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  • Articles  (7,913)
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  • Energy, Environment Protection, Nuclear Power Engineering  (5,282)
  • Economics  (2,798)
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  • Articles  (7,913)
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  • 2005-2009
  • 1995-1999  (7,913)
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  • 1
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    Springer
    The Geneva risk and insurance review 21 (1996), S. 5-6 
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
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  • 2
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    The Geneva risk and insurance review 21 (1996), S. 29-33 
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
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  • 3
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    The Geneva risk and insurance review 21 (1996), S. 7-28 
    ISSN: 1554-9658
    Keywords: term structure ; interest rates ; contingent claims valuation ; Black-Scholes model ; mean-reversion ; no-arbitrage condition ; preference-free pricing ; general equilibrium ; equivalent martingale measure
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract One of the most active areas of research in financial economics has been the modeling of the term structure of interest rates and its relationship to the pricing of contingent claims. There is a vast array of issues in the area, as well as a variety of perspectives, ranging from theoretical to practical. This article provides a general framework for the analysis of issues in the modeling of the term structure. Specifically, this article provides an overview of the conceptual issues and the empirical evidence in the area, based on an examination of five seminal models by Black, Scholes, and Merton; Vasicek; Cox, Ingersoll, and Ross; Ho and Lee; and Heath, Jarrow, and Morton. The article provides a synthesis of the area and suggests directions for future research.
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  • 4
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    The Geneva risk and insurance review 21 (1996), S. 35-63 
    ISSN: 1554-9658
    Keywords: unit-linked life insurance ; exotic contracts ; equivalent martingale measures ; financial risk ; insurance premiums
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article integrates aspects of traditional insurance with advances in financial economics, yielding proper valuation and premium assessments of insurance benefits linked to various financial assets. Several new types of unit-linked life insurance contracts are discussed, with substantial potential for real-life applications. Compared to usual unit-linked products, these contracts offer added flexibility and/or altered exposure to financial risk for the insured and/or the insurer. The single premiums of these policies are calculated as expectations under a risk-adjusted probability measure (equivalent martingale measure), satisfying no-arbitrage conditions in financial markets.
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  • 5
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    The Geneva risk and insurance review 21 (1996), S. 65-102 
    ISSN: 1554-9658
    Keywords: Asian option ; forward risk adjusted measure ; life insurance ; Monte Carlo simulation ; stochastic interest rates
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract An equity-linked life insurance contract combines an endowment life insurance and an investment strategy with a minimum guarantee. The benefit of this contract is determined by the guaranteed amount plus a bonus equal to a call on the portfolio. This bonus is similar to an Asian option. This article analyzes the relationship between the periodic insurance premium and its proportional share invested into the portfolio. For a general model of the financial risks we show the existence and uniqueness of an insurance premium. Furthermore the premium is strictly increasing and convex as a function of the share invested.
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  • 6
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    The Geneva risk and insurance review 21 (1996), S. 103-122 
    ISSN: 1554-9658
    Keywords: hedging ; incomplete markets ; use of futures ; wealth constraint ; exponential utility ; logarithmic utility
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article derives optimal hedging demands for futures contracts from an investor who cannot freely trade his portfolio of primitive assets in the context of either a CARA or a logarithmic utility function. Existing futures contracts are not numerous enough to complete the market. In addition, in the case of CARA, the nonnegativity constraint on wealth is binding, and the optimal hedging demands are not identical to those that would be derived if the constraint were ignored. Fictitiously completing the market, we can characterize the optimal hedging demands for futures contracts. Closed-form solutions exist in the logarithmic case but not in the CARA case, since then a put (insurance) written on his wealth is implicitly bought by the investor. Although solutions are formally similar to those that obtain under complete markets, incompleteness leads in fact to second-best optima.
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  • 7
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    The Geneva risk and insurance review 21 (1996), S. 123-141 
    ISSN: 1554-9658
    Keywords: deposit insurance ; incentive compatibility
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article provides incentive compatible regulations that support fairly priced deposit insurance in a competitive banking industry. If informational asymmetry exists between the regulator and banks regarding loan quality, but the regulator can observe actual loan rates charged, then imposing a capital requirement schedule that leads market loan rates to decrease in loan quality is shown to be incentive compatible. Competition in the loan market induces banks to be indifferent to all loans that satisfy a minimum acceptable quality and reject all riskier loans. The regulator could reduce the banking industry's riskiness by imposing stricter capital requirements that increase this minimum quality.
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  • 8
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    The Geneva risk and insurance review 21 (1996), S. 147-158 
    ISSN: 1554-9658
    Keywords: stochastic dominance ; mean preserving dominance ; MLR-dominance ; capital budgeting ; comparative statics
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The value of an insurance company mainly depends on the premiums received in each underwriting period, the probability distribution of the accumulated claims against the company, the equity capital, and the risk-adjusted rate of return determined by the market. We analyze how the value of the company is affected by marginal changes in the underlying determinants, when there is a regulatory requirement on equity capital. The major factor we are interested in is the claims against the company in each underwriting period, which we represent by a stationary stochastic process. The existing orders for partially ranking risks do not suffice for our purpose, and new conditions are found on the risks facing the companies, for the successful ranking of the company values.
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  • 9
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    The Geneva risk and insurance review 21 (1996), S. 159-177 
    ISSN: 1554-9658
    Keywords: expected utility theory ; state-dependent preferences ; risk aversion ; non-expected utility theory ; rank-dependent probabilities
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We extend the analysis of risk aversion with state-dependent preferences to the rank-dependent expected utility theory. We find that in this extended theory, for two preference relations to be comparable in risk aversion not only do their reference sets need to coincide (a condition first introduced by Karni [1983, 1985] in the original expected utility framework), but they must also rank the prospective state-dependent outcomes in the same manner. We formalize this additional condition by introducing the concept of certainty sets. Under our condition of comparability, various results and characterizations of interpersonal comparison of risk aversion are obtained. The implications for a specific insurance problem are also discussed.
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  • 10
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    The Geneva risk and insurance review 21 (1996), S. 179-189 
    ISSN: 1554-9658
    Keywords: uncertainty ; investment ; newsboy problem ; increase in risk ; optimal capacity
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product. The unit profit of operation is known with certainty, but there is no flexibility in our one-period framework. We show how the introduction of global uncertainty reduces the investment of the risk-neutral entrepreneur and, even more, that of the risk-averse one. We also show how marginal increases in risk reduce the optimal capacity of both the risk-neutral and the risk-averse entrepreneur, without any restriction on the concave utility function and with limited restrictions on the definition of a mean preserving spread. These general results are explained by the fact that the newsboy has a piecewise-linear, and concave, monetary payoff with a kink endogenously determined at the level of optimal capacity. Our results are compared with those in the two literatures on price uncertainty and demand uncertainty, and particularly, with the recent contributions of Eeckhoudt, Gollier, and Schlesinger [1991, 1995].
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  • 11
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    The Geneva risk and insurance review 21 (1996), S. 191-210 
    ISSN: 1554-9658
    Keywords: adverse selection ; hidden information ; informational equilibrium ; learning
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Standard models of adverse selection in insurance markets assume policyholders know their loss distributions. This study examines the nature of equilibrium and the equilibrium value of information in competitive insurance markets where consumers lack complete information regarding their loss probabilities. We show that additional private information is privately and socially valuable. When the equilibrium policies separate types, policyholders can deduce the underlying probabilities from the contracts, so it is information on risk type, rather than loss probability per se, that is valuable. We show that the equilibrium is “as if” policyholders were endowed with complete knowledge if, and only if, information is noiseless and costless. If information is noisy, the equilibrium depends on policyholders' prior beliefs and the amount of noise in the information they acquire.
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  • 12
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    Stochastic environmental research and risk assessment 10 (1996), S. 1-15 
    ISSN: 1436-3259
    Keywords: Spacings ; quantiles ; generalized Pareto distribution ; log-logistic distribution
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract The maximum product of spacings (MPS) method is discussed from the standpoint of information theory. MPS parameter and quantile estimates for the generalized Pareto distribution and the two parameter log-logistic distribution are compared with the maximum likelihood(ML) and probability weighted moment (PWM) estimates.
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  • 13
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    Stochastic environmental research and risk assessment 10 (1996), S. 17-37 
    ISSN: 1436-3259
    Keywords: Diffusion ; network ; reservoir ; power law
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract A diffusion approximation for a network of continuous time reservoirs with power law release rules is examined. Under a mild assumption on the inflow processes, we show that for physically reasonable values of the power law constants, the system of processes converges to a multi-dimensional Gaussian diffusion process. We also illustrate how the limiting Gaussian process may be used to compute approximations to the original system of reservoirs. In addition, we study the quality of our approximations by comparing them to results obtained by simulations of the original watershed model. The simulations offer support for the use of the approximation developed here.
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  • 14
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    Stochastic environmental research and risk assessment 10 (1996), S. 39-63 
    ISSN: 1436-3259
    Keywords: Saturated flow ; rainfall ; groundwater monitoring
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract A numerical experiment of flow in variably saturated porous media was performed in order to evaluate the spatial and temporal distribution of the groundwater recharge at the phreatic surface for a shallow aquifer as a function of the input rainfall process and soil heterogeneity. The study focused on the groundwater recharge which resulted from the percolation of the excess rainfall for a 90-days period of an actual precipitation record. Groundwater recharge was defined as the water flux across the moving phreatic surface. The observed spatial non-uniformity of the groundwater recharge was caused by soil heterogeneity and is particularly pronounced during the stage of recharge peak (substantial percolation stage). During that stage the recharge is associated with preferential flow paths defined as soil zones of locally higher hydraulic conductivity. For the periods of low percolation intensity the groundwater recharge was exhibiting more uniform spatial characteristics. The temporal distribution of the recharge was found to be a function of the frequency and intensity of the rainfall events. Application of sampling design demonstrates the joint influence of the spatial and temporal recharge variability on the cost-effective monitoring of groundwater potentiometric surfaces.
