洛风险估计方法,探讨径流预报不确定性对辽宁地区水库群调度效益及风险综合影响,并在此基础上定量分析不同径流预报精度和调度风险评价之间的关系。研究结果表明:水库群调度效益和风险指数与径流预... 文章结合自适应水量调度模型和蒙特卡洛风险估计方法,探讨径流预报不确定性对辽宁地区水库群调度效益及风险综合影响,并在此基础上定量分析不同径流预报精度和调度风险评价之间的关系。研究结果表明:水库群调度效益和风险指数与径流预报精度总体呈现凸二次函数变化关系,两者的拟合度均在0.65以上,相关度较高。研究成果对于水库调度效益和风险评估具有参考价值。 展开更多
关键词 自适应水量调度模型 蒙特卡洛风险估计方法 水库群调度效益 风险综合评价 辽宁地区
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GA-BASED MAXIMUM POWER DISSIPATION ESTIMATION OF VLSI SEQUENTIAL CIRCUITS OF ARBITRARY DELAY MODELS
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作者 Lu Junming Lin Zhcnghui (LSI Research Institute, Shanghai Jiaotong University, Shanghai 200030) 《Journal of Electronics(China)》 2002年第4期378-386,共9页
In this paper, the glitching activity and process variations in the maximum power dissipation estimation of CMOS circuits are introduced. Given a circuit and the gate library, a new Genetic Algorithm (GA)-based techni... In this paper, the glitching activity and process variations in the maximum power dissipation estimation of CMOS circuits are introduced. Given a circuit and the gate library, a new Genetic Algorithm (GA)-based technique is developed to determine the maximum power dissipation from a statistical point of view. The simulation on 1SCAS-89 benchmarks shows that the ratio of the maximum power dissipation with glitching activity over the maximum power under zero-delay model ranges from 1.18 to 4.02. Compared with the traditional Monte Carlo-based technique, the new approach presented in this paper is more effective. 展开更多
关键词 CMOS sequential circuits Maximum power dissipation estimation Genetic algorithm Logic simulation Monte-Carlo technique
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Application of the Moving Averaging Technique in Surplus Production Models
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作者 WANG Yu LIU Qun 《Journal of Ocean University of China》 SCIE CAS 2014年第4期657-665,共9页
Surplus production models are the simplest analytical methods effective for fish stock assessment and fisheries management. In this paper, eight surplus production estimators(three estimation procedures) were tested o... Surplus production models are the simplest analytical methods effective for fish stock assessment and fisheries management. In this paper, eight surplus production estimators(three estimation procedures) were tested on Schaefer and Fox type simulated data in three simulated fisheries(declining, well-managed, and restoring fisheries) at two white noise levels. Monte Carlo simulation was conducted to verify the utility of moving averaging(MA), which was an important technique for reducing the effect of noise in data in these models. The relative estimation error(REE) of maximum sustainable yield(MSY) was used as an indicator for the analysis, and one-way ANOVA was applied to test the significance of the REE calculated at four levels of MA. Simulation results suggested that increasing the value of MA could significantly improve the performance of the surplus production model(low REE) in all cases when the white noise level was low(coefficient of variation(CV) = 0.02). However, when the white noise level increased(CV= 0.25), adding the value of MA could still significantly enhance the performance of most models. Our results indicated that the best model performance occurred frequently when MA was equal to 3; however, some exceptions were observed when MA was higher. 展开更多
关键词 moving averaging surplus production model Monte Carlo simulation
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Passive source localization using importance sampling based on TOA and FOA measurements 被引量:4
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作者 Rui-rui LIU Yun-long WANG +2 位作者 Jie-xin YIN Ding WANG Ying WU 《Frontiers of Information Technology & Electronic Engineering》 SCIE EI CSCD 2017年第8期1167-1179,共13页
Passive source localization via a maximum likelihood (ML) estimator can achieve a high accuracy but involves high calculation burdens, especially when based on time-of-arrival and frequency-of-arrival measurements f... Passive source localization via a maximum likelihood (ML) estimator can achieve a high accuracy but involves high calculation burdens, especially when based on time-of-arrival and frequency-of-arrival measurements for its internal nonlinearity and nonconvex nature. In this paper, we use the Pincus theorem and Monte Carlo importance sampling (MCIS) to achieve an approximate global solution to the ML problem in a computationally efficient manner. The main contribution is that we construct a probability density function (PDF) of Gaussian distribution, which is called an important function for efficient sampling, to approximate the ML estimation related to complicated distributions. The improved performance of the proposed method is at- tributed to the optimal selection of the important function and also the guaranteed convergence to a global maximum. This process greatly reduces the amount of calculation, but an initial solution estimation is required resulting from Taylor series expansion. However, the MCIS method is robust to this prior knowledge for point sampling and correction of importance weights. Simulation results show that the proposed method can achieve the Cram6r-Rao lower bound at a moderate Gaussian noise level and outper- forms the existing methods. 展开更多
关键词 Passive source localization Time of arrival (TOA) Frequency of arrival (FOA) Monte Carlo importance sampling(MCIS) Maximum likelihood (ML)
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Composite quantile regression estimation for P-GARCH processes 被引量:1
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作者 ZHAO Biao CHEN Zhao +1 位作者 TAO GuiPing CHEN Min 《Science China Mathematics》 SCIE CSCD 2016年第5期977-998,共22页
We consider the periodic generalized autoregressive conditional heteroskedasticity(P-GARCH) process and propose a robust estimator by composite quantile regression. We study some useful properties about the P-GARCH mo... We consider the periodic generalized autoregressive conditional heteroskedasticity(P-GARCH) process and propose a robust estimator by composite quantile regression. We study some useful properties about the P-GARCH model. Under some mild conditions, we establish the asymptotic results of proposed estimator.The Monte Carlo simulation is presented to assess the performance of proposed estimator. Numerical study results show that our proposed estimation outperforms other existing methods for heavy tailed distributions.The proposed methodology is also illustrated by Va R on stock price data. 展开更多
关键词 composite quantile regression periodic GARCH process strictly periodic stationarity strong consistency asymptotic normality
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