周忠寶，男，工學博士，現任湖南大學工商管理學院副院長，“嶽麓學者”特聘教授，博士生導師。
基本介紹
- 中文名：周忠寶
- 畢業院校：多倫多大學
- 學位/學歷：博士
- 專業方向：管理科學與工程專業
- 任職院校：湖南大學
人物經歷,教育經歷,社會兼職,學術成果,研究領域,講授課程,科研成果,發表論文,研究項目,
人物經歷
教育經歷
1995.09-1999.07 國防科技大學 套用數學專業理學學士
2000.09-2002.12 國防科技大學 管理科學與工程專業 工學碩士
2003.03-2006.12 國防科技大學 控制科學與工程專業 工學博士
2009.04-2011.10 湖南大學 管理科學與工程專業 博士後
2011.07-2012.07 多倫多大學 管理科學與工程專業 訪問學者
社會兼職
兼任中國“雙法”研究會青年工作委員會委員、中國系統工程學會青年工作委員會委員、湖南省普通高等學校工商管理類專業教學指導委員會秘書長、湖南省高等教育學會電子商務教育專業委員會理事長、湖南省系統工程與管理學會青年工作委員主任等，30餘份國際知名學術期刊審稿人。
學術成果
2018年：
DEA Frontier Improvement and Portfolio Rebalancing: An Application of China Mutual Funds on Considering Sustainability Information Disclosure. European Journal of Operational Research, 2018, 269(1): 111-131. (SCI)
Estimation of cardinality constrained portfolio efficiency via segmented DEA. Omega, 2018, 76: 28-37.（SCI、SSCI）
Localized weighted sum method for many-objective optimization. IEEE Transactions on Evolutionary Computation, 2018, 22(1): 3-18. (SCI)
Carbon emission performance evaluation and allocation in Chinese cities. Journal of Cleaner Production, 2018, 172: 1254-1272. (SCI)
Anti-Radiation Performance Assessment of Satellite Units Based on the Weiner Process. IEEE Access, 2018, 6: 9785-9791. (SCI)
International stock market contagion: A CEEMDAN wavelet analysis. Economic Modelling, 2018, 72: 333-352. (SSCI)
Banks efficiency and productivity in Togo after the financial liberalization: a combined Malmquist index approach. INFOR: Information Systems and Operational Research, 2018, 56(3): 317-331. (SCI)
Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis. Finance Research Letters, 2018. (SSCI)
Does the international oil volatility have directional predictability to stock returns? Evidence from BRICS countries based on the cross-quantilogram analysis, Economic Modelling, 2018. (SSCI)
DEA models with Russell measures, Annals of Operations Research, 2018. (SCI)
Multiperiod portfolio optimization for asset-liability management with quadratic transaction costs, Journal of Industrial and Management Optimization, 2018. (SCI)
A DEA-based MOEA/D algorithm for portfolio optimization, Cluster Computing, 2018. (SCI)
Mechanism design in a supply chain with ambiguity in private information, Journal of Industrial and Management Optimization, 2018. (SCI)
基於FDH的分區域多目標遺傳算法.計算機工程與科學, 2018, 40(7): 1295-1302.
基於相對財富效用的多階段投資組合博弈模型. 中國管理科學, 2018.
基於MOOC學習行為大數據的網路課程通過率預測方法.計算機工程與科學, 2018.
基於線性反饋策略的多階段均值-方差投資組合最佳化. 系統科學與數學, 2018.
2017年：
Stochastic network DEA models for two-stage systems under the centralized control organization mechanism, Computers & Industrial Engineering, 2017, 110: 404-412. (SCI)
A multi-objective approach for weapon selection and planning problems in dynamic environments. Journal of Industrial and Management Optimization, 2017, 13(3): 1189-1211. (SCI)
Performance evaluation of anti-radiation based on the gamma degradation process. Science China-Technological Sciences (中國科學 英文版), 2017, 60(4): 501-509. (SCI)
How relevant is the choice of risk management control variable to non-parametric bank profit efficiency analysis? The case of South Korean banks. Annals of Operations Research, 2017, 250(1): 105-127. (SCI)
How to Promote Knowledge Sharing among EVC Members? - Based on Interactive Perspective of Modified TAM Model, EURASIA Journal of Mathematics Science andTechnology Education, 2017, 13(9): 6313-6323. (SSCI)
全連結分散化多階段投資組合評價研究.管理科學學報, 2017,20(6): 89-100.
存在基數約束的投資組合效率評價方法. 中國管理科學, 2017, 25(2): 174-179.
複合系統的動態協同演化分析——以保險、信貨與股票金融複合系統為例. 中國管理科學, 2017, 25(8): 79-88.
