时序抽象作为分层强化学习的重要研究内容,允许分层强化学习智能体在不同的时间尺度上学习策略,可以有效解决深度强化学习难以处理的稀疏奖励问题。如何端到端地学习到优秀的时序抽象策略一直是分层强化学习研究面临的挑战。Option-Crit...时序抽象作为分层强化学习的重要研究内容,允许分层强化学习智能体在不同的时间尺度上学习策略,可以有效解决深度强化学习难以处理的稀疏奖励问题。如何端到端地学习到优秀的时序抽象策略一直是分层强化学习研究面临的挑战。Option-Critic(OC)框架在Option框架的基础上,通过策略梯度理论,可以有效解决此问题。然而,在策略学习过程中,OC框架会出现Option内部策略动作分布变得十分相似的退化问题。该退化问题影响了OC框架的实验性能,导致Option的可解释性变差。为了解决上述问题,引入互信息知识作为内部奖励,并提出基于互信息优化的Option-Critic算法(Option-Critic Algorithm with Mutual Information Optimization,MIOOC)。MIOOC算法结合了近端策略Option-Critic(Proximal Policy Option-Critic,PPOC)算法,可以保证下层策略的多样性。为了验证算法的有效性,把MIOOC算法和几种常见的强化学习方法在连续实验环境中进行对比实验。实验结果表明,MIOOC算法可以加快模型学习速度,实验性能更优,Option内部策略更有区分度。展开更多
In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space...In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.展开更多
Spatio-temporal variability and dynamics in Sahelian agro-pastoral zones make each local situation a special case. These specificities must be considered to guide the dissemination of agricultural options with a view ...Spatio-temporal variability and dynamics in Sahelian agro-pastoral zones make each local situation a special case. These specificities must be considered to guide the dissemination of agricultural options with a view to sustainable development. The territorial scale of municipalities is not sufficient for this necessary contextualization;the scale of the “village terroir” seems to be a better option. This is the hypothesis we put forward in the framework of the Global Collaboration for Resilient Food Systems program (CRFS), i.e. local context is spatially defined by village terroir. The study is based on data collected through participatory mapping and surveys in “village terroirs” in three regions of Niger (Maradi, Dosso and Tillabéri). Then the links between farm managers and their cultivated land, as well as the spatio-temporal dynamics of local context are analyzed. This study provides evidence of the existence and functional usefulness of the village terroir for farmers, their land management and their activities. It demonstrates the usefulness of contextualizing agricultural options at this scale. Their analysis elucidates the links between “terroirs village” and the specific functioning of the agrosocio-ecosystems acting on each of them, thus laying the systemic and geographical foundations for a model of the spatio- temporal dynamics of “village terroirs”. This initial work has opened up new perspectives in modeling and sustainable development.展开更多
Venture capital investments are characterized by high input,high yield,and high risk.Due to the complexity of the market environment,stage-by-stage investment is becoming increasingly important.Traditional evaluation ...Venture capital investments are characterized by high input,high yield,and high risk.Due to the complexity of the market environment,stage-by-stage investment is becoming increasingly important.Traditional evaluation methods like comparison,proportion,maturity,internal rate of return,scenario analysis,decision trees,and net present value cannot fully consider the uncertainty and stage characteristics of the project.The fuzzy real options method addresses this by combining real option theory,fuzzy number theory,and composite option theory to provide a more accurate and objective evaluation of Public-Private Partnership(PPP)projects.It effectively considers the interaction of options and the ambiguity of project parameters,making it a valuable tool for project evaluation in the context of venture capital investment.展开更多
The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the s...The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the static term structure model of interest rates. A simple basic model, which belongs to the dynamic term structure model, is studied, and the option pricing formula under changing risk-free rates is obtained by bringing it into the option pricing formula. Both dynamic and static term structure models are estimated by the use of the data of buy-back rates and the Shanghai Stock Exchange, and an example is given to compare the differences between the traditional method and the method under the changes in the interest rates and the discount rates.展开更多
