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Wyszukujesz frazę "stochastic" wg kryterium: Temat


Tytuł:
The mixed temporal game 1×1 with uncertain actions
Autorzy:
Cegielski, Andrzej
Powiązania:
https://bibliotekanauki.pl/articles/748232.pdf
Data publikacji:
1980
Wydawca:
Polskie Towarzystwo Matematyczne
Tematy:
Stochastic games, stochastic differential games
Opis:
.
Author's introduction: "The game solved in the present paper belongs to a class of temporal games whose general model was given by S. Karlin [Mathematical methods and theory in games, programming and economics, Addison-Wesley, Reading, Mass., 1959; MR0111634]. The rules are as follows. There are two opposing players, A and B. Each player has a certain number of actions which he can take in the time interval [0,1]. Neither player knows the number of actions he or his opposer has. Each player knows only the distribution of the number of actions for him and his opponent. More precisely, let k1 denote the number of actions of player A and k2 the number of actions of player B, and let k1 and k2 be independent random variables. The distributions of these random variables are as follows: P(k1=1)=p, P(k1=0)=1−p, P(k2=1)=q, P(k2=0)=1−q, p,q∈(0,1]. The opponent knows only both distributions. Thus player A [player B] knows beforehand that he as well as his opponent has zero or one action with the probability given above. If player A has an action then it is silent, i.e., his opponent does not know the moment when the action is taken. If player B has an action it is noisy, i.e. his opponent knows the moment when the action is taken. As a result of the action the player can win or, equivalently, his opponent can lose. A win can be achieved according to the probability given above. If player A [player B] takes an action at time t, then the probability of winning is equal to P(t) [to Q(t)]. Functions P(t) and Q(t) are called payoff functions. These functions satisfy the following conditions: (1) P(t) and Q(t) are differentiable and P′(t)>0 and Q′(t)>0 for t∈(0,1); (2) P(0)=Q(0)=0, P(1)=Q(1)=1. Both functions are known to the players before the game begins. The game ends when one player wins or when neither wins at time t=1. If only player A wins he obtains the payoff +1 from his opponent, and likewise if only B wins he obtains the payoff +1. In the remaining cases the payoff is equal to zero. Y. Teraoka solved a temporal game 1×1 with uncertain actions [Rep. Himeji Inst. Tech. 28 (1975), 1–8; RŽMat 1976:8 V662]. If in the game, played according to the rules given above, we put p=q=1, then this type of game is a particular case of the game solved by A. Styszyński [Zastos. Mat. 14 (1974), 205–225; MR0351487]. Here we present a solution to a more generalized game in which the first player has n actions. The game defined above can be interpreted as a duel. In the course of an action shots are fired and a win is achieved when the opponent is hit. The payoff function is then called an accuracy function. The duelists do not know beforehand whether the weapons are loaded or accurate. They know only the probability of drawing a loaded weapon. We shall use this interpretation in later sections of the paper. This game can also be viewed as an advertising war. Two enterprises are engaged in an advertising war to win a contract. Here an action can be viewed as setting in motion the advertising machine of the player's company. A win is achieved when the contract is awarded to the player's company as a result of his action. Before the campaign the players do not know whether they will receive funds from their central offices to engage in the advertising war."
Źródło:
Mathematica Applicanda; 1980, 8, 16
1730-2668
2299-4009
Pojawia się w:
Mathematica Applicanda
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Selected problems in the theory of fuzzy sets
Autorzy:
Heilpern, Stanisław
Powiązania:
https://bibliotekanauki.pl/articles/748068.pdf
Data publikacji:
1980
Wydawca:
Polskie Towarzystwo Matematyczne
Tematy:
Stochastic games, stochastic differential games
Stochastic programming
Fuzzy sets and logic
Opis:
.
From the introduction: "This paper contains a review of fundamental concepts and theorems of some areas of fuzzy mathematics, and an example of their application to the theory of decision making. Elementary definitions and properties of fuzzy sets are introduced in Chapters 1 and 2 [see L. A. Zadeh, Informat. and Control 8 (1965), 338–353; MR0219427]. Chapter 3 contains rudiments of fuzzy topology as presented by C. L. Chang [J. Math. Anal. Appl. 24 (1968), 182–190; MR0236859] and C. K. Wong [ibid. 43 (1973), 697–704; MR0324613; ibid. 45 (1974), 512–521; MR0341366]. Subsequent chapters deal with fuzzy probabilistic measures on the σ-field of fuzzy sets and contain original results of the author. In the last chapter the author discusses the concepts of fuzzy programming based on papers of R. Bellman and Zadeh [Management Sci. 17 (1970/71), B141-B164; MR0301613], and C. V. Negoiţă and D. A. Ralescu [Applications of fuzzy sets to systems analysis, English translation, Wiley, New York, 1975; MR0490082].''