2016年：
Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows, Insurance: Mathematics and Economics, 2016, 68: 187-202. (SSCI)
Reliability analysis of monotone coherent multi-state systems based on Bayesian networks. Journal of Systems Engineering and Electronics, 2016, 27(6): 1326-1335. (SCI)
Resilience analysis for project scheduling with renewable resource constraint and uncertain activity durations. Journal of Industrial and Management Optimization, 2016, 12(2): 719-737. (SCI)
金融監管對商業銀行產品創新影響——基於兩階段DEA模型的研究. 中國管理科學,2016,(05):1-7.
均值-方差下動態投資組合效率評價模型. 系統工程,2016,(07):41-46.
2015年：
Two-stage DEA models with undesirable input-intermediate-outputs, Omega, 2015, 56: 74-87.（SCI、SSCI）
Estimation of portfolio efficiency via DEA, Omega, 2015, 52: 107-118.（SCI、SSCI）
Markov-dependent risk model with multi-layer dividend strategy, Applied Mathematics and Computation, 2015, 252(1): 273-286.（SCI）
A Fuzzy non-radial data envelopment analysis (DEA) approach to measure regional environmental performance of China. Environmental Engineering and Management Journal, 2014, 14(4): 719-730.（SCI）
Forecasting long-term and short-term crude oil price: A comparison of the predictive abilities of competing models. International Journal of Global Energy Issues, 2015, 38(4-6): 286-297.（EI）
基於自由處置性的網路系統效率評價模型研究. 中國管理科學,2015,(11):145-152.
考慮交易成本的多階段投資組合評價方法研究. 中國管理科學,2015,(05):1-6.
考慮交易成本的投資組合效率估計方法. 中國管理科學,2015,(01):25-33.
存在非期望輸入輸出的多階段系統效率評價模型. 中國管理科學,2015,(04):129-138.
伊藤半鞅框架下資產價格動態模型的非參數設定檢驗——基於滬深300股指期貨超高頻數據的分析. 系統工程,2015,(10):108-114.
2014年：
Performance Evaluation of Portfolios with Margin Requirements, Mathematical Problems in Engineering, 2014, 1-8. (SCI)
Game Cross Efficiency for Systems with Two-Stage Structures, Journal of Applied Mathematics, 2014, 1-8. (SCI)
存在保證域的模糊非徑向偏好DEA模型.中國管理科學,2014, 22(2): 75-84.
2013年：
Further study of production possibility set and performance evaluation model in supply chain DEA. Annals of Operations Research, 2013, 206(1): 585-592. (SCI)
A Bayesian framework for on-line degradation assessment and residual life prediction of secondary batteries inspacecraft, Reliability Engineering & System Safety, 2013, 113: 7-20. (SCI）
A bargaining game model for efficiency decomposition in the centralized model of two-stage systems, Computers & Industrial Engineering, 2013, 64(1): 103-108.（SCI）
The economic efficiency of rehabilitative management in young offender institutions in England and Wales, Socio-Economic Planning Sciences, 2013, 47(1): 38-49. (SCI)
2012年：
A generalized fuzzy DEA/AR performance assessment model, Mathematical and Computer Modelling, 2012, 55(11-12): 2117-2128.（SCI）
Fuzzy data envelopment analysis models with assurance regions: A note, Expert Systems with Applications, 2012, 39(2): 2227-2231.（SCI）
RePofe: Reliability physics of failure estimation based on stochastic performance degradation for the momentum wheel, Engineering Failure Analysis, 2012, 22: 50-63.（SCI）
Performance Evaluation of Investment Funds with DEA and Higher Moments Characteristics: Financial Engineering Perspective, Systems Engineering Procedia, 2012, 3: 209-216.
航天長壽命產品可靠性建模與評估的Bayes信息融合方法.系統工程理論與實踐, 2012, 32(11): 2517-2522. （EI）
基於STIRPAT模型的湖南省環境污染物排放影響因素分析.湖南大學學報(社會科學版), 2012, (4): 87-90.
2011年：
GeMiBi: A general multiple sources information Bayesian fusion for performance evaluation and an application to HPC cluster, Engineering Failure Analysis, 2011, 18(6): 1465-1476.（SCI）
Performance Assessment of Decision Making Units Using FDEA-ARI Approach. Journal of Convergence Information Technology, 2011, 6(6): 189-201. （EI）
Application of Bayesian Networks in Dynamic Event Tree Analysis. Journal of Convergence Information Technology, 2011, 6(7): 340-348. （EI）
存在保證域的模糊超效率DEA模型.中國管理科學,2011, (6):156-162.
維納過程壽命預測的一種自助法.系統工程理論與實踐,2011, (8): 1588-1592. （EI）
金屬化膜電容器Gamma過程性能退化建模的自助法.高電壓技術,2011, (1): 198-202. （EI）
動量輪維納過程退化建模與壽命預測.航空動力學報,2011, (3): 622-627. （EI）
基於Agent不同交易制度下股利支付率對股價影響.系統工程, 2011, (10): 7-13.
