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  • Articles  (4,893)
  • Springer  (4,384)
  • Oxford University Press  (509)
  • American Meteorological Society
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  • Articles  (4,893)
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  • 1990-1994  (3,018)
  • 1965-1969
  • 1950-1954  (1,875)
  • 1995-1999  (3,458)
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  • 1
    Electronic Resource
    Electronic Resource
    Beneficial changes in random variables under multiple sources of risk and their comparative statics (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 7-191 
    Details
    ISSN: 1554-9658
    Keywords: Risk ; Insurance Demand ; Deterministic Transformations ; Stochastic Dominance ; Expected Utility
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The consequences of a change in a random parameter are determined for a decision model with more than one source of randomness. The two cases of independent and stochastically dependent sources of risk are discussed. Four comparative static theorems are given. These state the effect of first degree stochastically dominant shifts or risk decreases for one random variable while the other random variable is held fixed. Deterministic transformations are used to represent random parameter changes. The results are presented in the context of the coinsurance demand model with a risky insurable asset and background risk.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00941954
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  • 2
    Electronic Resource
    Electronic Resource
    Comparative statics under multiple sources of risk with applications to insurance demand (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 21-33 
    Details
    ISSN: 1554-9658
    Keywords: Insurance Demand ; Multiple Sources of Risk ; Comparative Statics ; Increases in Risk
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we propose an answer to the following problem of comparative statics in models with multiple sources of risk: How a risk averse agent will change his coinsurance demand when the distribution of the insurable loss is shifted? To answer the question, we first comment on Jack Meyer's results and then we show how an alternate approach leads to more definitive comparative statics.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00941955
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  • 3
    Electronic Resource
    Electronic Resource
    Pricing insurance and warranties: Ambiguity and correlated risks (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 35-60 
    Details
    ISSN: 1554-9658
    Keywords: Ambiguity ; Pricing ; Actuaries ; Decision Processes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper reports on the results of a questionnaire study of pricing decisions made by professional actuaries when the probabilities of a loss are either ambiguous or nonambiguous. Theoretical hypotheses derived from the expected utility model were compared with the implications of procedures described by practicing actuaries. Actuaries were asked to act as consultants to a computer manufacturer concerning the price of a warranty. The suggested prices were considerably higher when probabilities were ambiguous than when they were well-specified. These pricing decisions were consistent with the procedures described by actuaries but inconsistent with predictions from expected utility theory when the risks are perfectly correlated. Further insight into the actual decision process is provided by interviews with actuaries and an analysis of comments written on the questionnaire forms.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00941956
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  • 4
    Electronic Resource
    Electronic Resource
    Saving under uncertainty: A bivariate non-expected utility approach (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 61-75 
    Details
    ISSN: 1554-9658
    Keywords: Saving ; Borrowing ; Increases in Risk Aversion ; Increases in Risk ; Multivariate NonExpected Utility Model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We adopt the multivariate non-expected utility approach proposed by Yaari [1986] to provide a characterization of the comparative statics effects of greater risk aversion and of mean-preserving increases in risk on saving and borrowing in the presence of income and interest rate risk. We show that in Yaari's model, it is possible to extend the applicability of the Diamond and Stiglitz [1974] and Kihlstrom and Mirman [1974] (DSKM) single-crossing property to establish a relationship between greater risk aversion and saving (or borrowing) on the basis of the individual's ordinal preferences as long as the two risks are independent. We also demonstrate that the comparative statics effects of a joint mean-preserving increase in random income and interest rate on saving and borrowing can be determined by an extension of the DSKM single-crossing property.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00941957
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  • 5
    Electronic Resource
    Electronic Resource
    Economic behaviour of the firm and prevention of occupational injuries (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 77-851 
    Details
    ISSN: 1554-9658
    Keywords: Preventive Investment ; Employment Level ; Occupational Injuries ; Compensation ; Firm Strategy
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper an economic model of the firm's behaviour is presented, examining the interrelationship between prevention activities and employment level. A competitive firm with a fixed capital stock is considered. Two decisions must be made: the level of employment of homogeneous workers (L) and the level of prevention activities (I). Although many simplifying assumptions are adopted, the impact of wage rate and compensation level on both decision variables is sign ambiguous. Moreover the case where injured workers are irreplaceable is more difficult than its counterpart with perfect substitutability.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00941958
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  • 6
    Electronic Resource
    Electronic Resource
    Commitment problems justify subsidies for medical insurance (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 137-145 
    Details
    ISSN: 1554-9658
    Keywords: Insurance ; Commitment ; Subsidy
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Consumers who believe that government will provide them with some public medical care, even if they did not purchase medical insurance, may choose to purchase no such insurance. The amount of medical care consumed will then be less than the first-best optimum. Under specified conditions government can then increase the welfare of consumers by subsidizing insurance, or by providing public health care at a more generous level than the minimum it would otherwise give.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00962710
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  • 7
    Electronic Resource
    Electronic Resource
    Self-Protection in the expected-utility-of-wealth model: An impossibility theorem (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 147-158 
    Details
    ISSN: 1554-9658
    Keywords: Self-Protection ; Expected Utility
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We investigate the possibility of ordering expected utility-of-wealth maximizers according to their propensities to purchase self-protection. We define one agent as “more cautious” than another (toward a loss of specific size given a specific initial wealth) if the first agent would spend more on self-protection than the other, so long- as the technological relationship between spending and loss probability belongs to a broad class of functions. We show that the expected-utility-of-wealth model does not allow for the possibility that one agent could be “more cautious” than another.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00962711
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  • 8
    Electronic Resource
    Electronic Resource
    Dynamic equilibrium and the structure of premiums in a reinsurance market (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 93-136 
    Details
    ISSN: 1554-9658
    Keywords: Reinsurance ; Exchange Equilibrium ; Intertemporal Economic Model ; Market Marginal Utility Process ; Densities for Stochastic Processes ; Random Measure ; Marked Point Processes ; Dynamic Optimization ; Term Structure of Interest Rates ; Incomplete Models ; Non-Proportional Treaties
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we present an economic equilibrium analysis of a reinsurance market. The continuous-time model contains the principal components of uncertainty; about the time instants at which accidents take place, and about claim sizes given that accidents have occurred. We give sufficient conditions on preferences for a general equilibrium to exist, with a Pareto optimal allocation, and derive the premium functional via a representative agent pricing theory. The marginal utility process of the reinsurance market is represented by the density process for random measures, which opens up for numerous applications to premium calculations, some of which are presented in the last section. The Hamilton-Jacobi-Bellman equations of individual dynamic optimization are established for proportional treaties, and the term structure of interest rates is found in this reinsurance syndicate. The paper attempts to reach a synthesis between the classical actuarial risk theory of insurance, in which virtually no economic reasoning takes place but where the net reserve is represented by a stochastic process, and the theory of equilibrium price formation at the heart of the economics of uncertainty.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00962709
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  • 9
    Electronic Resource
    Electronic Resource
    Multivariate risk aversion and intertemporal substitution (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 159-169 
    Details
    ISSN: 1554-9658
    Keywords: Multivariate Risk Aversion ; Intertemporal Substitution
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Researchers often assume that preferences over uncertain consumption streams are representable by $$E\left[ {\left( {{1 \mathord{\left/ {\vphantom {1 \gamma }} \right. \kern-\nulldelimiterspace} \gamma }} \right)\sum\limits_{t = 0}^x {\delta ^t \tilde c_t^\gamma } } \right]$$ , where $$\tilde c_t $$ , is (random) period t consumption. It is moreover often asserted that estimates of γ cannot be unambiguously interpreted, since the quantity 1 − γ measures both relative risk aversion and the reciprocal of the elasticity of substitution. Clearly, this ambiguity arises only if 1 − γ indeed measures risk aversion. Although changes in γ cannot reflect changes in risk aversion according to standard definitions of comparative multivariate risk aversion, we show that γ is rationalizable as a risk aversion measure provided that the “acceptance set” of sure prospects is restricted. We also show, however, that there is essentially no relationship between changes in γ and optimal consumption, even in a simple two period model; this finding casts doubt upon the interpretation of γ as a risk aversion measure.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00962712
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  • 10
    Electronic Resource
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    A note on beneficial changes in random variables (1992)
    Springer
    The Geneva risk and insurance review 17 (1992), S. 171-179 
    Details
    ISSN: 1554-9658
    Keywords: Demand for Insurance ; Risk Aversion ; First-Degree Stochastic Dominance Shifts ; Mean-Preserving Shifts
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper is an extension of Jack Meyer's paper titled “Beneficial Changes in Random Variables Under Multiple Sources of Risk and Their Comparative Statics” published in the June 1992 issue of this journal. The extension consists of showing which of the sufficient conditions in Meyer's Theorems 1 and 3 are also necessary, and which are not. In addition, conditions are provided which are necessary and sufficient for general beneficial changes to imply a decrease in the demand for insurance.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00962713
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  • 11
    Electronic Resource
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    Separable Markovian decision problems (1992)
    Springer
    OR spectrum 14 (1992), S. 43-52 
    Details
    ISSN: 1436-6304
    Keywords: Markov decision processes ; linear programming ; Markovsche Entscheidungsprozesse ; lineare Programmierung
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Separabele Markoffsche Entscheidungsprobleme haben die Eigenschaft, daß für gewisse Paare (i, a) von Zuständeni und zugehörigen Aktionena gilt: (i) die unmittelbare Auszahlung ist die Summe zweier Terme, von denen der eine nur vom Zustand und der andere nur von der Aktion abhängt (ria=si+ta), (ii) die Übergangswahrscheinlichkeiten hängen nur von der Aktion ab und nicht vom Zustand, in dem diese Aktion gewählt wurde. Dieses Modell wurde schon gegen Ende der Sechziger Jahre untersucht. Es wurde bewiesen, daß diskontierte Probleme und undiskontierte Probleme mit nur einer rekurrenten Klasse als lineare Programme mit weniger Variablen als im allgemeinen Modell formuliert werden können. Es war bisher unbekannt, ob auch für undiskontierte Modelle mit mehreren rekurrenten Klassen eine Formulierung mit weniger Variablen existiert. Dieses Problem wird in der vorliegenden Arbeit gelöst: eine solche Formulierung ist möglich. Abschließend werden einige Anwendungen von separablen Modellen angegeben.