Źródło:
Mathematica Applicanda; 1980, 8, 16
1730-2668
2299-4009
Pojawia się w:
Mathematica Applicanda
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Gamma Kumaraswamy-G family of distributions: theory, inference and applications
Autorzy:
Arshad, Rana Muhammad Imran
Tahir, Muhammad Hussain
Chesneau, Christophe
Jamal, Farrukh
Powiązania:
https://bibliotekanauki.pl/articles/1059046.pdf
Data publikacji:
2020-12-04
Wydawca:
Główny Urząd Statystyczny
Tematy:
stochastic ordering
Opis:
In this paper, we introduce a new family of univariate continuous distributions called the Gamma Kumaraswamy-generated family of distributions. Most of its properties are studied in detail, including skewness, kurtosis, analytical comportments of the main functions, moments, stochastic ordering and order statistics. The next part of the paper focuses on a particular member of the family with four parameters, called the gamma Kumaraswamy exponential distribution. Among its advantages, the following should be mentioned: the corresponding probability density function can have symmetrical, left-skewed, right-skewed and reversed-J shapes, while the corresponding hazard rate function can have (nearly) constant, increasing, decreasing, upside-down bathtub, and bathtub shapes. Subsequently, the inference on the gamma Kumaraswamy exponential model is performed. The method of maximum likelihood is applied to estimate the model parameters. In order to demonstrate the importance of the new model, analyses on two practical data sets were carried out. The results proved more favourable for the studied model than for any of the other eight competitive models.
Źródło:
Statistics in Transition new series; 2020, 21, 5; 17-40
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Stochastic P-bifurcation of a 3-DOF airfoil with structural nonlinearity
Autorzy:
Hao, Ying
Du, Xuewen
Hu, Yuda
Wu, Zhiqiang
Powiązania:
https://bibliotekanauki.pl/articles/1839715.pdf
Data publikacji:
2021
Wydawca:
Polskie Towarzystwo Mechaniki Teoretycznej i Stosowanej
Tematy:
stochastic P-bifurcation
structural nonlinearity
stochastic parametric excitation
Opis:
In this paper, the stochastic-aeroelastic nonlinear response of a three-degree-of-freedom (3-DOF) structural nonlinear airfoil with a control flap is presented. The critical parameter conditions of stochastic P-bifurcation are solved by using the improved average method, the stochastic average method combined with the singularity theory. The results show that the periodic solution produced by Hopf bifurcation has involved a second bifurcation, the nonlinear critical speed of saddle node bifurcation points is advanced, and the airfoil appears bi-stable. The stochastic singularity analysis shows that the increasing stochastic disturbance intensity will cause a greater probability for a large amplitude stochastic flutter.
Źródło:
Journal of Theoretical and Applied Mechanics; 2021, 59, 2; 307-317
1429-2955
Pojawia się w:
Journal of Theoretical and Applied Mechanics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Stochastic generalized transportation problem with discrete distribution of demand
Autorzy:
Anholcer, M.
Powiązania:
https://bibliotekanauki.pl/articles/406546.pdf
Data publikacji:
2013
Wydawca:
Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Tematy:
stochastic generalized transportation problem
stochastic programming
equalization method
Opis:
The generalized transportation problem (GTP) allows us to model situations where the amount of goods leaving the supply points is not equal to the amount delivered to the destinations (this is the case, e.g. when fragile or perishable goods are transported or complaints may occur). A model of GTP with random, discretely distributed, demand has been presented. Each problem of this type can be transformed either into the form of a convex programming problem with a piecewise linear objective function, or a mixed integer LP problem. The method of solution presented uses ideas applied in the method of stepwise analysis of variables and in the equalization method.
Źródło:
Operations Research and Decisions; 2013, 23, 4; 9-19
2081-8858
2391-6060
Pojawia się w:
Operations Research and Decisions
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Robust Control of Linear Stochastic Systems with Fully Observable State
Autorzy:
Poznyak, Alexander
Taksar, M.
Powiązania:
https://bibliotekanauki.pl/articles/1339291.pdf
Data publikacji:
1996
Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:
robust control
Riccati equation
stochastic differential equations
stochastic control
Opis:
We consider a multidimensional linear system with additive inputs (control) and Brownian noise. There is a cost associated with each control. The aim is to minimize the cost. However, we work with the model in which the parameters of the system may change in time and in addition the exact form of these parameters is not known, only intervals within which they vary are given. In the situation where minimization of a functional over the class of admissible controls makes no sense since the value of such a functional is different for different systems within the class, we should deal not with a single problem but with a family of problems. The objective in such a setting is twofold. First, we intend to establish existence of a state feedback linear robust control which stabilizes any system within the class. Then among all robust controls we find the one which yields the lowest bound on the cost within the class of all systems under consideration. We give the answer in terms of a solution to a matrix Riccati equation and we present necessary and sufficient conditions for such a solution to exist. We also state a criterion when the obtained bound on the cost is sharp, that is, the control we construct is actually a solution to the minimax problem.
