Simulation-based optimization of social security systems under uncertainty

This paper analyzes optimization-based approaches for a social security simulation model under demographic and economic uncertainties. The model is a compromise between a purely actuarial model and an overlapping generations general equilibrium model. It deals with production and consumption processes coevolving with “birth-and-death” processes of involved agents, e.g., region-specific households subdivided into single-year age groups, firms, governments, financial intermediaries, including pension systems and insurance. The production function of the model allows to track incomes expenditures, savings and dissavings of agents, as well as intergenerational and interregional transfers of wealth. The proposed approach combines the actuarial and the economic growth simulation models in a single stochastic optimization model which explicitly and realistically treats the underlying uncertainties with the goal to satisfy reasonable and secure consumption of agents. The design of optimal robust strategies is achieved by an adaptive simulation-based optimization procedure defined by non-smooth risk functions. Numerical solution is discussed.     

Towards “zero abandonments” in call center performance

The call center industry is a big business in today's global economy. Staffing costs account for over half of a call center's total operations costs. Some large call centers, in practice, operate at very close to maximum capacity, believing that such an operations policy is efficient. However, by operating at levels close to 100% utilization, a call center is “living dangerously”. If, for example, call volumes even slightly exceed forecasts, customer calls will queue. As queue lengths and durations increase, customers will tend to abandon their calls. We provide some “rule-of-thumb” formulas that evaluate the cost of abandonments. These formulas may be used to justify an investment in additional agents required to improve the quality of service and reduce abandonments. Standard Erlang-C queueing formulas imply that abandonments can be significantly reduced with a small investment in additional agents. Thus, by improving customer service and hiring additional staff, a call center can improve profitability. We illustrate our analysis with realistic data, based on our work with large-scale customer service centers.     

Share the gain,share the pain? Almost transferable utility,changes in production possibilities,and bargaining solutions

We consider an n-person economy in which efficiency is independent of distribution but the cardinal properties of the agents’ utility functions may preclude transferable utility (a property we call “Almost TU”). Holding the disagreement point fixed, we show that Almost TU is a necessary and sufficient condition for all agents to either benefit jointly or suffer jointly with any change in production possibilities under well-behaved generalized utilitarian bargaining solutions (of which the Nash bargaining and the utilitarian solutions are special cases). We apply the result to policy analysis and to incentive compatibility.     

Temperature fluctuations superimposed on background temperature change

Proxy data allows the temperature of the Earth to be mapped over long periods of time. In this work the temperature fluctuations for over 200 proxy data sets were examined and from this set 50 sets were analyzed to test for periodic and quasi-periodic fluctuations in the data sets. Temperature reconstructions over 4 different time scales were analyzed to see if patterns emerged. Data were put into four time intervals; 4,000 years, 14,000 years, 1,000,000 years, and 3,000,000 years and analyzed with a goal to understanding periodic and quasi-periodic patterns in global temperature change superimposed on a “background” average temperature change. Quasi-periodic signatures were identified that predate the Industrial Revolution, during much of which direct data on temperature are not available. These data indicate that Earth temperatures have undergone a number of periodic and quasi-periodic intervals that contain both global warming and global cooling cycles. The fluctuations are superimposed on a background of temperature change that has a declining slope during the two periods, pre-ice age and post ice age with a transition about 12,000 BCE. The data are divided into “events” that span the time periods 3,000,000 BCE to “0” CE, 1,000,000 BCE to “0” CE, 12,000 BCE to 2,000 CE and 2,000 BCE to 2,000 CE. An equation using a quasi-periodic (frequency modulated sine waves) patterns was developed to analyze the date sets for quasi-periodic patterns. “Periodicities” which show reasonable agreement with the predictions of Milankovitch and other investigators were found in the data sets.     