    Notes: Summary Separable Markovian decision problems have the property that for certain pairs (i, a) of a statei and an actiona: (i) the immediate reward is the sum of terms due to the current state and action (ria=Si+ta), (ii) the transition probability depends only on the action and not on the state from which the transition occurs. The separable model was studied already in the late sixties. For the discounted case and the unichain undiscounted case a reduced LP formulation was given, which involves a substantially smaller number of variables than in the LP formulation of a general Markov decision problem. It was unknown whether such an efficient formulation was also possible in the multichain case. This paper solves this problem: such an efficient formulation can be obtained. Some applications of separable models are also presented.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01783501
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  • 12
    Electronic Resource
    Electronic Resource
    Liste der zur Besprechung eingegangenen Bücher (1992)
    Springer
    OR spectrum 14 (1992), S. 108-108 
    Details
    ISSN: 1436-6304
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01720355
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  • 13
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    Buchbesprechungen (1992)
    Springer
    OR spectrum 14 (1992), S. 109-114 
    Details
    ISSN: 1436-6304
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01720356
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  • 14
    Electronic Resource
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    A matching-based approach for solving a delivery/pick-up vehicle routing problem with time constraints (1992)
    Springer
    OR spectrum 14 (1992), S. 91-106 
    Details
    ISSN: 1436-6304
    Keywords: Vehicle routing with time-constraints ; set partitioning ; matching ; relaxation ; Vehicle Routing mit Zeitfenster-Bedingung ; Set-Partitioning ; Matching ; Relaxation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Wir betrachten in dieser Arbeit ein spezielles Vehicle Routing Problem mit Zeitfenster-Restriktionen. Die Fahrzeuge einer nicht homogenen Flotte müssen während der ersten Hälfte einer Zeitperiode eine vorgegebene Anzahl von Kunden mit einer bestimmten Menge eines Gutes beliefern. Dabei ist für jeden Kunden ein spezifischer spätester Belieferungszeitpunkt vorgegeben. In der zweiten Hälfte der Zeitperiode müssen die Fahrzeuge jeweils eine bestimmte Menge eines Gutes von den Kunden zum Depot zurücktransportieren. Dabei ist hier nun für jeden Kunden ein spezifischer frühester Entsorgungszeitpunkt vorgegeben. Wir zeigen eine Formulierung dieses Problems als Set-Partitioning-Problem mit zwei zusätzlichen Klassen von Nebenbedingungen. Unter der Annahme, daß die Anzahl der Kunden, die jeweils von einem einzigen Fahrzeug beliefert bzw. entsorgt werden können, höchstens zwei beträgt, stellt sich dieses Problem als Matching-Problem mit Nebenbedingungen dar. Wir zeigen, wie durch Relaxation und die Anwendung effektiver Subgradiententechniken und effizienter Matching Algorithmen in akzeptabler Zeit gute approximative Lösungen bestimmt werden können.
    Notes: Summary In this paper we deal with the following special vehicle routing problem with time window constraints: Given a non-homogeneous fleet of vehicles and a fixed set of customers, during one time period, i.e. a day or a week, these customers have to be delivered in the “first half” of the period with a certain amount of goods. Thereby delivery may start at timet start say at the depot and for every customer there is a so-called cut-off-time for the latest possible delivery. In addition to travel time there is a certain delivery-time associated with every customer. In the “second half” of the time period the vehicles have to pick-up certain amounts of goods and to ship them to the depot. Again there is a cut-off time for the earliest possible pick-up and a certain time-span consumed for every pick-up. We show how this problem can be formulated as a (highdimensional) set partitioning problem with two additional nontrivial sets of side-constraints. Assuming that the number of customers that can be served by a single vehicle on a delivery or pick-up-pass is at most two, the problem reduces to a matching problem with side-constraints. Although the problem is still NP-complete it becomes practicable in the sense that by relaxation and applying effective optimization techniques from non-smooth optimization and efficient matching software good approximate solutions are constructed in acceptable time.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01720353
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  • 15
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    Configuring wide area computer networks (1992)
    Springer
    OR spectrum 14 (1992), S. 115-128 
    Details
    ISSN: 1436-6304
    Keywords: Design of computer networks ; combinatorial optimization ; routing ; capacity assignment ; Netzwerk-Design ; Kombinatorische Optimierung ; Routing ; Kapazitätsplanung
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In dieser Arbeit behandeln wir einige Probleme die als Schritte beim Design von Weitverkehrsnetzen (WAN) auftreten: Kapazitätsplanung und -zuordnung, Wegebestimmung, Wahl der Netztopologie sowie Kapazitätserweiterung. Diese Problemstellungen führen dabei auf komplexe Kombinatorische Optimierungsprogramme, die die Entwicklung neuer Lösungstechniken verlangen. Wir beschreiben die verschiedenen Probleme und diskutieren zugehörige Optimierungsmodelle und Lösungsverfahren. Diese Arbeit schließt mit einem Ausblick auf zukünftige Forschungsschwerpunkte.
    Notes: Summary Modern computer networks consist of wide area backbone networks which serve as major highways to transfer large volumes of communication traffic between access points, and local access networks which feed traffic between the backbone network and end user nodes. The topological design of wide area computer communication networks consists of selecting a set of locations for network control processors (NCPs) placement, deciding on backbone links and their capacities to connect the NCPs, linking end user nodes to the NCPs and selecting routes for routing messages between communicating end user pairs. This paper presents some of the problems faced by network designers starting from the capacity assignment problem, moving to routing and capacity assignment, followed by the topological design and capacity assignment problem; the last problem presented is the topological design and capacity expansion over time. The problems are complex combinatorial optimization problems, which require developing new solution procedures. The paper presents the problems and discusses models and solution procedures. The paper concludes with a discussion and directions for further research.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01783514
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  • 16
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    Buchbesprechungen (1992)
    Springer
    OR spectrum 14 (1992), S. 148-148 
    Details
    ISSN: 1436-6304
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01783517
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  • 17
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    Control of repair rates in cold standby systems (1992)
    Springer
    OR spectrum 14 (1992), S. 129-136 
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    ISSN: 1436-6304
    Keywords: Reliability ; cold standby ; Zuverlässigkeit ; kalte Redundanz
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Untersucht wird die Zuverlässigkeit eines Systems mit kalter Redundanz und Reparaturmöglichkeiten. Ist eine Einheit ausgefallen, dann wird diese mit der Rate μ repariert; falls jedoch bei Ausfall der tätigen Einheit bereits eine andere Einheit repariert wird, dann erhöht sich die Reparaturrate aufβ 〉μ. Die Reparaturrate bleibt während einer Periode mit zufälliger Länge auf diesem höheren Niveau und fällt dann wieder auf das Normalniveau zurück. Nach Abschluß der laufenden Reparatur wird sie ebenfalls wieder zurückgeschaltet. Für den Fall eines Systems mit zwei Einheiten in kalter Redundanz werden einige Operationscharakteristiken explizit berechnet. Dabei wird vorausgesetzt, daß die Lebensdauer der tätigen Einheit entweder eine exponentialverteilte oder eine beliebig verteilte unabhängige Zufallsgröße ist, während die Reparaturdauern exponentialverteilt sind. Schließlich werden Kosten eingeführt und statische Optimalitätsbedingungen hergeleitet.
    Notes: Summary This paper considers the reliability of a redundant system with cold standby and a single repair facility. It introduces some managerial controls and environmental constraints. Normally the repair rate isμ. However, on failure of the online unit the repair rate is geared up to a higher rateβ〉μ, if the repair facility is busy. It will stay at this higher level till the end of a random period or a repair completion, whichever occurs first. Some performance measures for a two unit cold standby system are obtained for the case of exponentially as well as arbitrarily distributed lifetimes, assuming all the other distributions to be exponential. Finally costs are taken into account explicitly and some static optimizations are considered.
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    URL: http://dx.doi.org/10.1007/BF01783515
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  • 18
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    Buchbesprechungen (1992)
    Springer
    OR spectrum 14 (1992), S. 169-172 
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    ISSN: 1436-6304
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01783520
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  • 19
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    Zur Modellierung logischer Aussagen ergänzend zu Linearen Programmen (1992)
    Springer
    OR spectrum 14 (1992), S. 149-160 
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    ISSN: 1436-6304
    Keywords: Lineare Programmierung ; logische Aussagen ; Binärvariablen ; Modellgenerator ; Linear programming ; predicates ; binary variables ; model generator
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Summary We introduce in the field of formulating logical predicates in addition to linear programs. The error prone process of developing linear constraints including binary variables (“auxilliary formulations”) to accomplish this leads us to discuss the possibilities and capabilities of model generation. Based on Williams [12] we develop the formulae apparatus and discuss formulation and design problems for the development of our model generator now being implemented.
    Notes: Zusammenfassung Wir geben eine Einführung in das Gebiet der Formulierung logischer Aussagen ergänzend zu Linearen Programmen. Der dazu notwendige, fehlerträchtige Prozeß der Aufstellung linearer Restriktionen unter der Verwendung von Binärvariablen („Ersatzformulierungen“) führt uns dazu, die Möglichkeiten und Fähigkeiten eines Modellgenerators für diesen Zweck zu diskutieren. Auf der Grundlage von Williams [12] entwickeln wir den Formelapparat und erörtern Formulierungs- und Entwurfsprobleme für die Entwicklung unseres sich jetzt in der Implementationsphase befindlichen Modellgenerators.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01783518
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  • 20
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    Tagungen (1992)
    Springer
    OR spectrum 14 (1992), S. 173-174 
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    ISSN: 1436-6304
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01783521
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  • 21
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    Fahrwegoptimierung am Containerterminal unter Echtzeitbedingungen (1992)
    Springer
    OR spectrum 14 (1992), S. 161-168 
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    ISSN: 1436-6304
    Keywords: Container ; Datenfunk ; Zuordnungsproblem ; Container ; data radio transmission ; assignment problem
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Summary For the control of container transports at the seaport terminal of the Hamburger Hafen and Lagerhaus AG a method of optimising the ways of Straddle Carriers was developed and implemented at the truck operating area. The optimisation system is a module of a superior control system for the straddle carrier operation to minimise routes and number of straddle carriers. The optimisation routine was integrated into an application using data radio transmission for the communication of transport orders to the straddle carriers. The optimisation system had to fulfill the conditions of a realtime application because the short communication times in data radio transmission could not be affected. With the use of the optimisation routine the empty drives were reduced by 13%.
