基于动态模型的油田勘探开发项目的投资优化_闫伟.pdfVIP

2006 年 第30 卷 中国石油大学学报( 自然科学版) Vol. 30 No. 6 第6 期 Journal of China Universit of Petroleum Dec. 2006 : 1673-5005( 2006) 06-014 1-04 基于动态模型的油田勘探开发项目的投资优化 闫 伟 ( 中国石油大学 信息与控制工程学院, 山东 东营 25706 1) : , , ( LQ) ( HJB) , LQ HJB , , : ; ; ; ; : T E 213 : A Portfolio in oilfield exploitation and devel opment based on dynamic model YAN Wei ( College of I nf ormation and Control Engineering in China University of Petroleum, Dongying 25706 1, Shandong Province, China) Abstract: A d namic model for portfolio of oilfield exploitation and development w as established b using mean-variance cri- terion. The model is concerned w ith a stochastic linear-quadratic ( LQ) control problem. The corresponding Hamilton-Jaco- b-i Bellman ( HJB) equation of the problem was presented. And the solut ion of t he stochastic HJB equation w as demonstrat- ed with stochastic LQ control theor . The protfolio in exploitation and development of certain oil field was researched b us- ing the model. T he efficient frontier and optimal strategies of t he investment were obtained. Key words: oilfield exploitation and development; portfolio ; d namic model; mean-variance criterion; efficient frontier , , , , , 1 1. 1 n , i M arkowitz ( ( NPV) S i ( t) , ) [ 1] : n j dS ( t ) = S ( t) { ( t ) d( t ) + ( t) d W ( t) } , i i i ij , j = 1 [ 2]