Using a risk-based approach to project scheduling: A case illustration from semiconductor manufacturing

This paper introduces a risk-based optimization method to schedule projects. The method uses risk mitigation and optimal control techniques to minimize variables such as the project duration or the cost estimate at completion. Mitigation actions reduce the risk impacts that may affect the system. A model predictive control approach is used to determine the set of mitigation actions to be executed and the time in which they are taken. A real-life project in the field of semiconductor manufacturing has been taken as an example to show the benefits of the method in a deterministic case and a Monte Carlo simulation has also been carried out.     

A multi-objective approach to supply chain visibility and risk

This paper investigates the twin effects of supply chain visibility (SCV) and supply chain risk (SCR) on supply chain performance. Operationally, SCV has been linked to the capability of sharing timely and accurate information on exogenous demand, quantity and location of inventory, transport related cost, and other logistics activities throughout an entire supply chain. Similarly, SCR can be viewed as the likelihood that an adverse event has occurred during a certain epoch within a supply chain and the associated consequences of that event which affects supply chain performance. Given the multi-faceted attributes of the decision making process which involves many stages, objectives, and stakeholders, it beckons research into this aspect of the supply chain to utilize a fuzzy multi-objective decision making approach to model SCV and SCR from an operational perspective. Hence, our model incorporates the objectives of SCV maximization, SCR minimization, and cost minimization under the constraints of budget, customer demand, production capacity, and supply availability. A numerical example is used to demonstrate the applicability of the model. Our results suggest that decision makers tend to mitigate SCR first then enhance SCV.     

A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach

Credit risk measurement and management are important and current issues in the modern finance world from both the theoretical and practical perspectives. There are two major schools of thought for credit risk analysis, namely the structural models based on the asset value model originally proposed by Merton and the intensity‐based reduced form models. One of the popular credit risk models used in practice is the Binomial Expansion Technique (BET) introduced by Moody's. However, its one‐period static nature and the independence assumption for credit entities' defaults are two shortcomings for the use of BET in practical situations. Davis and Lo provided elegant ways to ease the two shortcomings of BET with their default infection and dynamic continuous‐time intensity‐based approaches. This paper first proposes a discrete‐time dynamic extension to the BET in order to incorporate the time‐dependent and time‐varying behaviour of default probabilities for measuring the risk of a credit risky portfolio. In reality, the ‘true’ default probabilities are unobservable to credit analysts and traders. Here, the uncertainties of ‘true’ default probabilities are incorporated in the context of a dynamic Bayesian paradigm. Numerical studies of the proposed model are provided.     

Integrated projects planning in IS departments: A multi-period multi-project selection and assignment approach with a computerized implementation

This paper highlights the subject of integrated projects planning (IPP) in contemporary IS departments, and presents a multi-period, multi-project selection and assignment approach (MPPA) to assist the departments in handling continuous project-based IS requests. The MPPA features a model to optimize the selection and assignment of IS projects. In the scope of multi-project, multi-period planning, the model innovatively considers the losses due to (1) the accumulated postponement of a previously unselected IS request and (2) the expected delay of ongoing projects when inserting a new project request. The MPPA also features an event-based decisional process for cumulative selection and assignment on a multi-period basis. Due to the complex and contextual nature of data in this paper, a computerized system is implemented for aiding the execution of the model and the process. The paper reports on an industrial case for a demonstration of the proposed work. Finally the paper compares the MPPA with related work to summarize the value and role it may play in the IPP context.     

Judicial productivity,delay and efficiency: A Directional Distance Function (DDF) approach

The aim of this paper is twofold. On the one hand, it provides a contribution to the debate on judicial efficiency by conducting an applied research on the Italian tax judiciary thanks to a database covering the activities of the Italian tax courts over a 3-year period (2009–2011). On the other hand, it also contributes to the methodological debate, as it compares results obtained with Data Envelopment Analysis (DEA) and Directional Distance Function (DDF), two related non-parametric techniques which allow evaluating the efficiency of each observation as the radial distance from the efficient frontier defined by the best observations. While DEA has already been used to assess the mere technical efficiency of judicial systems, the DDF offers a valuable additional contribution, since it makes it possible to minimize the social cost of production of adjudication in the measurement. This feature makes it particularly attractive in those sectors in which production externalities may arise, such as judicial delays in the case investigated here. Additionally, the paper first applies the bootstrap to the DDF procedure in order to provide more robust estimates and to compare them with the DEA results.     

Constructive characterization ofA-stable approximations to exp(z) and its connection with algebraically stable Runge-Kutta methods

Summary All rational approximations to exp(z) of order 2m– (m denotes the maximal degree of nominator and denominator) are given by a closed formula involving real parameters. Using the theory of order stars [9], necessary and sufficient conditions forA-stability (respectivelyI-stability) are given. On the basis of this characterization relations between the concepts ofA-stability and algebraic stability (for implicit Runge-Kutta methods) are investigated. In particular we can partly prove the conjecture that to any irreducibleA-stableR(z) of oderp0 there exist algebraically stable Runge-Kutta methods of the same order withR(z) as stability function.     

A one‐dimensional Radon transform on SO(3) and its application to texture goniometry

We consider a one‐dimensional Radon transform on the group SO (3), which is motivated by texture goniometry. In particular, we will derive several inversion formulae and compare them with the inversion of the one‐dimensional spherical Radon transform on ??³ for even functions. Copyright © 2005 John Wiley & Sons, Ltd.     