    Notes: Zusammenfassung Zur Steuerung der Containertransporte am Seehafen-Terminal der Hamburger Hafen- und Lagerhaus AG wurde ein Verfahren zur Optimierung der Fahrwege von Portalhubfahrzeugen entwickelt, das bei der LKW-Abfertigung eingesetzt wird. Dabei handelt es sich um ein Modul einer übergeordneten Fahrzeug-Einsatzsteuerung, mit der Fahrwege und die Anzahl der einzusetzenden Fahrzeuge minimiert werden sollen. Das Optimierungsverfahren wurde in eine bestehende Datenfunk-Anwendung integriert, mit der die Transportaufträge an die Fahrzeuge übermittelt werden. Aufgrund der kurzen Kommunikationszeiten im Datenfunk wurden die Anforderungen einer Echtzeit-Anwendung gestellt. Mit dem Optimierungsverfahren konnten Leerfahrten um 13% gesenkt werden.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01783519
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  • 22
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    Liste der zur Besprechung eingegangenen Bücher (1992)
    Springer
    OR spectrum 14 (1992), S. 174-174 
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    ISSN: 1436-6304
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
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    Vorwort der Herausgeber zum Themenheft „Produktionsplanung und -Steuerung“ (1992)
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    OR spectrum 14 (1992), S. 175-175 
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    Topics: Mathematics , Economics
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    URL: http://dx.doi.org/10.1007/BF01733400
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    Buchbesprechungen (1992)
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    OR spectrum 14 (1992), S. 200-200 
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    URL: http://dx.doi.org/10.1007/BF01733403
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    Buchbesprechungen (1992)
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    OR spectrum 14 (1992), S. 210-210 
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    URL: http://dx.doi.org/10.1007/BF01733405
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    OR-Modelle zur Planung flexibler Fertigungssysteme Ein Überblick (1992)
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    OR spectrum 14 (1992), S. 177-192 
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    ISSN: 1436-6304
    Keywords: Flexible Fertigungssysteme ; langfristige Produktionsplanung ; kurzfristige Produktionsplanung ; Leistungsanalyse ; geschlossene Warteschlangennetzwerke ; Flexible manufacturing systems ; long-term production planning ; short-term production planning ; performance evaluation ; closed queueing networks
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Summary This paper presents an overview over the problems arising with the design and operation of flexible manufacturing systems. Existing quantitative models are described and discussed with respect to their usefulness as a decision support tool.
    Notes: Zusammenfassung In diesem Beitrag wird ein Überblic über die Probleme vermittelt, die sich bei der Konfiguration und dem Betrieb eines flexiblen Fertigungssystems stellen. Die zur Behandlung der wichtigsten Problemtypen verfügbaren Modellierungsansätze werden systematisch beschrieben und auf ihren möglichen Einsatz zur Entscheidungsunterstützung für die betriebliche Praxis hin untersucht.
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    URL: http://dx.doi.org/10.1007/BF01733401
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    Planning of buffers within mixed-model lines (1992)
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    OR spectrum 14 (1992), S. 201-209 
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    Keywords: Buffers ; sequencing ; mixed-model lines ; inventory theory ; Puffer ; Reihenfolgeplanung ; Variantenfließ-fertigung ; Lagerhaltung
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Der vorliegende Artikel befaßt sich mit der Pufferplannung bei Variantenfließfertigung, wie sie vor allem in der Fahrzeugindustrie angetroffen wird. Die Bestimmung der optimalen Pufferlage — Hauptgegenstand der Untersuchung — erfolgt anhand eines exakten und drei heuristischer Verfahren. Die Festlegung der benötigten Puffergröße wird kurz angesprochen. Alle Aspekte werden unter dem Gesichtspunkt betrachtet, welchen Einfluß sie auf die Reihenfolgeplanung ausüben. Es wird gezeigt, daß die Einrichtung von Puffern zu deutlichen Zielwertverbesserungen bei der Reihenfolgebildung führt. Insbesondere kann hierdurch eine gleichmäßigere Kapazitätsauslastung erreicht werden.
    Notes: Summary This paper deals with the planning of buffers within a mixed-model line, which is typical of vehicle industries. The positioning of the buffers will be of special interest and will be discussed by an exact method and three heuristics. In addition the determining of buffer sizes will briefly be addressed. All aspects are considered concerning their influence on scheduling criteria. We will demonstrate that the placing of buffers leads to an improvement in job sequencing problems. In particular a balanced capacity usage will be achieved.
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    URL: http://dx.doi.org/10.1007/BF01733404
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    Simulationsuntersuchungen zur Evaluierung der Kapazität eines neuen Fertigungssystems (1992)
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    OR spectrum 14 (1992), S. 193-199 
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    ISSN: 1436-6304
    Keywords: Simulation ; Kapazitätsplanung ; Reihen-folgeplanung ; Simulation ; capacity planning ; sequencing
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Summary This paper describes the use of discrete simulation to determine the capacities and production rates of a new two-stage production facility. Due to lack of experience, it is necessary to determine the capacity of each individual machine in the production process, as well as the capacity of each production stage. The production rate of the entire facility is established on the basis of individual capacities. The analysis of the production system shows that bottlenecks are highly dependent on the actual production mix. The production limitations of each stage are therefore seperately determined and they are further used as restrictions in the shoploading procedure. In addition, a heuristic solution procedure for establishing a production program by taking all simulated capacity restrictions into account is presented.
    Notes: Zusammenfassung In dieser Arbeit wird die Verwendung der diskreten Simulation zur Bestimmung von Kapazitäten und maximalen Produktionsmengen einer neu errichtenden Fertigungsanlage beschrieben. Aufgrund fehlender Erfahrungswerte ist es dabei notwendig, die Kapazität jeder einzelnen Maschine im Produktionsprozeß bzw. jeder Produktionsstufe zu bestimmen. Davon ausgehend wird die maximale Produktionsmenge der gesamten Fertigungsanlage ermittelt. Die Analyse des Fertigungssystems zeigt, daß die Lage der Engpässe sehr stark vom tatsächlichen Produktionsprogramm abhängig ist. Aus diesem Grund wird das maximale Kapazitätsangebot der einzelnen Produktionsstufen getrennt bestimmt und als Restriktionen bei der Einlastung der einzelnen Aufträge verwendet. Ein heuristisches Verfahren zum Festlegen des Produktionsprogramms unter Beachtung aller durch verschiedene Simulationsläufe ermittelten Restriktionen bildet den Abschluß der Arbeit.
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    Buchbesprechungen (1992)
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    OR spectrum 14 (1992), S. 228-228 
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    URL: http://dx.doi.org/10.1007/BF01733408
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    Entwurf einer Informationsstruktur für die Materialbedarfsermittlung auf der Grundlage objektorientierter Datenbanksysteme (1992)
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    OR spectrum 14 (1992), S. 211-216 
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    ISSN: 1436-6304
    Keywords: Deterministische Materialbedarfsermittlung ; objektorientierte Datenbanksysteme ; Methoden ; Funktionen ; Calculation of resource requirements ; objectoriented database systems ; methods ; functions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Summary The calculation of resource requirements is an essential part of production planning. The use of database systems for this purpose has been discussed since long. Object-oriented database systems offer new possibilities: functional attributes. With functional attributes resource requirements can be calculated by means of an objectoriented database system. In this paper the structure of an object-oriented database system for the calculation of resource requirements will be presented.
    Notes: Zusammenfassung Die Ermittlung des Materialbedarfs bildet einen wesentlichen Teil der Produktionsplanung. Ihre Unterstützung durch Datenbanksysteme wird seit längerem diskutiert. Objektorientierte Datenbanksysteme bieten durch die Verwendung von Funktionsattributen neue Möglichkeiten. Zur Demonstration dieser Möglichkeiten wird eine Informationsstruktur zur Materialbedarfsermittlung vorgestellt, wie sie in einem objektorientierten Datenbanksystem zum Einsatz kommen kann. In ihm stehen dem Anwender jederzeit aktuelle Bedarfsdaten zur Verfügung.
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    Call for papers (1992)
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    OR spectrum 14 (1992), S. 241-241 
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    URL: http://dx.doi.org/10.1007/BF01733410
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    Optimale Lospolitiken für eine Leichtmetallgießerei (1992)
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    OR spectrum 14 (1992), S. 217-227 
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    Keywords: Stationäre Losgrößen ; parallele Maschinen ; Werkzeuge ; Stationary lotsizes ; parallel machines ; tools
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Summary In order to model lotsize decisions in a foundry an extension to the classical economic order quantity is introduced. The foundry faces cyclic demand with a finite demand rate due to lotsize production in the next production stage. In addition to the lotsize one has to decide how many machines to use for parallel production. Machines can either be utilized for just one product, permanently or in intermittent production. A simple algorithm for finding an optimal stationary lotsize policy is given. The savings are demonstrated by applying the procedure to the data of three typical products. Furthermore, results about the structure of an optimal lotsize policy are directly applicable for the lotsize decisions in the foundry.
    Notes: Zusammenfassung Es wird eine Erweiterung der klassischen wirtschaftlichen Losgrößenformel vorgestellt, um die für eine Leichtmetallgießerei typische Entscheidungssituation abbilden zu können. Hierzu ist von einer zyklischen Nachfrage mit endlicher Nachfragegeschwindigkeit — verursacht durch die Losauflagen der folgenden Produktionsstufe — auszugehen. Neben der Losgröße ist auch die Anzahl der für eine Teilenummer parallel einzusetzenden Maschinen festzulegen. Maschinen können sowohl ständig zur Produktion einer Teilenummer eingesetzt als auch zur losweisen Fertigung zugeschaltet werden. Zur Bestimmung einer optimalen stationären Lospolitik wird ein einfaches Verfahren vorgeschlagen und das damit erzielbare Einsparungspotential beispielhaft an drei Teilenummern veranschaulicht. Die gewonnenen Erkenntnisse über die Struktur einer optimalen Lospolitik lassen sich unmittelbar für die Disposition in der Leichtmetallgießerei nutzen.
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    Studentenwettbewerb (1992)
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    OR spectrum 14 (1992), S. 242-242 
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    URL: http://dx.doi.org/10.1007/BF01733411
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    Tagungen (1992)
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    OR spectrum 14 (1992), S. 243-244 
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    Netzplanorientierte Auftragsterminierung bei offener Fertigung (1992)
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    OR spectrum 14 (1992), S. 229-240 
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    Keywords: Netzplantechnik ; Auftragsterminierung ; überlappte Fertigung ; Produktionsplanungs- und -Steuerungssysteme ; Precedence diagramming ; job scheduling ; operation overlapping ; manufacturing planning and control systems
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Summary Precedence networks are widely used within manufacturing planning and control systems as a technique for scheduling production orders and resources. According to just in time concepts, subsequent operations of a job are often run in parallel, especially when highly automated production technology is applied. This paper presents a variety of operation overlapping techniques which are designed to extend basic network analysis. Operation overlapping is established by use of various precedence relationships and defining adequate time delays between subsequent operations. The paper provides a methodological framework for job scheduling with operation overlapping considering manufacturing as well as assembly operations with a high degree of commonality in the bill of material structure.
