Decision-maker's preferences modeling in the stochastic goal programming

Generally we assume that the decision-maker is able to delimit with precision and without difficulty, the values of the goals associated with the objectives of a decision-making situation. However, such values may be probabilistic in nature. In such situation, the decision-maker does not know with certainty the values of the goals related to the different objectives. To deal within such decision-making situations, the literature proposes several techniques, based on the stochastic goal programming (SGP) model. These approaches do not take into account explicitly the decision-maker's preferences. In the present paper, we exploit the concept of the satisfaction functions to explicitly integrate the decision-maker's preferences in the SGP model.     

考虑偏好异质特征的锦标竞赛激励结构与效果分析

引入心理偏好的锦标竞赛是目前的研究热点,但是忽略了偏好的异质特征。对此,采用行为博弈论方法,研究基于异质偏好分组的分类竞赛和混同竞赛,比较二者的激励结构和激励效果。结果表明:在激励结构方面,无论是奖励强度还是保障强度,自利偏好者之间的分类竞赛总是最大,并且除非偏好异质度较大公平偏好者之间的分类竞赛总是最小而混同竞赛总是居中;在激励效果方面,自利偏好者虽然参与分类竞赛只能够得到最低期望效用即保留效用但是参与混同竞赛可以得到更多期望效用,而公平偏好者参与分类竞赛和混同竞赛都只能够得到最低期望效用即保留效用,委托人的期望利润在分类竞赛下比混同竞赛要多。因此,考虑参赛者的偏好异质特征,甄别偏好类型,制定恰当的激励结构,对提高锦标竞赛的激励效果是必要的。     

Testing the Form of a Decision-maker's Multiattribute Value Function Based on Pairwise Preference Information

In a recent paper we presented a test, based on pairwise preference information, to identify to which class of functions (linear, quasi-concave, or neither) a decision-maker's (implicit) value function belongs. In this note we investigate the power of the test. Some improvements to the test are also suggested.     

基于决策者风险偏好特性的供应链竞合策略研究

在两条供应链相互竞争的背景下,采用均值—标准差风险度量准则研究了决策者的风险偏好特性(风险喜爱、风险中性或风险规避)对于供应链各成员企业的最优定价决策和竞合策略的影响。研究发现,供应链各成员企业的最优定价决策与决策者的风险偏好特性以及产品替代效应密切相关,而且供应链成员企业的风险偏好特性以及产品替代效应都是影响其合作策略选择的关键因素。此外,当供应链成员企业采用不同的竞合策略时,供应链系统的效用并不一定会随其成员企业的风险偏好度的减小而减小。最后,通过数值分析也证实了上述结论。     

基于不同风险偏好的退货可再销报童模型研究

考虑退货可再销售的情况下,应用条件风险价值(CVaR),构建纳入不同风险偏好的报童模型,并给出了不同环境下的最优订货量.通过解析和数值仿真,进一步分析了决策者的风险偏好水平、产品退货率以及残值对最优订货量决策的影响.研究结果表明:最优订货量随着决策者风险追逐偏好水平的增加而增加,随着风险规避偏好水平的增加而减小;最优订货量随着退货率的增加而减小,随着产品残值的增加而增加.结合订货决策的实际特点,给出了不同环境下的最优订货量,为决策者提供了全面且动态的决策建议.     

基于公平偏好的三阶段锦标激励模型研究

为解决多代理人激励及委托人道德风险问题,本文基于公平偏好理论,构建了三阶段锦标激励模型,通过数理推导研究委托人最大化目标下公平偏好与工资差距对代理人努力水平和拆台行为的影响,并对不同晋升过程下代理人各阶段的努力水平进行比较。结果表明,代理人的努力水平与拆台行为同升同降,公平偏好降低代理人的努力水平和拆台行为,而工资差距提高代理人的努力水平和拆台行为,且无论晋升过程如何,代理人在第一阶段的努力水平均大于其第三阶段的努力水平。本文拓展了行为经济学视角下基于委托代理框架的锦标赛激励研究。     

基于ARIMA和LSSVM的非线性集成预测模型

针对复杂时间序列预测困难的问题,在综合考虑线性与非线性复合特征的基础上,提出一种基于ARIMA和最小二乘支持向量机(LSSVM)的非线性集成预测方法.首先采用ARIMA模型进行时间序列线性趋势建模,并为LSSVM建模确定输入阶数;接着根据确定的输入阶数进行时间序列样本重构,采用LSSVM模型进行时间序列非线性特征建模;最后采用基于LSSVM的非线性集成技术形成一个综合的预测结果.将该方法用于中国GDP预测取得的结果,与单独预测方法及流行的其他集成预测方法相比,预测精度有了较大的提高,从而验证了方法的有效性和可行性.     