Źródło:
Applicationes Mathematicae; 1996-1997, 24, 1; 35-46
1233-7234
Pojawia się w:
Applicationes Mathematicae
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Multicriteria Analysis Based on Stochastic Dominance and Almost Stochastic Dominance Rule
Analiza wielokrotna oparta na dominacjach stochastycznych I regułach dominacji stochastycznych typu “Almost”
Autorzy:
Nowak, Maciej
Powiązania:
https://bibliotekanauki.pl/articles/906288.pdf
Data publikacji:
2009
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
Stochastic Dominance
Almost Stochastic Dominance
Multicriteria Analysis
ELECTRE III
Opis:
W pracy przedstawiono technikę wspomagania decyzji, która może być wykorzystywana do rozwiązywania dyskretnych wielokryterialnych problemów podejmowania decyzji w warunkach ryzyka. Do porównania rozkładów ocen wariantów decyzyjnych wykorzystywane są reguły dominacji stochastycznej oraz prawie-dominacji stochastycznej. Ranking końcowy uzyskiwany jest za pomocą procedur destylacji znanych z metody ELECTRE 111. Zamieszczony w pracy przykład numeryczny opisuje sposób wykorzystania procedury do rozwiązywania problemu wielokryterialnego.
In the paper a new technique for discrete multiple criteria decision making problems under risk is presented. The procedure uses Stochastic Dominance and Almost Stochastic Dominance rules for comparing distributional evaluations of alternatives with respect to criteria. ELECTRE III technique is used for generating the final ranking of alternatives. An numerical example is presented to show applicability of the technique.
Źródło:
Acta Universitatis Lodziensis. Folia Oeconomica; 2009, 228
0208-6018
2353-7663
Pojawia się w:
Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Tightness of Continuous Stochastic Processes
Autorzy:
Kisielewicz, Michał
Powiązania:
https://bibliotekanauki.pl/articles/729684.pdf
Data publikacji:
2006
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
continuous stochastic processes
weak compactness of sequences of stochastic processes
Opis:
Some sufficient conditins for tightness of continuous stochastic processes is given. It is verified that in the classical tightness sufficient conditions for continuous stochastic processes it is possible to take a continuous nondecreasing stochastic process instead of a deterministic function one.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2006, 26, 2; 151-162
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Selection theorems for stochastic set-valued integrals
Autorzy:
Kisielewicz, Michał
Powiązania:
https://bibliotekanauki.pl/articles/729908.pdf
Data publikacji:
2001
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
stochastic set-valued integrals
nonanticipated stochastic processes
diagonal convexity
selections
Opis:
Some special selections theorems for stochastic set-valued integrals with respect to the Lebesgue measure are given.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2001, 21, 1; 63-75
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On an approximation theorem of Wong-Zakai type for the Lasota operator
Autorzy:
Dawidowicz, Antoni L.
Twardowska, Krystyna
Powiązania:
https://bibliotekanauki.pl/articles/748336.pdf
Data publikacji:
2007
Wydawca:
Polskie Towarzystwo Matematyczne
Tematy:
Stochastic integral equations, Stochastic ordinary differential equations, Random operators and equations
Opis:
W pracy pokazano, że stochastyczne równanie ewolucyjne z operatorem Lasoty jako infinitezymalnym generatorem silnie ciągłej półgrupy odwzorowań i z operatorem Hammersteina występującym przy zaburzeniu będącym procesem Wienera, spełnia twierdzenie aproksymacyjne typu Wonga–Zakai. Idea wprowadzenia operatora Lasoty związana jest z matematycznym modelem powstawania i różnicowania się komórek.
The authors show that the stochastic evolution equation with Lasota infinitesimal generator satisfies the Wong-Zakai type approximation theorem.
Źródło:
Mathematica Applicanda; 2007, 35, 49/08
1730-2668
2299-4009
Pojawia się w:
Mathematica Applicanda
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Composite semi-infinite optimization
Autorzy:
Dentcheva, D.
Ruszczyński, A.
Powiązania:
https://bibliotekanauki.pl/articles/970266.pdf
Data publikacji:
2007
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
semi-infinite optimization
nonsmooth optimization
composite optimization
stochastic programming
stochastic dominance
Opis:
We consider a semi-infinite optimization problem in Banach spaces, where both the objective functional and the constraint operator are compositions of convex nonsmooth mappings and differentiable mappings. We derive necessary optimality conditions for these problems. Finally, we apply these results to non-convex stochastic optimization problems with stochastic dominance constraints, generalizing earlier results.