    Notes: Zusammenfassung Zur Unterstützung der Auftragsterminierung und Ressourcenbelegung wird in Produktionsplanungs- und -Steuerungssystemen gewöhnlich auf vorgangsknotenorientierte Netzpläne zurückgegriffen. Gemäß dem Just-in-Time-Konzept werden aufeinanderfolgende Arbeitsvorgänge häufig überlappt ausgeführt, insbesondere beim Einsatz hochautomatisierter Fertigungsverfahren. Dieser Beitrag entwickelt für den Fall offener (überlappter) Fertigung eine Reihe von Terminierungsverfahren, die auf der klassischen Netzplantechnik aufbauen. Die Überlappung von Arbeitsvorgängen wird durch die Verwendung unterschiedlicher Anordnungsbeziehungen und entsprechender Mindestabstände erreicht. Der Beitrag vermittelt die methodischen Grundlagen der Auftragsterminierung bei offener Fertigung und berücksichtigt sowohl reine Bearbeitungs- als auch Montagevorgänge mit einer Vielzahl von Mehrfachverwendungsteilen.
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    Dank den Referenten (1992)
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    OR spectrum 14 (1992), S. 245-245 
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    Liste der zur Besprechung eingegangenen Bücher (1992)
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    OR spectrum 14 (1992), S. 245-245 
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    Buchbesprechungen (1992)
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    OR spectrum 14 (1992), S. 246-252 
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    URL: http://dx.doi.org/10.1007/BF01733415
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    Fuzzy set theory (1992)
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    OR spectrum 14 (1992), S. 1-9 
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    ISSN: 1436-6304
    Keywords: Unscharfe Logik ; linguistische Variable ; unscharfe Entscheidungsmodelle ; wissensbasierte Systeme ; Fuzzy Technologien ; Fuzzy logic ; linguistic variables ; fuzzy decision model ; knowledge-based systems ; fuzzy technologies
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Summary Since the beginning nineties, entitled with the catchword “Fuzzy Logic” reports have been given on numerous, predominantly Japanese applications of fuzzy set theory. This had brought about a change in thinking for scientists and practitioners in Europe and, in particular, in Germany. Had the potentials of this new technology for a long time been underestimated, there now suddenly springs up a very high demand for information on this topic. This article gives a survey of the fundamentals of fuzzy set theory and describes potential applications.
    Notes: Zusammenfassung Seit Beginn der neunziger Jahre wird unter dem Schlagwort „Fuzzy Logic“ von einer Vielzahl von Anwendungen der Theorie unscharfer Mengen vor allem in Japan berichtet. Dies hat in Europa und hier insbesondere in Deutschland zu einem Umdenken bei Wissenschaftlern und Praktikern geführt, die lange Zeit die Potentiale der neuen Technologie verkannten. Nun ist schlagartig eine sehr große Nachfrage nach Informationen zu diesem Thema entstanden. Dieser Artikel gibt einen Überblick über die wesentlichen Grundlagen der Theorie unscharfer Mengen und zeigt potentielle Anwendungen auf.
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    Can cohort data be treated as genuine panel data? (1992)
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    Empirical economics 17 (1992), S. 9-23 
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    ISSN: 1435-8921
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract If repeated observations on the same individuals are not available it is not possible to capture unobserved individual characteristics in a linear model by using the standard fixed effects estimator. If large numbers of observations are available in each period one can use cohorts of individuals with common characteristics to achieve the same goal, as shown by Deaton (1985). It is tempting to analyze the observations on cohort averages as if they are observations on individuals which are observed in consecutive time periods. In this paper we analyze under which conditions this is a valid approach. Moreover, we consider the impact of the construction of the cohorts on the bias in the standard fixed effects estimator. Our results show that the effects of ignoring the fact that only a synthetic panel is available will be small if the cohort sizes are sufficiently large (100, 200 individuals) and if the true means within each cohort exhibit sufficient time variation.
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    Models for which the MLE and the conditional MLE coincide (1992)
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    Empirical economics 17 (1992), S. 67-75 
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    ISSN: 1435-8921
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    Topics: Economics
    Notes: Abstract The MLE, CMLE and MMLE coincide in a linear regression model with fixed individual effects. In this case, there is no incidental parameters problem and the MLE is consistent. The equivalence of these estimators is important because CMLE=MLE implies both the consistency of the MLE and the efficiency of the CMLE. In general, we cannot expect to find a CMLE or MMLE, since there may be no fixed-dimension sufficient statistic for the effects, nor an appropriate transformation of the data whose distribution does not depend on the effects. However, we show that the MLE, CMLE and MMLE do coincide in systems of seemingly unrelated regressions and in systems of simultaneous equations. We establish this result for systems in which (exogenous) variables in addition to (or other than) the intercept may have coefficients which vary over individuals, provided that the set of such variables is the same in every equation.
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    Exact equivalence of instrumental variable estimators in an error component structural system (1992)
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    Empirical economics 17 (1992), S. 77-84 
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    ISSN: 1435-8921
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    Topics: Economics
    Notes: Abstract The paper establishes an equivalence result in the context of anm-equation error component structural system, whose disturbances have the usual three-component structure, and whose equations feature explanatory variables of the formz i, zt andz it; the latter vary (respectively) only over individuals, only over time, and over both. Under the stochastic specification assumed, it is shown that the alternative instrumental variables (IV) estimators commonly used in the special cases of this system are all equivalent (numerically identical); the result is a generalization of the equivalences established previously for the special cases. In the single equation (m=1) context, the equivalence requires that the IV set contain variables of the formz i and/orz t, and further, in numbers determined by the ranks of (respectively) the individuals-mean and time-mean matrices of the instruments. If such an IV set is common to all equations, the equivalence also holds for the system under joint estimation. The result is used to recommend a couple of estimators for use in panel data, on grounds of computational simplicity.
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    Estimation and specification analysis of models of dividend behavior based on censored panel data (1992)
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    Empirical economics 17 (1992), S. 111-124 
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    ISSN: 1435-8921
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    Topics: Economics
    Notes: Abstract Dividends move in discrete jumps. Moreover, some companies pay dividends, others do not. Both these aspects necessitate the use of limited dependent variable models in the analysis of dividend behavior. Models of dividend behavior usually ignore these problems and treat dividends as a continuous variable. The present paper analyzes dividend behavior using panel data on 649 firms for 12 years (1976–1987). The model used is a censored regression model which allows for firm-specific and time effects. It is estimated using the maximum likelihood method under three different error covariance specifications. Based on specification tests, it is argued that it is important to allow for the zero observations, industry effects, and firm-specific and time effects in the estimation of models of dividend behavior.
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    A panel data analysis of productive efficiency in freestanding health clinics (1992)
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    Empirical economics 17 (1992), S. 141-151 
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    ISSN: 1435-8921
    Keywords: Technical efficiency ; Health clinics ; Panel data
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract By using a panel data on a number of freestanding health clinics in New York State over 1984–1987, we have estimated the production function for ambulatory care after controlling for unmeasured clinic-specific managerial efficiency. We found significant differences in management efficiency, which peaks around 50500 visits per year. The optimal staffing ratio between doctors, extenders and nurses was found to be around 1∶1/3∶1, in order for a clinic to be on the efficiency frontier.
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    How fragile are male labor supply function estimates? (1992)
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    Empirical economics 17 (1992), S. 169-182 
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    ISSN: 1435-8921
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    Topics: Economics
    Notes: Abstract We estimate male wage and nonwage income effects using linear specifications spanning three techniques (ordinary least squares, fixed effects, and random effects), two wage measures (reported hourly wages and average hourly earnings), and sample stratification by pay scheme (salaried versus hourly paid). Our regressions encompass the one-period static and perfect-foresight life-cycle models. The static model implies exogenous random person-specific effects, a negative nonwage income coefficient, and a positive labor supply substitution effect. The life-cycle model implies endogenous individual-specific effects, a positive wage coefficient, and a zero nonwage income coefficient. Neither the one-period static nor the perfect-foresight life-cycle models are implied by the data for salaried workers while the static model is consistent with the data for hourly paid workers if income taxes are ignored.
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    Immigrant earnings differentials in Canada: A more general specification of age and experience effects (1992)
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    Empirical economics 17 (1992), S. 221-238 
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    ISSN: 1435-8921
    Keywords: Earnings Functions ; Cohort Effects ; Immigrant Earnings Differentials
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper investigates empirically the role of age and arrival cohort effects on immigrant earnings differentials. The dataset used consists of a sample of 5,069 adult Canadian male employees from the 1973 Job Mobility Survey, a non-census dataset that provides information on actual work experience, language attributes, and numerous parental family background characteristics. It thus allows a more general specification of foreign-born/native-born earnings differentials, particularly the effects of age, work experience and years since immigration. The results confirm the importance of cross-sectional age cohort effects and refine previous findings on arrival cohort effects. Sample selectivity bias is investigated and found to be significant only when respondent's occupation is not controlled for. Adjustment for sample selection bias leaves essentially unchanged the main findings.
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    Do they come back again? Job search, labour market segmentation and state dependence as explanations of repeat unemployment (1992)
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    Empirical economics 17 (1992), S. 273-292 
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    ISSN: 1435-8921
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This study investigates the causes of recurrent unemployment. Using data from the Austrian unemployment register we test the explanatory power of three different approaches which appear in the literature: job search theory, labour market segmentation and state dependence. Whereas job search theory does not seem to be able to explain anything, labour market segmentation does. However, the most powerful determinant of the risk of unemployment repetition is past unemployment history. This micro finding is not inconsistent with theories explaining the persistent high level of unemployment rates.
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    Using survey data to test market efficiency in the foreign exchange markets (1992)
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    Empirical economics 17 (1992), S. 303-314 
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    Keywords: F31 ; G14
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper uses cointegration methods to test the market efficiency hypothesis (MEH) in the foreign exchange markets. Four exchange rates are considered-all relative to the US dollar: BP, DM, SF and JY. Survey data on expectations are used to see whether the violation of the MEH is due to expectational errors or risk premia. The results differ for the one-week ahead and the one-month ahead forecasts. With the weekly data we conclude that it is risk premia, and with the monthly data it is both expectational errors and risk premia that account for the violation of the MEH. Given the volatility of the exchange markets, it appears that forecasts over an extended period fail tests of rationality, but one-week ahead forecasts do not fail such tests.