2010年：
A comment on “A comment on ‘A fuzzy DEA/AR approach to the selection of flexible manufacturing systems”’ and “A fuzzy DEA/AR approach to the selection of flexible manufacturing systems”, Computers & Industrial Engineering, 2010, 59(4): 1019-1021.（SCI）
具有自學習功能的貝葉斯融合故障診斷方法.計算機套用研究,2010,05:1764-1766.
一種評價製造過程中產品質量特徵影響因素的模糊方法.南京信息工程大學學報(自然科學版),2010,03:267-273.
系統安全風險描述研究.中國安全科學學報,2010,07:49-54.
2009年：
An Implicit Method for Incorporating Bayesian Networks into Common Cause Analysis. Global Optimization: Theory, Methods & Applications I, 2009: 203-210.
Explicit Methods for Incorporating Bayesian Networks into Common Cause Analysis. Global Optimization: Theory, Methods & Applications I, 2009: 1062-1070.
機率安全評估方法綜述.系統工程學報,2009,06:725-733.
基於貝葉斯網路的動量輪可靠性建模與評估.系統工程與電子技術,2009,02:484-488. （EI）
貝葉斯網路在動量輪地面試驗可靠性分析中的套用.航空動力學報,2009,06:1321-1325. （EI）
動量輪在軌狀態可靠性貝葉斯網路建模與評估.航空學報,2009,06:1084-1089. （EI）
基於BDD的多態系統機率安全評估方法研究.系統工程學報,2009,03:380-384.
貝葉斯網路在多態系統可靠性分析中的套用.哈爾濱工業大學學報,2009,06:232-235.
基於隨機閾值的Gauss-Brown失效物理模型的動量輪可靠性評估.宇航學報,2009,05:2109-2115.（EI）
基於貝葉斯網路的事故序列分析.哈爾濱工業大學學報,2009,09:191-193+197.
2008年：
基於動態貝葉斯網路的動態故障樹分析.系統工程理論與實踐,2008,02:35-42. （EI）
存在房形事件的故障樹向貝葉斯網路的轉化.哈爾濱工業大學學報,2008,06:1001-1004. （EI）
攻擊機首次進入目標機率研究.系統工程與電子技術,2008,02:297-299. （EI）
基於動態事件樹的飛彈安全自毀系統安全性評估.火力與指揮控制,2008,04:37-40.
貝葉斯網路推理算法綜述.系統工程與電子技術,2008,05:935-939. （EI）
基於貝葉斯網路的多態故障樹分析方法.數學的實踐與認識,2008,19:89-95.
2007年：
基於離散時間貝葉斯網路的動態故障樹分析方法.西安交通大學學報,2007,06:732-736. （EI）
考慮人因的面向對象貝葉斯網路機率安全評估模型.核動力工程,2007,03:107-112. （EI）
基於Petri網的安全監控建模與實時安全分析.核動力工程,2007,04:91-96. （EI）
基於大規模貝葉斯網路的安全性分析算法.國防科技大學學報,2007,04:130-134.（EI）
2006年：
Design of Dynamic Systems Based on Dynamic Fault Trees and Neural Networks. IEEE International Conference on Automation Science and Engineering, 2006, 122-126.（EI）
Reliability Analysis of Multistate Systems Based on Bayesian Networks. IEEE International Conference and Workshop on the Engineering of Computer Based Systems, 2006, 344-349.（EI）
貝葉斯網路在可靠性分析中的套用.系統工程理論與實踐,2006,06:95-100. （EI）
基於貝葉斯網路的機率安全評估方法研究.系統工程學報,2006,06:636-643+667.
基於故障樹的系統安全風險實時監測方法.國防科技大學學報,2006,02:111-116.（EI）
2005年：
基於機率風險的系統安全性分析.國防科技大學學報,2005,01:98-101.（EI）
聚類回歸分析在FMS加工質量分析中的套用.自動化技術與套用,2005,08:15-16.
2004年：
Application of evidence theory in information fusion of multiple sources in bayesian analysis. Journal of Harbin Institute of Technology,2004,04:461-463. （EI）
主要科研項目：
[1]基於DEA的投資組合評價與投資策略最佳化研究. 國家自然科學基金. 2018-2021. 主持.
[2]大數據環境下的金融風險度量與預警研究.湖南省傑出青年科學基金. 2017-2019. 主持.
[3]不確定條件下的網路DEA模型及其套用研究. 國家自然科學基金. 2014-2017. 主持.
[4]基於貝葉斯網路的複雜系統安全風險評估方法及套用研究. 國家自然科學基金. 2010-2012. 主持.
