中国科学院数学与系统科学研究院期刊网

2005年, 第18卷, 第2期 刊出日期:2005-04-15
  

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  • WANG Shouyang;YU Lean;K.K.Lai
    Journal of Systems Science and Complexity. 2005, 18(2): 145-166.
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    The difficulty in crude oil price forecasting, due to inherent complexity, has attracted much attention of academic researchers and business practitioners. Various methods have been tried to solve the problem of forecasting crude oil prices. However, all of the existing models of prediction can not meet practical needs. Very recently, Wang and Yu proposed a new methodology for handling complex systems---TEI@I methodology by means of a systematic integration of text mining, econometrics and intelligent techniques. Within the framework of TEI@I methodology, econometrical models are used to model the linear components of crude oil price time series (i.e., main trends) while nonlinear components of crude oil price time series (i.e., error terms) are modelled by using artificial neural network (ANN) models. In addition, the impact of irregular and infrequent future events on crude oil price is explored using web-based text mining (WTM) and rule-based expert systems (RES) techniques. Thus, a fully novel nonlinear integrated forecasting approach with error correction and judgmental adjustment is formulated to improve prediction performance within the framework of the TEI@I methodology. The proposed methodology and the novel forecasting approach are illustrated via an example.
  • XU Baogang
    Journal of Systems Science and Complexity. 2005, 18(2): 167-173.
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    An $r$-circular coloring of a graph $G$ is a map $f$ from $V(G)$ to the set of open unit intervals of an Euclidean circle of length $r$, such that $f(u)\cap f(v)=\emptyset$ whenever $uv\in E(G)$. Circular perfect graphs are defined analogously to perfect graphs by means of two parameters, the circular chromatic number and the circular clique number. In this paper, we study the properties of circular perfect graphs. We give (1) a necessary condition for a graph to be circular perfect, (2) some circular critical imperfect graphs, and (3) a characterization of graphs with the property that each of their induced subgraphs has circular clique number the same as its clique number, and then the two conjectures that are equivalent to the perfect graph conjecture.
  • FAN Yizheng
    Journal of Systems Science and Complexity. 2005, 18(2): 174-178.
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    Let $T$ be a tree with matching number $\mu(T)$. In this paper we obtain the following result: If $T$ has no perfect matchings, then $\mu(T)$ is a lower bound for the number of nonzero Laplacian eigenvalues of $T$ which are smaller than $2$.
  • WU Zhen
    Journal of Systems Science and Complexity. 2005, 18(2): 179-192.
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    In this paper, we use the solutions of forward-backward stochastic differential equations to get the explicit form of the optimal control for linear quadratic stochastic optimal control problem and the open-loop Nash equilibrium point for nonzero sum differential games problem. We also discuss the solvability of the generalized Riccati equation system and give the linear feedback regulator for the optimal control problem using the solution of this kind of Riccati equation system.
  • SUN Wangui;WANG Chunfeng
    Journal of Systems Science and Complexity. 2005, 18(2): 193-201.
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    In this paper, we compare the performance of the optimal attainable payoffs (of a general claim) derived by the variance-optimal approach and the indifference argument under the mean-variance preference in an incomplete market. Both payoffs are expressed by the signed variance-optimal martingale measure. Our results are applied to the claim hedging under partial information.
  • YUE Dequan;TU Fengsheng
    Journal of Systems Science and Complexity. 2005, 18(2): 202-209.
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    This paper considers the completion time and the interruption time of a job processed on an unreliable machine. By using the general theory of stochastic orderings, we obtain the closure properties of the distribution of the completion time and the interruption time on $L^+$ and PH life distribution classes. We get an exponential bound for the tail probability of the interruption time.
  • LI Jinghua
    Journal of Systems Science and Complexity. 2005, 18(2): 210-218.
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    Over the past two decades, structural decomposition analysis (SDA) has developed into a major analytical tool in the field of input-output (IO) techniques, but the method was found to suffer from one or more of the following problems. The decomposition forms, which are used to measure the contribution of a specific determinant, are not unique due to the existence of a multitude of equivalent forms, irrational due to the weights of different determinants not matching, inexact due to the existence of large interaction terms. In this paper, a decomposition method is derived to overcome these deficiencies, and we prove that the result of this approach is equal to the Shapley value in cooperative games, and so some properties of the method are obtained. Beyond that, the two approaches that have been used predominantly in the literature have been proved to be the approximate solutions of the method.