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    Measuring income responses: A log-quadratic demand model for consumers in India (1992)
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    Empirical economics 17 (1992), S. 315-321 
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    Topics: Economics
    Notes: Summary This paper attempts to capture the non-linearity of income responses of fairly disaggregated item groups with the help of a quadratic system of demand equations, introduced herein. Empirical performances of the quadratic system and some other models have been examined using Indian consumer expenditure data.
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    Consumer demand, ‘full income’ and real wages (1992)
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    Empirical economics 17 (1992), S. 333-345 
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    Topics: Economics
    Notes: Abstract This paper develops and tests a model of consumer behaviour in which income and leisure are simultaneously chosen. Using a version of the AIDS, we develop a system of consumer demand equations in which consumer demand depends on ‘full income’, relative prices and the real wage rate, and we find that the predictions of the model are not rejected.
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    Multiple time series analysis of simultaneous equations model specification (1992)
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    Empirical economics 17 (1992), S. 383-399 
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    Topics: Economics
    Notes: Abstract This paper presents an extension of the Zellner-Palm methodology using the multiple time series representation of an underlying structural econometric model. The multiple time series approach avoids the problem of cancellation of common factors that has made it difficult to infer structural model characteristics from univariate time series models. In addition the correspondence between the structural model and the multiple time series model provides structural content to the tests for Granger-causality. The approach is illustrated with applications to small macroeconomic models of Friedman and Sargent and Wallace.
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    An almost ideal demand system for alcoholic beverages in British Columbia (1992)
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    Empirical economics 17 (1992), S. 401-418 
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    Topics: Economics
    Notes: Abstract An almost ideal demand system for alcoholic beverages in British Columbia is estimated based on five beverage categories. Estimates of the model unrestricted and restricted to satisfy homogeneity and symmetry are presented. The restrictions are tested: as is common in applied demand analysis a number of rejections are encountered, although within-equation tests tend to support homogeneity. The rejections which are encountered are not mitigated by the inclusion of dynamic elements. The Slutsky matrix is used to examine the concavity of the expenditure function, which is found to be mildly violated. Marshallian and Hicksian own-, cross-price, and income elasticities are calculated and are found to be largely consistent with previous findings, although some noteworthy results are obtained.
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    Financial innovations and currency demand: Some new evidence (1992)
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    Empirical economics 17 (1992), S. 451-461 
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    Keywords: E41 ; E51
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    Topics: Economics
    Notes: Abstract This paper presents new evidence on the importance of financial innovations for the demand for currency. We use Finnish data on credit card transactions to estimate a currency demand equation which fits the data very well, implies meaningful elasticities and does not suffer from obvious diagnostic problems such as parameter instability. As far as the key elasticities are concerned, it turns out that credit card transactions have a strong offsetting effect on currency demand. By contrast, inflation and tax evasion have only an insignificant demand effect.
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    Forecasting with leading indicators: Does the new index lead? (1992)
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    Empirical economics 17 (1992), S. 485-505 
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    ISSN: 1435-8921
    Keywords: Composite index of leading indicators ; forecasting ; business cycles ; sequential probability recursion
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    Topics: Economics
    Notes: Abstract There are very few economic variables that capture as much public attention as the Composite Index of Leading Indicators (CLI). Designed as an early warning system for signaling recessions and recoveries in business cycles, CLI now has significant influence over the expectations of decision makers and market participants. Since its inception in 1938, the index has undergone many revisions, the last of which took effect in March 1989. In this study we evaluate the new index. A number of filters, including the Bayesian sequential probability recursion and the rule of three consecutive declines in CLI, are used to evaluate the information content of CLI in forecasting the turning points in the economy. We also report the result of our forecasting experiment to gauge the marginal value of the new index to improve forecasts of variables such as the unemployment rate, index of industrial production, GNP, sales, profit, consumption and housing starts.
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    The relative importance of demand and supply shocks some international evidence (1992)
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    Empirical economics 17 (1992), S. 523-535 
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    Keywords: C 32 ; E 32
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    Topics: Economics
    Notes: Abstract In this paper the contribution of demand and supply shocks of the fluctuation of output and employment is analyzed using quarterly data for four countries (USA, UK, FRG and Switzerland) covering the period 1966 to 1988 in a long run restricted VAR framework for employment, output, the interest rate and inflation. For the USA output and employment fluctuations seem to be dominated by supply shocks in theshort and long run, whereas interest and price level variations are dominated by demand shocks. The result obtained with German and Swiss data are, however, different with two respects: The contribution of demand shocks to output and employment fluctuations are substantial up to a time horizon of eight quarters and price level variations, are at least in the short run, dominated by supply disturbances. Finally, the analysis of the UK data shows the US pattern of results for employment and the price level, but demand shocks are important for output up to four quarters and interest rate movements are dominated by supply shocks.
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    Insiders and outsiders in wage formation: The dutch case (1992)
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    Empirical economics 17 (1992), S. 583-602 
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    Keywords: J51
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    Topics: Economics
    Notes: Abstract In this paper the relevance of the insider-outsider theory is investigated for the Netherlands. Estimation results of a macro wage equation show that the insider-outsider distinction has some empirical relevance, because the lay-off rate has a significant negative influence on wages. However, the extreme insider-outsider model is rejected, because wages are also found to be significantly negatively related to the rate of long-term unemployment.
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    A leader-follower model and analysis for a two-stage network of oligopolies (1992)
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    Annals of operations research 34 (1992), S. 37-72 
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    Topics: Mathematics , Economics
    Notes: Abstract This paper is concerned with the existence, uniqueness and computation of leader-follower equilibrium solutions for an industry involved with two major stages of production. We assume that there exists one set of firms performing the first stage of production, which produces a semi-finished product. This semi-finished product is converted to a final good by a second set of firms performing the second stage of production. Furthermore, also competing in the final product market is a third set of firms, which are vertically integrated through the two stages of production and which are assumed to lead the second set of firms by explicitly considering the reaction or response of these latter firms to their own outputs. We model such an industry as a two-stage network of oligopolies, and define equilibrium solutions based on assumed market structures. Our analysis examines the existence and uniqueness of such equilibrium solutions, characterizes the nature of the production strategies of the various firms at an equilibrium, and prescribes algorithms to compute such solutions. This provides the machinery required to perform sensitivity analyses for studying the effects of various mergers or integrations on individual firm profits, and on the industry outputs and prices at equilibrium. The presentation is self-contained, and does not necessarily require any significant prior preparation in economic theory on the part of the reader.
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    Double penalty method for bilevel optimization problems (1992)
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    Annals of operations research 34 (1992), S. 73-88 
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    Notes: Abstract A penalty function method approach for solving a constrained bilevel optimization problem is proposed. In the algorithm, both the upper level and the lower level problems are approximated by minimization problems of augmented objective functions. A convergence theorem is presented. The method is applicable to the non-singleton lower-level reaction set case. Constraint qualifications which imply the assumptions of the general convergence theorem are given.
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    A sequential LCP method for bilevel linear programming (1992)
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    Annals of operations research 34 (1992), S. 89-106 
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    Notes: Abstract In this paper, we discuss an SLCP algorithm for the solution of Bilevel Linear Programs (BLP) which consists of solving a sequence of Linear Complementarity Problems (LCP) by using a hybrid enumerative method. This latter algorithm incorporates a number of procedures that reduce substantially the search for a solution of the LCP or for showing that the LCP has no solution. Computational experience with the SLCP algorithm shows that it performs quite well for the solution of small- and medium-scale BLPs with sparse structure. Furthermore, the algorithm is shown to be more efficient than a branch-and-bound method for solving the same problems.
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    State-dependent routing on symmetric loss networks with trunk reservations. II: Asymptotics, optimal design (1992)
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    Annals of operations research 35 (1992), S. 3-30 
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    Notes: Abstract We investigate a distributed, state-dependent, dynamic routing strategy for circuit-switched loss networks which we have called Aggregated-Least-Busy-Alternative (ALBA). The networks considered are symmetric and fully connected, the offered calls form Poisson streams and routes have at most two links. In ALBA(K), the states of each link are lumped intoK (K ≥ 2) aggregates and the route of each call is determined by local information on the aggregate-states of the links of the alternate routes. The last aggregate is always the set of states reserved for direct traffic and defined by the trunk reservation parameter. The particular case of ALBA in which there is no aggregation is Least-Busy-Alternative (LBA); ALBA(2) represents the other extreme of aggregation. We consider two separate asymptotic scalings based on Fixed Point Models for ALBA(K) which were obtained and investigated in an earlier paper. In the first, it is assumed that the number of network nodes, the offered traffic and trunk group size are all large; their ratios have been chosen to reflect practical interest. The results show that there exists a threshold which delineates fundamentally different behavior: for offered traffic below the threshold, the network loss probability decreases exponentially with increasing network size, while above the threshold the decrease is only polynomial. In the related second asymptotic scaling, the asymptotically optimum trunk reservation parameter is obtained as the solution of a simple equation. Such asymptotically optimal designs are compared to the outputs of exhaustive numerical searches for some realistically sized networks and found to perform very well.
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    Performance evaluation of polling systems by means of the power-series algorithm (1992)
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    Annals of operations research 35 (1992), S. 155-186 
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    Notes: Abstract Polling systems are widely used to model communication networks with several classes of messages, a single transmission channel and a collision-free access prolocol. However, they can only be analysed exactly for some special service disciplines. The power-series algorithm provides a means for the numerical analysis of polling systems with a moderate number of stations, for a wide variety of access protocols. This paper contains a general description of the power-series algorithm, with emphasis on the application to a general class of polling systems with Poisson arrival streams, with Coxian service and switching time distributions, with infinite buffers, with a fixed periodic visit order, and with a Bernoulli schedule for each visit to a station. The applicability and the complexity of the algorithm are discussed for several more service disciplines for polling systems.
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    Polling systems with synchronization constraints (1992)
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    Annals of operations research 35 (1992), S. 231-267 
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    Notes: Abstract We introduce a new service discipline, called thesynchronized gated discipline, for polling systems. It arises when there are precedence (or synchronization) constraints between the order that jobs in different qucues should be served. These constraints are described as follows: There areN stations which are “fathers” of (zero or more)synchronized stations (“children”). Jobs that arrive at synchronized stations have to be processed only after jobs that arrived prior to them at their corresponding “father” station have been processed. We analyze the performance of the synchronized gated discipline and obtain expressions for the first two moments and the Laplace-Stieltjes transform (LST) of the waiting times in different stations, and expressions for the moments and LST of other quantities of interest, such as cycle duration and generalized station times. We also obtain a “pscudo” conservation law for the synchronized gated discipline, and determine the optimal network topology that minimizes the weighted sum of the mean waiting times, as defined in the “pseudo” conservation law. Numerical examples are given for illustrating the dependence of the performance of the synchronized gated discipline on different parameters of the network.