文摘时序抽象作为分层强化学习的重要研究内容,允许分层强化学习智能体在不同的时间尺度上学习策略,可以有效解决深度强化学习难以处理的稀疏奖励问题。如何端到端地学习到优秀的时序抽象策略一直是分层强化学习研究面临的挑战。Option-Critic(OC)框架在Option框架的基础上,通过策略梯度理论,可以有效解决此问题。然而,在策略学习过程中,OC框架会出现Option内部策略动作分布变得十分相似的退化问题。该退化问题影响了OC框架的实验性能,导致Option的可解释性变差。为了解决上述问题,引入互信息知识作为内部奖励,并提出基于互信息优化的Option-Critic算法(Option-Critic Algorithm with Mutual Information Optimization,MIOOC)。MIOOC算法结合了近端策略Option-Critic(Proximal Policy Option-Critic,PPOC)算法,可以保证下层策略的多样性。为了验证算法的有效性,把MIOOC算法和几种常见的强化学习方法在连续实验环境中进行对比实验。实验结果表明,MIOOC算法可以加快模型学习速度,实验性能更优,Option内部策略更有区分度。
基金supported by the Jiangsu University Philosophy and Social Science Research Project(Grant No.2019SJA1326).
文摘In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.
文摘Spatio-temporal variability and dynamics in Sahelian agro-pastoral zones make each local situation a special case. These specificities must be considered to guide the dissemination of agricultural options with a view to sustainable development. The territorial scale of municipalities is not sufficient for this necessary contextualization;the scale of the “village terroir” seems to be a better option. This is the hypothesis we put forward in the framework of the Global Collaboration for Resilient Food Systems program (CRFS), i.e. local context is spatially defined by village terroir. The study is based on data collected through participatory mapping and surveys in “village terroirs” in three regions of Niger (Maradi, Dosso and Tillabéri). Then the links between farm managers and their cultivated land, as well as the spatio-temporal dynamics of local context are analyzed. This study provides evidence of the existence and functional usefulness of the village terroir for farmers, their land management and their activities. It demonstrates the usefulness of contextualizing agricultural options at this scale. Their analysis elucidates the links between “terroirs village” and the specific functioning of the agrosocio-ecosystems acting on each of them, thus laying the systemic and geographical foundations for a model of the spatio- temporal dynamics of “village terroirs”. This initial work has opened up new perspectives in modeling and sustainable development.
基金The research was funded by VSB-Technical University of Ostrava,the SGS Projects SP2022/58,SP2023/008.Huanyu Li,Ing.,Economic Faculty,VSB-TUO,Ostrava,Czech Republic。
文摘Venture capital investments are characterized by high input,high yield,and high risk.Due to the complexity of the market environment,stage-by-stage investment is becoming increasingly important.Traditional evaluation methods like comparison,proportion,maturity,internal rate of return,scenario analysis,decision trees,and net present value cannot fully consider the uncertainty and stage characteristics of the project.The fuzzy real options method addresses this by combining real option theory,fuzzy number theory,and composite option theory to provide a more accurate and objective evaluation of Public-Private Partnership(PPP)projects.It effectively considers the interaction of options and the ambiguity of project parameters,making it a valuable tool for project evaluation in the context of venture capital investment.
基金The Achievements of Young Fund Project of Humanitiesand Social Science of Ministry of Education(No.07JC790028)the NationalNatural Science Foundation of China (No.70671025).
文摘The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the static term structure model of interest rates. A simple basic model, which belongs to the dynamic term structure model, is studied, and the option pricing formula under changing risk-free rates is obtained by bringing it into the option pricing formula. Both dynamic and static term structure models are estimated by the use of the data of buy-back rates and the Shanghai Stock Exchange, and an example is given to compare the differences between the traditional method and the method under the changes in the interest rates and the discount rates.