具有食饵避难的Leslie-Gower捕食系统最优收获分析

研究了一类具有食饵避难的Leslie-Gower捕食与被捕食系统收获模型,利用Hurwitz判据,得到了正平衡点局部渐近稳定,进一步构造了适当的Lyapunov函数,证明了正平衡点的全局渐近稳定性.并且在捕获努力量假说下,对发生食饵避难的两种群同时捕获,考虑了生态经济平衡点的存在性和利用Pontryagin最大值原理对两种群进行最优收获,得到当贴现率为零时,既保持了生态平衡,又使得在渔业开发过程中取得最大经济利益.     

基于输入偏好DEA模型高校办学效益评价方法研究

分析了传统DEA模型中指标权重仅为非负性限制而带来的无法体现决策者偏好的问题,提出了反映决策者偏好的输入偏好DEA模型,并研究了基于输入偏好DEA模型高校办学效益评价方法.     

Incorporating the potential for human error in maintenance models

The mathematics of delay-time modelling of inspection maintenance is extended to incorporate the existence of human error in the form of fault injection during the inspection process. After briefly discussing the basic delay-time model, modifications are introduced to model maintenance scenarios incorporating human error injected defects within the inspection maintenance process. The effects of human error are investigated with the emphasis on its representation and on the assessment of consequences, the objective being to provide a means of determining the cost of human error and to thereby aid corrective decision-making.     

Incorporating Extra Information in Nonparametric Smoothing

Nonparametric estimation of conditional mean functions has been studied extensively in the literature. This paper addresses the question of how to use extra informations to improve the estimation. Particularly, we consider the situation that the conditional mean functionE(Z|X) is of interest and there is an auxiliary variable available which is correlated with bothXandZ. A two-stage kernel smoother is proposed to incorporate the extra information. We prove that the asymptotic optimal mean squared error of the proposed estimator is smaller than that obtained when using the Nadaraya–Watson estimator directly without the auxiliary variable. A simulation study is also carried out to illustrate the procedure.     

偏好的对子态可分性

本文提出了消费者偏好的对子态可分性概念，并用来揭示一般选择集合上偏好的效用函数表示的特征，证明了偏好关系可用效用函数表示的充分必要条件是该偏好具有对子态可分性和可数满足性，还证明了偏好关系具有长直线ｗ１—表示的充分必要条件是该偏好具有对子态可分性．这两个结果，使得对子态可分性成为用直线上的序来表示消费偏好序之本质所在．     

The Emergence of Racial Segregation in an Agent-Based Model of Residential Location: The Role of Competing Preferences

Models of segregation dynamics have examined how individual preferences over neighborhood racial composition determine macroscopic patterns of segregation. Many fewer models have considered the role of household preferences over other location attributes, which may compete with preferences over racial composition. We hypothesize that household preferences over location characteristics other than racial composition affect segregation dynamics in nonlinear ways and that, for a critical range of parameter values, these competing preferences can qualitatively affect segregation outcomes. To test this hypothesis, we develop a dynamic agent-based model that examines macro-level patterns of segregation as the result of interdependent household location choices. The model incorporates household preferences over multiple neighborhood features, some of which are endogenous to residential location patterns, and allows for income heterogeneity across races and among households of the same race. Preliminary findings indicate that patterns of segregation can emerge even when individuals are wholly indifferent to neighborhood racial composition, due to competing preferences over neighborhood density. Further, the model shows a strong tendency to concentrate affluent families in a small number of suburbs, potentially mimicking recent empirical findings on favored quarters in metropolitan areas. This paper was the first runner-up for the 2004 NAACSOS best paper award. Kan Chen is an associate professor in the Department of Computational Science at the National University of Singapore. His recent research interests include spatial and temporal scaling in driven, dissipative systems, applications of self-organized criticality, dynamics of earthquakes, and computational finance. He received a B.Sc. in physics from the University of Science and Technology of China (1983) and a Ph.D. in physics from Ohio State University (1988). Elena Irwin is an associate professor in the Department of Agricultural, Environmental, and Development Economics at Ohio State University. Her research interests include land use change, urban sprawl, household location decisions, and the value of open space. This research applies theory and modeling techniques from the fields of spatial and regional economics, including the application of spatial econometrics and geographic information systems (GIS). She received a B.A. in German and History from Washington University in St. Louis (1988) and a Ph.D. in Agricultural and Resource Economics from the University of Maryland (1998). Ciriyam Jayaprakash is a Professor in the Department of Physics at the Ohio State University. His recent research interests include spatially extended nonlinear systems including fully-developed turbulence, genetic regulatory networks, and applications of statistical mechanical techniques to financial and social sciences. He received an M.S. in Physics from the Indian Institute of Technology, Kanpur (1973), an M.S. in Physics from Caltech (1975) and a Ph.D in Physics from the University of Illinois at Urbana-Champaign (1979). Keith Warren is an assistant professor in the College of Social Work at Ohio State University. His research interests focus on interpersonal interactions in the development and solution of social problems, particularly those of urban areas such as segregation, substance abuse and increased interpersonal violence. He received a B.A in Behavioral Science from Warren Wilson College (1984), and a Ph.D. in Social Work from the University of Texas at Austin (1998)     

