Assessing the predictive effectiveness of the variety seeking and reinforcement models

Prediction of customer choice behaviour has been a big challenge for marketing researchers. They have adopted various models to represent customers purchase patterns. Some researchers considered simple zero–order models. Others proposed higher–order models to represent explicitly customers tendency to seek [variety] or [reinforcement] as they make repetitive choices. Nevertheless, the question [Which model has the highest probability of representing some future data?] still prevails. The objective of this paper is to address this question. We assess the predictive effectiveness of the well–known customer choice models. In particular, we compare the predictive ability of the [dynamic attribute satiation] (DAS) model due to McAlister (Journal of Consumer Research, 91, pp. 141–150, 1982) with that of the well–known stochastic variety seeking and reinforcement behaviour models. We found that the stochastic [beta binomial] model has the best predictive effectiveness on both simulated and real purchase data. Using simulations, we also assessed the effectiveness of the stochastic models in representing various complex choice processes generated by the DAS. The beta binomial model mimicked the DAS processes the best. In this research we also propose, for the first time, a stochastic choice rule for the DAS model.     

Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs

We investigate an infinite horizon investment-consumption model in which a single agent consumes and distributes her wealth between a risk-free asset (bank account) and several risky assets (stocks) whose prices are governed by Lévy (jump-diffusion) processes. We suppose that transactions between the assets incur a transaction cost proportional to the size of the transaction. The problem is to maximize the total utility of consumption under Hindy-Huang-Kreps intertemporal preferences. This portfolio optimisation problem is formulated as a singular stochastic control problem and is solved using dynamic programming and the theory of viscosity solutions. The associated dynamic programming equation is a second order degenerate elliptic integro-differential variational inequality subject to a state constraint boundary condition. The main result is a characterization of the value function as the unique constrained viscosity solution of the dynamic programming equation. Emphasis is put on providing a framework that allows for a general class of Lévy processes. Owing to the complexity of our investment-consumption model, it is not possible to derive closed form solutions for the value function. Hence, the optimal policies cannot be obtained in closed form from the first order conditions for the dynamic programming equation. Therefore, we have to resort to numerical methods for computing the value function as well as the associated optimal policies. In view of the viscosity solution theory, the analysis found in this paper will ensure the convergence of a large class of numerical methods for the investment-consumption model in question.     

Flow auctions

Flow goods (like electricity) are sold through auctions in a dynamic framework. An important design question is the frequency of such auctions. We use a simple dynamic auction model in continuous time to answer this question. We focus on the relationship between the persistency of bidders’ valuations and the optimal choice of frequency. If the seller focuses on the equilibrium in which bidders follow a repeated static Nash strategy, then the frequency of auctions should typically increase when persistency declines. However, accounting for the fact that bidders can follow different equilibria that are collusive in nature, the comparative statics are reversed, forcing the seller to reduce the frequency when bidders’ valuations are less persistent. The argument builds on the fact that high frequency auctions are more conducive to collusion among bidders.     

Nonlinear boundary conditions derived by singular pertubation in age structured population dynamics model

In this article, we derive Ricker’s [22, 23] type nonlinear boundary condition for an age structured population dynamic model by using a singular perturbation. The question addressed in this paper is the convergence of the singularly perturbed system. We first obtain a finite time convergence for a fixed initial distribution. Then we focus on the convergence uniformly of the singularly perturbed system with respect to the initial distribution in bounded sets.     

When to refinance a mortgage: A dynamic programming approach

When should one refinance a mortgage loan? It is one of the most common finance questions in today's world. There have been surprisingly few attempts to answer this question in a structured manner, however. Moreover, the existing guidelines for refinancing consist of a short list of very simple rules that have a limited application. This article addresses the question through a dynamic programming model coupled with an analysis of historical interest rates. The analysis reveals a more complex set of rules for an optional refinance decision––oftentimes conflicting with the conventionally accepted idea that rate differences must be greater than two percent.     