Optimization of Batch Reactions in Series with Uncertainty

Certain types of chemical reactions, such as the global deprotection of a polypeptide, are extremely complex. As a result, it may be very difficult or expensive to develop accurate models of these chemical reactions. Without a satisfactory kinetic model for the reaction, it is difficult to develop an optimum operating policy that will maximize the profit. Stochastic optimization is applied in this work to an example process step to obtain the optimum reaction temperature and reaction time. In the case of the “here and now” problem, the optimal conditions are a lower reaction temperature and a longer reaction time than obtained from the deterministic problem. The average reaction time for the “wait and see” problem is also longer than the deterministic case, but the average reaction temperature is very close to that of the deterministic problem. Both normally and uniformly – distributed uncertain parameters are considered.     

The political business cycle if the government is not myopic: An integration of the long-run and short-run models of the political business cycle

Using the framework of the Nordhaus model, a long-run and a short-run model of the political business cycle are integrated. It is shown that under general conditions the optimal policy for a vote-maximizing government will lead to the generation of a political business cycle, providing some dynamic tradeoff exists between politically relevant variables. If government and voters apply the same discount rate, the average unemployment rate will be higher — and conversely, the average inflation rate lower — than the socially optimal one.     

财政支农专项转移支付制度制定:矫正工商资本下乡异化行为

制定怎样的财政支农专项转移支付制度才能正确引导与矫正工商资本下乡行为？为了探索出能够有效矫正工商资本下乡异化行为的财政制度,文章采用动态博弈的方法剖析工商资本下乡企业的行为。经深入研究发现,国家财政支付制度的实施成效取决于分配制度(“勉励”还是“嘉奖”)及工商资本下乡企业的发展阶段。随着企业的逐渐壮大,在政策机制中融入“嘉奖”制度较事后的“勉励”制度,对于发展农业提升企业利益与反哺农民改善民生的两种行为,可更好的引导工商资本下乡正确与合理的分配资金。     

A model of concept formation

At first we model the way an intelligence “I” constructs statements from phrases, and then how “I” interlocks these statements to form a string of statements to attain a concept. These strings of statements are called progressions. That is, starting with an initial stimulating relation between two phrases, we study how “I” forms the first statement of the progression and continues from this first statement to form the remaining statements in these progressions to construct a concept. We assume that “I” retains the progressions that it has constructed. Then we show how these retained progressions provide “I” with a platform to incrementally constructs more and more sophisticated conceptual structures. The reason for the construction of these conceptual structures is to achieve additional concepts. Choice plays a very important role in the progression and concept formation. We show that as “I” forms new concepts, it enriches its conceptual structure and makes further concepts attainable. This incremental attainment of concepts is a way in which we humans learn, and this paper studies the attainability of concepts from previously attained concepts. We also study the ability of “I” to apply its progressions and also the ability of “I” to electively manipulate its conceptual structure to achieve new concepts. Application and elective manipulation requires of “I” ingenuity and insight. We also show that as “I” attains new concepts, the conceptual structures change and circumstances arise where unanticipated conceptual discoveries are attainable. As the conceptual structure of “I” is developed, the logical and structural relationships between concepts embedded in this structure also develop. These relationships help “I” understand concepts in the context of other concepts and help “I₁” communicate to another “I₂” information and concept structures. The conceptual structures formed by “I” give rise to a directed web of statement paths which is called a convolution web. The convolution web provides “I” with the paths along which it can reason and obtain new concepts and alternative ways to attain a given concept.This paper is an extension of the ideas introduced in [1]. It is written to be self-contained and the required background is supplied as needed.     

From evidence-based policy making to policy analytics

This paper aims at addressing the problem of what characterises decision-aiding for public policy making problem situations. Under such a perspective it analyses concepts like “public policy”, “deliberation”, “legitimation”, “accountability” and shows the need to expand the concept of rationality which is expected to support the acceptability of a public policy. We then analyse the more recent attempt to construct a rational support for policy making, the “evidence-based policy making” approach. Despite the innovation introduced with this approach, we show that it basically fails to address the deep reasons why supporting the design, implementation and assessment of public policies is such a hard problem. We finally show that we need to move one step ahead, specialising decision-aiding to meet the policy cycle requirements: a need for policy analytics.     