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    Preface (1992)
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    Annals of operations research 36 (1992), S. I 
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    Analysis of a multicast switch via the arrival modulation technique (1992)
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    Annals of operations research 36 (1992), S. 61-76 
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    Notes: Abstract Multicast switching is emerging as a new switching technology that can provide efficient transport in a broadband network for video and other multipoint communication services. In this paper, we analyze the call blocking probability in a multicast switch via thearrival modulation technique. Our study shows that multicast traffic encounters higher blocking probability than point-to-point traffic because of simultaneous output port contentions. To ensure adequate performance for multicast traffic, we develop and analyze a simple call scheduling algorithm calledFixed Splitting. The results show that the fixed splitting algorithm reduces the call blocking probability significantly when it is applied with appropriately selected splitting parameters.
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    Data allocation design in computer networks: LAN versus MAN versus WAN (1992)
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    Annals of operations research 36 (1992), S. 125-149 
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    Notes: Abstract Using off-the-shelf distributed database management systems, distributed database developments have significantly proliferated. The data allocation design is an essential factor affecting the efficiency and effectiveness of a disturbed database in meeting geographically dispersed database processing demands. Data allocations in local area networks (LANs), metropolitan area networks (MANs), and wide area networks (WANs) are subject to different requirements and considerations. In particular, the primary incentives for distributed database implementations in a LAN are load balancing and distributed computing, while the development of distributed databases in a WAN is mainly motivated by the notion of locality of reference. MANs benefit from both balanced nodal processing loads and maximized local access. Furthermore, the performance levels and cost structures in LANs, MANs and WANs are different. Moreover, LANs, MANs and WANs exhibit distinct network control and medium contention schemes. This paper analyzes the unique considerations and requirements for data allocation in each type of network and further examines the impact of network environments on the structures and the effectiveness of optimal data allocation models.
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    A system for priority routing and capacity assignment in packet switched networks (1992)
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    Annals of operations research 36 (1992), S. 225-245 
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    Topics: Mathematics , Economics
    Notes: Abstract A model and its associated solution procedure for the problem of concurrent flow and capacity assignment in a packet switched network are presented. The distinguishing feature of the model lies in the fact that a user defined priority level is associated with each message in the network. Different service requirements and message characteristics are associated with each message class. An algorithm that generates good feasible solutions to the model, together with tight lower bounds on the value of the objective function, is developed. Results of numerical experiments using several network topologies are reported.
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    Planning for optimal expansion of leased line communication networks (1992)
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    Annals of operations research 36 (1992), S. 347-364 
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    Keywords: Network design ; capacity expansion ; mixed integer programming
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    Notes: Abstract We report a new heuristic algorithm useful for developing least-cost expansion plans for leased telecommunications networks in which there is a hierarchy of possible transmission facilities. The problem combines network topology design and capacity expansion problems. Implemented on a PC, the algorithm has successfully developed topology growth plans for twenty periods on networks with up to 31 nodes.
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    Cobwebs, chaos and bifurcations (1992)
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    Annals of operations research 37 (1992), S. 97-100 
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    Topics: Mathematics , Economics
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    Attractors and confiners in demography (1992)
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    Annals of operations research 37 (1992), S. 17-32 
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    Notes: Abstract Various dynamical models have been suggested by demographers to understand or to better forecast fertility fluctuations. Usual linear techniques have proved poor, but nonlinear techniques may help us to find out some temporal qualitative structure, and to take into account breakdown phenomena. For instance, the 1931–1985 fluctuations may be better described by drawing first return functions, which show a precise qualitative behaviour: two attractors exchanging the trajectory in the phase space under the perturbing environment of the historical context. A second example is drawn from a 17th century population, at a time when people were submitted to high and very irregular mortality. Because of the stochastic nature of the process, attractors are difficult to determine, and we resort to tools which are different from usual asymptotic attractors. These tools, called confiners, are the stochastic analogue of the notion of attractor for stochastic dynamical processes. They have been defined by Cosnard and Demongeot on the basis of the set of accumulation points of the trajectory, and rely on the essential intuitive property of invariance through the double operation consisting first in searching the confining basin of a set, then in taking the limit of this basin. The notion of confiner enables a rigourous description of the equilibrium states of the process: For fertility fluctuations during the 17th century, it reveals two confining zones exchanging the trajectory. Moreover, a simulation system shows how the existence of these two zones are directly linked to the frequencyv of mortality crisis occurring, that is to say, according to the valuev, the population dynamics will more or less balance towards a resistance to the crisis or towards a usual renewal of the population.
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    Path stability of prices in a nonlinear Leontief model (1992)
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    Annals of operations research 37 (1992), S. 141-148 
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    Notes: Abstract In a nonlinear Leontief model where the input-output coefficients depend on the level of outputs, the dynamics of cost-determined prices is examined. It is shown that under mild assumptions path stability holds in the sense that every path when being disturbed comes finally arbitrarily close to its original form. Path stability may occur even if each single path shows chaotic behaviour. By sharpening the assumptions considerably, convergence of all paths may be achieved.
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    Time averages for unpredictable orbits of deterministic systems (1992)
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    Annals of operations research 37 (1992), S. 217-228 
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    Notes: Abstract In many cases, the orbits of deterministic systems displaying highly irregular oscillations yield smoothly converging time averages. It may happen, however, that these time averages do not converge and themselves display wild oscillations. This is analyzed for heteroclinic attractors and hyperbolic strange attractors.
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    Chaotic dynamics in agricultural markets (1992)
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    Annals of operations research 37 (1992), S. 73-96 
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    Keywords: Cobweb model under adaptive expectations ; bifurcation behaviour of unimodal functions ; correlation dimension ; shuffle/whing diagnostic ; BDS-statistics
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    Notes: Abstract In a recent article, Chiarella [7] used a nonlinear supply curve with exactly one inflection point in the context of a cobweb model in order to make plausible that chaotic behaviour may result in such a model. There is, however, no exact proof under what conditions chaos can actually show up since Chiarella confines the analysis to a second order approximation to his difference equation. In a somewhat different model (a linear supply and a nonlinear demand curve which can be given a microeconomic foundation) we show that, under the formation of adaptive price expectations, the resulting adjustment mechanism can generate a wide range of dynamic behaviour (depending on the prevailing parameter constellations) such as stability, bifurcations with stable cycles of period 2, 4, 8, ... and, finally, aperiodic time paths, (i.e. we can show that period-3 cycles exist). In a second step, long historical time series of weekly price observations in German agricultural markets are scrutinized with regard to the hypothesis of nonlinearities. We study their correlation dimensions only recently employed by economists as a characteristic measure which allows, under certain conditions, to distinguish between deterministic chaos and random noise. Our results do not provide evidence to reject the hypothesis, although noise infection of the series cannot be ruled out.
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    Order and disorder in business cycles (1992)
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    Annals of operations research 37 (1992), S. 169-183 
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    Notes: Abstract It is shown that a very simple business cycle model of the multiplier-accelerator type can produce chaotic motion. The model uses a cubic approximation of the nonlinear floor-roof type of investment function, and a two-period distributed lag for consumption. It can be cast as a cubic iterative map for income differences, so that chaotic motion for the differences results in Brownian random walk for income itself. The case can be analyzed by means similar to those used in the study of the iterated quadratic mapping. The cubic, except being based on economic principles, has the advantage over the quadratic that it produces cyclical change. In the fast process for income differences the slowly moving income itself becomes a parameter responsible for feedback causing bifurcations between chaotic and ordered behaviour.
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    A dynamic model of the distribution of wealth among households and nations (1992)
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    Annals of operations research 37 (1992), S. 245-272 
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    Keywords: Distribution of wealth among households ; utility maximization over time ; the rate of time preference ; steady-state distribution of wealth
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Stiglitz once showed that, in general, aggregate wealth is asymptotically uniformally distributed among individuals. However, in his formulation household saving is not the outcome of utility maximization over time. Constructing a simple dynamic general equilibrium model in which household saving is choice-theoretically determined, we show that given initial holdings of wealth there is a unique and stable steady state distribution of wealth and that the distribution of wealth becomes more even (resp. uneven) as time goes by if the total wealth is initially greater (resp. smaller) than its steady state level. We also study the response of the steady state equilibrium to the changes in initial distribution of wealth and the rate of time preference, and to several types of technological improvements.
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    Conditioning for variance reduction in estimating the sensitivity of simulations (1992)
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    Annals of operations research 39 (1992), S. 157-172 
    Details
    ISSN: 1572-9338
    Keywords: Score function method ; likelihood ratio ; sensitivity analysis ; simulation ; Monte Carlo methods ; conditioning
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider first a discrete event static system that is to be simulated at values of a parameter or vector of parametersθ. The system is assumed driven by an inputX, where typicallyX is a vector of variables whose densityf θ (x) depends on the parameterθ. For the purpose of optimizing, finding roots, or graphing the expected performanceE θ L(X) for performance measureL, it is useful to estimate not only the expected value but also its gradient. An unbiased estimator for the latter is the score function estimator $$L(X)S(\theta ) = L(X)\frac{\partial }{{\partial \theta }}\ln f_\theta (x).$$ This estimator and likelihood ratio analogues typically require variance reduction, and we consider conditioning on the value of the score function for this purpose. The efficiency gains due to performing the Monte Carlo conditionally can be very large. Extension to discrete event dynamic systems such as theM/G/1 queue and other more complicated systems is considered.
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    URL: http://dx.doi.org/10.1007/BF02060940
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    Smoothed perturbation analysis algorithms for estimating the derivatives of occupancy-related functions in serial queueing networks (1992)
    Springer
    Annals of operations research 39 (1992), S. 269-293 
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    ISSN: 1572-9338
    Keywords: Smoothed perturbation analysis ; serial queueing networks ; occupancy-related functions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We present unbiased Smoothed Perturbation Analysis (SPA) estimators for the derivatives of occupancy-related performance functions in serial networks ofG/G/1 queues with respect to parameters of the distributions of service times at the queues. The sample functions for these performance measures are piecewise constant, and established Infinitesimal Perturbation Analysis (IPA) methods typically fail to provide unbiased estimators in this case. The performance measures considered in this paper are: the average network occupancy as seen by an arrival, the average occupancy of a specific queue as seen by an arrival to it, the probability that a customer is blocked at a specific queue, and the probability that a customer leaves a queue idle. The SPA estimators derived are quite simple and flexible, and they lend themselves to straightforward analysis. Unlike most of the established SPA algorithms, ours are not based on the comparison of hazard rates, and the proofs of their unbiasedness do not require the boundedness of such hazard rates.
