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基于多时段信息融合的配电变压器运行状态评估模型 被引量:38
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作者 孙莹 高贺 +1 位作者 李可军 梁永亮 《高电压技术》 EI CAS CSCD 北大核心 2016年第7期2054-2062,共9页
为了更加全面准确地评估配电变压器的运行状态,基于多时段信息融合构建配电变压器运行状态评估模型。建立状态评估函数对定量指标进行评估;综合2类集值统计专家估价法,引入专家评估信任因子对定性指标进行评估;综合相似度聚类分析和模... 为了更加全面准确地评估配电变压器的运行状态,基于多时段信息融合构建配电变压器运行状态评估模型。建立状态评估函数对定量指标进行评估;综合2类集值统计专家估价法,引入专家评估信任因子对定性指标进行评估;综合相似度聚类分析和模糊层次分析法进行评估指标的最优权重分配;基于多变量灰色预测模型和改进证据理论融合多时段状态信息以评判配变的综合运行状态。基于该评估模型对54台配变进行状态评估,通过比较每台配变的状态评估结果和其实际运行工况,得到该模型的评估准确率约达96.296%,验证了该评估模型的可行性,为配变状态评估提供了一种新的思路。 展开更多
关键词 状态评估函数 专家评估信任因子 相似度聚类分析 改进证据理论 多时段
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石化企业蒸汽动力系统的多周期运行优化 被引量:28
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作者 罗向龙 华贲 张冰剑 《计算机与应用化学》 CAS CSCD 北大核心 2006年第1期41-45,共5页
为了满足石化企业工艺过程对蒸汽和电力不断变化的需要,实现企业降低成本、节能降耗的目的,必须保证蒸汽动力系统在最优状态下运行。本文针对这一问题建立了综合考虑设备启停费用的蒸汽动力系统多周期最优运行的混合整数线性规划模型,... 为了满足石化企业工艺过程对蒸汽和电力不断变化的需要,实现企业降低成本、节能降耗的目的,必须保证蒸汽动力系统在最优状态下运行。本文针对这一问题建立了综合考虑设备启停费用的蒸汽动力系统多周期最优运行的混合整数线性规划模型,并将锅炉和汽轮机的模型进行了合理的线性化。该模型既保证了系统运行优化求解精度,又避免了非线性模型求解困难的问题,利用通用建模工具GAMS建模求解,并通过实例证明了利用本文建立的模型,在较短的时间内得到了最优的计划调度方案,并且节省了大量的运行成本。 展开更多
关键词 蒸汽动力系统 启停费用 多周期 优化 节能
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多周期操作工况下换热网络的弹性设计 被引量:7
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作者 李志红 华贲 《高校化学工程学报》 EI CAS CSCD 北大核心 1999年第3期252-258,共7页
提出了基于专家系统的多周期换热网络的超结构形式及弹性设计方法。首先通过专家系统确定各周期操作工况下物流的分流及匹配禁止情况,在此基础上建立网络多周期操作工况下的超结构模型;然后用遗传算法对上述模型进行求解;最后用分解... 提出了基于专家系统的多周期换热网络的超结构形式及弹性设计方法。首先通过专家系统确定各周期操作工况下物流的分流及匹配禁止情况,在此基础上建立网络多周期操作工况下的超结构模型;然后用遗传算法对上述模型进行求解;最后用分解协调法对网络结构和匹配单元同时进行优化。该方法不仅能自动地合成多周期操作工况的换热网络最优流程结构,而且能同时满足网络在各操作工况下的各种工艺限制条件。最后,通过某个换热网络的最优合成设计,说明本方法的有效性和应用前景。 展开更多
关键词 弹性换热网络 多周期 超结构 换热网络 设计
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回收商参与的多阶段绿色闭环供应链竞争模型 被引量:7
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作者 林贵华 冯文秀 杨振平 《中国管理科学》 CSSCI CSCD 北大核心 2021年第6期136-148,共13页
本文在供应链中各企业均进行碳减排技术投资及政府干预产品回收的背景下,考虑旧产品转化为再制造产品的比率、政府的单位回收补贴及政府强制回收量等因素,建立了由制造商、货运商、零售商、消费市场和回收商组成的多阶段绿色闭环供应链... 本文在供应链中各企业均进行碳减排技术投资及政府干预产品回收的背景下,考虑旧产品转化为再制造产品的比率、政府的单位回收补贴及政府强制回收量等因素,建立了由制造商、货运商、零售商、消费市场和回收商组成的多阶段绿色闭环供应链竞争模型,其中各方均在考虑碳减排技术投入、政府的强制回收量、废旧产品转化率的同时追求各自的最大收益。在对各方决策行为进行分析的基础上,给出了各层级实现均衡的条件,并将之转化为混合互补问题来求解。研究表明,规划阶段数的增加有利于产品循环,从而实现资源的有效利用;随着规划阶段的增加,各级参与者均倾向于进行更高的绿色技术投入;旧产品的剩余价值越多,转化为再制造产品的比率就越大,制造商也更倾向于旧产品再制造;当强制回收量较低时,政府回收补贴对回收商的激励作用比较显著。 展开更多
关键词 碳减排技术 闭环供应链 多阶段 网络均衡
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基于多源异构数据的粮食作物种植面积提取 被引量:6
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作者 李国庭 王德强 +4 位作者 赵德良 李泺 刘昊 王元美 何孟桥 《山东国土资源》 2022年第8期51-55,共5页
利用遥感影像进行农作物面积提取已经普遍应用到农作物种植面积提取工作中,但是普遍存在着提取效率低,精度达不到生产要求。随着高分辨率传感器的相继问世,融合多平台遥感数据有利于提高分类和动态监测的精度。本文以日照市莒县粮食种... 利用遥感影像进行农作物面积提取已经普遍应用到农作物种植面积提取工作中,但是普遍存在着提取效率低,精度达不到生产要求。随着高分辨率传感器的相继问世,融合多平台遥感数据有利于提高分类和动态监测的精度。本文以日照市莒县粮食种植面积提取为例,融合多时相和多源异构数据,利用深度学习算法提取粮食种植区域,深入挖掘多源数据的互补效应,提出了融合多时段、多源地理信息提取农作物种植面积的方法,为实现农作物种植面积快速高效的提取奠定了基础。 展开更多
关键词 高分遥感 多源异构 数据融合 多时段 面积提取
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Synthesis of flexible heat exchanger networks:A review 被引量:4
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作者 Lixia Kang Yongzhong Liu 《Chinese Journal of Chemical Engineering》 SCIE EI CAS CSCD 2019年第7期1485-1497,共13页