基于多任务委托代理模型的导游动态薪酬契约设计

旅游服务质量是旅游业可持续发展的重要决定因素,如何通过设计合理的薪酬契约激励导游努力提高服务质量是现今旅行社面临的难题。基于Holmstrom提出的多任务代理模型,考虑导游的纵向多任务特性,将导游投入划分为追求当期业绩和追求服务质量的旅行社声誉建设两个维度的多任务问题,导游的服务绩效由其个人业绩和服务质量决定,以此为基础构建了多周期动态契约,与没有考虑服务质量投入的单周期静态契约进行比较分析,最后给出了其数值仿真结果。结果表明:本文所提多周期动态契约对旅行社和导游双方具有明显的帕累托效率改进,且从长远来看,对旅行社声誉的提高以及游客满意度的提升效果显著。     

The efficiency of remanufacturing in a dynamic input–output model

For industrialised economy of ourdays, remanufacturing represents perhaps the largest unexploited resource and opportunity for realising a greater growth of the economy in an environmental-conscious manner. The aim of this paper is to investigate of the impact of remanufacturing in the economy from an economic-efficiency point of view. In static context this phenomenon was analysed in the literature. We use the multi-sector input–output framework in a dynamic context to study intra-period relationships of the sectors of economy. We extend the classical dynamic input–output model taking into consideration the activity of remanufacturing .We try to answer the question, whether the remanufacturing/reuse increases the growth possibility of an economy. We expose a sufficient condition concerning the effectivity of an economy with remanufacturing. By this evaluation we analyse a possible sustainable development of the economy on the basis of the product recovery management of industries.     

Reducing simulation models for scheduling manufacturing facilities

Within the framework of the application of their industrial management system, companies compile a Master Production Schedule (MPS). However, once the MPS is released, daily events may require it to be brought into question. The use of reduced models within the framework of flow dynamic simulation enables quick decision-making while maximizing the use of resources and minimizing risk. The article shows the advantage of model reduction and how we arrive at it. Afterwards we develop an analysis of the influence of the model factors by highlighting the differences between the simulation results and MPS. Finally we show the circumstances in which the flow dynamic simulation with reduced models is relevant.     

Reduction of vibrations using mechanical and electrical elements

The main aim of this work is the introduction of analysis and synthesis of mechatronical systems including mechanical and electrical elements reducing vibrations. In results of synthesis were received structures and parameters of a discrete model meeting the defined requirements concerning the dynamic features of the system, in particular, the frequency spectrum. The approach adopted makes it possible to take actions aiming at the reduction of phenomena resulting in the unwanted operation of machinery or generation of hazardous situations in the machinery environment. Thank to the approach, the above mentioned preventive activities can be conducted as early as during the designing of future functions of the system as well as during the construction of the system in question. In this work is also comparison of these two kind of elements, mechanical and electrical, of reduction of vibrations. (© 2011 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

动态供应链网络均衡模型构建与分析

基于单一商品流,考虑了时间变量和库存问题,建立了三层动态供应链网络结构模型.对制造商、零售商和需求市场的多期独立决策行为及其相互作用进行了分析,应用变分不等式构建了各层均衡模型和整个供应链网络均衡模型.最后与相关文献的模型进行了比较.     

Ideodynamic predictions for the evolution of habits

A dynamic mathematical model is proposed to explain how information can influence the fraction of the population with a particular habit. The model includes several important factors mentioned by Fishbein and Ajzen, and Bentler and colleagues: (1) intention is central to behavior, (2) volitional deficiency means that only a fraction of those with the intention actually carry out the behavior, (3) normative influences can affect behavior and can be modeled in analogy to the mathematical formulation used for the diffusion of innovations, (4) information from a previous behavior can influence a behavior change so that recidivism for a behavior like quitting of smoking is dependent on the previous habit of smoking, and (5) persuasive communications from mediated sources also can influence intent and behavior. All the influences are incorporated in a time dependent manner.

A procedure is proposed for testing the model for a habit like smoking using the results of a simple four question survey administered once. If validated, the theory can then be used to predict the results of advertising campaigns after the end of the campaign.     