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  • 15
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    Stochastic environmental research and risk assessment 10 (1996), S. 65-85 
    ISSN: 1436-3259
    Keywords: Streamflow ; drought ; tree-ring data ; renewal model ; geometric variables
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract It is shown that runs of low-flow annual streamflow in a coastal semiarid basin of Central California can be adequately modelled by renewal theory. For example, runs of below-median annual streamflows are shown to follow a geometric distribution. The elapsed time between runs of below-median streamflow are geometrically distributed also. The sum of these two independently distributed geometric time variables defines the renewal time elapsing between the initiation of a low-flow run and the next one. The probability distribution of the renewal time is then derived from first principles, ultimately leading to the distribution of the number of low-flow runs in a specified time period, the expected number of low-flow runs, the risk of drought, and other important probabilistic indicators of low-flow. The authors argue that if one identifies drought threat with the occurrence of multiyear low-flow runs, as it is done by water supply managers in the study area, then our renewal model provides a number of interesting results concerning drought threat in areas historically subject to inclement, dry, climate. A 430-year long annual streamflow time series reconstructed by tree-ring analysis serves as the basis for testing our renewal model of low-flow sequences.
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  • 16
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    Stochastic environmental research and risk assessment 10 (1996), S. 87-106 
    ISSN: 1436-3259
    Keywords: Climate change ; daily precipitation modelling ; generalized linear models ; iteratively reweighted least squares ; spline functions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract The precipitation amounts on wet days at De Bilt (the Netherlands) are linked to temperature and surface air pressure through advanced regression techniques. Temperature is chosen as a covariate to use the model for generating synthetic time series of daily precipitation in a CO2 induced warmer climate. The precipitation-temperature dependence can partly be ascribed to the phenomenon that warmer air can contain more moisture. Spline functions are introduced to reproduce the non-monotonous change of the mean daily precipitation amount with temperature. Because the model is non-linear and the variance of the errors depends on the expected response, an iteratively reweighted least-squares technique is needed to estimate the regression coefficients. A representative rainfall sequence for the situation of a systematic temperature rise is obtained by multiplying the precipitation amounts in the observed record with a temperature dependent factor based on a fitted regression model. For a temperature change of 3°C (reasonable guess for a doubled CO2 climate according to the present-day general circulation models) this results in an increase in the annual average amount of 9% (20% in winter and 4% in summer). An extended model with both temperature and surface air pressure is presented which makes it possible to study the additional effects of a potential systematic change in surface air pressure on precipitation.
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  • 17
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    Stochastic environmental research and risk assessment 10 (1996), S. 107-126 
    ISSN: 1436-3259
    Keywords: Gaussian process ; spatial correlation ; anisotropy ; Fourier transform ; Gauss-Newton ; ECM ; measurement error ; signal extraction ; irregular data
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract This paper is concerned with developing computational methods and approximations for maximum likelihood estimation and minimum mean square error smoothing of irregularly observed two-dimensional stationary spatial processes. The approximations are based on various Fourier expansions of the covariance function of the spatial process, expressed in terms of the inverse discrete Fourier transform of the spectral density function of the underlying spatial process. We assume that the underlying spatial process is governed by elliptic stochastic partial differential equations (SPDE's) driven by a Gaussian white noise process. SPDE's have often been used to model the underlying physical phenomenon and the elliptic SPDE's are generally associated with steady-state problems. A central problem in estimation of underlying model parameters is to identify the covariance function of the process. The cumbersome exact analytical calculation of the covariance function by inverting the spectral density function of the process, has commonly been used in the literature. The present work develops various Fourier approximations for the covariance function of the underlying process which are in easily computable form and allow easy application of Newton-type algorithms for maximum likelihood estimation of the model parameters. This work also develops an iterative search algorithm which combines the Gauss-Newton algorithm and a type of generalized expectation-maximization (EM) algorithm, namely expectation-conditional maximization (ECM) algorithm, for maximum likelihood estimation of the parameters. We analyze the accuracy of the covariance function approximations for the spatial autoregressive-moving average (ARMA) models analyzed in Vecchia (1988) and illustrate the performance of our iterative search algorithm in obtaining the maximum likelihood estimation of the model parameters on simulated and actual data.
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  • 18
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    Stochastic environmental research and risk assessment 10 (1996), S. 127-150 
    ISSN: 1436-3259
    Keywords: Rainfall estimation ; indicator cokriging ; rain gage measurements
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract Indicator cokriging (Journel 1983) is examined as a tool for real-time estimation of rainfall from rain gage measurements. The approach proposed in this work obviates real-time estimation of real-time statistics of rainfall by using ensemble or climatological statistics exclusively, and reduces computational requirements attendant to indicator cokriging by employing only a few auxiliary cutoffs in estimation of conditional probabilities. Due to unavailability of suitable rain gage measurements, hourly radar rain fall data were used for both indicator covariance estimation and a comparative evaluation. Preliminary results suggest that the indicator cokriging approach is clearly superior to its ordinary kriging counterpart, whereas the indicator kriging approach is not. The improvement is most significant in estimation of light rainfall, but drops off significantly for heavy rainfall. The lack of predictability in spatial estimation of heavy rainfall is borne out in the integral scale of indicator correlation: peaking to its maximum for cutoffs near the median, indicator correlation scale becomes increasingly smaller for larger cutoffs of rainfall depth. A derived-distribution analysis, based on the assumption that radar rainfall is a linear sum of ground-truth and a random error, suggests that, at low cutoffs, indicator correlation scale of ground-truth can significantly differ from that of radar rainfall, and points toward inclusion of rainfall intermittency, for example, within the framework proposed in this work.
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  • 19
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    Stochastic environmental research and risk assessment 10 (1996), S. 151-161 
    ISSN: 1436-3259
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
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  • 20
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    Stochastic environmental research and risk assessment 10 (1996), S. 163-166 
    ISSN: 1436-3259
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
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  • 21
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    Stochastic environmental research and risk assessment 10 (1996), S. 187-207 
    ISSN: 1436-3259
    Keywords: log-Gumbel distribution ; flood frequency analysis ; quantile estimation ; confidence intervals
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract The log-Gumbel distribution is one of the extreme value distributions which has been widely used in flood frequency analysis. This distribution has been examined in this paper regarding quantile estimation and confidence intervals of quantiles. Specific estimation algorithms based on the methods of moments (MOM), probability weighted moments (PWM) and maximum likelihood (ML) are presented. The applicability of the estimation procedures and comparison among the methods have been illustrated based on an application example considering the flood data of the St. Mary's River.
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  • 22
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    Stochastic environmental research and risk assessment 10 (1996), S. 167-186 
    ISSN: 1436-3259
    Keywords: Reservoir stochastic theory ; reliability ; mean ; variance ; indicator function ; storage bounds ; nonlinear programming ; simulation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract A new formulation is presented for the analysis of reservoir systems synthesizing concepts from the traditional stochastic theory of reservoir storage, moments analysis and reliability programming. The analysis is based on the development of the first and second moments for the stochastic storage state variable. These expressions include terms for the failure probabilities (probabilities of spill or deficit) and consider the storage bounds explicitly. Using this analysis, expected values of the storage state, variances of storage, optimal release policies and failure probabilities — useful information in the context of reservoir operations and design, can be obtained from a nonlinear programming solution. The solutions developed from studies of single reservoir operations on both an annual and monthly basis, compare favorably with those obtained from simulation. The presentation herein is directed to both traditional reservoir storage theorists who are interested in the design of a reservoir and modern reservoir analysts who are interested in the long term operation of reservoirs.
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  • 23
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    Stochastic environmental research and risk assessment 10 (1996), S. 209-229 
    ISSN: 1436-3259
    Keywords: Infiltration-advance equation ; water spreading ; cellular automata ; irrigation ; surface hydrology ; hydrodynamics ; stochastic processes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract A technique has been developed for predicting the irregular advance pattern often observed as water spreads on the surface of the ground. The technique is a combination of stochastic sketching, potential theory, probability theory, and a mass balance equation in the form of an advance equation. The technique can be used on flat as well as sloping terrain and addresses any form of obstructions or constraints to the flow of the water. The stochastic sketching portion of the technique uses cellular automata with transition probability movement rules to sketch the dynamics of small volume water elements in the defined environment. Randomly selected small volume flow path segments are computed and plotted. The envelope of these segments defines the wetted area and the advance front. Several examples are presented showing the patterns produced for various situations.
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  • 24
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    Stochastic environmental research and risk assessment 10 (1996), S. 231-251 
    ISSN: 1436-3259
    Keywords: Stochastic ; multiphase ; three phase ; heterogeneity
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract The first paper (Chang et al., 1995b) of this two-part series described the stochastic analysis using spectral/perturbation approach to analyze steady state two-phase (water and oil) flow in a, liquid-unsaturated, three fluid-phase porous medium. In this paper, the results between the numerical simulations and closed-form expressions obtained using the perturbation approach are compared. We present the solution to the one-dimensional, steady-state oil and water flow equations. The stochastic input processes are the spatially correlated logk where k is the intrinsic permeability and the soil retention parameter, α. These solutions are subsequently used in the numerical simulations to estimate the statistical properties of the key output processes. The comparison between the results of the perturbation analysis and numerical simulations showed a good agreement between the two methods over a wide range of logk variability with three different combinations of input stochastic processes of logk and soil parameter α. The results clearly demonstrated the importance of considering the spatial variability of key subsurface properties under a variety of physical scenarios. The variability of both capillary pressure and saturation is affected by the type of input stochastic process used to represent the spatial variability. The results also demonstrated the applicability of perturbation theory in predicting the system variability and defining effective fluid properties through the ergodic assumption.