Dealing with uncertainty is one of practical issues in design and operation of heat exchanger networks(HENs),arising the problem of flexible HEN synthesis.This paper addresses the state-of-the-art methods for flexible... Dealing with uncertainty is one of practical issues in design and operation of heat exchanger networks(HENs),arising the problem of flexible HEN synthesis.This paper addresses the state-of-the-art methods for flexible HEN synthesis based on sensitivity analysis,resilience analysis,flexibility analysis and multiperiod synthesis techniques as well.Each of these methods is summarized by presenting their general procedures and recent developments on modeling,solving strategies and applications.Some current topics related to flexible process synthesis have been briefly presented to provide several future research possibilities. 展开更多
关键词 HEAT EXCHANGER network Sensitivity ANALYSIS RESILIENCE ANALYSIS FLEXIBILITY ANALYSIS multiperiod synthesis
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Paired Assistance:Policy Rationale and Economic Performance as Illustrated by Xizang and Xinjiang
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作者 Li Xihui Wang Guiduo +1 位作者 Duan Pengfei Huang Jixin 《China Economist》 2024年第3期70-88,共19页
This study highlights the changing priorities of China’s paired assistance throughout the past decades,as well as its theoretical implications and economic growth effects for recipient regions.Using panel data from 3... This study highlights the changing priorities of China’s paired assistance throughout the past decades,as well as its theoretical implications and economic growth effects for recipient regions.Using panel data from 32 prefecture-level cities from 1990 to 2020,this study uses the multiperiod difference-in-differences approach to examine how paired assistance has contributed to economic growth in Xizang Autonomous Region and Xinjiang Uygur Autonomous Region.The findings indicate that,first,the implementation of the paired assistance policy has boosted economic growth in Xizang and Xinjiang.Second,paired assistance has stimulated economic growth in recipient communities by improving infrastructure.Third,paired assistance has contributed to economic growth in recipient communities by providing improved public services such as education and healthcare.Improvements to public services have a relatively smaller indirect effect in short term than infrastructure development on economic growth.Yet both education and healthcare are crucial to people’s quality of life in recipient communities.This paper has refined and broadened research on the effects of paired assistance,providing preference for future policymaking. 展开更多
关键词 Chinese characteristics paired assistance multiperiod difference-in-differences assessment of policy effects
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Complex genesis of multiperiod fractures in the Middle Triassic Leikoupo Formation in the Pengzhou gas field, western Sichuan Basin, China 被引量:1
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作者 Xiao-Fei Hu Hu-Cheng Deng +2 位作者 Jian-Hua He Zhong-Min Shen Xian-Feng Peng 《Petroleum Science》 SCIE EI CAS CSCD 2023年第1期161-176,共16页
The cumulative expression of multistage deformation is complex multiperiod fractures,which are commonly seen in tectonic zones.The Middle Triassic Leikoupo Formation in the western Sichuan Basin Depression,China,is a ... The cumulative expression of multistage deformation is complex multiperiod fractures,which are commonly seen in tectonic zones.The Middle Triassic Leikoupo Formation in the western Sichuan Basin Depression,China,is a typical marine carbonate reservoir with natural fractures caused mainly by tectonic movements.According to outcrops,drill cores,image logging,and fluid inclusions,the fracture characteristics,types of natural fractures,and interactions of fractures are determined.In