[5]高維度、非線性、非平穩及時變金融數據建模和套用. 國家自然科學基金重點項目. 2015-2018.參與.
[6]經濟管理複雜系統中的建模、最佳化與決策研究.教育部創新團隊.2010-2012.參與.
研究領域
系統最佳化與決策、可靠性工程與質量管理、金融工程與風險管理、資源與環境管理
講授課程
運籌學、系統最佳化與決策理論、最佳化理論與技術、可靠性工程、數據模型與決策、投資學、管理學等。
科研成果
發表論文
1)Liu W, Zhou Z, Ma C, et al. Two-stage DEA models with undesirable input-intermediate-outputs. Omega, 2015, 56: 74-87.
摘要：Data envelopment analysis (DEA) is a non-parametric approach for measuring the relative efficiencies of peer decision making units (DMUs). Many studies have examined DEA efficiencies of two-stage systems, where all the outputs from the first stage are the only inputs to the second stage. Although single-stage DEA models with undesirable input-outputs have been extensively studied, there still lacks of more systematical investigation on two-stage DEA with undesirable variables. For instance, depending on its operating model, even whether an intermediate variable is desirable or undesirable can be questionable for a particular two-stage system. Furthermore, most of the existing studies on two-stage systems focus on the case where only the final outputs are undesirable. In this work, we try to systematically examine two-stage DEA models with undesirable input-intermediate-outputs. Particularly, we utilize the free-disposal axioms to construct the production possibility sets (PPS) and the corresponding DEA models with undesirable variables. The proposed models are then used to illustrate some theoretical perspectives by using the data of China’s listed banks.
2)Liu W, Zhou Z, Liu D, et al. Estimation of portfolio efficiency via DEA. Omega, 2015, 52: 107-118.
摘要：Traditional DEA models and nonlinear (diversification) DEA models are often used in performance evaluation of portfolios. However, the diversification models are usually very complicated to compute except the very basic models. And the classic DEA models still need to be further justified and tested, since it is not clear whether they are over-linearised according to the diversification models. The existing studies on performance evaluation via the classic DEA models generally focus on the selection of inputs and outputs. In this work, we investigate theoretical foundation of DEA models for portfolios from a perspective of sampling portfolio. We show the classic DEA provides an effective and practical way to approximate the portfolio efficiency (PE). We further verify this approach through different portfolio models with various frictions and bounds on the market. Through the comprehensive simulations carried out in this study, we show that with adequate data sets, the classic DEA models can effectively sample portfolios to take into account sufficient diversification, and thus can be used as an effective tool in computing the PE for their performance assessments. This study can be viewed as a justification of the classic DEA performance assessments and the way to introduce other efficiency notions (like allocation efficiency, scale efficiency, etc) into assessment of portfolios.
3)Zhou Z, Xiao H, Yin J, et al. Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows. Insurance: Mathematics and Economics, 2016, in press.
摘要：In this paper, we propose a multi-period portfolio optimization model with stochastic cash flows. Under the mean-variance preference, we derive the pre-commitment and time-consistent investment strategies by applying the embedding scheme and backward induction approach, respectively. We show that the time-consistent strategy is identical to the optimal open-loop strategy. Also, under the exponential utility preference, we develop the optimal strategy for multi-period investment, which is time-consistent. We show that the above two time-consistent strategies are equivalent in some cases. We compare the pre-commitment and time-consistent strategies under different situations with some numerical simulations. The results indicate that the time-consistent strategy is more stable and secure than pre-commitment strategy under the generalized mean-variance criterion.
4)Zhou Z, Wang M, Ding H, et al. Further study of production possibility set and performance evaluation model in supply chain DEA. Annals of Operations Research, 2013, 206(1): 585-592.
摘要：Performance evaluation is an importance issue in supply chain management. Yang et al. (Ann. Oper. Res. 38(6):195–211, 2011) defined two types of supply chain production possibility sets and proved the equivalence between them. Based on the sub-perfect CRS production possibility set, they proposed a supply chain DEA model to appraise the overall technical efficiency of supply chains. The relationship among efficiency scores of the proposed model, CCR models of system and subsystems are discussed. However, we find that the equivalence between the two types of supply chain production possibility sets is not correct. The proofs of their three theorems are all problematic. In this paper, we correct some results and give three new proofs.
5)Zhou Z, Liu W. DEA Models with Undesirable Inputs, Intermediates, and Outputs. Data Envelopment Analysis. Springer US, 2015: 415-446.