On Gaussian HJM framework for Eurodollar Futures

One of the standard tools for the theoretical analysis of fixed income securities and their associated derivatives is the term structure model of Heath, Jarrow and Morton. In this paper the question, what specific HJM model is consistent with the observed price of an Eurodollar Futures contract? is discussed. Eurodollar Futures, apart from being the most heavily traded futures are connected to London Inter Bank Offered Rate (LIBOR) and to domestic monetary conditions. The answer to the above question will help in pricing any new derivative on Eurodollar Futures or the one that is not heavily traded. A simple tool to measure the adequacy of different HJM structures that may be used to model Eurodollar Futures price process is suggested. Moreover, the question of estimation of parameters of these models by different methods—method of realized volatility, method of maximum likelihood (ML) and a two‐stage method that combines both the realized volatility and ML—is addressed. Although it sounds like a typical statistical procedure, one must be careful in applying standard statistical techniques that are not suitable under arbitrage theory, in particular, ML method. Copyright © 2010 John Wiley & Sons, Ltd.     

非线性不平衡弹性轴系动力学的安全裕度准则

给出了一个弹性转子系统的非线性动力学安全裕度准则.采用分解和聚合的方法将系统的积分空间与观察空间分离,在积分空间中得到高维系统的稳态轨迹;根据转子系统振动的国际标准确定安全准则的能量界限,在一系列观察空间中采用能量相比正面积准则计算安全裕度.给出了滑动轴承非线性油膜力条件下不平衡转子系统安全裕度计算的实例.所建议的安全裕度准则包括了工程中通用的稳定裕度的计算,它是解决非线性系统安全裕度和稳定裕度量化计算问题的一种有效方法.     

Branching Constraint Satisfaction Problems and Markov Decision Problems Compared

Branching Constraint Satisfaction Problems (BCSPs) model a class of uncertain dynamic resource allocation problems. We describe the features of BCSPs, and show that the associated decision problem is NP-complete. Markov Decision Problems could be used in place of BCSPs, but we show analytically and empirically that, for the class of problems in question, the BCSP algorithms are more efficient than the related MDP algorithms.     

Dynamic pricing of multiple home delivery options

Online grocers accept delivery bookings and have to deliver groceries to consumers’ residences. Grocery stores operate on very thin margins. Therefore, a critical question that an online grocery store needs to address is the cost of home delivery operations. In this paper, we develop a Markov decision process-based pricing model that recognizes the need to balance utilization of delivery capacity by the grocer and the need to have the goods delivered at the most convenient time for the customer. The model dynamically adjusts delivery prices as customers arrive and make choices. The optimal prices have the following properties. First, the optimal prices are such that the online grocer gains the same expected payoff in the remaining booking horizon, regardless of the delivery option independently chosen by a consumer. Second, with unit order sizes, delivery prices can increase due to dynamic substitution effects as there is less time left in the booking horizon.     

高速公路网络上行车时间估计和最优路线的选取

首先建立交通流动力学模型求解问题Ⅰ.在不考虑流量和考虑流量的两种情况下,该模型都能够解出在任意给定的时刻t位于第一个传感器的车辆到达第5个感应器的行车时间.我们还从四个方面给出了判断交通堵塞的衡量标准,并且利用神经网络方法准确地对未来的车流状态进行了预测.问题Ⅱ建立了交通网络的加权有向图模型,引入协方差矩阵描述网络中道路之间的相关性,并设计了查找最优路径的动态Dijkstra算法.问题Ⅲ构建了统计多目标规划模型,利用车比雪夫不等式,成功找到了从端点3到14和14到3的最优路径,并估算出了对应的行车时间.     

A comparison of average and discounted cost models for the dynamic lot size inventory problem

It is a common practice in the inventory literature to use average cost models as approximations to the theoretically correct discounted cost models. An average cost model minimizes the average undiscounted cost per period, while a discounted cost model minimizes the total discounted cost over the problem horizon. This paper attempts to answer an important question: How good are the results (the total discounted costs) for the average cost models compared to those for the discounted cost models? This question has been conclusively answered for the simplest inventory model where the demand rate and other parameters are assumed to remain constant in time. This paper addresses this issue for the first time for the case where demand rates are allowed to be nonstationary in time.A discounted cost model has been developed in the paper to carry out this comparison. It is shown that a simple dynamic programming algorithm can be used to find optimal order policies for the discounted cost model.The effect of the varying interest rates and other parameters on the relative performance of the average cost model has been studied by developing an insightful analysis and also by doing a computational study. The results show that, while the average cost model can cost as much as about 26% more than the discounted cost model in extreme cases, this increase is not significant for the parameter values in the range of the common interest.