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  • 25
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    Stochastic environmental research and risk assessment 10 (1996), S. 295-317 
    ISSN: 1436-3259
    Keywords: Bayesion methods ; time series ; hydrology
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract A review of literature reveals the inadequacy of Intervention analysis and spectrum based methods to adequately quantify changes in hydrologic times series. A Bayesian method is used to investigate the statistical significance of observed changes in hydrologic times series and the results are reported herein. The Bayesian method is superior to the previous methods.
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  • 26
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    Stochastic environmental research and risk assessment 10 (1996), S. 253-278 
    ISSN: 1436-3259
    Keywords: Random fields ; stochastic processes ; fractals
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract This paper describes a new method for generating spatially-correlated random fields. Such fields are often encountered in hydrology and hydrogeology and in the earth sciences. The method is based on two observations: (i) spatially distributed attributes usually display a stationary correlation structure, and (ii) the screening effect of measurements leads to the sufficiency of a small search neighborhood when it comes to projecting measurements and data in space. The algorithm which was developed based on these principles is called HYDRO_GEN, and its features and properties are discussed in depth. HYDRO_GEN is found to be accurate and extremely fast. It is also versatile: it can simulate fields of different nature, starting from weakly stationary fields with a prescribed covariance and ending with fractal fields. The simulated fields can display statistical isotropy or anisotropy.
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  • 27
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    Stochastic environmental research and risk assessment 10 (1996), S. 279-294 
    ISSN: 1436-3259
    Keywords: Linear estimation ; interpolation ; kriging ; splines ; conditional
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract This work presents analytical expressions for the best estimate, conditional covariance function, and conditional realizations of a function from sparse observations. In contrast to the prevalent approach in kriging where the best estimates at every point are determined from the solution of a system of linear equations, the best-estimate function can be represented analytically in terms of basis functions, whose number depends on the observations. This approach is computationally superior when graphing a function estimate and is also valuable in understanding what the solution should look like. For example, one can immediately see that all “singularities” in the best-estimate function are at observation points.
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    Stochastic environmental research and risk assessment 10 (1996), S. 319-329 
    ISSN: 1436-3259
    Keywords: Particle tracking ; numerical methods ; random walks ; advection-dispersion equation ; stochastic processes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract A formal statistical discussion of the origins of the random walk and its relation to the classic advection-dispersion equation is given. At issue is the common use of Gaussian distributed steps in producing the desired dispersive effects. Shown are alternative solutions to the basic Langevin equation describing mass displacements based on non-Gaussian, white increments. In particular, the results reveal that uniform or symmetric-triangular steps can be employed without loss of generality in accuracy of the solution (over all Peclet numbers) and may yield significant savings in the computational generation of the random deviates required in the Monte Carlo procedures of the random walk method.
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    Stochastic environmental research and risk assessment 10 (1996), S. 330-330 
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    OR spectrum 18 (1996), S. 28-28 
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    OR spectrum 18 (1996), S. 42-42 
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  • 32
    ISSN: 1436-6304
    Keywords: Einsatzplanung von Wirtschaftsprüfern/Ablaufplanung ; binäre Optimierung ; Prioritätsregelverfahren ; Audit-staff scheduling/project scheduling ; binary optimization ; regret-based biased random sampling
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract Based upon an empirical survey, an hierarchical framework for audit-staff scheduling has been developed which distinguishes between a tactical, a tacticaloperational and an operational level. In our paper we investigate the operational level. A binary optimization model is formulated, which adequately represents the problem. Afterwards, a randomized heuristic scheme specifically tailored to the problem structure is described which uses priority values to base randomized selection decisions upon. Its suitability is demonstrated in an extensive computational study.
    Notes: Zusammenfassung Basierend auf den Ergebnissen einer empirischen Untersuchung wurde ein hierarchischer Ansatz zur Personaleinsatzplanung in Wirtschaftsprüfungsgesellschaften entwickelt, der die Teilprobleme der taktischen, der taktisch-operativen und der operativen Planung umfaßt. Der vorliegende Beitrag setzt sich mit der operativen Planung auseinander. Das Problem wird zunächst als binäres Optimierungsproblem formuliert. Anschließend wird ein speziell an die Problemstruktur angepaßtes heuristisches Verfahrensschema vorgestellt, das unter Verwendung von Prioritätswerten randomisierte Auswahlentscheidungen trifft. Die Eignung des Verfahrensschemas wird in einer umfangreichen experimentellen Untersuchung nachgewiesen.
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  • 33
    ISSN: 1436-6304
    Keywords: Health investment ; prevention ; economics of health technology ; cost-effectiveness analysis ; programme selection ; resource allocation ; Gesundheitsinvestition ; Prävention ; Ökonomik der Gesundheitstechnologien ; Kosten-Wirksamkeits-Analyse ; Programmauswahl ; Ressourcenallokation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Diese Arbeit gibt einen Überblick über quantitative Programmauswahl- und Ressourcenallokationsmodelle im Bereich der präventiven Gesundheitsversorgung. Zunächst wird gezeigt, daß präventive Gesundheitsprogramme strategische Investitionen darstellen. Anschließend wird begründet, weshalb sich die Kosten-Wirksamkeits-Analyse als allgemeiner Bezugsrahmen anbietet. Innerhalb dieses Rahmens werden dann aus unterschiedlichen Bereichen repräsentative quantitative strategische Modelle erörtert. Im Bereich nichtübertragbarer Erkrankungen liegt der Schwerpunkt bei Krebs und Herz-Kreislauf-Krankheiten, den Hauptursachen für Tod und Gesundheitsbeeinträchtigung in den Industrieländern. Hinsichtlich übertragbarer Krankheiten konzentrieren wir uns auf Tuberkulose, Malaria und AIDS. Ein vorgelagertes Spezialproblem ist die gesundheitsökonomische Bewertung neuer Präventionstechnologien. Die hier verfügbaren quantitativen Modellierungsansätze werden ebenfalls angesprochen.
    Notes: Abstract This paper reviews contemporary quantitative approaches to programme selection and resource allocation in preventive health care. For this purpose it is first shown that preventive health programmes are strategic investments. Then we give reasons why cost-effectiveness analysis is our preferred general frame of reference. Within this framework several representative quantitative policy models are discussed next. In the field of chronic illnesses we focus on the prevention of cancer and cardiovascular diseases, the main causes of death and disability in the industrialized countries. Examples from the field of contagious diseases relate to tuberculosis and malaria control, and to the spread of the Acquired Immune Deficiency Syndrome (AIDS). Finally, we present the case of innovation in preventive health technology from a strategic investment angle.
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    OR spectrum 18 (1996), S. 50-50 
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    OR spectrum 18 (1996), S. 43-49 
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    Keywords: Time-series ; prediction ; pattern ; Zeitreihen ; Prognose ; Muster
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Wir schlagen eine neue deskriptive Methode für die Prognose von Zeitreihen vor. Die Methode basiert auf der Imitation von vorhergehenden ähnlichen Mustern. Um ähnliche Muster zu sammeln, schlagen wir einen Algorithmus vor, der die charakteristischen Eigenschaften von Mustern vergleicht. Die Methode erfordert keine statistischen Voraussetzungen. Wir vergleichen die Methode mit den Ergebnissen der Untersuchung von Makridakis.
    Notes: Abstract We propose a new descriptive approach to timeseries forecasting based on the imitation of the past similar patterns in the data history. In order to select similar patterns we introduce an algorithm that compares the patterns' characteristics. The proposed method does not require any statistical assumptions. We compare the method with the results of the Makridakis competition.
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    OR spectrum 18 (1996), S. 60-60 
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    OR spectrum 18 (1996), S. 61-63 
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    OR spectrum 18 (1996), S. 65-66 
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    OR spectrum 18 (1996), S. 64-64 
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  • 40
    ISSN: 1436-6304
    Keywords: Arbeitzeitflexibilisierung ; Jahresarbeitszeitverteilung ; Schichtpläne ; ganzzahliges Lineares Programm ; Branch-and-Bound ; Flexibilization of working time ; yearly working time distribution ; shift schedules ; integer linear program ; branch and bound
    Source: Springer Online Journal Archives 1860-2000
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    Description / Table of Contents: Abstract The paper presents an algorithm to determine a cost minimal yearly working time. Based on a given set of shift schedules a simultaneous selection- and sequencing procedure is performed resulting in a shift sequence that optimizes the yearly working time distribution. In contrast to the usual approaches this method takes into account all the complex working time restrictions implied by the shift schedules and all the related cost structures. The influence of some important planning parameters is discussed extensively.
    Notes: Zusammenfassung Es wird ein Verfahren zur kostenminimalen Festlegung einer kapazitätsorientierten Jahresarbeitszeitverteilung für den Produktionsbereich vorgestellt. Dazu wird auf Basis einer vorgegebenen Menge von Schichtplänen eine simultane Auswahl- und Reihenfolgeplanung durchgeführt, die die Jahresarbeitszeitverteilung optimiert. Im Gegensatz zu den gängigen Verfahren zur Jahresarbeitszeitplanung können bei dieser Vorgehensweise die durch die Schichtpläne auferlegten Arbeitszeitrestriktionen sowie die damit verbundenen Kosten im Detail berücksichtigt werden. Der Einfluß planungsrelevanter Parameter auf die resultierende Jahresarbeitszeitverteilung wird ausführlich diskutiert.