摘要：In real applications involving the use of Data Envelopment Analysis (DEA) models, undesirable inputs and outputs have been frequently encountered and addressed, e.g., via data transformation. These studies were scattered in the literature and often confined to some particular applications. In this paper, we present a systematic investigation concerning the building of DEA models. First, we describe the desirability of inputs and outputs, as well as the disposability assumptions in the presence of undesirable inputs and outputs. Next we construct a number of DEA models with different disposability assumptions and performance measures for the case of single-stage DEA. Next, we try to systematically investigate two-stage DEA models with undesirable inputs, intermediates and outputs. Particularly, we utilize the free-disposal axioms to construct the production possibility sets and the corresponding DEA models with undesirable inputs, intermediates, and outputs.
6)Zhou Z, Xiao H, Deng Y. Markov-dependent risk model with multi-layer dividend strategy. Applied Mathematics and Computation, 2015, 252: 273-286.
摘要：In this paper, we propose a Markov-dependent risk model with multi-layer dividend strategy in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. A system of piecewise integro-differential equations with boundary conditions satisfied by the Gerber–Shiu function, with given initial environment state, is derived. The closed form expression of the Gerber–Shiu function is obtained when all the claim amount distributions belong to the rational family. Also, we adopt the Chebyshev polynomial approach to find the approximate solution of the integro-differential equation. The numerical simulation results show the effectiveness of the proposed methods.
7)Zhou Z, Zhao W, Lui S, et al. A FUZZY NON-RADIAL DATA ENVELOPMENT ANALYSIS (DEA) APPROACH TO MEASURE REGIONAL ENVIRONMENTAL PERFORMANCE OF CHINA. Environmental Engineering & Management Journal (EEMJ), 2015, 14(4).
摘要：Data envelopment analysis (DEA) has been recently utilized as a multiple criteria tool for environmental performance evaluation by incorporating undesirable outputs. Most DEA models to measure environmental performance follows the assumptions of crisp data and radial measures. In this paper, we present a fuzzy non-radial DEA approach with Russell measure for environmental performance evaluation. A pair of bi-level mathematical programs is formulated to calculate the lower and upper bounds of the fuzzy efficiency score of the environmental efficiency at specific levels. We transform this pair of bi-level mathematical programs into a pair of conventional linear programs. A case study of 29 provinces, municipalities and autonomous regions of China using the proposed fuzzy non-radial DEA approach is also presented.
8)Zhou Z, Sun L, Yang W, et al. A bargaining game model for efficiency decomposition in the centralized model of two-stage systems. Computers & Industrial Engineering, 2013, 64(1): 103-108.
摘要：Data envelopment analysis (DEA) is a non-parametric approach for measuring the relative efficiencies of peer decision making units (DMUs). The centralized model has been widely used to examine the efficiencies of two-stage systems, where all the outputs from the first stage are the only inputs to the second stage. Since there may exist some flexibility in decomposing the overall efficiency between the two stages when multiple optimal weights exist, we develop a Nash bargaining game model to obtain a fair efficiency decomposition for the two stages while keeping the overall efficiency unchanged under this circumstance. The minimal achievable efficiencies for the two stages are used as the breakdown point and the unique bargaining decomposition of the overall efficiency is obtained subsequently. The Nash bargaining game model is applied to evaluate the performance of 10 branches of China Construction Bank.
9)Zhou Z, Zhao L, Lui S, et al. A generalized fuzzy DEA/AR performance assessment model. Mathematical and Computer Modelling, 2012, 55(11): 2117-2128.
摘要：Data envelopment analysis (DEA) is a non-parametric approach for performance assessment of a set of homogeneous decision making units (DMUs), which use similar inputs to produce similar outputs. Crisp data are commonly used in traditional DEA models. However, inputs and outputs have been observed whose values are imprecise in many cases. Meanwhile, the weights of inputs and outputs must be maintained in some ranges for the production mechanisms to work in reality. In this paper, a generalized fuzzy DEA model with assurance regions (GFDEA/AR) is proposed. Two linear programming models to determine the lower and upper bounds of fuzzy efficiency scores under given α levels is proposed. The proposed GFDEA/AR model is then used to evaluate the performance of manufacturing enterprises in different cases.
10)Zhou Z, Lui S, Ma C, et al. Fuzzy data envelopment analysis models with assurance regions: a note. Expert Systems with Applications, 2012, 39(2): 2227-2231.
摘要：In a recent paper in this journal by Liu and Chuang [Liu, S. -T., & Chuang, M. (2009). Fuzzy efficiency measures in fuzzy DEA/AR with application to university libraries. Expert Systems with Applications, 36(2), 1105–1113]. Proposition 1 is proved for finding lower and upper bounds of the -cut of . However, we find that the above proof omit the verification of constraints of assurance regions and the models (11) and (12) omit the constraints of DMUr, which makes it incredible.
In this paper, we correct the models and proof of Proposition 1 in Liu and Chuang (2009). We also propose a generalized fuzzy data envelopment model with assurance regions, whose lower and upper bounds at given levels could be obtained similarly.