total,419 natural fractures in 493.2 m of cores from 7 wells are investigated,which are mainly shear and tensile fractures with a small number of weathering generated fractures.Meanwhile,the results of the stable isotope analysis of δ13C and δ18O,as well as the flow fluid inclusion data,reveal four tectonic periods of fractures with different occurrences.Based on the history of regional tectonic evolution,indicating one period of weathering fractures ascribable to stratal uplift and three periods of structural fractures related to the sequential tectonic movements of the Longmenshan fault belt.By analyzing the interaction relationships of fractures,three types of fracture interaction relationships are observed:cutting,restraining,and overlapping.The four stages fractures are chronologically assigned to(1)the early Indosinian N-S trending compression,(2)the late Indosinian NW-SE compression,(3)the middle Yanshanian NE-SE compression,and(4)the early Himalayan E-W compression.The influence of natural fractures on gas migration and well production in marine carbonates is discussed,and indicates that tectonic fractures could provide seepage channels for gas migration and accumulation from near or distant hydrocarbon source rocks into the Middle Triassic Leikoupo Formation.This study utilizes a pragmatic approach for understanding the fracture genesis mechanism in oil and gas field with multiperiod fractures. 展开更多
关键词 multiperiod fractures Interaction relationships Genesis mechanism Gas migration Leikoupo formation Sichuan basin
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基于改进粒子群算法的微电网多时段经济调度 被引量:4
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作者 付蓉 杨健 +1 位作者 李满礼 谢俊 《电力需求侧管理》 2014年第3期12-17,共6页
分布式微电源与储能装置的广泛接入使微电网联网系统的能量交换形式更为复杂。研究微电网系统中各个时段的分布式电源和储能装置的协调优化调度,将大大降低微电网运行成本,提高系统电网经济调度能力。论文考虑负荷需求、微电源维护成本... 分布式微电源与储能装置的广泛接入使微电网联网系统的能量交换形式更为复杂。研究微电网系统中各个时段的分布式电源和储能装置的协调优化调度,将大大降低微电网运行成本,提高系统电网经济调度能力。论文考虑负荷需求、微电源维护成本、购电、售电价格和网络损耗等微电网运行约束条件,建立了微电网经济调度目标函数模型,分别研究了微电网处在孤网和并网下多时段经济调度。运用了动态规划算法来协调微电网各时段的经济调度,即将各时段储能的最大容量离散成若干个小区间分别作为储能的上下限,同时提出在各时段的每个区间容量采用改进粒子群算法对微电源出力进行优化,最终求出各时段储能的最优状态及其它微电源的最优出力。通过算例验证了所提微电网多时段经济调度方法对各个时段的微电源及储能装置协调优化调度和微网运行经济成本,取得很好的效果。 展开更多
关键词 动态规划 微电网 经济调度 多时段 协调优化 改进粒子群算法
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多时期匹配决策的等级置信度融合法 被引量:4
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作者 陈圣群 王应明 施海柳 《山东大学学报(理学版)》 CAS CSCD 北大核心 2016年第3期60-69,共10页
针对多时期匹配问题,提出了一种基于等级置信度的融合方法。给出了多时期匹配决策问题的描述;将不同时间点关于各属性的综合评价值转换成等级置信度信息。在此基础上,把双边的等级置信度信息作为证据,并通过证据融合求出匹配的融合度;接... 针对多时期匹配问题,提出了一种基于等级置信度的融合方法。给出了多时期匹配决策问题的描述;将不同时间点关于各属性的综合评价值转换成等级置信度信息。在此基础上,把双边的等级置信度信息作为证据,并通过证据融合求出匹配的融合度;接着,构建基于融合度的指派模型来获得整体最优解。通过算例说明了该方法的应用。 展开更多
关键词 匹配决策 证据融合 多时期 等级置信度
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Multistage Stochastic Programming Model for the Portfolio Problem of a Property-Liability Insurance Company 被引量:3
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作者 王春峰 杨建林 蒋祥林 《Transactions of Tianjin University》 EI CAS 2002年第3期203-206,共4页
The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod mod... The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod model for its portfolio problem. The model is a multistage stochastic programming which considers transaction costs, cash flow between time periods, and the matching of asset and liability; it does not depend on the assumption for normality of return distribution. Additionally, an investment constraint is added. The numerical example manifests that the multiperiod model can more effectively assist the property-liability insurer to determine the optimal composition of insurance and investment portfolio and outperforms the single period one. 展开更多