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    OR spectrum 18 (1996), S. 66-66 
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    OR spectrum 18 (1996), S. 51-59 
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    Keywords: Lot-sizing ; scheduling ; discrete lot-sizing and scheduling ; sequence dependent setup costs ; local search ; production planning and control ; Losgrößenplanung ; Ablaufplanung ; reihenfolgeabhängige Rüstkosten ; lokale Suchverfahren ; Produktionsplanung und -steuerung
    Source: Springer Online Journal Archives 1860-2000
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    Description / Table of Contents: Zusammenfassung Dieser Beitrag beschäftigt sich mit der Ablaufplanung für eine Engpaßmaschine unter besonderer Berücksichtigung reihenfolgeabhängiger Rüstkosten. Neben Rüstkosten sind von Losgrößen abhängige Lagerkosten entscheidungsrelevant. Die Losgrößen sind dabei unter Berücksichtigung der Maschinenkapazität in einem vorgegebenen Planungszeitraum so zu bestimmen, daß alle Teilebedarfe termingerecht in ausreichender Menge befriedigt werden. Zur Lösung des Planungsproblems entwickeln wir zunächst ein neues Modell. Es unterscheidet sich von dem von Fleischmann eingeführten Modell (the discrete lot-sizing problem with sequence dependent setup costs, DLSPSD) dadurch, daß es statt diskrete kontinuierliche Losgrößen zuläßt und daß der Rüstzustand bei Stillstand der Maschine erhalten bleibt. Zur Lösung des Problems wird eine prioritätsregelbasierte Heuristik vorgeschlagen. Die Prioritätswerte und dadurch auch die Lösungsgüte des Verfahrens hängen von zwei Parametern ab. Ein Suchverfahren zur Bestimmung geeigneter Parameterwerte wird vorgestellt. Anhand kleinerer optimal gelöster Datensätze wird gezeigt, daß die Lösungsgüte der Heuristik akzeptabel ist. Für größere Datensätze wird ein Vergleich mit dem von Fleischmann für das DLSPSD vorgeschlagenen Verfahren durchgeführt. Das Verfahren von Fleischmann liefert, bedingt durch die diskrete Losgrößenbildung, nur eine obere Schranke für die hier betrachtete Problemstellung. Der Vergleich zeigt, daß die prioritätsregelbasierte Heuristik dem Verfahren von Fleischmann hinsichtlich der betrachteten Problemstellung überlegen ist.
    Notes: Abstract In this paper we consider a single-stage system where a number of different items have to be manufactured on one machine. Expenditures for the setups depend on the sequence in which items are scheduled on the machine. Holding costs are incurred for holding items in inventory. The demand of the items has to be satisfied without delay, i.e. shortages are not allowed. The objective is to compute a schedule such that the sum of holding and setup costs is minimized with respect to capacity constraints. For this problem which we call capacitated lot-sizing problem with sequence dependent setup costs (CLSD) we formulate a new model. The main differences between the new model and the discrete lot-sizing problem with sequence dependent setup costs (DLSDSD), introduced by Fleischmann, is that continuous lot-sizes are allowed and the setup state can be preserved over idle time. For the solution of the new model we present a heuristic which applies a priority rule. Since the priority values are affected by two significant parameters, we perform a local search in the parameter space to obtain low cost solutions. The solution quality is analyzed by a computational study. The comparison with optimal solutions of small instances shows that the solution quality of our heuristic is acceptable. The Fleischmann approach for the DLSPSD computes upper bounds for our new problem. On the basis of larger instances we show that our heuristic is more efficient to solve the CLSD.
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    OR spectrum 18 (1996), S. 106-106 
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    OR spectrum 18 (1996), S. 67-80 
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    Keywords: Flow shop scheduling ; batch setup times ; group technology ; manufactoring cells ; heuristics ; Flow Shop Probleme ; Setup Zeiten ; Gruppentechnologie ; Heuristiken
    Source: Springer Online Journal Archives 1860-2000
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    Description / Table of Contents: Zusammenfassung In dieser Arbeit werden Permutationsflußprobleme mit Batch Setup Zeiten betrachtet. Jeder Job hat die gleiche technologische Reihenfolge. Die Jobs sind in Gruppen eingeteilt. Gegeben sind Bearbeitungszeient ij für Jobi auf Maschinej sowie Setup Zeitens rj auf Maschinej, wenn ein Job derr-ten Gruppe nach einem Job einer anderen Gruppe bearbeitet wird. Es wird vorausgesetzt, daß auf allen Maschinen die gleiche Reihenfolge der Jobs gewählt wird. In der Arbeit werden sowohl das Problem der Minimierung der Gesamtbearbeitungszeit als auch das Problem der Minimierung der Summe der Bearbeitungsendtermine mit Item oder Batch Verfügbarkeit betrachtet. Für diese Probleme werden konstruktive und iterative Algorithmen entwickelt. Die konstruktiven Algorithmen basieren auf Einfügungstechniken mit Beamsuche. Es werden geeignete Nachbarschaftsstrukturen eingeführt und auf lokaler Suche und Wiedereinfügungstechniken basierende iterative Algorithmen entwickelt. Die Algorithmen wurden an Beispielen mit bis zu 80 Jobs getestet.
    Notes: Abstract In this paper we consider permutation flow shop scheduling problems with batch setup times. Each job has to be processed on each machine once and the technological routes are identical for all jobs. The set of jobs is divided into groups. There are given processing timest ij of jobi on machinej and setup timess rj on machinej when a job of ther-th group is processed after a job of another group. It is assumed that the same job order has to be chosen on each machine. We consider both the problems of minimizing the makespan and of minimizing the sum of completion times, where batch or item availability of the jobs is assumed. For these problems we give various constructive and iterative algorithms. The constructive algorithms are based on insertion techniques combined with beam search. We introduce suitable neighbourhood structures for such problems with batch setup times and describe iterative algorithms that are based on local search and reinsertion techniques. The developed algorithms have been tested on a large collection of problems with up to 80 jobs.
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    Keywords: Cooperative game ; PAW-game ; k-coalitional game ; Shapley value ; egalitarian division rules ; Kooperatives Spiel ; PMA-Spiel ; k-Koalitionsspiel ; Shapley-Wert ; Regeln gleichmäßiger Aufteilungen
    Source: Springer Online Journal Archives 1860-2000
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    Description / Table of Contents: Zusammenfassung Seiv ein kooperativesn-Personenspiel und seih∈{1, 2, ⋯,n}. Mitv h bezeichnen wir die mittlere Auszahlung aller Koalitionen der Größeh und mitv h i die mittlere Auszahlung aller Koalitionen der Größeh, die den Spieleri∈N nicht enthalten. In dieser Arbeit, führen wir den Begriff des Spieles mit proportionaler mittlerer Auszahlung (oder PMA-Spiel) ein. Diese sind null-reduzierte Spielev, für die Zahlenc h ∈ℝ existieren, sodaß die Beziehungv h −v h i =c h (v n−1−v n −1/i ) für jedesh∈{2, 3, ⋯,n−1 undi∈N gilt. Der Begriff der mittleren Auszahlung wird dann benutzt, um eine Formel für den Shapley-Wert der PMA-Spiele abzuleiten. Wir zeigen, daß der Shapley-Wert, und die durch das Zentrum der Imputationsmenge, die gleichmäßigen nicht-separablen Beiträge, bzw. gleichmäßigen nicht-gemittelten Beiträge definierten Werte der PMA-Spiele kollinear sind. Die Klasse aller PMA-Spiele enthält im strengen Sinne die Klasse allerk-Koalitionsspiele, die die Kollinearitätseigenschaft haben (Driessen und Funaki, 1991). Schließlich zeigen wir, daß die Einstimmigkeitsspiele und die Grundbesitzerspiele auch PMA-Spiele sind.
    Notes: Abstract For each cooperativen-person gamev and eachh∈{1, 2, ⋯,n}, letv h be the average worth of coalitions of sizeh andv h i the average worth of coalitions of sizeh which do not contain playeri∈N. The paper introduces the notion of a proportional average worth game (or PAW-game), i.e., the zero-normalized gamev for which there exist numbersc h ∈ℝ such thatv h −v h i =c h (v n−1−v n −1/i ) for allh∈{2, 3, ⋯,n−1}, andi∈N. The notion of average worth is used to prove a formula for the Shapley value of a PAW-game. It is shown that the Shapley value, the value representing the center of the imputation set, the egalitarian non-separable contribution value and the egalitarian non-average contribution value of a PAW-game are collinear. The class of PAW-games contains strictly the class ofk-coalitional games possessing the collinearity property discussed by Driessen and Funaki (1991). Finally, it is illustrated that the unanimity games and the landlord games are PAW-games.
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    OR spectrum 18 (1996), S. 116-116 
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    OR spectrum 18 (1996), S. 107-115 
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    Keywords: Bootstrap-Verfahren ; Bonitätsbeurteilung ; Diskriminanzanalyse ; Variablenselektion ; Bootstrap ; credit investigation ; discriminant analysis ; variable selection
    Source: Springer Online Journal Archives 1860-2000
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    Description / Table of Contents: Abstract Discriminant analysis is often proposed for credit investigations. In this paper bootstrap methods for this kind of problem are applied to empirical data in order to 1. validate the results of the variable selection process and 2. estimate error rates in discriminant analysis. One method is used to demonstrate that correct modelling of the bootstrap method is necessary.