11)Xiong J, Chen Y, Zhou Z. RESILIENCE ANALYSIS FOR PROJECT SCHEDULING WITH RENEWABLE RESOURCE CONSTRAINT AND UNCERTAIN ACTIVITY DURATIONS. MANAGEMENT, 2016, 12(2): 719-737.
摘要： In the real world, project construction usually suffers various uncertain factors. Traditionally, uncertainty is modelled as either random variables or dynamic events. This paper addresses the case that the information about uncertainty is partially known when developing project schedules. The concept of resilience is introduced into project scheduling problems with resource constraint to measure a schedule’s ability to absorb possible perturbation. The definition of resilience is given based on project equilibriums. Since the calculation of resilience is time intensive, a new surrogate measure is proposed to indicate schedule resilience. Correlation analysis between resilience and proposed surrogate measure is carried out. The experimental results suggest that the proposed surrogate measure is more appropriate to indicate resilience than makespan or total free slack.
12)Jin G, Matthews D E, Zhou Z. A Bayesian framework for on-line degradation assessment and residual life prediction of secondary batteries inspacecraft. Reliability Engineering & System Safety, 2013, 113: 7-20.
摘要：The paper presents a Bayesian framework consisting of off-line population degradation modeling and on-line degradation assessment and residual life prediction for secondary batteries in the field. We use a Wiener process with random drift, diffusion coefficient and measurement error to characterize the off-line population degradation of secondary battery capacity, thereby capturing several sources of uncertainty including unit-to-unit variation, time uncertainty and stochastic correlation. Via maximum likelihood, and using observed capacity data with unknown measurement error, we estimate the parameters in this off-line population model. To achieve the requirements for on-line degradation assessment and residual life prediction, we exploit a particle filter-based state and static parameter joint estimation method, by which the posterior degradation model is updated iteratively and the degradation state of an individual battery is estimated at the sametime.
A case study of some Li-ion type secondary batteries not only shows the effectiveness of our method, but also provides some useful insights regarding the necessity of on-line updating and the apparent differences between the population and individual unit degradation modeling and assessment problems.
13)Hall M J B, Liu W B, Simper R, et al. The economic efficiency of rehabilitative management in young offender institutions in England and Wales. Socio-Economic Planning Sciences, 2013, 47(1): 38-49.
摘要：In the light of the UK Government's call for efficiency savings across all departments, including the Criminal Justice System, this paper attempts to shed some light on how cost savings can best be secured in the running of Young Offender Institutions (YOIs) in England and Wales. It does this by identifying ‘best practice’ YOIs using recently-developed Data Envelopment Analysis that caters for both good and undesirable outputs (such as assaults and testing positive for illicit drugs by inmates), thereby allowing policymakers to deliver cost savings through the spread of management techniques adopted by benchmark YOIs. The study also analyses the size-efficiency relationship for YOIs in England and Wales and finds that, although the smallest institutions are typically the most efficient, the size-efficiency relationship is quite complex. This calls into question the Government's wisdom of building “titan” prisons in England and Wales which, perversely, might decrease the efficiency of rehabilitating young offenders.
14)Jin G, Liu Q, Zhou J, et al. RePofe: Reliability physics of failure estimation based on stochastic performance degradation for the momentum wheel. Engineering Failure Analysis, 2012, 22: 50-63.
摘要：Momentum Wheel (MW) is the critical component for long life satellites. The reliability test, prediction and estimation of MW is of enormous challenges because of the special characteristics of small sample, long life and high test cost. Since it is impossible to obtain a large sample of failure data given limited money and time, the traditional statistical methods usually fail to resolve the reliability assessment problem of MW, and the efficient estimation of its reliability level can hardly be acquired. To address this problem, a novel reliability estimation framework in terms of physics of failure is advanced in this article, which is essentially based on the relationship between the MW’s physics performance and its failure mechanisms. According to the actual physics of failure test and engineering analysis, a stochastic threshold Gauss–Brown process model is established to describe MW’s failure process, and then a detailed parameter estimation method for the model is put forward. Finally, the effectiveness of our model is demonstrated through numerical computation based on the test data.
15)Ding H, Zhou Z, Xiao H, et al. Performance Evaluation of Portfolios with Margin Requirements. Mathematical Problems in Engineering, 2014, 2014:1-8.