关键词 property-liability insurance company portfolio management multiperiod model multistage stochastic programming
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Existence of Equilibrium of Multiperiod Plan-Market Economy with the Stock Market
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作者 SHOU Ji\|lin,\ YUAN Ying Dept. of Applied Mathematics, Xi′an Jiaotong University, Xi′an 710049, China 《Systems Science and Systems Engineering》 CSCD 1999年第4期29-39,共11页
Consider a sequence of markets for goods and securities at successive dates, each market is a hybrid of plan and market, no one of which is complete in Arrow\|Debreu sense. Pseudo\|equilibrium and equilibrium of s... Consider a sequence of markets for goods and securities at successive dates, each market is a hybrid of plan and market, no one of which is complete in Arrow\|Debreu sense. Pseudo\|equilibrium and equilibrium of such an economic model are introduced and the existence of which is demonstrated. 展开更多
关键词 multiperiod plan\|market economy stock market EQUILIBRIUM
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麻栗坡三保银多金属矿矿石成分及成因探讨 被引量:2
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作者 杨国尼 龚洪波 《云南地质》 2009年第1期60-66,共7页
矿区已查明6条矿化带,圈定银矿体29条。矿体成似层状、透镜状、囊状。银的赋存状态:一是呈类质同象或次显微矿物包体存在于载体矿物中,二是以吸附态或银的次显微包体存在于铅锰矿及铁、锰氧化矿物中。属于具有层控特征的变质中低温热液... 矿区已查明6条矿化带,圈定银矿体29条。矿体成似层状、透镜状、囊状。银的赋存状态:一是呈类质同象或次显微矿物包体存在于载体矿物中,二是以吸附态或银的次显微包体存在于铅锰矿及铁、锰氧化矿物中。属于具有层控特征的变质中低温热液型银铅锌碳酸盐型矿床。 展开更多
关键词 多来源多期次 矿物赋存状态 云南麻栗坡三保
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燃料计划的网络流规划模型
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作者 龙思锐 周继承 +1 位作者 彭银桥 周宏广 《微计算机信息》 2004年第4期70-71,共2页
火电厂燃料计划是在确保发电燃料供应的条件下使发电燃料购买、运输和保存的费用达到最低,可用目标函数概括:C=CC+CT+CAmin。本文根据燃料计划的特点在考虑增益性、费用函数的非线性、燃料计划的多周期性的基础上逐步建立和完善了它的... 火电厂燃料计划是在确保发电燃料供应的条件下使发电燃料购买、运输和保存的费用达到最低,可用目标函数概括:C=CC+CT+CAmin。本文根据燃料计划的特点在考虑增益性、费用函数的非线性、燃料计划的多周期性的基础上逐步建立和完善了它的网络流规划模型.把燃料计划问题转换为网络的最小费用流问题来求解。 展开更多
关键词 燃料计划 网络流规划 增益 非线性 费用函数 火电厂
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A simultaneous approach for integration of thermal energy storages in industrial processes using multiperiod heat integration
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作者 Simon Möhren Christian Schäfer +1 位作者 Jörg Meyer Hartmut Krause 《Energy Storage and Saving》 2022年第2期117-128,共12页
In times of increasing global warming,enormous efforts are required to rapidly reduce greenhouse gas(GHG)emissions.Due to the EU’s target of climate neutrality by 2050 and the even more ambitious goal of becoming cli... In times of increasing global warming,enormous efforts are required to rapidly reduce greenhouse gas(GHG)emissions.Due to the EU’s target of climate neutrality by 2050 and the even more ambitious goal of becoming climate-neutral in Germany by 2045,it is necessary to systematically increase energy efficiency and decarbonize the industrial heat sector.The methods of heat integration can be used to exploit existing potentials for waste heat utilization and to integrate renewable technologies for heating and cooling.By using a non-stationary,multiperiod approach,additional energy savings can be achieved by integrating a thermal energy storage(TES)that enables heat transportation over time.This paper presents a simultaneous approach for thermal energy storage integration into multiperiod heat integration problems.The approach can be used to minimize energy demand,costs and CO 2 emissions and is demonstrated in two case studies.In case study 1,it