    Notes: Zusammenfassung Zur Beurteilung der Bonität von Kreditnehmern wird vielfach die Diskriminanzanalyse als objektiviertes Hilfsmittel vorgeschlagen. Diese Arbeit demonstriert an einem empirischen Datensatz von Unternehmensbilanzen den Einsatz von Bootstrap-Verfahren 1.zur Validierung der Ergebnisse der Variablenselektion und 2. zur Schätzung der Fehlerraten bei der Klassifikation an Hand der Diskriminanzfunktion. An einer Schätz-methode wird dabei demonstriert, daß bei der Wahl des Bootstrap-Verfahrens sehr genau auf die korrekte Modellierung zu achten ist.
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    OR spectrum 18 (1996), S. 126-126 
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  • 49
    ISSN: 1436-6304
    Keywords: Production scheduling ; dynamic setup change ; Produktionsablaufplanung ; stochastisches Flow-Shop-Problem
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Wir betrachten ein zweistufiges Produktionssystem, in dem zwei Produkte mit konstanten produktspezifischen Produktionsgeschwindigkeiten und Rüstzeiten bearbeitet werden. Zwischen den beiden Maschinen sind zwei produktspezifische Puffer angeordnet. Die Nachfragerate für jedes Produkt ist abschnittsweise konstant. Jede Maschine unterliegt zeitabhängigen Störungen. Die fehlerfreien Laufzeiten und die Reparaturzeiten sind exponentialverteilte Zufallsvariablen, wobei Rüst- und Bearbeitungsvorgänge nach einer störungsbedingten Unterbrechung ohne Verlust fortgesetzt werden. Wir modellieren das Produktionssystem als zeit- und mengenkontinuierlichen Prozeß. Es wird das Problem der Bestimmung der optimalen Kontrollpolitik mit dem Ziel der Minimierung der diskontierten Kosten bei unendlichem Horizont formuliert. Zur Bestimmung der Struktur der optimalen Kontrollpolitik wird eine diskretisierte Version des Problems mit Hilfe der dynamischen Programmierung unter Berücksichtigung einer stückweise linearen Strafkostenfunktion gelöst. Anschließend wird ein Algorithmus entwickelt, mit dem geringe Lagerbestände bei gleichzeitiger Erfüllung der Nachfrage erreicht werden können. Der Algorithmus, der auf einer hierarchischen Kontrollstruktur basiert, dient zur Bestimmung der Produktionszeitpunkte, wobei in Echtzeit auf zufällige Störungen im System reagiert werden kann. Die Leistungsfähigkeit des Verfahrens wird anhand eines Simulationsmodells mit alternativen Politiken verglichen.
    Notes: Abstract In this paper, we study a manufacturing system consisting of two machines separated by two intermediate buffers, and capable of producing two different products. Each product requires a constant processing time on each of the machines. Each machine requires a constant non-negligible setup change time from one product to the other. The demand rate for each product is considered to be piecewise constant. Each machine undergoes failure and repair. The time-to-failure and time-to-repair are exponentially distributed random variables. The setup change and processing operations are resumable. We model our system as a continuous time, continuous flow process. An optimal control problem is formulated for the system to minimize the total expected discounted cost over an infinite horizon. To determine the optimal control policy structure, a discrete version of the problem is solved numerically using a dynamic programming formulation with a piecewise linear penalty function. A real-time control algorithm is then developed with the objective of maintaining low work-in-process inventory and keeping the production close to the demand. The algorithm uses a hierarchical control structure to generate the loading times for each product on each machine in real time and to respond to random disruptions in the system. The system is simulated using this algorithm to study its performance. The performance of the algorithm is also compared to alternative policies.
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    OR spectrum 18 (1996), S. 127-130 
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    Notes: Resümee CA-SuperProject ist ein ausgereiftes Projektmanagementtool, das in seinem Preissegment empfohlen werden kann. Für die Praxis bietet es die Möglichkeit, kleine bis mittelgroße Projekte effizient und durchgängig zu planen, zu steuern und zu kontrollieren. In der Lehre ist es vor allem als Übung zu den Vorlesungen Produktionssteuerung, Ablauforganisation und Projektmanagement zu empfehlen. Allen Anwendern wird mit der Wahl von einem Basismodus oder von vier Expertenmodi die Möglichkeit geboten, den Funktionsumfang auf die individuellen Ansprüche abzustimmen.
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    OR spectrum 18 (1996), S. 162-162 
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    OR spectrum 18 (1996), S. 117-125 
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    Keywords: Neuronale Netzwerke ; Prognose von Zeitreihen ; Nichtstationarität ; Dickey-Fuller-Test ; Neural network ; time series prediction ; non-stationarity ; Dickey-Fuller-Test
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract In 1982, the working group “Forecasting Methods” of the Deutsche Gesellschaft für Operations Research (DGOR) carried out a forecasting comparison between 12 various models which were applied to 15 time series. The results of this study can be considered as a good benchmark for further prediction techniques. This paper reports upon the prediction of these 15 time series by using a Neural Network which was developed by the Backpropagation algorithm. The four highest autocorrelated lag-variables were used as the input variables of the Neural Network. The results show that the Neural Network delivered worse predictions than the other methods including the naive prediction by forecasting non-stationary time series. Stationary time series could be predicted better than the naive prediction, but in comparison to the other techniques the results were only average. After regarding the problem of non-stationarity by using the Dickey-Fuller-Test, first differences were chosen as the input-variables of the Neural Network. In this case, there was a considerable improvement, but the best method (Box-Jenkins' ARIMA technique) could not be surpassed.
    Notes: Zusammenfassung Die Arbeitsgruppe Prognoseverfahren der Deutschen Gesellschaft für Operations Research (DGOR) veröffentlichte 1982 einen Vergleich zwischen verschiedenen Prognoseverfahren. Die Studie wurde anhand 12 verschiedener Modelle und 15 Zeitreihen durchgeführt. Grundsätzlich können die Ergebnisse dieses Prognosevergleichs als objektiver und neutraler Vergleichsmaßstab für die Leistungen anderer Prognosemethoden betrachtet werden. Vor diesem Hintergrund wird in diesem Beitrag die Prognosequalität eines Neuronalen Netzes mit den in der DGOR-Studie beschriebenen Prognoseverfahren empirisch verglichen. Hierbei wird ein Backpropagation-Netz in Ansatz gebracht. Zur Bestimmung der exogenen Variablen werden die vier signifikantesten zeitverzögerten Variablen mittels einer Korrelationsanalyse ausgewählt. Als empirisches Ergebnis ist folgendes festzuhalten: • Im Falle von nichtstationären Zeitreihen liefern die Neuronalen Netze deutlich schlechtere Prognosen im Vergleich zu den anderen Methoden. Stationäre Zeitreihen können durch Neuronale Netze zwar besser vorhergesagt werden, aber dennoch ist die Prognosequalität nur durchschnittlich. • Falls bei nichtstationären Zeitreihen erste Differenzen als exogene Variablen verwendet werden, verbessert sich die Prognosequalität erheblich. Dennoch wird die beste Vorhersagemethode (ARMA-Verfahren nach Box-Jenkins) immer noch nicht übertroffen.
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    OR spectrum 18 (1996), S. 131-144 
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    Keywords: Cutting stock ; integer solutions ; heuristics ; linear programming ; column generation ; numerical experiments ; Zuschneideprobleme ; Ganzzahligkeit ; Heuristiken ; Lineare Optimierung ; Spaltengenerierung ; Numerische Experimente
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In der vorliegenden Arbeit betrachten wir das Problem der Bestimmung ganzzahliger Lösungen für das Standardproblem der eindimensionalen Zuschnittplanung. Insbesondere werden eine spezielle Klasse heuristischer Lösungsverfahren, die in der Literatur beschrieben sind, sowie einige naheliegende Varianten dieser Verfahren vorgestellt. Auf der Grundlage eines numerischen Experiments, bei dem 4.000 Probleme zufällig erzeugt und gelöst wurden, werden die Verfahren miteinander verglichen und im Hinblick auf die Kriterien „Lösungsqualität“ und „Rechenzeitbedarf“ beurteilt. Dabei zeigt sich nicht nur, daß zwei Verfahren deutlich besser als die übrigen einzustufen sind, sondern auch, daß mit ihrer Hilfe nahezu jede Problemausprägung des klassischen eindimensionalen Zuschneideproblems optimal gelöst werden kann.
    Notes: Abstract In this paper the problem of generating integer solutions to the standard one-dimensional cutting stock problem is treated. In particular, we study a specific class of heuristic approaches that have been proposed in the literature, and some straightforward variants. These methods are compared with respect to solution quality and computing time. Our evaluation is based on having solved 4,000 randomly generated test problems. Not only will it be shown that two methods are clearly superior to the others but also that they solve almost any instance of the standard one-dimensional cutting stock problem to an optimum.
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    OR spectrum 18 (1996), S. 168-168 
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    OR spectrum 18 (1996), S. 163-167 
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    Keywords: Majorization ; stochastic dominance ; expected utility ; demand theory ; Majorisierung ; stochastische Dominanz ; erwarteter Nutzen ; Nachfragetheorie
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In dieser Arbeit werden Begriffe der Kongruenz von Konsumentenpräferenzen und Marktpreisen definiert. Ein hoher Grad an Kongruenz erweist sich als nachteilig für den Konsumenten. Dieses Ergebnis wird benutzt, um für ein einfaches Investitionsmodell den zu erwartenden Nutzen, der sich bei einem Konsum über mehrere Perioden ergibt, zu ermitteln.