  • MO Jiaqi;LIN Wantao;WANG Hui
    Journal of Systems Science and Complexity. 2005, 18(2): 219-223.
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    A class of coupled system of the El Ni$\rm\tilde{n}$o/La Ni$\rm\tilde{n}$o-Southern Oscillation (ENSO) mechanism is studied. Using the perturbed theory, the asymptotic expansions of the solution for ENSO model are obtained and the asymptotic behavior of the solution for corresponding problem is considered. And it is pointed out that the solution tends to the corresponding attractor as $t\rightarrow \infty$.
  • WANG Yuebao;YANG Yang
    Journal of Systems Science and Complexity. 2005, 18(2): 224-232.
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    This paper shows the structure of the random variables with dominatedly varying tails and that of the associated random variables, and obtains some results on these r.v.s' precise moderate deviations with random centralizing constants, which extend the boundary $\gamma\lambda(t)$ of large deviations to $\gamma(\lambda(t))^{\frac{1}{s}}$, where $\gamma>0,~ 10$.
  • YUAN Yirang
    Journal of Systems Science and Complexity. 2005, 18(2): 233-253.
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    For coupled system of multilayer dynamics of fluids in porous media, the characteristic alternating-direction finite element methods for nonrectangular regions applicable to parallel arithmetic are put forward and two-dimensional and three-dimensional schemes are used to form a complete set. Some techniques, such as calculus of variations, isoparametric transformation, patch approximation, operator-splitting, characteristic method, negative norm estimate, energy method, the theory of prior estimates and techniques are used. For the nonrectangular regions case, optimal order estimates in $L^{{\rm 2}}$ norm are derived for the error in the approximation solution. Thus the well-known theoretical problem has been thoroughly and completely solved. These methods have been successfully used in multilayer oil resources migration-accumulation numerical simulation.
  • NI Zhongxin;FEI Heliang
    Journal of Systems Science and Complexity. 2005, 18(2): 254-264.
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    In reliability theory and survival analysis, the problem of point estimation based on the censored sample has been discussed in many literatures. However, most of them are focused on MLE, BLUE etc; little work has been done on the moment-method estimation in censoring case. To make the method of moment estimation systematic and unifiable, in this paper, the moment-method estimators(abbr. MEs) and modified moment-method estimators(abbr. MMEs) of the parameters based on type I and type II censored samples are put forward involving mean residual lifetime. The strong consistency and other properties are proved. To be worth mentioning, in the exponential distribution, the proposed moment-method estimators are exactly MLEs. By a simulation study, in the view point of bias and mean square of error, we show that the MEs and MMEs are better than MLEs and the ``pseudo complete sample'' technique introduced in Whitten et al.(1988). And the superiority of the MEs is especially conspicuous, when the sample is heavily censored.
  • DING Juntang;LI Shengjia
    Journal of Systems Science and Complexity. 2005, 18(2): 265-276.
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    The type of problem under consideration is $$ \left\{ \begin{array}{ll} u_{t}=\nabla(a(u)b(x)\nabla u)+g(x,q,t)f(u)&$in$ \ D\!\times\!(0,T),\\[1mm] \displaystyle u=0 \ $on$ \ {\it \Gamma}_1\!\times\!(0,T),~ \ \displaystyle \frac{\partial u}{\partial n}+\sigma(x,t)u=0 \ $on$ \ {\it\Gamma}_2\!\times\!(0,T), &{\it \Gamma}_1\!\cup\!{\it \Gamma}_2\!=\!\partial\!D,\\[2mm] u(x,0)=u_0(x)\geq0, \ \not\equiv0&$in$ \ {\overline D}, \end{array} \right. $$ where $D$ is a smooth bounded domain of $R^N, \ q\!=\!|\nabla\!u|^2.$ By constructing an auxiliary function and using Hopf's maximum principles on it, existence theorems of blow-up solutions, upper bound of ``blow-up time" and upper estimates of ``blow-up rate" are given under suitable assumptions on $a, b, f, g, \sigma$ and initial date $u_0(x).$ The obtained results are applied to some examples in which $a, b, f, g$ and $\sigma$ are power functions or exponential functions.
  • YUAN Baoquan
    Journal of Systems Science and Complexity. 2005, 18(2): 277-284.
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    In this paper we discuss the logarithmic Sobolev inequalities in Besov spaces, and show their applications to the blow-up criterion of smooth solutions to the incompressible magneto-hydrodynamics equations.