is shown that the presented approach is capable of integrating a TES properly into a simple multiperiod heat integration problem with two periods.In case study 2,a simplified example from a cosmetics manufactory is investigated.The total utility demand can be reduced by up to 44.3%due to TES integration and the energetic optimal storage size can be determined as 125 m 3.The savings are strongly dependent on the constellation of heat flows between the periods,on the temperature levels and on the storage size.Significant reductions of energy demand,costs and CO 2 emissions can be achieved with TES being properly integrated into a suitable operating environment. 展开更多
关键词 multiperiod heat integration Thermal energy storage Waste heat utilization Heat exchanger network Energy efficiency
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周期数n对(BSZT/BTO)_(n)薄膜微观结构和电学性能的影响
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作者 季航 胡睿 余萍 《电子元件与材料》 CAS CSCD 北大核心 2022年第7期673-679,共7页
为了提高单周期BSZT/BTO薄膜的性能,采用射频磁控溅射技术制备了(BSZT/BTO)_(n)(n=1,2,3,4)多周期异质结构薄膜。通过XRD、SEM和电学性能测试等手段探究周期数n对(BSZT/BTO)_(n)薄膜微观结构和电学性能的影响。结果表明,随着周期数n的增... 为了提高单周期BSZT/BTO薄膜的性能,采用射频磁控溅射技术制备了(BSZT/BTO)_(n)(n=1,2,3,4)多周期异质结构薄膜。通过XRD、SEM和电学性能测试等手段探究周期数n对(BSZT/BTO)_(n)薄膜微观结构和电学性能的影响。结果表明,随着周期数n的增加,(BSZT/BTO)_(n)薄膜结晶性增强,介电常数增大,介电损耗减小。在1 MHz测试条件下,(BSZT/BTO)_(4)薄膜的介电常数为187,介电损耗仅为0.02,同时薄膜的铁电性略微增加,而漏电流密度降低到了1.16×10^(-5)A/cm^(2),这表明(BSZT/BTO)_(n)薄膜周期数增加能有效提高薄膜的微观结构和电学性能。除此之外,还对(BSZT/BTO)_(4)薄膜漏电流密度机制与温度和电场强度的关系进行了研究,从机理上说明了(BSZT/BTO)_(4)薄膜漏电流密度特性。 展开更多
关键词 射频磁控溅射 多周期 (BSZT/BTO)n 漏电流密度
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基于“互联网+”的双目标多期供应链网络平衡研究 被引量:1
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作者 周倩 《物流科技》 2018年第7期111-115,共5页
"互联网+"使电子商务发展迅猛,供应链上的成员通过线上和线下双渠道进行交易。在国家绿色环保的号召下,供应链上的企业在交易过程中应考虑对环境的影响。综合考虑"互联网+"时代的特点和绿色环保两大因素,构建了基于... "互联网+"使电子商务发展迅猛,供应链上的成员通过线上和线下双渠道进行交易。在国家绿色环保的号召下,供应链上的企业在交易过程中应考虑对环境的影响。综合考虑"互联网+"时代的特点和绿色环保两大因素,构建了基于"互联网+"的动态供应链网络平衡模型,探讨由生产市场、零售市场和消费市场构成的动态供应链网络的平衡问题,其中,生产商和零售商均以利润最大化和污染最小化为目标。利用变分不等式构建各层市场的平衡模型,推导出各决策者的平衡条件,得到最终的基于"互联网+"的双目标多期供应链网络平衡模型。通过算例分析得到的平衡产量、库存量、交易量和平衡价格,用于指导供应链上的企业决定其销售价格和生产规模等。 展开更多
关键词 互联网+ 双目标 多期 供应链 网络平衡
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Multiperiod Optimal Allocation of Emergency Resources in Support of Cross-Regional Disaster Sustainable Rescue
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作者 Yanyan Wang 《International Journal of Disaster Risk Science》 SCIE CSCD 2021年第3期394-409,共16页
Cross-regional allocation is necessary for the rational utilization and optimal allocation of resources.It is also the key to effective and sustainable disaster relief.Existing research,however,generally centers on em... Cross-regional allocation is necessary for the rational utilization and optimal allocation of resources.It is also the key to effective and sustainable disaster relief.Existing research,however,generally centers on emergency resource allocation only within territories or regions.This article proposes a multiperiod allocation optimization model for emergency resources based on regional selfrescue and cross-regional collaborative rescue efforts.The model targets the shortest delivery time and lowest allocation costs as its efficiency goals and the maximum coverage rate of resource allocation in the disaster-affected locations as its equity goal.An objective weighting fuzzy algorithm based on two-dimensional Euclidean distance is designed to solve the proposed model.A case study based on the Wenchuan Earthquake of 12 May 2008 was conducted to validate the proposed model.The results indicate that our proposed model allows for optimal,multiperiod cross-regional resource allocation by combining interterritorial and nearby allocation principles.Cross-regional relief makes resource allocation more equitable,minimizes dissatisfaction,and prevents losses.Different decision preferences appear to significantly affect the choice of resource allocation scheme employed,which provides flexibility for decision making in different emergencies. 展开更多