    Notes: Abstract Notions of congruence between the tastes of the consumer and the market prices are defined and it is shown that the higher the degree of congruence, the worse off the consumer is. Applications to consumption over time and expected utility are given.
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    OR spectrum 18 (1996), S. 145-161 
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    Keywords: General-shop problem ; sequence dependent setup-times ; branch & bound method ; block approach ; immediate selection ; job-shop ; open-shop ; disjunctive graph model ; Allgemeine Shop-Probleme ; reihenfolgeabhängige Rüstzeiten ; Branch- und Bound-Verfahren ; Blockansatz ; Immediate-Selection ; Jop-Shop ; Open-Shop ; disjunktiver Graph
    Source: Springer Online Journal Archives 1860-2000
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    Description / Table of Contents: Zusammenfassung Es wird ein Branch & Bound-Algorithmus für ein sehr allgemeines Scheduling Problem mitn Jobs undm Maschinen vorgestellt. Jeder Job besteht aus einer Menge von Operationen, die auf einer ausgewählten Maschine bearbeitet werden müssen. Zwischen den Operationen sind beliebige Vorrangbeziehungen möglich. Ferner werden die Operationen in Gruppen aufgeteilt. Wenn auf einer Maschine eine Operation der GruppeG g unmittelbar nach einer Operation der GruppeG f bearbeitet wird, ist eine Rüstzeit vons fg Zeiteinheiten notwendig. Wir setzen voraus, daßs fg=0 fürf=g und daß dies fg die Dreiecksungleichung erfüllen. Sowohl für dieses allgemeine Problem als auch für Spezialfälle wie das Job-Shop Problem und das Open-Shop Problem werden Rechenergebnisse vorgestellt.
    Notes: Abstract A branch & bound algorithm is presented for a very general scheduling problem withn jobs andm machines. Each job consists of a set of operations. Each operation has to be processed on a dedicated machine. There may be arbitrary precedence relations between the operations. The set of all operations is partitioned into groups. If on a machine an operation belonging to groupG g is processed immediately after an operation belonging to groupG f there is a setup ofs fg time units. We assume thats fg=0 iff=g and that thes fg satisfy the triangle inequality. Computational results for this general problem as well as for special cases like the job-shop problem and the open-shop problem are reported.
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    OR spectrum 18 (1996), S. 169-178 
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    Keywords: Timed Token Rotation Protokoll ; Feldbus ; Leistung(-Bewertung) ; Nichtlineare Optimierung ; Timed token rotation protocol ; fieldbus ; performance (evaluation) ; nonlinear optimization
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract In this paper, models are presented with whose help it is possible to undertake parameter optimization of Timed Token Rotation Protocol-systems. The parameters to be optimized are the waiting time of one (or more) station(s) and the throughput. The basis for these models are, on the one hand, approximations of the waiting time achieved through analytic heuristic means, which were validated by simulation, and on the other hand, modern methods of nonlinear optimization. The approximation formula for the waiting time is represented as the minimizing objective function, wherein the user requirements that are to be met in the search for an optimum are taken into consideration in the form of constraints (here: inequalities). Introduced in this paper are mono-criterium operation, where only the ‘waiting time’ criterium is considered, and bi-criteria operation, where the goals are both minimization of waiting time and maximization of throughput. Finally, the introduced optimization models are applied to examples.
    Notes: Zusammenfassung In dieser Arbeit werden Modelle zur Verfügung gestellt, mit deren Hilfe es möglich ist, Parameteroptimierungen von Timed Token Rotation Protokoll-Systemen vorzunehmen. Die zu optimierenden Parameter sind dabei die Wartezeit einer (mehrerer) Station(en) bzw. der Durchsatz. Grundlage dieser Modelle sind einerseits analytisch-heuristisch gewonnene Wartezeitapproximationen, die mittels Simulation validiert wurden, und andererseits moderne Methoden der nichtlinearen Optimierung. Die Wartezeitapproximationsformel stellt jeweils die zu minimierende Zielfunktion dar, wobei die Forderungen des Anwenders, die bei der Suche eines Optimums einzuhalten sind, in Form von Nebenbedingungen (hier: Ungleichungen) berücksichtigt werden. Es werden monokriterielle Verfahren, bei denen nur das Kriterium ‘Wartezeit’ zur Diskussion steht, und bikriterielle Verfahren vorgestellt, deren Ziel darin besteht, sowohl die Wartezeit zu minimieren als auch den Durchsatz zu maximieren. Schließlich werden die vorgestellten Optimierungsmodelle an Beispielen demonstriert.
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    OR spectrum 18 (1996), S. 196-196 
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    OR spectrum 18 (1996), S. 179-186 
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    Keywords: Ambiguity ; information evaluation ; experimental economics ; Ambiguität ; Informationsbewertung ; Experimentelle Wirtschaftsforschung
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    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Ein Entscheider hat die Wahl zwischen mehreren Handlungsalternativen. Einige Alternativen sind einfache Lotterien. Andere bestehen darin, zunächst zusätzliche Informationen über Ergebnisse oder Eintrittswahrscheinlichkeiten von Ergebnissen bei diesen Lotterien zu erwerben, bevor eine verbindliche Wahl zwischen den Lotterien getroffen wird. In diesem Artikel werden Hypothesen über den Zusammenhang zwischen demGrad der Ambiguitätsaversion und der Zahlungsbereitschaft für Informationen über das Ergebnis einfacher Zwei-Zustände-Lotterien aus demChoquet-Erwartungsnutzen-Modell abgeleitet. Diese Hypothesen werden in einem Experiment getestet. 157 Studenten werden, bevor sie sich zwischen einer sicheren Zahlung und Lotterien unterschiedlicher Ambiguität entscheiden müssen, nach ihrer Zahlungsbereitschaft für die Information, welcher von zwei zahlungsrelevanten Umweltzuständen eintritt, gefragt. Das wichtigste Ergebnis des Experiments ist, daßder vom Choquet-Erwartungsnutzen-Modell vorhergesagte Pessimismus bei der Bewertung von Information empirisch nicht beobachtet werden kann.
    Notes: Abstract Assume a decision maker has a choice between several acts. Some of the alternatives are simple lotteries; others consist of gathering additional (costy) information on outcomes or probabilities of the available simple lotteries prior to making a binding choice between them. In this paper hypotheses are derived from the Choquet Expected Utility model about the relationship between the degree of ambiguity aversion and the willingness-to-pay for information revealing the outcome of simple two-state-lotteries. These hypotheses are tested experimentally. 157 students are asked to state their willingness-to-pay for information, revealing the true payment relevant state, before making choices between a certain amount of money and two-state-lotteries of varying degrees of ambiguity. In the experiment the pessimism predicted by the Choquet Expected Utility model is not observed empirically.
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    OR spectrum 18 (1996), S. 208-208 
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    OR spectrum 18 (1996), S. 187-195 
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    Keywords: Stochastic production scheduling ; work-in-process inventory control ; Stochastische Maschinenbelegungsplanung
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    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In diesem Beitrag wird ein hierarchischer Planungsansatz zur Steuerung eines Produktionssystems mitN Maschinen betrachtet. Für jede von vielen herzustellenden Produktarten ist die Maschinenfolge durch den jeweiligen Produktionsprozeß fest vorgegeben. Gegebenenfalls sind Maschinen mehrmals zu durchlaufen. Außerdem sind zufällige Maschinenausfälle und Reparaturzeiten zu beachten. Solche Systeme treten z.B. bei der Halbleiterfertigung auf. Ziel der Planung ist eine möglichst bedarfssynchrone Produktion bei niedrigen Lagerbeständen an Halbfertigfabrikaten und hohen Produktionsraten. In der obersten Ebene einer dreistufigen Planungshierarchie werden im Rahmen einer Kapazitätsplanung wünschenswerte Puffergrößen und Produktionsraten der Maschinen ermittelt. In der mittleren Ebene erfolgt eine Anpassung der Produktionsraten, um Störungen des Systems durch Maschinenausfälle oder Blockierung von Maschinen zu beseitigen. In der untersten Planungsebene wird eine Durchlaufterminierung vorgenommen. Eine Simulationsuntersuchung zeigt, daß der vorgeschlagene Planungsansatz gute Ergebnisse liefert.
    Notes: Abstract In this paper, we propose a procedure for production flow control in reentrant manufacturing systems. The system under study consists ofN machines and producesM product types simultaneously. Each part goes through the system following a predefined process and may visit a machine many times. All machines are subject to random failures and need random repair times. The scheduling objectives are to keep the production close to demand and to keep the WIP inventory level and cycle times at low values. The model is motivated by semiconductor fabrication production. A three-level hierarchical controller is constructed to regulate the production. At the top level of this hierarchy, we perform capacity planning by selecting the desirable buffer sizes and the target production level for each operation. A production flow rate controller is at the middle level which recalculates the production rates whenever a machine fails or is starved or blocked. The loading times for individual parts are determined at the bottom level of the hierarchy. Comparison with alternative control is made through simulation and it shows that the control policy performs well.
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    OR spectrum 18 (1996), S. 209-217 
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    Keywords: Semi-infinite programming ; duality ; Semi-infinite Programmierung ; Dualität
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    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Diese Arbeit unterstreicht die Anwendbarkeit des sogenannten Dualproblems von Haar in linearer semi-infiniter Optimierung und analysiert seine Eigenschaften. Dies geschieht im Hinblick auf eine Reduktion in ein gewöhnliches lineares Optimierungsproblem, eine sequentielle Approximation durch endliche Teilprobleme und auch zum Finden einer numerischen Lösung durch Verfahren der zulässigen Richtungen.
