分销供应链中竞争零售商联盟的稳定性

针对由单一供应商和三个相互竞争零售商组成的两层分销供应链系统,在三种不同的博弈框架下,采用合作博弈论中短视的Nash稳定性概念与远视的最大一致集(LCS)概念研究了供应商与不同零售商联盟间的定价博弈,分别讨论了不同类型零售商联盟的稳定性。发现不论是在供应商处于领导地位,还是在零售商处于领导地位的市场中,当竞争强度较弱时,大联盟不是短视零售商联盟的稳定结构,却有可能是远视零售商联盟的稳定结构;当竞争强度较强时,则无论是短视零售商还是远视零售商都以大联盟为稳定结构,但是,在供应商处于领导地位的市场中,远视零售商形成大联盟的阈值较高;在供应商和零售商地位相同的市场中,大联盟则是远视零售商和短视零售商共同的稳定结构。     

Modeling loss data using composite models

We develop several new composite models based on the Weibull distribution for heavy tailed insurance loss data. The composite model assumes different weighted distributions for the head and tail of the distribution and several such models have been introduced in the literature for modeling insurance loss data. For each model proposed in this paper, we specify two parameters as a function of the remaining parameters. These models are fitted to two real insurance loss data sets and their goodness-of-fit is tested. We also present an application to risk measurements and compare the suitability of the models to empirical results.     

Coalition formation in the presence of continuing conflict

This paper studies endogenous coalition formation in a rivalry environment where continuing conflict exists. A group of heterogeneous players compete for a prize with the probability of winning for a player depending on his strength as well as the distribution of strengths among his rivals. Players can pool their strengths together to increase their probabilities of winning as a group through coalition formation. The players in the winning coalition will compete further until one individual winner is left. We show that in any equilibrium there are only two coalitions in the initial stage of the contest. In the case of three players, the equilibrium often has a coalition of the two weaker players against the strongest. The equilibrium coalition structure with four players mainly takes one of the two forms: a coalition of the three weaker players against the strongest or a coalition of the weakest and strongest players against a coalition of the remaining two. Our findings imply that the rivalry with the possibility of coalition formation in our model exhibits a pattern of two-sidedness and a balance of power. We further study the impact of binding agreements by coalition members on equilibrium coalition structures. Our analysis sheds some light on problems of temporary cooperation among individuals who are rivals by nature.     

Prescriptive analytics for human resource planning in the professional services industry

In this paper, we examine human resource planning decisions made at firms that sell contract-based consulting projects. High levels of uncertainty in deals and revenue forecasts make it challenging for consulting firms to hire the right people to staff their projects. We present a human resource planning model using concepts from robust optimization to allow companies to dynamically make hiring decisions that maximize profit while remaining as flexible as possible, and demonstrate potential profit improvements through simulation on real data.     

Coalitions and payoffs in three‐person sequential games: Initial tests of two formal models

In this paper we develop two formal models predicting coalitions and payoffs among rank striving players in a sequential three‐person game. We test the models’ predictions with data from a laboratory study of eleven male triads. Each triad plays a sequence of games; in each game a two‐person coalition forms and divides the coalition's point value between the two coalition partners. Participants know that the sequence of games will end without warning at a randomly chosen time; at the sequence's end each player's monetary payoff is a linear function of the rank of his accumulated point score, relative to those of the other members of his triad. The complexity of this situation prevents players and analysts from representing it as a single game; thus they are unable to use n‐person game theory to identify optimal strategies. Consequently, we assume that players, unable to develop strategies that are demonstrably optimal in the long run, adopt certain bargaining heuristics and surrogate short run objectives.

The two models follow the same basic outline; they differ, however, in the planning horizon they assume players to use. Proceeding from a priori assumptions concerning each player's decision calculus and the bargaining process, the two models state the probability that each coalition forms and predict the point divisions in the winning coalition. The laboratory data provide consistently strong support for the predictions of both models.     