Źródło:
Control and Cybernetics; 2007, 36, 3; 633-646
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Review of stochastic differential equations in statistical arbitrage pairs trading
Autorzy:
Endres, Sylvia
Powiązania:
https://bibliotekanauki.pl/articles/108278.pdf
Data publikacji:
2019
Wydawca:
Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:
statistical arbitrage
pairs trading
stochastic models
mean-reversion
stochastic differential equations
Opis:
The use of stochastic differential equations offers great advantages for statistical arbitrage pairs trading. In particular, it allows the selection of pairs with desirable properties, e.g., strong mean-reversion, and it renders traditional rules of thumb for trading unnecessary. This study provides an exhaustive survey dedicated to this field by systematically classifying the large body of literature and revealing potential gaps in research. From a total of more than 80 relevant references, five main strands of stochastic spread models are identified, covering the ‘Ornstein–Uhlenbeck model’, ‘extended Ornstein–Uhlenbeck models’, ‘advanced mean-reverting diffusion models’, ‘diffusion models with a non-stationary component’, and ‘other models’. Along these five main categories of stochastic models, we shed light on the underlying mathematics, hereby revealing advantages and limitations for pairs trading. Based on this, the works of each category are further surveyed along the employed statistical arbitrage frameworks, i.e., analytic and dynamic programming approaches. Finally, the main findings are summarized and promising directions for future research are indicated.
Źródło:
Managerial Economics; 2019, 20, 2; 71-118
1898-1143
Pojawia się w:
Managerial Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Fitting stochastic model into network traffic
Autorzy:
Włodarski, P.
Powiązania:
https://bibliotekanauki.pl/articles/376713.pdf
Data publikacji:
2013
Wydawca:
Politechnika Poznańska. Wydawnictwo Politechniki Poznańskiej
Tematy:
stochastic model
network traffic
Opis:
This paper presents the results of fitting stochastic model into real network traffic. Accurate modeling of network traffic is the first step in optimizing resource allocation and Quality of Service requirements. Because measurements reveals presence of self-similarity and long-range dependence, unlike the models based on Poisson or Markov processes, fractional stochastic model seems to be a good approximation of network traffic, since it can capture both short-range and long-range dependence. A methods of generation as well as the model order selection and parameter estimation techniques will be presented and discussed.
Źródło:
Poznan University of Technology Academic Journals. Electrical Engineering; 2013, 76; 219-223
1897-0737
Pojawia się w:
Poznan University of Technology Academic Journals. Electrical Engineering
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Consideration of a general model of stochastic service curve for communication networks
Autorzy:
Wasielewska, K.
Borys, A.
Powiązania:
https://bibliotekanauki.pl/articles/117055.pdf
Data publikacji:
2019
Wydawca:
Uniwersytet Morski w Gdyni. Wydział Nawigacyjny
Tematy:
communication networks
stochastic service
communication system
maritime telecommunications area
Quality of Service (QoS)
stochastic network calculus
modelling of model of stochastic service curve
stochastic service curve
Opis:
In this paper, a general framework for modelling stochastic service curves for communication networks is presented. It connects with each other two approaches to the traffic analysis and performance evaluation of communication systems, namely, the one which is called a deterministic network calculus with its stochastic counterpart. Thereby, it enables to treat any communication traffic in a consistent way. Further, as we show here, it enables also achieving new results. Derivation of the above model is presented in details in this paper. Finally, some hints are given how the method presented in this article could be applied in maritime telecommunications area.
Źródło:
TransNav : International Journal on Marine Navigation and Safety of Sea Transportation; 2019, 13, 1; 159-164
2083-6473
2083-6481
Pojawia się w:
TransNav : International Journal on Marine Navigation and Safety of Sea Transportation
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Stochastic vortices in periodically reclassified populations
Autorzy:
Guerreiro, Gracinda
Mexia, João
Powiązania:
https://bibliotekanauki.pl/articles/729714.pdf
Data publikacji:
2008
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
Markov chains
stochastic vortices
Opis:
Our paper considers open populations with arrivals and departures whose elements are subject to periodic reclassifications. These populations will be divided into a finite number of sub-populations.
Assuming that:
a) entries, reclassifications and departures occur at the beginning of the time units;
b) elements are reallocated at equally spaced times;
c) numbers of new elements entering at the beginning of the time units are realizations of independent Poisson distributed random variables;
we use Markov chains to obtain limit results for the relative sizes of the sub-populations corresponding to the states of the chain. Namely we will obtain conditions for stability of the relative sizes for transient and recurrent states as well as for all states. The existence of such stability corresponds to the existence of a stochastic structure based either on the transient or on the recurrent states or even on all states. We call these structures stochastic vortices because the structure is maintained despite entrances, departures and reallocations.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2008, 28, 2; 209-227
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł

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