Statistical inference in compound functional models

We consider a general nonparametric regression model called the compound model. It includes, as special cases, sparse additive regression and nonparametric (or linear) regression with many covariates but possibly a small number of relevant covariates. The compound model is characterized by three main parameters: the structure parameter describing the “macroscopic” form of the compound function, the “microscopic” sparsity parameter indicating the maximal number of relevant covariates in each component and the usual smoothness parameter corresponding to the complexity of the members of the compound. We find non-asymptotic minimax rate of convergence of estimators in such a model as a function of these three parameters. We also show that this rate can be attained in an adaptive way.     

A nonmonotone adaptive trust region method for unconstrained optimization based on conic model

In this paper, we present a nonmonotone adaptive trust region method for unconstrained optimization based on conic model. The new method combines nonmonotone technique and a new way to determine trust region radius at each iteration. The local and global convergence properties are proved under reasonable assumptions. Numerical experiments show that our algorithm is effective.     

DP/MIS and OR: what was,what is,what could be

It has been three decades since electronic computers were first introduced into the business community. The application of computers to business functions and business information problems has led to profound changes in the way that businesses operate. OR began to penetrate the business community at roughly the same time that the first large-scale DP applications began to appear.The computer has had a significant impact on OR as an “enabling device”, at least. The OR community has not, however, paid particular attention to the evolution of the computer, its use in business information applications, nor the management problems associated with effective use. The explosive growth of computer technology, the utilization of the computer in new business areas such as office automation, and the evolving awareness of concepts such as Information Resources Management provide a renewed opportunity for OR to contribute substantially.The objectives of this review paper are to describe this new opportunity area for OR, to place it in an appropriate historical and technological context, and to suggest ways in which the OR community might take up this important challenge.     

“双积分”政策下考虑燃油车减排的汽车制造商价格博弈研究

考虑供给侧为双寡头车企组成的汽车卖场,以没有“双积分”政策约束作为参照条件,构建有“双积分”政策约束时燃油车是否减排的模型,分别对其进行Bertrand博弈求解分析,从定价视角探讨“双积分”政策对燃油车和新能源汽车发展的作用机制,并通过数值分析进一步直观验证“双积分”政策的作用效果。研究表明:每台新能源汽车积分值设置过大不利于促进燃油车减排水平的提高,且存在合理的新能源汽车积分值区间,可以实现“既鼓励先进,又制约落后”的双重目的。“双积分”政策对涉及燃油车生产的制造商不利,当每台新能源汽车积分值较小时,其获得的利润较无“双积分”政策约束时减小;对仅生产新能源汽车的制造商有利,其获得的利润总是较无“双积分”政策约束时增大。     

DEA environmental assessment: Measurement of damages to scale with unified efficiency under managerial disposability or environmental efficiency

This study proposes a use of Data Envelopment Analysis (DEA) for environmental assessment. Firms usually produce not only desirable but also undesirable outputs as a result of their economic activities. The concept of disposability on undesirable outputs is separated into natural and managerial disposability. Natural disposability is an environmental strategy in which firms decrease their inputs to reduce a vector of undesirable outputs. Given the reduced input vector, they attempt to increase desirable outputs as much as possible. Managerial disposability involves the opposite strategy of increasing an input vector. The concept of disposability expresses an environmental strategy that considers a regulation change on undesirable outputs as a new business opportunity. Firms attempt to improve their unified (operational and environmental) performance by utilizing new technology and/or new management. Considering the two disposability concepts, this study discusses how to measure unified efficiency under managerial disposability and then discusses how to measure environmental efficiency. The proposed uses of DEA can serve as an empirical basis for measuring new economic concepts such as “Scale Damages (SD)”, corresponding to scale economies for undesirable outputs, and “Damages to Scale (DTS)”, corresponding to returns to scale for undesirable outputs.     