Evaluation of three production planning procedures for the use of recipe flexibility

Process industries often obtain their raw materials from mining or agricultural industries. These raw materials usually have variations in quality, which often lead to variations in the recipes used for manufacturing a product. Another reason for varying the recipe is to minimize production costs by using the cheapest materials that still lead to a satisfactory quality in the product. A third reason for using recipe flexibility is that it may occur that at the time of production not all materials for the standard recipe are available. In earlier research we showed under what conditions the use of this type of recipe flexibility should be preferred to the use of high materials stock to avoid materials shortages. We also showed that the use of recipe flexibility to account for material shortages can be justified if the material replenishment leadtime is long, the demand uncertainty is high and the required service level is high. In this paper we assume that these conditions are satisfied and we investigate three different production planning procedures that make use of recipe flexibility to cope with the uncertainty in demand and supply. We assume that the customer order leadtime is much smaller than the material replenishment leadtime, and therefore demand uncertainty is high. The optimal procedure optimizes material use over a planning horizon equal to the material replenishment leadtime, taking into account the customers orders and knowledge of the distribution function of future demand. The deterministic procedure also optimizes the material use over the material replenishment leadtime, but it assumes a deterministic demand level for unknown orders. The simplest, myopic procedure optimizes material use over only the accepted customer orders. These three procedures are investigated via an experimental design of computer simulations of an elementary small scale model of the production planning situation. The results show that the optimal procedure outperforms the other two procedures. Furthermore, for a realistic cost structure in feed industry under certain circumstances the use of the optimal procedure may lead to a 4% increase in profit. However, this improvement must be weighted against the cost incurred by the operational use of this complex procedure. Based on these considerations and the numerical results in this paper, we may expect that for some situations in practice the use of the simplest myopic procedure, optimizing material use only over the available customer orders, will be justified from an overall cost point of view.     

Managing capacity flexibility in make-to-order production environments

This paper addresses the problem of managing flexible production capacity in a make-to-order (MTO) manufacturing environment. We present a multi-period capacity management model where we distinguish between process flexibility (the ability to produce multiple products on multiple production lines) and operational flexibility (the ability to dynamically change capacity allocations among different product families over time). For operational flexibility, we consider two polices: a fixed allocation policy where the capacity allocations are fixed throughout the planning horizon and a dynamic allocation policy where the capacity allocations change from period to period. The former approach is modeled as a single-stage stochastic program and solved using a cutting-plane method. The latter approach is modeled as a multi-stage stochastic program and a sampling-based decomposition method is presented to identify a feasible policy and assess the quality of that policy. A computational experiment quantifies the benefits of operational flexibility and demonstrates that it is most beneficial when the demand and capacity are well-balanced and the demand variability is high. Additionally, our results reveal that myopic operating policies may lead a firm to adopt more process flexibility and form denser flexibility configuration chains. That is, process flexibility may be over-valued in the literature since it is assumed that a firm will operate optimally after the process flexibility decision. We also show that the value of process flexibility increases with the number of periods in the planning horizon if an optimal operating policy is employed. This result is reversed if a myopic allocation policy is adopted instead.     

银行存款模型及应用分析

近年来,越来越多的国际知名企业都认识到了从原始数据中寻找规律对决策管理的重要性.一些顶尖级的银行产品企业,象IBM,Oracle,Informix和Sybase等,已经开发了许多用于银行数据挖掘的软件产品,并为国际上的一些著明银行建立了高精度的统计模型以支持银行管理.存款是银行评价业绩的一项重要指标.建立高精度的存款模型有利于银行的日常资金管理,能提高银行的资金利用率,降低成本等.本文以国内某大城市两大银行的实际业务数据为背景,给出了银行存款模型的建立过程,并分析了模型的应用.本文的一些有趣结果对时间序列建模有一定的启示.     

