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 Выпуск 73
- Agasandyan G. Continuous var-criterion and investor's optimal portfolio
The problem of optimal behavior of an investor in the high-developed option market is studied. The investor's risk-preferences function is introduced, and the continuous value at risk-criterion as a continuous generalization of well-known common VaR-criterion is introduced on its basis. Moreover, the investor has his own forecast for probability properties of future behavior of basic option price. The problem is to maximize an average income (or yield) under introduced criterion. The optimal portfolio on the theoretical one-period option market with the given prices picture is constructed. The method is illustrated by an example with two-sided exponential probability distributions.
- Davydov V. Counter-plan method for determining kpi's target significance in the two-level organizational system
We consider a three-parameter model for stimulating the agent of the organizational system (OS), which uses the modification of the counter-plan method. For the proposed model, restrictions are introduced on the parameters under which an agent's choice equalы to his own forecast and is the dominant strategy (DS) of the agent. It is proved that such a choice for all organizational system agents is an equilibrium in dominant strategy. An example of the application of the model for stimulating units for dealing with distressed assets (PRPA) in the North-West Bank of the Sberbank of the Russian Federation is given. There is a more accurate determination of the PPRA plans for the proposed model in comparison with the traditional "top-down" planning method.
- Afraymovich L., Ilyin S. Multinedex problem of seminar scheduling
The goal of the paper is to expand the field of applicability of flow algorithms for analyzing multi-index problems in solving one problem of scheduling theory. The paper considers a multi-index statement of seminar scheduling problem. Two particular cases are considered: the problem with the decomposition matrix of schedule effectiveness and the problem with the efficiency matrix, which reflects the correspondence of audiences to lectures. For the first special case, the possibility of reduction the seminar scheduling problem to network flow problem is shown. For the second one, a heuristic solution algorithm is proposed, and the results of the computational experiment are presented.
- Vykhovanets V., Du J., Sakulin S. Overview of phonetic encoding algorithms
This paper gives an overview of the phonetic encoding algorithms, designed to determine the similarity of words in sound (pronunciation). Phonetic encoding algorithms are divided into algorithms for comparing words and algorithms for determining the distance between words. Word comparison algorithms such as SoundEx, NYSIIS, Daitch-Mokotoff, Metaphone, Polyphone and algorithms for determining the distance between words such as Levenshtein, Jaro, N-grams are described. For each algorithm, its advantages and disadvantages are indicated, an analogue of the algorithm for the Russian language is given. To eliminate the common shortcomings of phonetic encoding algorithms, it is proposed to use not the sequence of letters of words, but the sequence of their elementary sounds. In this case, word recognition, record linkage, indexing words by sounds are expected to improve.
- Ivanov N. Algorithms of resource management in generalized stochastic networks
Generalized stochastic network contains vertices corresponding to events, the fulfillment of which can occur in the discipline "AND" and "OR". These networks can be used for simulation of real-time control processes using parallel computing systems. The weight of edges in these networks are considered random variables distributed according to given laws. The main purpose of modeling of such networks is monitoring and ensuring of the specified directive execution time of the management process. The time management of the network schedule can be managed by utilization of free resources (processors, channels of parallel computing systems, etc.). For a generalized stochastic network, three methods of managing free resources are considered, aimed at accelerating the execution of a simulated control process in real time. Evaluation of the feasibility and verification of the effectiveness of the proposed methods is carried out on the basis of the state tree of the network modeling the management process. The state tree defines those states of the network process that require fewer resources than what is called the degree of parallelism. The degree of parallelism determines the maximum number of resources that ensures the absence of queues. Simulation tools are discussed that allow you to obtain comparative data on each of the proposed methods in the tree of states.
- Zakharov V., Mugayskikh A. Dynamic adaptation of genetic algorithm for the large-scale routing problems
This paper is devoted to implementation of the dynamic adaptation procedure for genetic algorithm used for the traveling salesman problem on large-scale networks. It is shown that solutions obtained by genetic algorithm can be improved during its dynamic adaptation and allow finding the more effective routes for the equal time. To evaluate effectiveness of new approach computational experiments were performed on well-known benchmark instances from TSPLib. As a result, the experimental level of time consistency of improved solution considerably increases compare to basic one. Dynamically adapted genetic algorithm has demonstrated possibility to produce solutions with higher level of time consistency. At the same time proposed procedure reduces length of the one solution in certain experiment as well as average length of all routes in it.
- Kalashnikov P. The dynamic model of assessment of the balance of the solidary-distribution pension system
The author describes how to build a dynamic actuarial balance model of the distribution component of the budget of the Pension Fund. The author offers a long-term forecast of the level of balance of contributions and benefits (associated with the formation of the insurance part of the labour old-age pension) which is based on the construction of actuarial models and analysis of statistical data. In the course of the study, the control actions on the parameters of the actuarial basis are analyzed, which allow reducing the level of the emerging budget deficit of the Russian Federation Pension Fund in the long-term period.
- Vedeshenkov V. The approach to an organization fault – tolerant digital systems with minimal quasicomplete graph structures with two paths between two abonents (an example of graph by dimension 11x11
The developed approach to the organization of analyzable fault-tolerant digital systems consists of an alternate elimination of the effect of one faulty component of various fragments of digital systems. The analysed fragment of digital system consists of tested abonent, a commutator and two lines of commutator with tested abonent and testing abonent. The programming basic modules of three types are developed for each fragment. The elimination of influence of fault component holds the substitution of the faulty component function by non-faulty backup functions. The developed approach guarantees the elimination of influence of one fault component of any type for analysed structure of digital systems. Prerequisite for the realization of the proposed approach are two paths between each pair of abonents.
- Altyeva M. Mathematical modeling the process of slab heating as component of production control
This paper describes modeling the process of slab heating in continuous furnaces. The process is described using mathematical model consisting of parabolical type partial derivative equation with second and third type boundary conditions. The finite-difference approximation is used to solve the problem. Further, the system of linear algebraic equations is solved by the Gauss method. Because of the complexity of the solution, the software "Modeling of the process of slabs heating in methodical furnaces" was developed. Programming in the integrated environment of Microsoft Visual Studio 2010 in the programming language C #. She gives an opportunity to obtain a numerical and graphical result. Thus, the paper presents a model for heating slabs in methodical seals, which yields an adequate result and can be applied by technologists in setting suitable operating conditions for the furnace.
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