关键词 Cross-regional collaborative rescue Efficiency and equity Emergency resource allocation multiperiod allocation Wenchuan Earthquake
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Integrated optimization of multiproduct multiperiod transportation and inventory under a carbon cap constraint for online retailers
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作者 Yaorong Cheng Yijun Li 《Transportation Safety and Environment》 EI 2021年第3期291-303,共13页
This study aims to solve the problem of multiproduct multiperiod integrated transportation and inventory optimization for online retailers.A carbon cap constraint and multitype of capacitated trucks are simultaneously... This study aims to solve the problem of multiproduct multiperiod integrated transportation and inventory optimization for online retailers.A carbon cap constraint and multitype of capacitated trucks are simultaneously incorporated into the proposed mixed-integer program.A simulated annealing(SA)algorithm is designed.CPLEX 12.9.0 is used to solve the submodel obtained from the neighbourhood search and is also used to get the optimal solutions for instances.Experimental results show that the simulated annealing algorithm can find satisfactory solutions within a reasonable time.When the problem size increases,the growth of the computational time of the SA algorithm is significantly smaller than that of the CPLEX.A sensitivity analysis for the carbon cap is also conducted.The results indicate that if the carbon cap is gradually tightened,the total cost increases first with a gentle slope,and then with a remarkable slope,same as for the total number of trucks used;the total carbon emissions first decrease with a gentle slope,and then decline with a significant slope.When the carbon cap is strict,only a few different types of trucks will be considered.The percentage changes of the total cost increase and the total carbon emission reduction are also compared.When the allowed carbon emissions are gradually reduced,situation of a higher amount of carbon emission reduction and a lower amount of cost increase can be achieved.Additionally,using multiple types of trucks in the integrated optimization of transportation and inventory decisions can achieve greater cost savings with lower increments of carbon emission. 展开更多
关键词 integrated optimization multiperiod multiproduct carbon emission simulated annealing
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基于非线性分位数回归模型的多期VaR风险测度 被引量:16
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作者 许启发 张金秀 蒋翠侠 《中国管理科学》 CSSCI 北大核心 2015年第3期56-65,共10页
多期VaR主要受到持有期及波动率两个变量的影响,并且其影响模式(线性或非线性)的确定对于准确地进行VaR风险测度至关重要。非线性分位数回归模型,能够克服线性分位数回归模型只能揭示多期VaR及其影响因素之间线性依赖关系的局限,从而提... 多期VaR主要受到持有期及波动率两个变量的影响,并且其影响模式(线性或非线性)的确定对于准确地进行VaR风险测度至关重要。非线性分位数回归模型,能够克服线性分位数回归模型只能揭示多期VaR及其影响因素之间线性依赖关系的局限,从而提高多期VaR风险测度的准确性。结合波动模型与两个非线性分位数回归方法:QRNN和SVQR,给出了多期VaR风险测度的三类方案:波动模型法、QRNN+波动模型法、SVQR+波动模型法。选取3个股票价格指数作为研究对象,考虑了6种不同形式的波动模型,得到了18个多期VaR风险测度方法进行实证比较,结果表明:波动模型选择影响到多期VaR风险测度效果;SVQR+波动模型法略优于QRNN+波动模型法,并且两者显著优于波动模型法。 展开更多
关键词 分位数回归 多期VaR 非线性 神经网络 支持向量机
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