基于支持向量机的中国股指期货回归预测研究

本文针对股指期货预测的特点,选择对股指期货指数有重要影响的相关指标,首次提出用支持向量机(SVM)方法对其进行回归预测,并用遗传算法(GA)和粒子群算法(PSO)分别优化四种不同核函数的支持向量机,构建了八种不同的中国股指期货回归预测方案,用实证研究的方法对这八种方案的准确性和时效性进行了比较。实验结果表明粒子群算法优化的线性核函数支持向量机作为中国股指期货回归预测的模型,具有更好的预测效果。     

Online scheduling on parallel machines with two GoS levels

This paper investigates the online scheduling problem on parallel and identical machines with a new feature that service requests from various customers are entitled to many different grade of service (GoS) levels. Hence each job and machine are labeled with the GoS levels, and each job can be processed by a particular machine only when the GoS level of the job is not less than that of the machine. The goal is to minimize the makespan. In this paper, we consider the problem with two GoS levels. It assumes that the GoS levels of the first k machines and the last m−k machines are 1 and 2, respectively. And every job has a GoS level of 1 alternatively or 2. We first prove the lower bound of the problem under consideration is at least 2. Then we discuss the performance of algorithm AW presented in Azar et al. (J. Algorithms 18:221–237, 1995) for the problem and show it has a tight bound of 4−1/m. Finally, we present an approximation algorithm with competitive ratio . Research supported by Natural Science Foundation of Zhejiang Province (Y605316) and its preliminary version appeared in Proceedings of AAIM2006, LNCS, 4041, 11-21.     

Assessment of Patient Classification in Appointment System Design

This paper investigates two approaches to patient classification: using patient classification only for sequencing patient appointments at the time of booking and using patient classification for both sequencing and appointment interval adjustment. In the latter approach, appointment intervals are adjusted to match the consultation time characteristics of different patient classes. Our simulation results indicate that new appointment systems that utilize interval adjustment for patient class are successful in improving doctors' idle time, doctors' overtime and patients' waiting times without any trade‐offs. Best performing appointment systems are identified for different clinic environments characterized by walk‐ins, no‐shows, the percentage of new patients, and the ratio of the mean consultation time of new patients to the mean consultation time of return patients. As a result, practical guidelines are developed for managers who are responsible for designing appointment systems.     

Binary discrimination methods for high-dimensional data with a geometric representation

Four binary discrimination methods are studied in the context of high-dimension, low sample size data with an asymptotic geometric representation, when the dimension increases while the sample sizes of the classes are fixed. We show that the methods support vector machine, mean difference, distance-weighted discrimination, and maximal data piling have the same asymptotic behavior as the dimension increases. We study the consistent, inconsistent, and strongly inconsistent cases in terms of angles between the normal vectors of the separating hyperplanes of the methods and the optimal direction for classification. A simulation study is done to assess the theoretical results.     

面向多灾点需求的应急资源调度博弈模型及优化

非常规突发事件爆发后经常会造成多个灾点,而各灾点的需求往往是不同的,单独的应急资源中心很难同时满足这种要求,因此如何把多个应急资源中心所储备的应急资源公平合理地调配到各个灾点成为应急决策者亟待解决的现实问题。本文首先描述了各灾点对应急资源需求变化的动态过程即按照应急资源需求信息的变化将整个应急资源调度过程划分成若干阶段,在此基础上构建了基于多灾点多阶段的应急资源调度过程理论模型。随后以博弈论为工具,在进行一系列模型假设和确定各灾点灾情的前提下,建立面向多灾点需求的应急资源博弈调度模型,并采用改进的蚁群算法进行求解,实现对各灾点以最小的“虚拟成本”进行所需应急资源的调度。最后的模型仿真测试和算例分析验证了所建模型的有效性和可行性。该模型与算法也为商业物流中的资源配送提供了新的解决方案和实现途径。     

