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第九届运筹学及其应用国际研讨会

作者： Atsuo Suzuki Katsushige Sawaki Faculty of Urban Science Meijo University nanzan business school Nanzan University

We consider callable Russian options with the finite maturity. Callable Russian option is a contract that the seller and the buyer have the rights to cancel and to exercise it at any time, respectively. We discuss the pricing model of callable Russian options when the stock pays dividends continuously. We show that the pricing model can be formulated as a coupled optimal stopping problem which is analyzed as Dynkin game.

关键词： callable Russian option optimal region optimal stopping first hitting times

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Proposal of Japanese Vocabulary Difficulty Level Dictionaries for Automated Essay Scoring Support System Using Rubric

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Journal of the Operations Research Society of China 2020年第4期8卷 601-617页

作者： Megumi Yamamoto Nobuo Umemura Hiroyuki Kawano school of Contemporary International Studies Nagoya University of Foreign StudiesIwasaki-choNisshin 470-0197Japan school of Media and Design Nagoya University of Arts and SciencesNagoya 470-0196Japan Faculty of Science and Engineering Nanzan UniversityNagoya 466-8673Japan

We are developing a Moodle plug-in,which is an AES(automated essay scoring)support system for the basic education of university *** system evaluates essays based on rubric,which has five evaluation viewpoints“Contents,Structure,Evidence,Style,and Skill”.Vocabulary level is one of the scoring items of *** is calculated using Japanese Language Learners’Dictionaries constructed by Sunakawa et *** this does not fully cover the words used in the student-level essays,we found that there is a problem with the accuracy of the vocabulary level *** this paper,we propose to construct comprehensive Japanese vocabulary difficulty level dictionaries using Japanese Wikipedia as the *** apply Latent Dirichlet Allocation(LDA)to the Wikipedia corpus and find the word appearance probability as one of the indexes of word *** use the TF-IDF value instead of the LDA value of the words,which rarely *** a result,we constructed highly comprehensive Japanese vocabulary difficulty level *** confirmed that the vocabulary level can be scored for all words in the test dataset by using the constructed dictionaries.

关键词： Automated essay scoring Vocabulary level Dictionary Wikipedia Corpus LDA Rubric

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Double Exponential Jump Diffusion Processes and Its Application to Real Options

Double Exponential Jump Diffusion Processes and Its Applicat...

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第八届运筹学及其应用国际研讨会

作者： Atsuo Suzuki Katsushige Sawaki Faculty of Urban Science Meijo University 4-3-3 NijigaokaKaniGifu 509-0261Japan nanzan business school Nanzan University 18 YamazatoNagoyaAichi 466-8673Japan

＜正＞In this paper,we consider optimal stopping problem for double exponential jump diffusion ***,we derive the value function of the option to postpone and its optimal *** some numerical results are presented to dem... 详细信息

关键词： Double exponential Jump diffusion process optimal stopping problem

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Symplectic Numerical Approach for Nonlinear Optimal Control of Systems with Inequality Constraints

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International Journal of Modern Nonlinear Theory and Application 2015年第4期4卷 234-248页

作者： Yoshiki Abe Gou Nishida Noboru Sakamoto Yutaka Yamamoto Department of Applied Analysis and Complex Dynamical Systems Graduate School of Informatics Kyoto University Kyoto Japan Department of Mechanical and Environmental informatics Graduate School of Information Science and Engineering Tokyo Institute of Technology Tokyo Japan Department of Mechatronics Faculty of Science and Engineering Nanzan University Nagoya Japan

This paper proposes a system representation for unifying control design and numerical calculation in nonlinear optimal control problems with inequality constraints in terms of the symplectic structure. The symplectic structure is derived from Hamiltonian systems that are equivalent to Hamilton-Jacobi equations. In the representation, the constraints can be described as an input-state transformation of the system. Therefore, it can be seamlessly applied to the stable manifold method that is a precise numerical solver of the Hamilton-Jacobi equations. In conventional methods, e.g., the penalty method or the barrier method, it is difficult to systematically assign the weights of penalty functions that are used for realizing the constraints. In the proposed method, we can separate the adjustment of weights with respect to objective functions from that of penalty functions. Furthermore, the proposed method can extend the region of computable solutions in a state space. The validity of the method is shown by a numerical example of the optimal control of a vehicle model with steering limitations.

关键词： Optimal Controls Nonlinear Systems Constrained Systems Symplectic Numerical Methods Stable Manifold Method

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The Relationships among Community Type, Peat Layer Thickness, Belowground Carbon Storage and Habitat Age of Mangrove Forests in Pohnpei Island, Micronesia

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Open Journal of Forestry 2015年第1期5卷 48-56页

作者： Kiyoshi Fujimoto Yukira Mochida Takao Kikuchi Ryuichi Tabuchi Yasumasa Hirata Saimon Lihpai Faculty of Policy Studies Nanzan University Seto Japan Graduate school of Environmental and Information Sciences Yokohama National University Yokohama Japan Forestry and Forest Products Research Institute Tsukuba Japan Division of Forestry and Marine Enforcement Department of Land & Natural Resources Pohnpei State Government Kolonia The Federated States of Micronesia

This paper quantifies the relationships among community type, peat layer thickness and habitat age of the mangrove forests in Pohnpei Island, Micronesia and provides a discussion concerning the primary succession and the belowground carbon storage of the main mangrove community types. The ages of the habitat were estimated from a relationship between the thickness of the mangrove peat layer and the formative period, which was decided by calibrated radiocarbon ages. Mangrove communities in the coral reef type habitat were generally arranged in the following order, from seaward to landward: 1) the Rhizophora stylosa or Sonneratia alba community (I or II communities), 2) the typical subunit of the S. alba subcommunity of the Rhizophora apiculata— Bruguiera gymnorrhiza community (III(2)a subunit) and 3) the Xylocarpus granatum subunit of the same subcommunity of the same community (III(2)b subunit). Their habitat ages were estimated to be younger than 460 years, between 360 and 1070 years and between 860 and 2300 years, respectively. Based on these results and other evidences such as photosynthetic characteristics and pollen analysis derived from the previous studies, the primary succession was inferred to have progressed in the order mentioned above. Belowground stored carbon for the main community types in the coral reef type habitat were estimated to be less than 370 t C ha-1 for the I and the II communities, between 290 and 860 t C ha-1 for the III(2)a subunit and between 700 and 1850 t C ha-1 for the III(2)b subunit.

关键词： Mangrove Forest Community Type Habitat Age Belowground Carbon Storage Primary Succession

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