Multilevel flexible specification of the production function in health economics

^** Email: grassetti{at}stat.unipd.it^*** Email: e.gori{at}dss.uniud.it^**** Email: simona.minotti{at}unicatt.it Previous studies on hospitals' efficiency often refer to quiterestrictive functional forms for the technology (Aigner et al.,1977, J. Econom., 6, 21–37). In this paper, referringto a study about some hospitals in Lombardy, we formulate convenientcorrectives to a statistical model based on the translogarithmicfunction—the most widely used flexible functional form(Christensen et al., 1973, Rev. Econ. Stat., 55, 28–45).More specifically, in order to take into consideration the hierarchicalstructure of the data (as in Gori et al., 2002, Stat. Appl.,14, 247–275), we propose a multilevel model, ignoringfor the moment the one-side error specification, typical ofstochastic frontier analysis (Aigner et al., 1977, J. Econom.,6, 21–37). Given this simplification, however, we areeasily able to take into account some typical econometric problemsas, e.g. heteroscedasticity. The estimated production functioncan be used to identify the technical inefficiency of hospitals(as already seen in previous works), but also to draw some economicconsiderations about scale elasticity, scale efficiency andoptimal resource allocation of the productive units. We willshow, in fact, that for the translogarithmic specification itis possible to obtain the elasticity of the output (regardingan input) at hospital level as a weighted sum of elasticitiesat ward level. Analogous results can be achieved for scale elasticity,which measures how output changes in response to simultaneousinputs variation. In addition, referring to scale efficiencyand to optimal resource allocation, we will consider the resultsof Ray (1998, J. Prod. Anal., 11, 183–194) to our context.The interpretation of the results is surely an interesting administrativeinstrument for decision makers in order to analyse the productiveconditions of each hospital and its single wards and also todecide the preferable interventions.     

An orthogonal spline collocation alternating direction implicit method for second-order hyperbolic problems

On a rectangular region, we consider a linear second-order hyperbolicinitial-boundary value problem involving a mixed derivativeterm, continuous variable coefficients and non-homogeneous Dirichletboundary conditions. In comparison to the alternating directionimplicit Laplace-modified method of Fernandes (1997), we formulateand analyse a new parameter-free alternating direction implicitscheme in which the standard central difference formula is usedfor the time approximation and orthogonal spline collocationis used for the spatial discretization. We establish unconditionalstability of the scheme, and its optimal order in the discretemaximum norm in time and the H¹ norm in space. Numerical experimentsindicate that the new scheme, which has the same order as themethod of Fernandes (1997, Numer. Math., 77, 223–241),is more accurate. We also show that the new scheme is easilygeneralized to the second-order hyperbolic problems on rectangularpolygons. Extensions of the scheme to problems with discontinuouscoefficients, nonlinear problems, and problems with other boundaryconditions are also discussed.     

An optimal ordering policy for a spare unit with lead time

We consider a generalised ordering policy in which a spare unit for replacement can be delivered only by order after a constant lead time. Introducing the costs for ordering, shortage and holding, we derive the expected cost per unit time in the steady-state. We discuss the optimal ordering policy which minimises the expected cost, and show in a main theorem that the optimal policy is reduced to either one of two typical ordering policies depending on some conditions. We further discuss a similar ordering policy with varying lead times.     

Spectra of Analytic Toeplitz Tuples on Hardy Spaces

Let A be a complex algebra (with unit e), X a left A moduleand a = (a₁, ..., a_m) a commuting tuple of elements in A. FollowingTaylor [8], we have to consider the Koszul complex K_•(a,X) in order to define the joint spectrum of the tuple a. 1991Mathematics Subject Classification 47A13.     

Time-optimal control problem for parabolic equations with control constraints and infinite number of variables

A time optimal control problem for parabolic equations withan infinite number of variables is considered. A time optimalcontrol problem is replaced by an equivalent one with a performanceindex in the form of integral form. Constraints on controlsare assumed. To obtain the optimality conditions for the Neumannproblem, the generalization of the Dubovitskii–Milyutintheorem given by Walczak (1984, Acta Universitatis LodziensisFolia Mathematica, 187–196; 1984, J. Optim. Theor. Appl.,42, 561–582) was applied.     

Optimal spare ordering policy under a rebate warranty

This paper develops, from the customer’s perspective, the optimal spare ordering policy for a non-repairable product with a limited-duration lifetime and under a rebate warranty. The spare unit for replacement is available only by order and the lead time for delivery follows a specified probability distribution. Through evaluation of gains due to the rebate and the costs due to ordering, shortage, and holding, we derive the expected cost per unit time and cost effectiveness in the long run and examine the optimal ordering time by minimizing or maximizing these cost expressions. We show that there exists a unique optimum solution under mild assumptions. We provide a numerical example and illustrate sensitivity analysis.     

