|办 公 室：||工商管理学院|
近年来，在OMEGA-International Journal of Management Science、IEEE Transactions on Evolutionary Computation、Reliability Engineering and System Safety、Annals of Operations Research、管理科学学报、中国管理科学等期刊发表论文50余篇，出版专著2部、国家级规划教材1部。
1995.09-1999.07 国防科技大学 应用数学专业 理学学士
2000.09-2002.12 国防科技大学 管理科学与工程专业 工学硕士
2003.03-2006.12 国防科技大学 控制科学与工程专业 工学博士
2009.04-2011.10 湖南大学 管理科学与工程专业 博士后
2011.07-2012.07 多伦多大学 管理科学与工程专业 访问学者
Estimation of Portfolio Efficiency via DEA, OMEGA, In Press. (SCI, SSCI)
Performance Evaluation of Portfolios with Margin Requirements,” Mathematical Problems in Engineering, Volume 2014, Article ID 618706. doi:10.1155/2014/618706. (SCI)
Further Study of Production Possibility Set and Performance Evaluation Model in Supply Chain DEA, Annals of Operations Research, 2013. (SCI)
A Bayesian framework for on-line degradation assessment and residual life prediction of secondary batteries inspacecraft, Reliability Engineering & System Safety, Volume 113, May 2013, Pages 7-20, ISSN 0951-8320, 10.1016/j.ress.2012.12.011.（SCI）
A bargaining game model for efficiency decomposition in the centralized model of two-stage systems, Computers & Industrial Engineering, Volume 64, Issue 1, January 2013, Pages 103-108, ISSN 0360-8352, 10.1016/j.cie.2012.09.014. （SCI）
A fuzzy non-radial DEA approach to measure regional environmental performance of China. Environmental Engineering and Management Journal, In Press. (SCI)
The economic efficiency of rehabilitative management in young offender institutions in England and Wales, Socio-Economic Planning Sciences, Volume 47, Issue 1, March 2013, Pages 38-49, ISSN 0038-0121, 10.1016/j.seps.2012.10.002.
A generalized fuzzy DEA/AR performance assessment model, Mathematical and Computer Modelling, Volume 55, Issues 11–12, June 2012, Pages 2117-2128, ISSN 0895-7177, 10.1016/j.mcm.2012.01.017. （SCI）
Fuzzy data envelopment analysis models with assurance regions: A note, Expert Systems with Applications, Volume 39, Issue 2, 1 February 2012, Pages 2227-2231, ISSN 0957-4174, 10.1016/j.eswa.2011.08.070. （SCI）
RePofe: Reliability physics of failure estimation based on stochastic performance degradation for the momentum wheel, Engineering Failure Analysis, Volume 22, June 2012, Pages 50-63, ISSN 1350-6307, 10.1016/j.engfailanal.2011.12.004. （SCI）
Performance Evaluation of Investment Funds with DEA and Higher Moments Characteristics: Financial Engineering Perspective, Systems Engineering Procedia, Volume 3, 2012, Pages 209-216, ISSN 2211-3819, 10.1016/j.sepro.2011.10.033.
GeMiBi: A general multiple sources information Bayesian fusion for performance evaluation and an application to HPC cluster, Engineering Failure Analysis, Volume 18, Issue 6, September 2011, Pages 1465-1476, ISSN 1350-6307, 10.1016/j.engfailanal.2011.04.012. （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）
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, Volume 59, Issue 4, November 2010, Pages 1019-1021, ISSN 0360-8352, 10.1016/j.cie.2010.07.027. （SCI）
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.
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）
Application of evidence theory in information fusion of multiple sources in bayesian analysis. Journal of Harbin Institute of Technology,2004,04:461-463. （EI）
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)周忠宝, 刘佩, 喻怀宁等. 考虑交易成本的多阶段投资组合评价方法研究. 中国管理科学, 2015, 23(5): 1-6.
19)周忠宝, 喻怀宁, 马超群等. 基于自由处置性的网络系统效率评价模型研究. 中国管理科学, 2015, 11: 018.
20)周忠宝,厉海涛,刘学敏等. 航天长寿命产品可靠性建模与评估的Bayes信息融合方法. 系统工程理论与实践,2012,11:2517-2522.
21)周忠宝, 丁慧, 马超群等. 考虑交易成本的投资组合效率估计方法. 中国管理科学, 2015, 23(1): 25-33.
22)周忠宝, 孙亮, 刘德彬等.存在保证域的模糊非径向偏好DEA模型——基于中科院24个研究所的实证分析.中国管理科学, 2014, 22(2): 75-84.
23)刘德彬, 马超群, 周忠宝等. 存在非期望输入输出的多阶段系统效率评价模型. 中国管理科学, 2015, 4: 016.
摘要: 现有多阶段DEA模型的研究普遍假设所有输入、输出均为期望指标, 对存在非期望指标的情况研究较少, 尚无对最初投入和中间产出带有非期望指标的研究。为此, 本文首先提出了输入、输出类型的判定方法, 并将其应用于存在非期望输入、输出的两阶段系统。进一步针对存在非期望指标的两阶段生产系统中同种输入、输出, 尤其中间产出类型判定一致与不一致的情况, 构建了相应的生产可能集以及两阶段DEA模型, 最后利用本文方法和模型对我国上市银行效率进行了评价。
24)杨文昱, 马超群, 周忠宝. 伊藤半鞅框架下资产价格动态模型的非参数设定检验——基于沪深300股指期货超高频数据的分析. 系统工程, 2015, 33(10): 108-114.
25)于强,周忠宝,赵立婷. 基于STIRPAT模型的湖南省环境污染物排放影响因素分析. 湖南大学学报(社会科学版),2012,04:87-90.
基于贝叶斯网络的复杂系统安全风险评估方法及应用研究. 国家自然科学及基金. 2010-2012. 项目主持人.
不确定条件下的网络DEA模型及其应用研究. 国家自然科学及基金. 2014-2017. 项目主持人.