Обложка Емельянов С.В. Труды ИСА РАН: Методы и модели системного анализа. Управление рисками и безопасностью. Оценка эффективности и инвестиционных проектов
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Труды ИСА РАН: Методы и модели системного анализа. Управление рисками и безопасностью. Оценка эффективности и инвестиционных проектов. Т.61. Вып.1

URSS. 2011. 80 с. Мягкая обложка. ISBN 978-5-396-00368-2.

Методы и модели системного анализ
Интегрированный подход к разработке общей модели функционирования систем физической защиты объектов
 А.С.Боровский, А.Д.Тарасов
Модели и алгоритмы стохастической микродинамики (обзор и некоторые задачи)
 М.А.Двуреченская, А.Ю.Попков, Ю.С.Попков, Е.Ю.Шкловский
Системный подход к моделированию конкурентоспособности
Энтропийные методы анализа информации
 И.М.Макаров, А.А.Ахрем, В.З.Рахманкулов, Т.Л.Вашевник, Р.Ю.Филюков
Метод разметки стохастического временного ряд
 С.И.Колесникова, А.Н.Мертвецов
Управление рисками и безопасностью
О классификации рисков в электроэнергетике
Два вида финансовых рисков
Оценка эффективности инвестиционных проектов
Оптимальные инвестиционные портфели с учетом групповых выплат
 Е.М.Бронштейн, Г.Р.Муслимова
Универсальные многофакторные регрессионные модели коммерческой результативности инноваций в России
 В.А.Андреев, Д.А.Чупикин


Methods and models of systems analysis

Integrated approach to developing a operating model systems of physical protection of objects

A. S. Borovskiy, A. D. Tarasov

Abstract: It is describing method to creation ma-thematical models of system of physicals defense operation as a process of integration of sets, basic on theory of sets, fuzzy sets theory and Analytic Hierarchy Process.

Keywords: set, fuzzy set, relation of sets, fuzzy relation, composition of relations, Analytic Hierarchy Process.

Models for stochastic microdynamics (survey and some problems)

M. A. Dvurechenskaya, A. Y. Popkov, Y. S. Popkov, E. Y. Shklovskiy

Abstract: This paper sets out the conceptual frame-work for processes of stochastic microdynamics and establishes the technological platform which is a tool for their research. Stochastic microdynamics is treated as generalization of molecular dynamics to multi-particle systems with stochastic behavior of their particles. A survey of molecular dynamics me-thods and Monte Carlo experiments is presented. Models of stochastic microdynamics and transformations from microstates to macrostates are proposed. Some attention is paid to problems for further research.

Keywords: microdynamics, macrodynamics, macrosystem, stochastic processes, molecular dynamics, Monte Carlo method, equilibrium, entropy, computer simulation.

Systematic approach to modeling the competitive

D. A. Kulitskiy

Abstract: State the mechanism of formation of comїpetitive products and results of modeling of compeїtitiveness for the five companies on a number of indicators using the rules of as well as calculation of the integral index of com-peїtitiveness and its application for analysis of com-petitive advantage. Systematic approach allows the various parties to approach this problem, identify the main patterns and make an assessment of com-petitiveїness, as the characteristics of enterprise pro-duction.

Keywords: model, competitiveness, system regularity, polygonal figure of competitiveness.

Entropy methods of analysis of information

I. M. Makarov, A. A. Akhrem, V. Z. Rakhmankulov, T. L. Vashevnick, R. U. Filukov

Abstract: Basic quantitative characteristics of alge-braic theory of information - entropy and measure of information are studied in this paper. The exam-ples of calculation of entropy and measure of infor-mation for various types of information are given.

Keywords: lattices of data and knowledge, entropy, measure of lattice information.

Method of marking of stochastic time series

S. I. Kolesnikova, A. N. Mertvetsov

Abstract: A problem of recognition of dynamic sys-tem state is considered. Method of marking of sto-chastic time series and according algorithm of marking of it are given. The method in forming of features of dynamic system state and states recognition is used. A simulation model data and data of applied problem solution on the base of the marking method are given.

Keywords: stochastic time series, marking of sto-chastic time series, autoregressive model, structural identification, quality of algorithm.

Risk Management and Safety

On the classification of risks in the electricity

A. S. Orlovskiy

Abstract: In the article we identify, consider and classify general-system risks and risks specific to generating and retail companies on Russia's power market. The goal of the article is to mark out key risks, evaluate and justify their significance and realization probability. The result of the article is the material applicable for risk matrix building that could be used by persons and organisations related to Rus-sia's power market.

Keywords: power market, risks classification, risk management.

Two types of financial risks

V. N. Kostuck

Abstract: The article differentiates between classic-al equilibrium (efficient) market and fractal equili-brium (efficient) market. Each of them corresponds to its type of probability distribution. This is normal probability distribution for the classical efficient market and power probability distribution for the fractal efficient market. The crucial distinction be-tween these distributions is shown in the article, as well as between the standard theory of investment in financial assets and W. Buffet investment theory.

Keywords: Normal probability distribution, power probability distribution, financial crisis of the first type, financial crisis of the second type, fractal equilibrium of the market, Buffet investment theory, firm value according to Modigliani-Miller.

Estimation of investment projects efficiency

Optimal investment projects portfolios with account group payments

E. M. Bronshtein, G. R. Muslimova

Abstract: The paper deals with a problem of the forming an optimal investment portfolio consisting of investment projects, when cash flows are defined for certain groups of projects. The opportunity of loan of means is considered. Efficiency of applica-tion of evolutionary algorithm and the simplified method of branches and borders in comparison with earlier considered exact algorithms is investigated.

Keywords: optimal portfolio, investment projects, branch-and-bound algorithm, evolutionary algo-rithm.

Versatile multi-factor regression models of commercial performance of innovation in Russia

V. A. Andreev, D. A. Chupikin

Abstract:The article is devoted to increase the com-mercial effectiveness of innovations in the real economy in Russia, the key factors of external and internal innovation environment that determine the success of new developments are established. Logis-tic and linear regression models with high accuracy of forecasting are offered in order to assess the probability of commercial success of industrial innovations, use of which is appropriate at the selection stage of innovative projects, or the formation of their portfolio.

Keywords: performance, R&D, innovation, success factors, product development project, forecasting models.