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    URL: http://dx.doi.org/10.1007/BF02060945
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    Location and allocation for distribution systems with transshipments and transportion economies of scale (1992)
    Springer
    Annals of operations research 40 (1992), S. 77-99 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Locating transshipment facilities and allocating origins and destinations to transshipment facilities are important decisions for many distribution and logistic systems. Models that treat demand as a continuous density over the service region often assume certain facility locations or a certain allocation of demand. It may be assumed that facility locations lie on a rectangular grid or that demand is allocated to the nearest facility or allocated such that each facility serves an equal amount of demand. These assumptions result in suboptimal distribution systems. This paper compares the transportation cost for suboptimal location and allocation schemes to the optimal cost to determine if suboptimal location and allocation schemes can produce nearly optimal transportation costs. Analytical results for distribution to a continuous demand show that nearly optimal costs can be achieved with suboptimal locations. An example of distribution to discrete demand points indicates the difficulties in applying these results to discrete demand problems.
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    URL: http://dx.doi.org/10.1007/BF02060471
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    A network location-allocation model trading off flow capturing andp-median objectives (1992)
    Springer
    Annals of operations research 40 (1992), S. 247-260 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The flow capturing and thep-median location—allocation models deal quite differently with demand for service in a network. Thep-median model assumes that demand is expressed at nodes and locates facilities to minimize the total distance between such demand nodes and the nearest facility. The flow-capturing model assumes that demand is expressed on links and locates facilities to maximize the one-time exposure of such traffic to facilities. Demand in a network is often of both types: it is expressed by passing flows and by consumers centred in residential areas, aggregated as nodes. We here present a hybrid model with the dual objective of serving both types of demand. We use this model to examine the tradeoff between serving the two types of demand in a small test network using synthetic demand data. A major result is the counter-intuitive finding that thep-median model is more susceptible to impairment by the flow capturing objective than is the flow capturing model to thep-median objective. The results encourage us to apply the model to a real-world network using actual traffic data.
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    URL: http://dx.doi.org/10.1007/BF02060480
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    Locating concentrators in centralized computer networks (1992)
    Springer
    Annals of operations research 36 (1992), S. 247-261 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Topological design of centralized computer communication networks is a complex problem that is generally solved in two phases. The first phase of the design process involves dividing network nodes (terminals or clusters of terminals) into groups, and selecting a concentrator location for each group so that all the nodes in a group are assigned to the same concentrator. The next phase determines topology of links that connect network nodes to concentrators and concentrators to each other and to the central computer. The design problem studied in this paper contains some aspects of both phases. In this problem locations of concentrators, assignments of user nodes to concentrators and the topology of the links connecting concentrators to the central computer are jointly determined. The proposed design method is built around the well known sweep heuristic which is used to partition the node space into sectors. Each of these sectors contain a “backbone” path connecting concentrators to the central computer.
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    URL: http://dx.doi.org/10.1007/BF02094332
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    The design and implementation of a prototype structured modeling environment (1992)
    Springer
    Annals of operations research 38 (1992), S. 453-484 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper describes the design and implementation of the prototype structured modeling environment FW/SM. The underlying design principles provide the central focus. Other points of interest include discussions of FW/SM's delivery platform, its interface to external packages, and its optimization interfaces. The intended audience is all modeling system evaluators, designers, and implementors, including those who do not happen to take a structured modeling approach.
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    URL: http://dx.doi.org/10.1007/BF02283661
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    ARMMS: Analogical reasoning model management system for multicriteria vehicle scheduling (1992)
    Springer
    Annals of operations research 38 (1992), S. 421-452 
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    ISSN: 1572-9338
    Keywords: Analogical reasoning ; model management ; vehicle scheduling ; knowledge-based systems ; artificial intelligence
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The transportation industry problem of scheduling vehicles combines the spatial characteristics of routing with time domain considerations of activity schedules. The problem is complex because of the numerous interacting constraints in the spatial and time domains. Further, some of the constraints are flexible and some arise in real-time. The scheduling problem is often presented with multiple objectives that are not all economic in nature and which can be contradictory to one another. In response to these needs, this paper describes an analogical reasoning model management system, called ARMMS, designed in the domain of vehicle scheduling. ARMMS consists of knowledge bases and data bases, a truth maintenance system, a user interface, an inference engine, a learning mechanism, and a model library. Given a scheduling problem, ARMMS searches its memory for solutions. If no solution is available, ARMMS falls back on an analogical problem solving approach in which similar experience can be recalled, and solutions to new, but similar, problems can be constructed. If no similar experience exists, ARMMS intelligently selects an appropriate algorithmic model from its model library, based on the input parameters and problem type, to solve the given problem. By combining experts' knowledge, analogical problem-solving approaches, and algorithmic methods, ARMMS provides an efficient problem-solving approach for vehicle scheduling and routing. ARMMS is also a feasible base for the development of intelligent model management systems.
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    URL: http://dx.doi.org/10.1007/BF02283660
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    Smoothing complements and randomized score functions (1992)
    Springer
    Annals of operations research 39 (1992), S. 41-67 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper establishes connections between two derivative estimation techniques:infinitesimal perturbation analysis (IPA) and thelikelihood ratio orscore function method. We introduce a systematic way of expanding the domain of the former to include that of the latter, and show that many likelihood ratio derivative estimators are IPA estimators obtained in a consistent manner through a special construction. Our extension of IPA is based onmultiplicative smoothing. A function with discontinuities is multiplied by asmoothing complement, a continuous function that takes the value zero at a jump of the first function. The product of these functions is continuous and provides an indirect derivative estimator after an appropriate normalization. We show that, in substantial generality, the derivative of a smoothing complement is a randomized score function: its conditional expectation is a derivative of a likelihood ratio. If no conditional expectation is applied, derivative estimates based on multiplicative smoothing have higher variance than corresponding estimates based on likelihood ratios.
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    URL: http://dx.doi.org/10.1007/BF02060935
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    Distributed expert systems for queueing network capacity planning (1992)
    Springer
    Annals of operations research 39 (1992), S. 137-155 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Queueing network capacity planning can become algorithmically intractable for moderately large networks. It is, therefore, a promising application area for expert systems. However, a survey of the published literature reveals a paucity of integrated systems combining design and optimization of network-based problems. We present a distributed expert system for network capacity planning, which uses Monte Carlo simulation-based optimization methodology for queueing networks. Our architecture admits parallel simulation of multiple configurations. A knowledge-based search drives the performance optimization of the network. The search process is a randomized combination of steepest descent and branch and bound algorithms, where the generating function of new states uses qualitative reasoning, and the gradient of the objective function is estimated using a heuristic score function method. We found a random search based on the relative order of the performance gradient components to be a powerful qualitative reasoning technique. The system is implemented as a loosely coupled expert system with components written inProlog, Simscript and C. We demonstrate the efficacy of our approach through an example from the domain of Jackson queueing networks.
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    URL: http://dx.doi.org/10.1007/BF02060939
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    Interconnected networks of queues with randomized arrival and departure blocking (1992)
    Springer
    Annals of operations research 35 (1992), S. 95-124 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, we study two interconnected multiclass non-exponential queueing networks. Jobs can jump from one cluster to another, but subject to randomized blocking depending on the class occupancies. Such systems naturally arise in communication networks, like Metropolitan Area Networks. We present sufficient conditions for the existence of a product form equilibrium distribution under both the recirculate and the stop blocking protocol. A number of examples are given.
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    URL: http://dx.doi.org/10.1007/BF02033192
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    Locating facilities which interact: Some solvable cases (1992)
    Springer
    Annals of operations research 40 (1992), S. 101-124 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The network version of them-median problem with mutual communication (MMMC) is to find the location ofm new facilities on a network withn nodes such that the sum of (a) the cost of interaction between the new facilities andn existing facilities on the network, and (b) the cost of interaction between pairs of new facilities is minimized. The existing facilities are located at nodes of the network and the interaction cost between a pair of facilities is a function of the network distance between the facilities. This problem is shown to be equivalent to a graph-theoretic Node Selection Problem (NSP). We show that many other problems can be formulated as an NSP. We then provide a polynomial time algorithm to solve NSP for the case when the flow graph is Halin. Extensions to other graph families are provided.
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    URL: http://dx.doi.org/10.1007/BF02060472
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    Improving the location of minisum facilities through network modification (1992)
    Springer
    Annals of operations research 40 (1992), S. 1-16 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, we consider the problem of how the transportation network can be modified most efficiently in order to improve the known location of the facilities. The performance of the facilities is measured by the “minisum” objective. We examine in the paper two types of network modifications: reductions and additions of links. We analyze various reduction and addition problems for both trees and general networks. For trees, we present exact results and algorithms for the majority of problems studied. For general networks, we discuss mainly heuristics.
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    URL: http://dx.doi.org/10.1007/BF02060467
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    The von Neumann facet and a global asymptotic stability (1992)
    Springer
    Annals of operations research 37 (1992), S. 273-282 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We will study a multi-sector discrete-time optimal growth model with neoclassical non-joint technology and show that any path on ann-dimensional flat supported by the optimal steady state price will converge to the optimal steady state and is optimal. Burmeister and Graham have proved a similar result in a continuous-time setting. Although their result is limited, it is a first challenge to generalize the global stability result obtained by Uzawa and Srinivasan in a two-sector optimal growth model. One prominent advantage of our approach is that due to the discrete-time model setting, we can apply the duality approach and introduce the so called "von Neumann facet" intensively studied by McKenzie, which plays a very important role in proving the saddle point stability.
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    URL: http://dx.doi.org/10.1007/BF02071060
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    Cyclical strategies in two-dimensional optimal control models: Necessary conditions and existence (1992)
    Springer
    Annals of operations research 37 (1992), S. 345-356 
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    ISSN: 1572-9338
    Keywords: Stable limit cycles ; Hopf bifurcation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper derives necessary conditions such that cyclical policies may be optimal in concave, two state variable (economic) control problems. These conditions identify four different routes. One major implication is that two of these four conditions may be met by separable models. This possibility has been overlooked so far. Therefore, even separable and structurally very simple models may be characterized by optimal cyclical policies. Indeed, it will be shown that stable limit cycles exist for concave and separable control problems.