Dynamic decision making for graphical models applied to oil exploration

We present a framework for sequential decision making in problems described by graphical models. The setting is given by dependent discrete random variables with associated costs or revenues. In our examples, the dependent variables are the potential outcomes (oil, gas or dry) when drilling a petroleum well. The goal is to develop an optimal selection strategy of wells that incorporates a chosen utility function within an approximated dynamic programming scheme. We propose and compare different approximations, from naive and myopic heuristics to more complex look-ahead schemes, and we discuss their computational properties. We apply these strategies to oil exploration over multiple prospects modeled by a directed acyclic graph, and to a reservoir drilling decision problem modeled by a Markov random field. The results show that the suggested strategies clearly improve the naive or myopic constructions used in petroleum industry today. This is useful for decision makers planning petroleum exploration policies.     

Monetary aspects of acquiring technology for price discrimination of a perishable storable product

The remaining shelf-life of perishable storable products can become an additional source of volatility among consumers and a matter for price discrimination. Two models are presented. Both models assume the retailer has the information about consumers’ sensitivity to the remaining shelf-life (eg, their purchasing history). Only the first assumes the retailer has also the technology for price discrimination. An optimal solution for each model is analytically obtained and a numerical example that illustrates the significance is introduced. Numerical illustration indicates that a policy of identical prices for all based on accurate information about consumer sensitivity to remaining shelf-life results in a profit that is just slightly smaller per unit of time compared with the price discrimination policy. Opposing, the numerical illustration also indicates significant difference between the models with respect to their impact on consumers. Following these results, the regulator may consider suggesting the retailer monetary incentives in order to utilize price discrimination.     

Innovation diffusion model with interactions and delays in adoption for two competitive products in two different patches

Ricerche di Matematica - The aim of the present paper, how the people behave towards the offer of two products in two different patches. In this work, an innovation diffusion model with...     

DEA-based pre-merger planning tool

Data envelopment analysis (DEA) can be used as a pre-merger planning tool to estimate expected cost and profit efficiency gains. Specifically, in this paper, two alternative DEA models are presented, one to minimize post-merger input cost and the other to maximize post-merger profit. The first model assumes that input prices are known, whereas the second assumes that output prices are known. As both models explicitly consider the possibility of closing existing units, they are especially apt for in-market horizontal mergers, in which considerable overlap may exist among the branches of the merging firms. Indicative efficiency ratios are proposed based on the results of the models. The proposed approach is, in addition, rather flexible, allowing the optional inclusion of a variety of features and constraints, such as incompatibility among units, employment guarantees, etc.     

基于人工神经网络和随机游走模型的汇率预测

由于金融数据具有随机性特征,使得建模和预测变得极其困难.提出一种组合预测方法,即假定任何金融时序数据由线性和非线性两部分组成,将其中线性部分的数据通过随机游走(RW)模型进行模拟,剩余的非线性残差部分由前馈神经网络(FANN)和诶尔曼神经网络(EANN)协同处理.从实证结果可知,该组合方法相比单独使用RW、FANN或EANN模型有更高的预测精度.     

Environmental considerations on the optimal product mix

Several types of regulations limit the amount of different emissions that a firm may create from its production processes. Depending on the emission, these regulations could include threshold values, penalties and taxes, and/or emission allowances that can be traded. However, many firms try to comply with these regulations without a systematic plan, often leading not only to emission violations and high penalties, but also to high costs. In this paper, we present two mathematical models that can be used by firms to determine their optimal product mix and production quantities in the presence of several different types of environmental constraints, in addition to typical production constraints. Both models are comprehensive and incorporate several diverse production and environmental issues. The first model, which assumes that each product has just one operating procedure, is a linear program while the second model, which assumes that the firm has the option of producing each product using more than one operating procedure, is a mixed integer linear program. The solutions of both models identify the products that the firm should produce along with their production quantities. These models can be used by firms to quickly analyze several “what if” scenarios such as the impact of changes in emission threshold values, emission taxes, trading allowances, and trading transaction costs.     