Using multiobjective mathematical programming to link national competitiveness,productivity, and innovation

Innovation-driven competitiveness is critical for a country’s long run economic performance in today’s knowledge-based global economy. Although several alternative measures of innovation, productivity, and competitiveness have been proposed, these concepts are inherently linked and this justifies the necessity of studying them in an integrated way, giving emphasis on their potential interrelations. This paper proposes a methodological measurement framework based on multiobjective mathematical programming in order to study the linkage among national innovation, productivity, and competitiveness and discover potential performance patterns. The model is applied in a set of European countries for the period 1998–2008. The empirical results reveal important gaps and show that innovativeness, income, and geographic area significantly affect national performances.     

改进了的捕食者-食饵系统的征税模型分析

探讨了Holling功能性反应的捕食者-食饵征税模型,修改了更合理的捕获函数.讨论了该系统生物经济平衡点的性态,正平衡点的局部渐近稳定性和全局渐近稳定性条件,并利用Pontrjagin最大值原理得到了最优税收策略.为可再生资源的合理开发利用提供了理论依据.     

Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles,taxes and fixed costs

We consider the problem of finding the optimal dividend policy for a company whose cash reserve follows a Brownian motion with drift and volatility modulated by an observable finite-state continuous-time Markov chain. The Markov chain represents the regime of the economy. We allow fixed costs and taxes associated with the dividend payments. This optimization problem generates a stochastic impulse control problem with regime switching. We solve this problem and obtain the first analytical solutions for the optimal dividend policy when there are simultaneously fixed costs, taxes and business cycles. Our results show that the optimal dividend policy depends strongly on the regime of the economy, on fixed costs and on taxes.     

An oscillation theory for second-order integral differential equations

The primary purpose of this paper is to give an oscillation theory for second-order integral differential equations. It is shown that this theory follows in a natural way as “a corollary” from the more abstract approximation theory of quadratic forms given previously by the author. Thus, our ideas are primarily constructive and quantitative as opposed to the usual qualitative methods. We also note that the usual oscillation theory for second-order differential equations follows directly by our methods. Furthermore, our methods provide a unified theory for eigenvalue problems, optimization problems, and numerical approximation problems within this setting.In Section 1 we give the preliminaries for the remainder of the paper. In Section 2 we define the basic quadratic form and integral differential equation and give the relationships between them. These relationships are used (in Section 3) to give a theory of oscillation in our setting and some basic oscillation results. Finally, in Section 4 we give some deeper oscillation results.To emphasize the unifying methods of our ideas, this paper is presented as a companion paper to “A Numerical Approximation Theory for Second Order Integral Differential Equations.”     

Complements,mollifiers and the propensity to disrupt

Gately [1974] andLittlechild/Vaidya [1976] defined and studied ratio measures of “disruption propensity” of coalitions in ann-person game. We define and study new incremental measures giving rise to a wide variety of “disruption solution” concepts free of various ratio defects and affording advantages of analysis and acceptability in terms of solution specifications. Various “mollifier” and “homomollifier” solution concepts are characterized which appear to be of promising utility.     

Productive public expenditures, expectation formations and nonlinear dynamics

In this paper, we investigate the dynamic properties of an overlapping generations’ model with capital accumulation and publicly funded inventions under three different expectations: perfect foresight, myopic expectations and adaptive expectations. We show that considering productive public expenditures in the model will increase the dimension of the dynamical system. To study the dynamic behavior of a high-dimensional dynamical system, we focus on the case when the elasticity of publicly funded invention to output is small and approximate the system by using a one-dimensional dynamical system. This approximation method provides an efficient way to rigorously prove the existence of chaos in high-dimensional dynamical systems. We show that when agents are perfectly foresighted, there exists a unique, nontrivial steady state which is a global attractor. Cycles or even chaos may occur under myopic and adaptive expectations when the inter-temporal elasticity of substitution of consumption is large enough. Furthermore, we find that the impact of fiscal policy is sensible to the expectation formation.