Optimal error estimates for the hp-version interior penalty discontinuous Galerkin finite element method

We consider the hp-version interior penalty discontinuous Galerkinfinite-element method (hp-DGFEM) for second-order linear reaction–diffusionequations. To the best of our knowledge, the sharpest knownerror bounds for the hp-DGFEM are due to Rivière et al.(1999,Comput. Geosci., 3, 337–360) and Houston et al.(2002,SIAM J. Numer. Anal., 99, 2133–2163). These are optimalwith respect to the meshsize h but suboptimal with respect tothe polynomial degree p by half an order of p. We present improvederror bounds in the energy norm, by introducing a new functionspace framework. More specifically, assuming that the solutionsbelong element-wise to an augmented Sobolev space, we deducefully hp-optimal error bounds.     

Pattern formation in a 2D simple chemical system with general orders of autocatalysis and decay

In this paper, we investigate pattern formation in a coupledsystem of reaction–diffusion equations in two spatialdimensions. These equations arise as a model of isothermal chemicalautocatalysis with termination in which the orders of autocatalysisand termination, m and n, respectively, are such that 1 <n < m. We build on the preliminary work by Leach & Wei(2003, Physica D, 180, 185–209) for this coupled systemin one spatial dimension, by presenting rigorous stability analysisand detailed numerical simulations for the coupled system intwo spatial dimensions. We demonstrate that spotty patternsare observed over a wide parameter range.     

On the asymptotic behaviour for an electromagnetic system with a dissipative boundary condition

In this work we study some properties of solutions for the systemdescribing a three-dimensional non-homogeneous non-conductingdielectric with a general boundary condition with memory. Wefirst show the existence of the inverse of this boundary condition,which allows us to introduce a boundary free energy, similarto the one considered by Fabrizio & Morro (1996, Arch. Rat.Mech. Anal., 136, 359–381). Then, we prove existence anduniqueness theorems for weak and strong solutions of the evolutiveproblem in a finite time interval. Moreover, following Rivera& Olivera (1997, Boll. U.M.I., 11-A, 115–127), weexamine some dissipative properties of the boundary conditionand of its inverse and we give a useful energy estimate. Finally,when there is no memory in the boundary condition the exponentialdecay of the solution is proved.     

On Fusion in Unipotent Blocks

The context of this note is as follows. One considers a connectedreductive group G and a Frobenius endomorphism F: G G definingG over a finite field of order q. One denotes by G^F the associated(finite) group of fixed points. Let l be a prime not dividing q. We are interested in the l-blocksof the finite group G^F. Such a block is called unipotent ifthere is a unipotent character (see, for instance, [6, Definition12.1]) among its representations in characteristic zero. Roughlyspeaking, it is believed that the study of arbitrary blocksof G^F might be reduced to unipotent blocks (see [2, Théorème2.3], [5, Remark 3.6]). In view of certain conjectures aboutblocks (see, for instance, [9]), it would be interesting tofurther reduce the study of unipotent blocks to the study ofprincipal blocks (blocks containing the trivial character).Our Theorem 7 is a step in that direction: we show that thelocal structure of any unipotent block of G^F is very close tothat of a principal block of a group of related type (notionof ‘control of fusion’, see [13, 49]). 1991 MathematicsSubject Classification 20Cxx.     

A Necessary and Sufficient Condition for a Linear Differential System to be Strongly Monotone

In order to present the results of this note, we begin withsome definitions. Consider a differential system [formula] where IR is an open interval, and f(t, x), (t, x)IxRⁿ, is acontinuous vector function with continuous first derivativesf_r/x_s, r, s=1, 2, ..., n. Let D_xf(t, x), (t, x)IxRⁿ, denote the Jacobi matrix of f(t,x), with respect to the variables x₁, ..., x_n. Let x(t, t₀,x₀), tI(t₀, x₀) denote the maximal solution of the system (1)through the point (t₀, x₀)IxRⁿ. For two vectors x, yRⁿ, we use the notations x>y and x>>yaccording to the following definitions: [formula] An nxn matrix A=(a_rs) is called reducible if n2 and there existsa partition [formula] (p1, q1, p+q=n) such that [formula] The matrix A is called irreducible if n=1, or if n2 and A isnot reducible. The system (1) is called strongly monotone if for any t₀I, x₁,x₂Rⁿ [formula] holds for all t>t₀ as long as both solutions x(t, t₀, x_i),i=1, 2, are defined. The system is called cooperative if forall (t, x)IxRⁿ the off-diagonal elements of the nxn matrix D_xf(t,x) are nonnegative. 1991 Mathematics Subject Classification34A30, 34C99.     

