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运筹学学报 >

2015 , Vol. 19 >Issue 3: 18 - 25

DOI: https://doi.org/10.15960/j.cnki.issn.1007-6093.2015.03.003

运筹学

国际原油价格预测的双层随机整数规划模型、算法及应用

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  • 1. 大连理工大学数学科学学院, 辽宁 大连, 116024；2. 中国石油集团经济技术研究院, 北京, 100724； 3. 大连理工大学能源与动力学院, 辽宁大连, 116024；4. 大连民族大学理学院, 辽宁大连, 116600

收稿日期: 2015-04-15

  网络出版日期: 2015-09-15

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International crude prices forecast of double random integer programming model,algorithm and application

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  • 1. School of Mathematical Sciences, Dalian University of Technology, Dalian 116024, Liaoning, China; 2. Economics and Technology Research Institute, China National Petroleum Corporation, Beijing 100724, China; 3. School of Energy and Power Engineering, Dalian University of Technology, Dalian 116024, Liaoning, China; 4. College of Sciences, Dalian Nationalities University, Dalian 116600, Liaoning, China  

Received date: 2015-04-15

  Online published: 2015-09-15

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摘要

根据国际原油价格近期数据及原油价格变化量,给出了国际原油价格改变量的状态转移概率(或频率)矩阵.依此提出以国际原油价格预测误差的期望与方差最小为最优目标,建立国际原油价格预测的双层随机整数规划,并论述该优化问题最优解的存在性, 根据约束特性构造了优化算法.同时按照国内现行成品油定价机制, 提出的优化算法,对国内成品油调价进行了预测,实证分析表明提出的模型与优化算法具有一定的预测精度和较好的实用性.

关键词： 随机整数规划; 原油价格预测; 离散优化算法

本文引用格式

董振宇, 冯恩民, 尹洪超, 张誉铎 . 国际原油价格预测的双层随机整数规划模型、算法及应用[J]. 运筹学学报, 2015 , 19(3) : 18 -25 . DOI: 10.15960/j.cnki.issn.1007-6093.2015.03.003

Abstract

According to the international price of crude oil and its change of recent data,  we give the matrix of the amount of international crude oil prices change state transition probability (or frequency). According to the international crude oil price forecasting error minimum expectation and variance as the optimal target, taking the international crude oil price forecasting error minimum expectation and variance as the optimal index, a double random integer programming model to predict the price of international crude oil is proposed. Then  we discuss the existence of optimal solution. According to the constraint characteristics optimization algorithm is constructed.  At the same time, according to the current domestic refined oil pricing mechanism,  we predict the domestic refined oil price adjustment  by applying the  optimization algorithm which is proposed in this paper. The empirical analysis shows that the model in this paper is of certain accuracy and practicability of the optimization algorithm.

Key words： random integer programming; crude oil price forecast; discrete optimization algorithm

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