Preferences estimation without approximation

We devise an estimation methodology which allows preferences estimation and comparative statics analysis without a reliance on Taylor’s approximations and the indirect utility function.     

Tikhonov Functionals Incorporating Tolerances

Tikhonov functionals are a well known method for solving inverse problems. They consist of a discrepancy and a penalty term. The first term evaluates the deviation of simulated data from measured data. We alternate this term by incorporating tolerances, which neglects small deviations from the data within a prescribed tolerance. This approach adapts ideas from support vector regression, which utilizes such a tolerance for identity operators and semi discrete problems. Furthermore, the application for inverse problems is motivated by applications where such tolerances naturally occur, e.g. application with multiple measurements. In this case instead of one measurement a confidence interval for the measurement can be used. In this work we provide an overview on the necessary analysis and alternation of Tikhonov functionals incorporating tolerances. In addition, an example of applications are shown and discussed. (© 2017 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Preferences for contractual forms in supply chains

The supply chain contracting literature has focused on incentive contracts designed to align supply chain members’ individual interests. A key finding of this literature is that members’ preferences for contractual forms are often at odds: the upstream supplier prefers relatively complex contracts that can coordinate the supply chain; however, the downstream retailer prefers a wholesale price-only contract because it leaves more surplus (than does a coordinating contract), which the retailer can capture. This paper addresses the following question: Under what circumstances do suppliers and retailers prefer the same contractual form? We study supply chain members’ preferences for contractual forms under three different competitive settings in which multiple supply chains compete to sell substitutable products in the same market. Our analysis suggests that both upstream and downstream sides of the supply chain may prefer the same “quantity discount” contract, which would eliminate the conflicts of interest that otherwise typify contracting situations. More interesting still is that both sides may also prefer the wholesale price-only contract; this finding provides a theoretical explanation for why that inefficient (but simple) contract is widely adopted in supply chain transactions.     

Preseparable Extensions of Multidimensional Preferences

Throughout much of the literature in economics and political science, the notion of separability provides a mechanism for characterizing interdependence within individual preferences over multiple dimensions. In this paper, we show how preseparable extensions can be used to construct certain classes of separable and non-separable preferences. We prove several associated combinatorial results, and we note a correspondence between separable preference orders, Boolean term orders, and comparative probability relations. We also mention several open questions pertaining to preseparable extensions and separable preferences. This work was partially supported by National Science Foundation grant DMS-0451254, which funds a Research Experience for Undergraduates program at Grand Valley State University. Portions of this paper are adapted from Hodge’s doctoral dissertation [4]. The authors wish to thank the referees and editor for their helpful comments and suggestions.     

Incorporating order-flow into optimal execution

We provide an explicit closed-form strategy for an investor who executes a large order when market order-flow from all agents, including the investor’s own trades, has a permanent price impact. The strategy is found in closed-form when the permanent and temporary price impacts are linear in the market’s and investor’s rates of trading. We do this under very general assumptions about the stochastic process followed by the order-flow of the market. The optimal strategy consists of an Almgren–Chriss execution strategy adjusted by a weighted-average of the future expected net order-flow (given by the difference of the market’s rate of buy and sell market orders) over the execution trading horizon and proportional to the ratio of permanent to temporary linear impacts. We use historical data to calibrate the model to Nasdaq traded stocks and use simulations to show how the strategy performs.