    Notes: Abstract This paper emphasizes the great potential applicability of the so-called Haar's dual problem, in linear semi-infinite programming, and analyzes its properties in order to its reduction to an ordinary linear program, its sequential approximation through finite subprograms, as well as to its numerical solution by feasible directions strategies.
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    Keywords: Multi-period inventory problem ; capacity reservation ; dynamic programming ; heuristics ; Mehrperiodiges Lagerhaltungsproblem ; zu reservierende Rohstoffmenge ; dynamische Programmierung ; Heuristiken
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    Description / Table of Contents: Zusammenfassung Vorliegende Arbeit behandelt ein mehrperiodiges Lagerhaltungsproblem, worin sowohl die Nachfrage als auch die Lieferkapazität eines bestimmten Rohstoffs diskrete Zufallsvariable mit bekannter Verteilungsfunktion sind. Vor Beginn der ersten Periode ist die beim Lieferanten zu reservierende Rohstoffmenge für jede Periode zu bestimmen, darauf anschließend ist zu Beginn jeder Periode die tatsächlich zu bestellende Rohstoffmenge zu bestimmen. Ein exakter, aufbranch and bound und dynamischer Programmierung basierender Algorithmus und verschiedene Heuristiken für dieses Problem werden vorgestellt und miteinander verglichen. Die Heuristiken schneiden dabei sehr gut ab, da sie ausgezeichnete, suboptimale Lösungen mit erheblich weniger Rechenaufwand finden.
    Notes: Abstract This paper is concerned with a multi-period inventory problem where the demand and the supplier capacity of a given key resource are discrete random variables with known probability distribution. The procurement manager has to answer two types of questions: how much supplier quantity to reserve for each period (where all of these reservations have to madeprior to the start of the first period) and how large an order quantity to use at start of each period. An exact procedure, based on branch and bound and dynamic programming, as well as various heuristic methods to solve the problem are presented in this paper. Heuristic methods are shown to perform extremely well in the sense that they provide near optimal strategies while requiring much less computational effort than the exact method.
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    OR spectrum 18 (1996), S. 218-218 
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    OR spectrum 18 (1996), S. 230-230 
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    OR spectrum 18 (1996), S. 240-240 
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    OR spectrum 18 (1996), S. 219-229 
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    Keywords: Scheduling ; timed Petri nets ; analysis of Petri nets ; Scheduling ; Petrinetze mit Zeitbewertung ; Analyse von Petrinetzen
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    Description / Table of Contents: Zusammenfassung Petrinetze mit Zeitbewertungen können zur Modellierung und Analyse von Scheduling-Problemen eingesetzt werden. Zur Unterstützung der Modellierung von Scheduling-Problemen stellen wir eine Methode zur Abbildung von Arbeitsgängen, Ressourcen und Randbedingungen auf Petrinetze mit Zeitbewertung vor. Hierbei können wir auf die Standard-Petrinetztheorie zurückgreifen. In der vorliegenden Arbeit wird gezeigt, daß petrinetz-basierte Werkzeuge und Techniken eingesetzt werden können, um widersprüchliche und redundante Prezedenzrelationen, obere und untere Schranken für die „Durchlaufzeit“, etc. zu finden. Dies wird anhand einer petrinetz-basierten Analyse des inhärent schwierigen 10×10 Problems von Fisher and Thompson (1963) gezeigt.
    Notes: Abstract Timed Petri nets can be used to model and analyse scheduling problems. To support the modelling of scheduling problems, we provide a method to map tasks, resources and constraints onto a timed Petri net. By mapping scheduling problems onto Petri nets, we are able to use standard Petri net theory. In this paper we will show that we can use Petri net based tools and techniques to find conflicting and redundant precedences, upper- and lower-bounds for the makespan, etc. This is illustrated by a Petri net based analysis of the notorious 10×10 problem due to Fisher & Thompson (1963)
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    OR spectrum 18 (1996), S. 241-241 
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    OR spectrum 18 (1996), S. 231-239 
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    Keywords: Generalized polymatrix games ; generalized linear complementarity problem ; stability ; degree theory ; Verallgemeinerte Polymatrix-Spiele ; verallgemeinertes lineares Komplementaritätsproblem ; Stabilität ; Grad-Theorie
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In dieser Arbeit führen wir eine Verallgemeinerung des Polymatrix-Spiels (eines Nicht-Nullsummen- und nicht-kooperativenn-Personen-Spiels), das von Howson betrachtet wurde, ein und führen das Problem, eine Gleichgewichtsmenge von Strategien für ein solches Spiel zu berechnen, auf das verallgemeinerte lineare Komplementaritätsproblem von Cottle und Dantzig zurück. Für eine noch allgemeinere Version des Spiels beweisen wir die Existenz einerε-Gleichgewichtsmenge von Strategien. Wir präsentieren auch ein Ergebnis über die Stabilität der Gleichgewichte, das auf der Grad-Theorie beruht.
    Notes: Abstract In this paper, we introduce a generalization of the polymatrix game (a nonzero sum noncooperativen-person game) considered by Howson and relate the problem of computing an equilibrium set of strategies for such a game to the generalized linear complementarity problem of Cottle and Dantzig. For an even more general version of the game we prove the existence of anε-equilibrium set of strategies. We also present a result on the stability of the equilibria based on degree theory.
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    ISSN: 1435-5957
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    Topics: Geography , Economics
    Notes: Abstract In this paper, we investigate the role of input-output data sources in regional econometric input-output models. While there has been a great deal of experimentation focused on the accuracy of alternative methods for estimating regional inputoutput coefficients, little attention has been directed to the role of accuracy when the input-output system is nested within a broader accounting framework. The issues of accuracy were considered in two contexts, forecasting and impact analysis focusing on a model developed for the Chicago region. We experimented with three input-output data sources: observed regional data, national input-output, and randomly generated inputoutput coefficients. The effects of different sources of input-output data on regional econometric input-output models revealed that there are significant differences in results obtained in both forecast and impact analyses. The adjustment processes inherent in the econometric input-output system did not mask the differences imbedded in input-output tables derived from different data sources. Since applications of these types of models involve both impact and forecasting exercises, there should be strong motivation for basing the syste on the most accurate set of input-output accounts.
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    Papers in regional science 75 (1996), S. 177-199 
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    Notes: Abstract Japan National Railways went private in 1987, the first of many national railways to do so, and the Japanese experience could provide lessons to other nations. This paper evaluates the effects of Japan National Railways' Privatization on labor productivity and employment in the passenger sectors. The main data was obtained from the Annual Rail Statistics of both the Ministry of Transport and Japan National Railways. Quantitative methods such as labor productivity models were used to evaluate the effects of privatization. Large private railways, which are considered the most efficient railways in Japan, are often compared to privatized Japan Railways. Major findings are as follows: First, Japan Railways still have 20% more employees than large private railways. Second, current productivity differences between Japan Railways and large private railways appear in station and maintenance activities. Third, reduction in employment during the transitional periods of privatization greatly contributed to increases in the productivity of Japan Railways. Fourth, it is not clear whether or not productivity differences among regional Japan Railways have been decreasing since privatization. Finally, the effect of privatization on productivity growth was about 29%. Moreover, even if productivity increases, safety is not compromised, with serious accidents clearly being unrelated to productivity growth.
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    Papers in regional science 75 (1996), S. 433-440 
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    Notes: Abstract This paper explicitly incorporates monopsony market structure into the Weber-Moses's one-output, two-input triangular location model and reexamines the location invariance principle. It will be shown that this principle need not hold if the imperfection of input markets prevails. This is contrary to the conventional wisdom.
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    Papers in regional science 75 (1996), S. 135-153 
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    Notes: Abstract The relationship between urbanization and level of income has been the subject of considerable theoretical debate and empirical study for many years. However, little recent work has been done to determine whether or not previous findings still hold, and there has been even less multi-country analysis to explore the degree of generality. Analysis of data for metropolitan areas in the United States from 1970 to 1990 indicates per capita income increases directly with population size. For states of the United States and 113 countries for 1960 and 1980 a strong positive relationship exists and holds temporally between level of per capita Gross Domestic Product and percent of the population that is urban.
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    Papers in regional science 75 (1996), S. 201-235 
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    Notes: Abstract Foreign direct investment in the United States is an integral part of the competition among global industrial core regions. Most foreign investment in the U.S. originates in Europe, Canada, and Japan. Acquisition rather than new plant establishment is the favored mode of investment and the interregional supply of potential acquisition candidates constrains foreign investors' locational choices. This paper provides an analysis of the location of foreign employment in 15 disaggregated sectors across U.S. states in 1990. The results show that foreign firms concentrate employment in existing regions of production. Foreign investments in most raw materials processing sectors particularly favor these places. Some decentralization has occurred in several sectors, especially food, paper, chemicals and petroleum, rubber and plastics, stone, clay and glass products, and primary metals. Other significant determinants of location include labor force characteristics and certain regional preferences. No evidence was found in our analysis of disaggregate sectors that foreign investors avoid strong unions more than their domestic counterparts.
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    Papers in regional science 75 (1996), S. 265-291 
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    Notes: Abstract Drawing from flexible production literature on industrial networks, this research pays particular attention to the socially embedded nature of firm linkages in a distribution sector. The empirical study of Chinese-owned computer wholesale firms within Los Angeles County shows that the presence of ethnic identity plays a significant role in the internal operation and external transactions of Chinese firms. Ethnic relations facilitate interactions within the ethnic group, producing a closely knit ethnic network within the industry. The heavy reliance on ethnic networks also has led Chinese firms to a notable geographical separation from the remaining firms in the same sector.