摘要：In financial markets, short sellers will be required to post margin to cover possible losses in case the prices of the risky assets go up. Only a few studies focus on the optimization and performance evaluation of portfolios in the presence of margin requirements. In this paper, we investigate the theoretical foundation of DEA (data envelopment analysis) approach to evaluate the performance of portfolios with margin requirements from a different perspective. Under the mean-variance framework, we construct the optimization model and portfolio possibility set on considering margin requirements. The convexity of the portfolio possibility set is proved and the concept of efficiency in classical economics is extended to the portfolio case. The DEA models are then developed to evaluate the performance of portfolios with margin requirements. Through the simulations carried out in the end, we show that, with adequate portfolios, DEA can be used as an effective tool in computing the efficiencies of portfolios with margin requirements for the performance evaluation purpose. This study can be viewed as a justification of DEA into performance evaluation of portfolios with margin requirements.
16)Guo J, Ma C, Zhou Z. Performance evaluation of investment funds with DEA and higher moments characteristics: Financial Engineering perspective. Systems Engineering Procedia, 2012, 3: 209-216.
摘要：With the development of funds market, the research of funds performance evaluation are becoming an important topic in the field of financial engineering. In the previous research, performance evaluation of investment funds was based on some typical hypothesis, and higher moment of the assets return was mostly neglected. However, a great amount of research, both theoretical and empirical, has supported the existence of nonnormality of portfolio return and the important role of higher moments of return in the investors’ utility. This has led to widespread suspicion of the validity of the traditional evaluation methodology. In this paper, data envelopment analysis (DEA) is used to evaluate the performance of the funds in the consideration of higher moments. The results show that the evaluation score is related to the utility preference of the investors, which indicates that the evaluation results are more realistic and consistent with the investors’ preference.
17)Simper R, Hall M J B, Liu W B, et al. How relevant is the choice of risk management control variable to non-parametric bank profit efficiency analysis? The case of South Korean banks. Annals of Operations Research, 2015: 1-23.
摘要：Adopting a profit-based approach to the estimation of the efficiency of South Korean banks over the 2007Q3 to 2011Q2 period, we systematically analyse, within a non-parametric DEA analysis, how the choice of risk management control variable impacts upon such estimates. This is in recognition of previous findings that such estimates are dependent on the choice of risk management control variable and the lack of guidance from such studies on the optimal choice of risk control variable. Using the model of Liu et al. (Ann Operat Res 173:177–194, 2010), we examine the dependency of the estimated efficiency scores on the chosen risk control variables embracing loan loss provisions and equity as good inputs and non-performing loans as a bad output. We duly find that, both for individual banks and banking groups, the mean estimates are indeed model dependent although, for the former, rank correlations do not change much at the extremes. Based on the application of the Simar and Zelenyuk (Econom Rev 25:497–522, 2006) adapted Li (Econom Rev 15: 261–274, 1996) test, we then find that, if only one of the three risk control variables is to be included in such an analysis, then it should be loan loss provisions. We also show, however, that the inclusion of all three risk control variable is to be preferred to just including one, but that the inclusion of two such variables is about as good as including all three. We therefore conclude that the optimal approach is to include (any) two of the three risk control variables identified. The wider implication for research into bank efficiency is that the optimal choice of risk management control variable is likely to be crucial to both the delivery of risk-adjusted estimates of bank efficiency and the specification of the model to be estimated.
18)周忠寶, 劉佩, 喻懷寧等. 考慮交易成本的多階段投資組合評價方法研究. 中國管理科學, 2015, 23(5): 1-6.
摘要：多階段投資組合評價是目前研究的熱點問題,本文將交易成本考慮進去,構建了考慮交易成本的多階段投資組合最佳化模型,基於真實前沿面定義了投資組合的效率並構建了相應的非線性模型進行計算。針對非線性模型難以求解及真實前沿面解析解難以獲得等問題,本文證明了前沿面函式為凹函式,進而利用DEA模型的前沿面來逼近真實前沿面並估計多階段投資組合的效率,最後通過仿真分析驗證了本文方法的有效性。
19)周忠寶, 喻懷寧, 馬超群等. 基於自由處置性的網路系統效率評價模型研究. 中國管理科學, 2015, 11: 018.
摘要：網路系統生產可能集是構建網路DEA模型的基礎,而相鄰生產子過程的投入產出連線條件則是構造生產可能集的關鍵。現有的網路DEA模型在本質上都假設所有子過程的投入產出都滿足強自由處置性,然而在實際生產管理活動中,這一假設未必成立。本文從各類自由處置公理出發,系統地研究了各種類型的子過程投入產出連線條件,構建了一般網路系統的生產可能集,給出了相應的等價形式,並構建了相應的網路DEA模型用於評價決策單元的效率。最後利用本文提出的方法和模型對我國上市銀行的效率進行了評價。本文的研究對於一般網路系統的績效評價和改進具有重要的意義。
20)周忠寶,厲海濤,劉學敏等. 航天長壽命產品可靠性建模與評估的Bayes信息融合方法. 系統工程理論與實踐,2012,11:2517-2522.