One variant of a (2 + 1)-dimensional Volterra system and its (1 + 1)-dimensional reduction

A new system is generated from a multi-linear form of a (2+1)-dimensional Volterra system. Though the system is only partially integrable and needs additional conditions to possess two-soliton solutions, its (1+1)-dimensional reduction gives an integrable equation which has been studied via reduction skills. Here, we give this (1+1)-dimensional reduction a simple bilinear form, from which a Bäcklund transformation is derived and the corresponding nonlinear superposition formula is built.     

A multi-level Taguchi-factorial two-stage stochastic programming approach for characterization of parameter uncertainties and their interactions: An application to water resources management

This paper presents a multi-level Taguchi-factorial two-stage stochastic programming (MTTSP) approach for supporting water resources management under parameter uncertainties and their interactions. MTTSP is capable of performing uncertainty analysis, policy analysis, factor screening, and interaction detection in a comprehensive and systematic way. A water resources management problem is used to demonstrate the applicability of the proposed approach. The results indicate that interval solutions can be generated for the objective function and decision variables, and a variety of decision alternatives can be obtained under different policy scenarios. The experimental data obtained from the Taguchi’s orthogonal array design are helpful in identifying the significant factors affecting the total net benefit. Then the findings from the multi-level factorial experiment reveal the latent interactions among those important factors and their curvature effects on the model response. Such a sequential strategy of experimental designs is useful in analyzing the interactions for a large number of factors in a computationally efficient manner.     

扩充偏微分方程(组)守恒律和对称的辅助方程方法及微分形式吴方法的应用

首先,我们给出了引入伴随方程(组)扩充原方程(组)的策略使给定偏微分方程(组)的扩充方程组具有对应泛瓯即,成为Lagrange系统的方法,以此为基础提出了作为偏微分方程(组)传统守恒律和对称概念的一种推广-偏微分方程(组)扩充守恒律和扩充对称的概念;其次,以得到的Lagrange系统为基础给定了确定原方程(组)扩充守恒律和扩充对称的方法,从而达到扩充给定偏微分方程(组)的首恒律和对称的目的;第三,提出了适用于一般形式微分方程(组)的计算固有守恒律的方法;第四,实现以上算法过程中,我们先把计算(扩充)守恒律和对称问题均归结为求解超定线性齐次偏微分方程组(确定方程组)的问题.然后,对此关键问题我们提出了用微分形式吴方法处理的有效算法;最后,作为方法的应用我们计算确定了非线性电报方程组在内的五个发展方程(组)的新守恒律和对称,同时也说明了方法的有效性.     

一变系数非线性发展方程组的自-BT及其精确解

利用齐次平衡原则,导出了一变系数非线性发展方程组的自-Baecklund变换(自-BT);借助此自-BT和变系数热传导方程的各种精确解用代数的方法获得了方程组的各种精确解。     

Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging

This paper looks at the development of dynamic hedging strategies for typical pension plan liabilities using longevity-linked hedging instruments. Progress in this area has been hindered by the lack of closed-form formulae for the valuation of mortality-linked liabilities and assets, and the consequent requirement for simulations within simulations. We propose the use of the probit function along with a Taylor expansion to approximate longevity-contingent values. This makes it possible to develop and implement computationally efficient, discrete-time delta hedging strategies using q-forwards as hedging instruments.The methods are tested using the model proposed by Cairns et al. (2006a) (CBD). We find that the probit approximations are generally very accurate, and that the discrete-time hedging strategy is very effective at reducing risk.     

A generalized extended rational expansion method and its application to (1 + 1)-dimensional dispersive long wave equation

In this Letter, a generalized extended rational expansion method is used to construct exact solutions of the (1 + 1)-dimensional dispersive long wave equation. As a result, many new and more general exact solutions are obtained, the solutions obtained in this Letter include rational triangular periodic wave solutions, rational solitary wave solutions.     

Computing eigenspaces with specified eigenvalues of a regular matrix pair (A,B) and condition estimation: theory,algorithms and software

Theory, algorithms and LAPACK-style software for computing a pair of deflating subspaces with specified eigenvalues of a regular matrix pair (A, B) and error bounds for computed quantities (eigenvalues and eigenspaces) are presented. Thereordering of specified eigenvalues is performed with a direct orthogonal transformation method with guaranteed numerical stability. Each swap of two adjacent diagonal blocks in the real generalized Schur form, where at least one of them corresponds to a complex conjugate pair of eigenvalues, involves solving a generalized Sylvester equation and the construction of two orthogonal transformation matrices from certain eigenspaces associated with the diagonal blocks. The swapping of two 1×1 blocks is performed using orthogonal (unitary) Givens rotations. Theerror bounds are based on estimates of condition numbers for eigenvalues and eigenspaces. The software computes reciprocal values of a condition number for an individual eigenvalue (or a cluster of eigenvalues), a condition number for an eigenvector (or eigenspace), and spectral projectors onto a selected cluster. By computing reciprocal values we avoid overflow. Changes in eigenvectors and eigenspaces are measured by their change in angle. The condition numbers yield bothasymptotic andglobal error bounds. The asymptotic bounds are only accurate for small perturbations (E, F) of (A, B), while the global bounds work for all (E, F.) up to a certain bound, whose size is determined by the conditioning of the problem. It is also shown how these upper bounds can be estimated. Fortran 77software that implements our algorithms for reordering eigenvalues, computing (left and right) deflating subspaces with specified eigenvalues and condition number estimation are presented. Computational experiments that illustrate the accuracy, efficiency and reliability of our software are also described.