Hybrid system identification using a structural approach and its model based control: An experimental validation

For implementation of various model based techniques such as in control and fault diagnosis, data-driven identification is key for enabling cheap and rapid development of models of hybrid systems of industrial interest. In the present work, a novel identification method is proposed for a class of hybrid systems which are linear and separable in the discrete variables (that is discrete states and discrete inputs). The method takes cognizance of the fact that the separable structure of the hybrid system constrains the evolution of system dynamics. In particular, the proposed method identifies models corresponding to a certain number of modes, far fewer than the total possible modes of the system. It then generates the models for the remaining modes without any further requirement for input–output data by exploiting the separable structure of the hybrid system. We experimentally validate the method by identifying the model for a three tank benchmark hybrid system followed by model predictive control using the identified model.     

Geometric polyhedral models for nanotubes comprising hexagonal lattices

Two new models for the geometric structure of nanotubes comprising hexagonal lattices are described. The existing models for nanotubes typically involve rolled up planar sheets and ignore discrepancies due to curvature. The first of the models presented here assumes that all atomic locations are equidistant from the tube axis which applies for single species nanotubes such as carbon nanotubes. This model assumes that all bond angles and all bond lengths are equal in the cylindrical state, and that all atoms are equidistant from the tube axis, and from these three assumptions, expressions are given for the major geometric parameters. The second model extends this notion to tubes where all the atomic locations are not equidistant from the tube axis, which may be employed to model nanotubes comprising two chemical species that bond into a hexagonal lattice such as boron nitride nanotubes. In the second model, all bond lengths are taken to be equal and the atoms of the same species are taken to be equidistant from the tube axis, and the nanotube is assumed to comprise two species and thus there may be two radii. Fundamental to both models is the determination of a solution of a transcendental equation. Here we present a new formal Lagrange expansion of the solution. Previously given asymptotic series expansions of the exact formulae for both models lead to the conventional expressions as the leading order term. Although the correction terms are typically small, knowledge of the precise structure may be critical to comprehending many nanoscale phenomena. The new models also give rise to an expression for the wall thickness, an important geometric parameter for which at present no reliable information is available.     

需求率为斜坡型的一类变质性物品最优库存策略

本文在考虑需求率服从斜坡型分布的情况下,研究了允许缺货且缺货完全回补、变质率服从威布尔分布、补货率为无穷、有限计划期内的库存模型,证明了最优补货策略的存在性,并给出了求解最优补货策略的算法.     

The term structure of interest rates in the economic and monetary union

The main purpose of this article is to present a new numerical procedure that can be used to implement a variety of different interest rate models. The new approach allows to construct no-arbitrage models for the term structure, where the stochastic process driving the rates is infinitely divisible, as in the cases of pure-diffusion and jump-diffusion mean reverting models. The new method determines a unique fully specified hexanomial tree, consistent with risk neutral probabilities. A simple forward recursive procedure solves for the entire tree. The proposed lattice model, which generalized the Hull and White [37] single-factor model, is relatively simple, computational efficient and can fit any initial term structure observed in the market. Numerical experiments demonstrate how the jump-diffusion mean reverting model is particularly suited to describe the European money market rates behavior. Interest rates controlled by the monetary authorities behave as if they are jump processes and the term structure, at short maturity, is contingent upon the levels of these official rates.     

反S型权重风险偏好对一类两级供应链的影响

大量实证研究表明,人们在不确定条件下,总是倾向于高估小概率事件并低估大概率事件,呈现反型权重风险偏好的特点。本文针对一类常见的由单供应商和单零售商组成的两级供应链,其中供应商有随机产出风险,分别考察了供应商与零售商的风险态度对其决策的影响。通过构建斯坦伯格博弈模型分析了供需双方的最优订购量和最优计划生产量。结果表明,供需双方或一方有反型风险态度时,保证供需双方均有激励动机签订契约的前提下,分散决策供应链的效率可达到集中决策的效果,也即供应链有可能达到协调。