Parameter-free H(div) preconditioning for a mixed finite element formulation of diffusion problems

^** Email: c.powell{at}manchester.ac.uk Mixed finite element formulations of generalised diffusion problemsyield linear systems with ill-conditioned, symmetric and indefinitecoefficient matrices. Preconditioners with optimal work complexitythat do not rely on artificial parameters are essential. Weimplement lowest order Raviart–Thomas elements and analysepractical issues associated with so-called ‘H(div) preconditioning’.Properties of the exact scheme are discussed in Powell &Silvester (2003, SIAM J. Matrix Anal. Appl., 25, 718–738).We extend the discussion, here, to practical implementation,the components of which are any available multilevel solverfor a weighted H(div) operator and a pressure mass matrix. Anew bound is established for the eigenvalue spectrum of thepreconditioned system matrix and extensive numerical resultsare presented.     

An efficient approach for solving the lot-sizing problem with time-varying storage capacities

We address the dynamic lot size problem assuming time-varying storage capacities. The planning horizon is divided into T periods and stockouts are not allowed. Moreover, for each period, we consider a setup cost, a holding unit cost and a production/ordering unit cost, which can vary through the planning horizon. Although this model can be solved using O(T³) algorithms already introduced in the specialized literature, we show that under this cost structure an optimal solution can be obtained in O(T log T) time. In addition, we show that when production/ordering unit costs are assumed to be constant (i.e., the Wagner–Whitin case), there exists an optimal plan satisfying the Zero Inventory Ordering (ZIO) property.     

An Euler-Type Version of the Local Steiner Formula for Convex Bodies

The purpose of this note is to establish a new version of thelocal Steiner formula and to give an application to convex bodiesof constant width. This variant of the Steiner formula generalizesresults of Hann [3] and Hug [6], who use much less elementarytechniques than the methods of this paper. In fact, Hann askedfor a simpler proof of these results [4, Problem 2, p. 900].We remark that our formula can be considered as a Euclideananalogue of a spherical result proved in [2, p. 46], and thatour method can also be applied in hyperbolic space. For some remarks on related formulas in certain two-dimensionalMinkowski spaces, see Hann [5, p. 363]. For further information about the notions used below, we referto Schneider's book [9]. Let Kⁿ be the set of all convex bodiesin Euclidean space Rⁿ, that is, the set of all compact, convex,non-empty subsets of Rⁿ. Let S^n–1 be the unit sphere.For KKⁿ, let NorK be the set of all support elements of K, thatis, the pairs (x, u)RⁿxS^n–1 such that x is a boundarypoint of K and u is an outer unit normal vector of K at thepoint x. The support measures (or generalized curvature measures)of K, denoted by ₀(K.), ..., _n–1(K.), are the unique Borelmeasures on RⁿxS^n–1 that are concentrated on NorK andsatisfy [formula] for all integrable functions f:RⁿR; here denotes the Lebesguemeasure on Rⁿ. Equation (1), which is a consequence and a slightgeneralization of Theorem 4.2.1 in Schneider [9], is calledthe local Steiner formula. Our main result is the following.1991 Mathematics Subject Classification 52A20, 52A38, 52A55.     

Multiple Positive Solutions of Semilinear Differential Equations with Singularities

The existence of positive solutions of a second order differentialequation of the form z'+g(t)f(z)=0 (1.1) with the separated boundary conditions: z(0) – ßz'(0)= 0 and z(1)+z'(1) = 0 has proved to be important in physicsand applied mathematics. For example, the Thomas–Fermiequation, where f = z^3/2 and g = t^–1/2 (see [12, 13, 24]),so g has a singularity at 0, was developed in studies of atomicstructures (see for example, [24]) and atomic calculations [6].The separated boundary conditions are obtained from the usualThomas–Fermi boundary conditions by a change of variableand a normalization (see [22, 24]). The generalized Emden–Fowlerequation, where f = z^p, p > 0 and g is continuous (see [24,28]) arises in the fields of gas dynamics, nuclear physics,chemically reacting systems [28] and in the study of multipoletoroidal plasmas [4]. In most of these applications, the physicalinterest lies in the existence and uniqueness of positive solutions.     

