Traditional portfolio theory assumes that the return rate of portfolio follows normality. However, this assumption is not true when derivative assets are incorporated. In this paper a portfolio selection model is deve...Traditional portfolio theory assumes that the return rate of portfolio follows normality. However, this assumption is not true when derivative assets are incorporated. In this paper a portfolio selection model is developed based on utility function which can capture asymmetries in random variable distributions. Other realistic conditions are also considered, such as liabilities and integer decision variables. Since the resulting model is a complex mixed integer nonlinear programming problem, simulated annealing algorithm is applied for its solution. A numerical example is given and sensitivity analysis is conducted for the model.展开更多
The key of production planning of refineries is to determine the production planning of units and blending schemes of blends in each period of the plan horizon,since they affect the effective utilization of components...The key of production planning of refineries is to determine the production planning of units and blending schemes of blends in each period of the plan horizon,since they affect the effective utilization of components of refineries and hence profits.The optimization is difficult,because of many complicated product production–consumption relationships in production processes,which are closely related to the running modes of the units.Additionally,the blending products,such as gasoline and diesel,may use multiple blending schemes for their production that increase the complexity of the problem.This paper models the production planning problem as a mixed integer nonlinear programming.Computational experiments for a refinery show the effectiveness of the model.The optimal results give the effective utilization of the self-produced components and increase of the profit.展开更多
文摘Traditional portfolio theory assumes that the return rate of portfolio follows normality. However, this assumption is not true when derivative assets are incorporated. In this paper a portfolio selection model is developed based on utility function which can capture asymmetries in random variable distributions. Other realistic conditions are also considered, such as liabilities and integer decision variables. Since the resulting model is a complex mixed integer nonlinear programming problem, simulated annealing algorithm is applied for its solution. A numerical example is given and sensitivity analysis is conducted for the model.
基金Supported by the State Key Laboratory of Synthetical Automation for Process Industries Fundamental Research Funds(2013ZCX02)
文摘The key of production planning of refineries is to determine the production planning of units and blending schemes of blends in each period of the plan horizon,since they affect the effective utilization of components of refineries and hence profits.The optimization is difficult,because of many complicated product production–consumption relationships in production processes,which are closely related to the running modes of the units.Additionally,the blending products,such as gasoline and diesel,may use multiple blending schemes for their production that increase the complexity of the problem.This paper models the production planning problem as a mixed integer nonlinear programming.Computational experiments for a refinery show the effectiveness of the model.The optimal results give the effective utilization of the self-produced components and increase of the profit.