基于改进遗传算法的置换装配线调度问题研究

企业的置换装配线调度问题（Permutation Assembly-line Scheduling Problem,PASP）是一类典型的NP-hard型生产调度问题,是现代集成制造系统CIMS极为关心的问题。该问题可以具体描述为n个工件要在m台机器上加工,每个工件需要经过m道工序,每道工序要求不同的机器,这n个工件通过m台机器的顺序相同,它们在每台机器上的加工顺序也相同,问题的主要目标是找到n个工件在每台机器上的最优加工顺序,使得最大完工时间最小。由于PASP问题的NP-hard性质,本文使用遗传算法对其进行求解。尽管遗传算法常用以求解调度问题,但其选择与交叉机制易导致局部最优及收敛慢。因此,本文提出基于区块挖掘与重组的改进遗传算法用于求解置换装配线调度问题。首先通过关联规则挖掘出不同的优秀基因,然后将具有较优结果的基因组合为优势区块,产生具优势的人工解,并引入高收敛性的局部搜索方法,提高搜索到最优解的机会与收敛效率。本文以OR-Library中Taillard标准测试例来验证改进遗传算法的求解质量与效率,结果证明：本文所提算法与其它求解调度问题的现有5种知名算法相比,不仅收敛速度较快,同时求解质量优于它们。     

基于支持向量机的股市风格轮换策略研究

作为一种增加潜在收益的工具,风格轮换策略已经成为广为接受的金融投资策略.通过对几种常见的风格轮换模型进行比较,采取支持向量机分别建立规模溢价和价值溢价的预测模型,根据预测结果形成规模风格和价值/成长风格轮换策略,并检验这种积极风格轮换策略在中国股市的有效性.研究结果表明,中国股市存在显著的价值溢价,规模风格轮换策略业绩显著优于消极持有小盘股策略和市场收益,适合采取规模风格轮换策略进行短期投资;消极持有价值股的投资策略业绩显著优于规模风格轮换的投资策略,这暗示在长期投资上更适合采取买入并持有价值股的消极风格投资策略.     

基于支持向量机模型的北京市能源需求预测研究

北京市能源需求系统具有非线性、历史数据较少而影响因素众多等复杂特征, 而支持向量机模型在解决小样本、非线性及高维模式识别问题方面具有突出优势。为此, 引入支持向量机模型对北京市1978-2010年能源需求进行建模, 并据此对2012-2020年能源需求量进行预测。结果表明:支持向量机模型能有效拟合北京市能源需求系统的复杂变化趋势, 比其他传统方法有更高的预测精度。研究发现, 2012-2020年北京市能源需求量逐年增加, 年均增速2.75%;另外, 北京市能源需求的增速在“十三五”期间会比“十二五”期间略有趋缓。     

Dual effects of ‘losses disguised as wins’ and near-misses in a slot machine game

Individually, both near-misses and losses disguised as wins (LDWs) have been seen to exert pro-motivational effects on gambling. However, it is not clear whether both structural characteristics are effective within the same game. Participants (n = 40) played a slot machine simulation. The simulation delivered near-misses, wins and ‘full-misses’. Half the participants also received LDWs that occurred independently of the outcomes on the payline. Valence and motivation ratings were collected after each round. Results showed that the LDW group reported increased valence ratings compared to the no-LDW group. Within the LDW group, trials with LDWs also resulted in increased enjoyment compared to trials without LDWs. We distinguished near-misses falling either side of the payline. Near-misses before the payline (NMB) were rated as more motivational than near-misses after the payline (NMA), whereas NMAs were rated as more aversive than NMBs. These differences between the two near-miss types were exacerbated by LDWs. Results demonstrate LDWs increase the trial-by-trial enjoyment of non-win outcomes. The motivational and hedonic effects of near-misses differed for events either side of the payline, and these differences were exaggerated by the presence of LDWs. Thus, near-misses can retain their effectiveness in complex forms of gambling that also deliver LDWs.