Modular Form Congruences and Selmer Groups

Motivated by Cremona and Mazur's notion of visibility of elementsin Shafarevich–Tate groups [6, 27], there have been anumber of recent works which test its compatibility with theBirch and Swinnerton–Dyer conjecture and the Bloch–Katoconjecture. These conjectures provide formulas for the ordersof Shafarevich–Tate groups in terms of values of L-functions.For example, one may see recent work of Agashe, Dummigan, Steinand Watkins [1, 2, 10, 11]. In their examples, they find thatthe presence of visible elements agrees with the expected divisibilityproperties of the relevant L-values.     

Shape-preserving interpolation by G1 and G2 PH quintic splines

The interpolation of a planar sequence of points p₀, ..., p_Nby shape-preserving G¹ or G² PH quintic splines with specifiedend conditions is considered. The shape-preservation propertyis secured by adjusting ‘tension’ parameters thatarise upon relaxing parametric continuity to geometric continuity.In the G² case, the PH spline construction is based on applyingNewton–Raphson iterations to a global system of equations,commencing with a suitable initialization strategy—thisgeneralizes the construction described previously in NumericalAlgorithms 27, 35–60 (2001). As a simpler and cheaperalternative, a shape-preserving G¹ PH quintic spline schemeis also introduced. Although the order of continuity is lower,this has the advantage of allowing construction through purelylocal equations.     

On the global stability of a temporal discretization scheme for the Navier-Stokes equations

The time discretization by a linear backward Euler scheme forthe non-stationary viscous incompressible Navier–Stokesequations with a non-zero external force in a bounded 2D domainwith no-slip boundary condition or periodic boundary conditionis studied. Improved global stability results are obtained. The boundedness of the solution sequence in V and D(A) normsuniform with respect to &t for t [0, ) is proved. A similarresult in the V norm was previously obtained by (Geveci, 1989Math. Comp., 53, 43–53) for the non-forced system. A differentapproach is used here. As a corollary, the global attractorfor the approximation scheme is proved to exist, which is boundedin both V and D(A) spaces, thus compact in both H and V spaces.Applying the same techniques developed here, we are able toimprove the main result of (Hill and Süli 2000 IMA J. Numer.Anal., 20, 633–667) by showing that besides the existenceof a global attractor, the whole solution sequence is uniformlybounded in V as well, which is of significance from the pointof view of computing. As a corollary of local convergence results,upper semi-continuity of the attractor with respect to the numericalperturbation induced by the linear scheme is also establishedin both H and V spaces. Finally, some preliminary estimates,which are to our knowledge the first of their kind, on the dimensionsof the attractors in H and V spaces are also obtained.     

Maximin investment problems for discounted and total wealth

Email: nikolaidokuchaev{at}trentu.ca Received on 27 March 2006. Accepted on 14 September 2007. We study an optimal investment problem for a continuous-timeincomplete market model such that the risk-free rate, the appreciationrates and the volatility of the stocks are all random; theyare not necessarily adapted to the driving Brownian motion,and their distributions are unknown, but they are supposed tobe currently observable. The optimal investment problem is statedin ‘maximin’ setting which leads to maximizationof the minimum of expected utility over all distributions ofparameters. We found that the presence of the non-discountedwealth in the performance criterion (in addition to the discountedwealth) implies an additional condition for the saddle pointof the maximin problem: the saddle point must include the minimumof the possible risk-free return. This is different from thecase when the utility depends on the discounted wealth only.Using this result, the maximin problem is reduced to a linearparabolic equation and minimization over two scalar parameters.It is an important development of the results obtained in Dokuchaev(2002, Dynamic Portfolio Strategies: Quantitative Methods andEmpirical Rules for Incomplete Information. Boston: Kluwer;2006, IMA J. Manage. Math., 17, 257–276).     

Managing stochastic inventory systems with free shipping option

In many industries, customers are offered free shipping whenever an order placed exceeds a minimum quantity specified by suppliers. This allows the suppliers to achieve economies of scale in terms of production and distribution by encouraging customers to place large orders. In this paper, we consider the optimal policy of a retailer who operates a single-product inventory system under periodic review. The ordering cost of the retailer is a linear function of the ordering quantity, and the shipping cost is a fixed constant K whenever the order size is less than a given quantity – the free shipping quantity (FSQ), and it is zero whenever the order size is at least as much as the FSQ. Demands in different time periods are i.i.d. random variables. We provide the optimal inventory control policy and characterize its structural properties for the single-period model. For multi-period inventory systems, we propose and analyze a heuristic policy that has a simple structure, the (s, t, S) policy. Optimal parameters of the proposed heuristic policy are then computed. Through an extensive numerical study, we demonstrate that the heuristic policy is sufficiently accurate and close to optimal.