Comparisons of the Expectations of System and Component Lifetimes in the Failure Dependent Proportional Hazard Model

Methodology and Computing in Applied Probability - In the failure dependent proportional hazard model, it is assumed that identical components work jointly in a system. At the moments of...     

Convex envelopes of bivariate functions through the solution of KKT systems

In this paper we exploit a slight variant of a result previously proved in Locatelli and Schoen (Math Program 144:65–91, 2014) to define a procedure which delivers the convex envelope of some bivariate functions over polytopes. The procedure is based on the solution of a KKT system and simplifies the derivation of the convex envelope with respect to previously proposed techniques. The procedure is applied to derive the convex envelope of the bilinear function xy over any polytope, and the convex envelope of functions \(x^n y^m\) over boxes.     

Linear-quadratic optimal control under non-Markovian switching

We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an underlying independent marked point process, so that our model is general enough to include controlled switching systems where the switching mechanism is not required to be Markovian. The problem is solved by means of a Riccati equation, which turned out to be a backward stochastic differential equation driven by the Brownian motion and by the random measure associated with the marked point process.     

Fatou closedness under model uncertainty

We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of \({\mathcal P}\)-quasisure bounded random variables, where \({\mathcal P}\) is a (possibly non-dominated) class of probability measures. Applications of our results lie within robust versions the Fundamental Theorem of Asset Pricing or dual representation of convex risk measures.     

Integer programming models and linearizations for the traveling car renter problem

The traveling car renter problem (CaRS) is an extension of the classical traveling salesman problem (TSP) where different cars are available for use during the salesman’s tour. In this study we present three integer programming formulations for CaRS, of which two have quadratic objective functions and the other has quadratic constraints. The first model with a quadratic objective function is grounded on the TSP interpreted as a special case of the quadratic assignment problem in which the assignment variables refer to visitation orders. The second model with a quadratic objective function is based on the Gavish and Grave’s formulation for the TSP. The model with quadratic constraints is based on the Dantzig–Fulkerson–Johnson’s formulation for the TSP. The formulations are linearized and implemented in two solvers. An experiment with 50 instances is reported.     

A note on total degree polynomial optimization by Chebyshev grids

Using the approximation theory notions of polynomial mesh and Dubiner distance in a compact set, we derive error estimates for total degree polynomial optimization on Chebyshev grids of the hypercube.     

Disentangling price,risk and model risk: V&R measures

We propose a method to assess the intrinsic risk carried by a financial position X when the agent faces uncertainty about the pricing rule assigning its present value. Our approach is inspired by a new interpretation of the quasiconvex duality in a Knightian setting, where a family of probability measures replaces the single reference probability and is then applied to value financial positions. Diametrically, our construction of Value and Risk measures is based on the selection of a basket of claims to test the reliability of models. We compare a random payoff X with a given class of derivatives written on X, and use these derivatives to “test” the pricing measures. We further introduce and study a general class of Value and Risk measures \( R(p,X,\mathbb {P})\) that describes the additional capital that is required to make X acceptable under a probability \(\mathbb {P}\) and given the initial price p paid to acquire X.     

Properties of chains of prime ideals in an amalgamated algebra along an ideal

Let f:A→B be a ring homomorphism and let J be an ideal of B. In this paper, we study the amalgamation of A with B along J with respect to f (denoted by A?^fJ), a construction that provides a general frame for studying the amalgamated duplication of a ring along an ideal, introduced and studied by D’Anna and Fontana in 2007, and other classical constructions (such as the A+XB[X], the A+XB?X? and the D+M constructions). In particular, we completely describe the prime spectrum of the amalgamated duplication and we give bounds for its Krull dimension.     

Optimising a general repair kit problem with a service constraint

Field services are a particular type of after-sales service performed at the customer’s location where technicians repair malfunctioning machines. The inventory decisions about which spare part types to take to the repair site and in what quantities is called the repair kit problem. This problem is characterized by an order-based performance measure since a customer is only satisfied when all required spare parts are available to fix the machine. As a result, the service level in the decision making process is defined as a job fill rate. In this paper we derive a closed-form expression for the expected service level and total costs for the repair kit problem in a general setting, where multiple units of each part type can be used in a multi-period problem. Such an all-or-nothing strategy is a new characteristic to investigate, but commonly used in practice. Namely, items are only taken from the inventory when all items to perform the repair are available in the right quantity. We develop a new algorithm to determine the contents of the repair kit both for a service and cost model while incorporating this new expression for the job fill rate. We show that the algorithm finds solutions which differ on average 0.2% from optimal costs. We perform a case study to test the performance of the algorithm in practice. Our approach results in service level improvements of more than 30% against similar holding costs.     

The Shapley value for arbitrary families of coalitions

We address the problem of finding a suitable definition of a value similar to that of Shapley’s, when the games are defined on a subfamily of coalitions with no structure. We present two frameworks: one based on the familiar efficiency, linearity and null player axioms, and the other on linearity and the behavior on unanimity games. We give several properties and examples in each case, and give necessary and sufficient conditions on the family of coalitions for the approaches to coincide.