摘要：針對航天長壽命產品在研製、生產、試驗和使用過程中,存在大量的性能退化數據和少量壽命數據的特點,給出了融合性能退化數據和壽命數據獲取其壽命分布的一種Bayes方法,以及利用其性能退化參數來進行可靠性評估的方法.首先,根據Fisher信息量確定維納過程漂移參數和擴散參數的無信息驗前分布;然後,利用性能退化數據結合其性能退化的獨立高斯增量特點,獲取參數的第一次驗後分布,利用壽命數據結合其壽命的逆高斯分布獲取參數的第二次驗後分布;最後,利用漂移參數和擴散參數的驗後分布,對產品進行了可靠性評估.本文模型充分利用了性能數據和壽命數據,在很大程度上提高了評估的精度.
21)周忠寶, 丁慧, 馬超群等. 考慮交易成本的投資組合效率估計方法. 中國管理科學, 2015, 23(1): 25-33.
摘要：投資組合績效評價是學術界研究的熱點問題。本文在經典的經濟學框架下,基於真實前沿面,給出了投資組合效率的明確定義。由於實際投資環境的影響,投資組合最佳化模型非常複雜,難以獲得真實前沿面的解析解,這給投資組合效率的套用帶來了很大的困難。本文基於投資組合理論,在投資組合模型所對應的前沿面為凹函式的情況下,採用基於數據的投資組合DEA評價模型構造前沿面來逼近真實的前沿面,從而估計一般情形下投資組合的效率。在此基礎上研究了考慮交易成本的投資組合效率評價問題,並用實例說明了本文方法的合理性與可行性。
22)周忠寶, 孫亮, 劉德彬等.存在保證域的模糊非徑向偏好DEA模型——基於中科院24個研究所的實證分析.中國管理科學, 2014, 22(2): 75-84.
摘要：數據包絡分析（DEA）是一種非參數化的方法，用於評價具有類似輸入和輸出的決策單元的效率。傳統的非徑向DEA模型假設輸入和輸出數據均為準確值，且對權重變數不加以限制，本文構建了存在保證域的模糊非徑向偏好DEA模型，並給出了一種基於模糊數截集的模型求解方法，有效地解決了輸入和輸出全部或部分為模糊數的決策單元評價問題。最後給出了一個中科院研究所效率評價的實例說明了方法的有效性。
23)劉德彬, 馬超群, 周忠寶等. 存在非期望輸入輸出的多階段系統效率評價模型. 中國管理科學, 2015, 4: 016.
摘要: 現有多階段DEA模型的研究普遍假設所有輸入、輸出均為期望指標, 對存在非期望指標的情況研究較少, 尚無對最初投入和中間產出帶有非期望指標的研究。為此, 本文首先提出了輸入、輸出類型的判定方法, 並將其套用於存在非期望輸入、輸出的兩階段系統。進一步針對存在非期望指標的兩階段生產系統中同種輸入、輸出, 尤其中間產出類型判定一致與不一致的情況, 構建了相應的生產可能集以及兩階段DEA模型, 最後利用本文方法和模型對我國上市銀行效率進行了評價。
24)楊文昱, 馬超群, 周忠寶. 伊藤半鞅框架下資產價格動態模型的非參數設定檢驗——基於滬深300股指期貨超高頻數據的分析. 系統工程, 2015, 33(10): 108-114.
摘要：模型設定檢驗是診斷資產價格動態過程模型誤差的主要手段．對於動態投資組合最佳化、衍生品定價、風險管理等金融決策至關重要。本文採用非參數模型設定檢驗方法在伊藤半鞅框架下研究滬深300股指期貨價格過程。基於滬深300股指期貨超高頻價格數據的實證結果表明，滬深300股指期貨價格過程包含擴散項、有限活動跳躍項以及無限活動跳躍項。該結論對於以滬深300股指期貨為工具的風險對沖和高頻交易等投資活動以及以滬深300股指期貨為標的資產的衍生品設計有重要指導意義。
25)於強,周忠寶,趙立婷. 基於STIRPAT模型的湖南省環境污染物排放影響因素分析. 湖南大學學報(社會科學版),2012,04:87-90.
摘要：人口、經濟(人均GDP和第二產業產值比重)及技術(城市化率和能源強度)等影響因素是污染物(COD和SO2)排放量的主要影響因素。因此STIRPAT模型分析認為湖南省主要污染物的排放量受全省人口、經濟、技術等多方面因素的影響,其中人口規模影響作用最大,能源強度次之,其它因素的直接影響較小。
研究項目
[1]基於貝葉斯網路的複雜系統安全風險評估方法及套用研究. 國家自然科學及基金. 2010-2012. 項目主持人.
[2]不確定條件下的網路DEA模型及其套用研究. 國家自然科學及基金. 2014-2017. 項目主持人.