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    URL: http://dx.doi.org/10.1007/BF02071064
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    Opticon: An algorithm for the optimal control of nonlinear stochastic models (1992)
    Springer
    Annals of operations research 37 (1992), S. 375-401 
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    ISSN: 1572-9338
    Keywords: Optimal control ; stochastic control ; dynamic systems ; nonlinear systems ; control algorithm ; optimal economic policies
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper we describe the algorithm OPTCON which has been developed for the optimal control of nonlinear stochastic models. It can be applied to obtain approximate numerical solutions of control problems where the objective function is quadratic and the dynamic system is nonlinear. In addition to the usual additive uncertainty, some or all of the parameters of the model may be stochastic variables. The optimal values of the control variables are computed in an iterative fashion: First, the time-invariant nonlinear system is linearized around a reference path and approximated by a time-varying linear system. Second, this new problem is solved by applying Bellman's principle of optimality. The resulting feedback equations are used to project expected optimal state and control variables. These projections then serve as a new reference path, and the two steps are repeated until convergence is reached. The algorithm has been implemented in the statistical programming system GAUSS. We derive some mathematical results needed for the algorithm and give an overview of the structure of OPTCON. Moreover, we report on some tentative applications of OPTCON to two small macroeconometric models for Austria.
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    URL: http://dx.doi.org/10.1007/BF02071066
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    Winning controllers and regions in competitive nonlinear dynamic games with two qualitative objectives and uncertain information (1992)
    Springer
    Annals of operations research 37 (1992), S. 423-437 
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    ISSN: 1572-9338
    Keywords: Two-objective qualitative game ; Liapunov function ; observer with reduced dynamics
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The Liapunov technique has been introduced in differential games in a sequence of works over the last decade. We discuss application of this technique to the interface between two competitive semi-games, each with different qualitative objective. The feedback information for controllers is provided from designed, analytically integrable state predictors with reduced dynamics, which considerably shortens the computing time. The case is illustrated on the scenario of target reaching before being intercepted, and intercepting before target is reached.
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    URL: http://dx.doi.org/10.1007/BF02071069
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    A problem identification taxonomy for classification and automated formulation of multiple objective linear programming models (1992)
    Springer
    Annals of operations research 38 (1992), S. 1-16 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper presents a knowledge-based Decision Support System (DSS) for classification, formulation and solution of multiple objective linear programming problems. The authors propose a generic taxonomy which is used to classify commonly encountered types of linear programming problems. Classification of the problem, vis-à-vis the proposed taxonomy, is based on the interaction with the user to determine the attributes which best describe the context or setting of the problem. A total of twenty-four problem types are included in the taxonomy. Following classification, a problem type-specific rule base is invoked to assist the user in constraint formulation. A product blending linear programming problem is used to demonstrate this component of the system since these types of problems typically include more varied constraints, including ratio as well as additive types. A second rule base is invoked for formulation of the multiple criteria objective function, model solution and sensitivity analysis. An initial goal prioritization scheme is obtained by use of the Analytical Hierarchy Process [17]; the optimal goal ordering is obtained by interaction with the user in the form of pairwise attribute value tradeoffs. The system developed is intended for use by the OR-naive user who is more familiar with the content of a problem than he/she is with the mathematical tools needed to formulate and solve such models. The system is a model management tool designed to interpret user inputs and translate those inputs into a solvable multiple objective LP. This interface alleviates the technical burdens of content specification and solution. The approach expands previous formulation tools, such as those based on natural language processing [8], to a broader range of problem types in a multiple criteria environment. The system was implemented on a personal computer using VP-Expert, BASIC and LINDO, and is demonstrated on a multiple objective blending problem. The ability of the approach to accurately classify LP problems was tested on thirty-six subjects. Results suggest that correct classification of problems was more likely to occur when the system was used.
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    URL: http://dx.doi.org/10.1007/BF02283649
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    Efficient implementation of heuristics for the continuous network design problem (1992)
    Springer
    Annals of operations research 34 (1992), S. 163-176 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, we present an efficient implementation of heuristic procedures for solving the continuous network design problem where network users behave according to Wardrop's first principle of traffic equilibrium. Numerical results involving a “standard” benchmark problem are given. Also, it is shown that the cost mapping arising in the Iterative-Optimization-Assignment algorithm is integrable if and only if the volume-delay function is of either the BPR or some logarithmic form.
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    URL: http://dx.doi.org/10.1007/BF02098178
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    Extending decision support systems: The integration of data, knowledge, and model management (1992)
    Springer
    Annals of operations research 38 (1992), S. 501-527 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The proliferation of desktop computing has once again rekindled the interest in making computerized tools available to managers and other decision makers. This paper elaborates on a model that integrates data, knowledge, and model management and shows how decision support systems (DSSs) can be extended to support managers in a truly novel way. The model, the Knowledge/Data Model (KDM), is explained and the significance of its applicability to the management of data, knowledge, and models is illustrated through several examples. KDM continues to evolve and is being applied to domains from computer chip design to production and inventory management systems.
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    URL: http://dx.doi.org/10.1007/BF02283663
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    Nondifferentiable optimization via smooth approximation: General analytical approach (1992)
    Springer
    Annals of operations research 39 (1992), S. 97-119 
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    ISSN: 1572-9338
    Keywords: Min-max problems ; nondifferentiable optimization ; polynomial approximations ; smoothed functionals ; digital signal processing
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper we present a method for nondifferentiable optimization, based on smoothed functionals which preserve such useful properties of the original function as convexity and continuous differentiability. We show that smoothed functionals are convenient for implementation on computers. We also show how some earlier results in nondifferentiable optimization based on smoothing-out of kink points can be fitted into the framework of smoothed functionals. We obtain polynomial approximations of any order from smoothed functionals with kernels given by Beta distributions. Applications of smoothed functionals to optimization of min-max and other problems are also discussed.
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    URL: http://dx.doi.org/10.1007/BF02060937
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    A center location problem with congestion (1992)
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    Annals of operations research 40 (1992), S. 17-32 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We introduce a group of facility location problems whose objective involves both congestion and covering effects. For the Stochastic Queue Center problem, a single facility is to be located on a network to minimize expected response time (travel time plus expected queue delay) to the furthest demand point. We demonstrate certain convexity properties of the objective function on a general network, and show how the optimal location can be found using a finite-step algorithm. On a tree network, we characterize the optimal location trajectory as a function of the customer call rate. We compare this problem to the median, center, and Stochastic Queue Median problems. We then consider several different extensions which incorporate probabilistic travel times and/or distribution of demands.
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    URL: http://dx.doi.org/10.1007/BF02060468
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    Forecast horizons and dynamic facility location planning (1992)
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    Annals of operations research 40 (1992), S. 125-151 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider a dynamic facility location model in which the objective is to find a planning horizon, τ*, and a first period decision,X 1*, such thatX 1* is a first period decision for at least one optimal policy for all problems with planning horizons equal to or longer than τ*. In other words, we seek a planning horizon, τ*, such that conditions after τ* do not influence the choice of the optimal initial decision,X 1*. We call τ* aforecast horizon andX 1* anoptimal initial decision. For the dynamic uncapacitated fixed charge location problem, we show that simple conditions exist such that the initial decision depends on the length of the planning horizon. Thus, a strictly optimal forecast horizon and initial policy may not exist. We therefore introduce the concepts ofe-optimal forecast horizons and ε-optimal initial solutions. Our computational experience inicates that such solutions can be found for practical problems. Although computing ε-optimal forecast horizons and initial decisions can be cumbersome, this approach offers the potential for making significantly better decisions than those generated by other approaches. To illustrate this, we show that the use of the scenario planning approach can lead to the adoption of the worst possible initial decision under conditions of future uncertainty. On the basis of our results, it appears that the forecast horizon approach offers an attractive tool for making dynamic location decisions.
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    URL: http://dx.doi.org/10.1007/BF02060473
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    On worst-case aggregation analysis for network location problems (1992)
    Springer
    Annals of operations research 40 (1992), S. 229-246 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Network location problems occur when new facilities must be located on a network, and the network distances between new and existing facilities are important. In urban, regional, or geographic contexts, there may be hundreds of thousands (or more) of existing facilities, in which case it is common to aggregate existing facilities, e.g. represent all the existing facility locations in a zip code area by a centroid. This aggregation makes the size of the problem more manageable for data collection and data processing purposes, as well as for purposes of analysis; at the same time, it introduces errors, and results in an approximating location problem being solved. There seems to be relatively little theory for doing aggregation, or evaluating the results of aggregation; most approaches are based on experimentation or computational studies. We propose a theory that has the potential to improve the means available for doing aggregation.
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    URL: http://dx.doi.org/10.1007/BF02060479
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    Good solutions to discrete noxious location problems via metaheuristics (1992)
    Springer
    Annals of operations research 40 (1992), S. 265-281 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract An implementation of simulated annealing and tabu search is described for discrete versions of two noxious facility location problems —p-dispersion andp-defense-sum. A series of computational experiments leading to good choices of the parameters that drive simulated annealing and tabu search are presented for a 33-node data set. Using these parameter settings, the performance of simulated annealing and tabu search are compared to a semi-greedy heuristic for thirty randomly generated 25-node data sets.
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    URL: http://dx.doi.org/10.1007/BF02060482
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    Light traffic heuristic for anM/G/1 queue with limited inventory (1992)
    Springer
    Annals of operations research 40 (1992), S. 371-380 
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    ISSN: 1572-9338
    Keywords: Inventory ; light traffic ; location ; queueing
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Motivated by solving a stylized location problem, we develop a light traffic heuristic for anM/G/1 queue with limited inventory that gives rise to a closed form expression for average delay in terms of basic system parameters. Simulation experiments show that the heuristic works well. The inventory operates as follows: the inventory level drops by one unit after each service completion and whenever it drops to a pre-specified levelu, an order is placed with replenishment time ∼ exp(γ). Upon replenishment the inventory is restocked to a pre-specified levels and any arrivals when there is no inventory are placed in queue. Suggestions are given to cover the more general case of a New Better than Used (NBU) replenishment time distribution. Applications to inventory management problems are also discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02060488
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    Uniqueness results and algorithm for Stackelberg-Cournot-Nash equilibria (1992)
    Springer
    Annals of operations research 34 (1992), S. 21-36 
    Details
    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper uses recently developed theory of sensitivity analysis to explore the reaction of a Cournot-Nash equilibrium to a Stackelberg firm, and to analyze the effect of this reaction on the uniqueness of the Stackelberg-Cournot-Nash equilibrium. Some of the results presented are not new, but the methods used provide simpler proofs and a different perspective. More importantly, the methods used here allow the development of new conditions for a unique Stackelberg-Cournot-Nash equilibrium that extends those previously known. The methods used also provide for the development of an efficient algorithm for finding the equilibrium.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02098171
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