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    Papers in regional science 75 (1996), S. 351-374 
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    Notes: Abstract Producer services employment has grown rapidly within advanced economies in recent years. The bases of demand related to this growth are not well understood by regional scientists. A common view is that this growth is largely attributable to cost-driven factors and vertical disintegration processes on the part of producer service users. This paper demonstrates that cost-driven externalization is not the most important force underlying growth in demand for producer services. The need for specialized knowledge is by far the most important factor behind producer services demand, combined with a variety of other cost, quasi-cost, and non-cost-driven forces.
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    Papers in regional science 75 (1996), S. 463-481 
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    Topics: Geography , Economics
    Notes: Abstract This paper focuses on the dynamic relations between Spain's principal regional labor markets. An economic base mechanism, some of whose assumptions are redefined, is postulated as the essential behavior hypothesis. The bifurcation hypothesis is resolved having regard to the necessary condition of cointegration between the basic sector and the regional aggregate, using series with quarterly periodicity in this case. The identified bases, which need not coincide in each region, allow a dynamic inter-regional model to be built using vector autoregression with an error correction mechanism. The results are a step towards the spatial disaggregation of Spain's labor market and reveal singular dynamic relationships.
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    Papers in regional science 75 (1996), S. 501-524 
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    Notes: Abstract This paper aims at positioning spatial development at the crossroads of the conflicting needs for spatial mobility and spatial sustainability. Such tensions have explicitly been recognized in recent local, national and international policy documents. A reconciliation of such antagonistic driving forces in our modern network economy requires a solid theoretical framework in which the relevant force fields are depicted and in which the uncertainties inherent in any attempt at steering human behavior in space are explicitly recognized. This requires an analytical framework in which relevant scenarios are systematically projected on a model structure describing the above mentioned force field. This paper will try to offer an operational methodology for coping with the above mentioned conflicting issues in planning for sustainable spatial development. Particular attention will be given to the spatial scale of analyzing sustainable development. The methodology will be illustrated by presenting empirical results from a case study undertaken in the western part of the Netherlands, the so called Randstad.
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    Empirical economics 21 (1996), S. 13-25 
    ISSN: 1435-8921
    Keywords: Growth theory ; creative destruction ; empirical implications ; O40
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    Topics: Economics
    Notes: Abstract This paper obtains and discusses alternative testable implications of the Schumpeterian theory of creative destruction for economic growth.
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  • 80
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    Keywords: Trade liberalization ; human capital ; economic integration ; foreign investment ; Latin America ; F15 ; O41
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    Topics: Economics
    Notes: Abstract The paper looks at the source of dynamic gains to trade liberalization using a two-country model with both physical and human capital accumulation. The model is calibrated and used to examine the effect of the economic integration of Canada and the United States with Latin America. The analysis assumes that differences in productivity levels between regions are due entirely to differences in human and physical capital endowments. Key assumptions are that capital is internationally mobile and human capital formation is income constrained. The simulated impact of moving to a hemispheric free trade area is significant. The long-run impacts are also different from the short-run efficiency effect predicted by conventional static triangle-rectangle analysis. The long-runmultiplier effect on static output gains are on the order of 2.0 to 2.5 for the South—that is long-run output gains are 2.0 to 2.5 times predicted short-run static gains. In the case of the North, static predictions of gain are ambiguous in sign over the longer run; in some cases there are small dynamic gains-in others. small losses. Investment diversion toward Latin America is a prominent characteristic of the results.
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    Empirical economics 21 (1996), S. 459-473 
    ISSN: 1435-8921
    Keywords: C32 ; E32 ; Q11
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    Topics: Economics
    Notes: Abstract This paper determines the persistence of shocks to U.S. farm output at the sectoral and sub-sectoral level using a disaggregated vector autoregression framework. The persistence is measured under models that impose short-run common feature and long-run cointegration restrictions. The sub-sectoral outputs are found to have a relatively high degree of comovement in the short-run and a relatively low degree of comovement in the long-run. The common feature and cointegration restrictions are found to improve the precision of persistence and cross-persistence estimates. Subsectoral persistence shows considerable variation; persistence in Poultry & Eggs sub-sector is nearly three times the persistence in the Fruits & Nuts sub-sector. Two sub-sectors that share long-run common trends, Food Grains and Feed, Hay & Forage, also have significant cross-persistence, implying technological spillovers.
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    Empirical economics 21 (1996), S. i 
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    Topics: Economics
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    Empirical economics 21 (1996), S. 501-512 
    ISSN: 1435-8921
    Keywords: Q11 ; C22
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    Topics: Economics
    Notes: Abstract The relationship between Nerlovian partial adjustment models and error correction models is explored. Unit root tests are employed to test stationarity of price, area and stock data of crops in the Canadian province of Saskatchewan. The data are found to be consistent with unit root non-stationarity. Evidence in favour of cointegrating relationships among area price and stock data is found. However, evidence in favour of the error correction form of the Nerlovian partial adjustment model is weak, indicating that more investigation of richer theoretical and empirical models of the short run dynamics of area response in Saskatchewan is needed.
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    Empirical economics 21 (1996), S. 535-555 
    ISSN: 1435-8921
    Keywords: C1
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    Topics: Economics
    Notes: Abstract Based on structural VARs, this paper proposes a spectral decomposition which allows to infer the effects of changes in one variable on the other variables in the frequency domain. It is shown that there is a close relationship between this concept and conventional forecast error variance decomposition techniques for VARs. An empirical example demonstrates the usefulness of this additional tool in analyzing the relationships among time series.
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    Empirical economics 21 (1996), S. 221-234 
    ISSN: 1435-8921
    Keywords: E44 ; G15
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    Topics: Economics
    Notes: Abstract This paper investigates the relationships between stock returns, changes in production, and changes in interest rates in three European countries: France, Germany, and the United Kingdom. The results obtained using annual data are much more conclusive than those obtained using quarterly data. Stock returns are affected by current changes in interest rates and by future changes in production. The dependence on changes in interest rates seems to be higher than on changes in production. Furthermore, the influence of future changes in production on stock returns diminishes substantially when contemporaneous changes in interest rates are taken into account. With reference to these points, the European markets behave in a similar fashion, but are in sharp contrast with the U.S. market.
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  • 86
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    Empirical economics 21 (1996), S. 281-306 
    ISSN: 1435-8921
    Keywords: C12 ; G14
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    Topics: Economics
    Notes: Abstract We investigate various distributional properties of German stock returns, like serial correlation, the existence of higher moments and calendar effects, with a focus on the robustness of various empirical measures to a nonstandard distribution of the returns. We exhibit the well known Monday effect also for German stocks, and show that its significance, like that of tests for serial correlation, depends on distributional assumptions which are often overlooked.
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    Empirical economics 21 (1996), S. 307-315 
    ISSN: 1435-8921
    Keywords: ESE ; Demographic Demand ; Overheads ; Extended Price Scaling ; D12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper provides evidence in favour of greater generality in the demographic demand literature. We propose two demographic demand procedures. One extends the Gorman model by allowing non additive interaction between ‘overheads’ and ‘Barten scaling’. The other extends ‘Price Scaling’, by allowing the equivalence scale to vary with utility, and offers a test of ‘Equivalence Scale Exactness’ (ESE). The rejection of ESE is robust to the assumed demand functional forms (RNLPS, QAIDS), to items chosen, and the estimation method (MLE, GMM). The results show that published cell averages yield well determined estimates of the demographic generalisation parameters.
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    Empirical economics 21 (1996), S. 335-359 
    ISSN: 1435-8921
    Keywords: D24 ; D92
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    Topics: Economics
    Notes: Abstract Empirically implementable measures of optimal capacity utilization are developed from the dynamic profit maximization perspective. The primal measure is based on behavior of the firm's supply along an optimal path to the steady state. The dual measure is based on the behavior of the dynamic value function in the stock of the quasi-fixed input. Rates of optimal capacity utilization are estimated for the U.S. food processing and distribution sector over the period 1948–1991.
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    Empirical economics 21 (1996), S. 317-334 
    ISSN: 1435-8921
    Keywords: Q43 ; C32 ; E63 ; E65
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    Topics: Economics
    Notes: Abstract Since the oil price shock of 1973–74, researchers have waged an intense debate regarding the connection between the U.S. energy sector and national income. Studies examining the relationship between oil prices, oil consumption, and real output have produced remarkably mixed results. In particular, the two most widely cited investigations by Darby and Hamilton come to dramatically different conclusions concerning the effect of oil shocks on economic activity. To date, however, studies of this issue have been either correlation based and thus void of causality inferences, have used overly restrictive bivariate causality techniques, or covered periods that exclude major oil price disruptions. This paper analyzes a quarterly multivariate VAR model to investigate the existence and direction of causality between oil prices, oil consumption, real output, and several other key macroeconomic policy variables. Among the key findings is that oil price shocks are not a major cause of U.S. business cycles. Moreover, our findings also suggest that both oil prices and real output cause significant changes in oil consumption without feedback. These results support the contention that a systematic U.S. conservation policy would not significantly impair real economic activity.
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  • 90
    ISSN: 1435-8921
    Keywords: Innovative activity ; Nadaraya-Watson estimator ; partially linear model ; cross-validation ; wild bootstrap ; C14 ; L11
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper analyses the Schumpeterian link between innovative activity and firm size by means of the nonparametric Nadaraya-Watson estimator and of the partially linear approach by Speckman. Four data sets referring to the manufacturing industries of three European countries are available for the analysis. We demonstrate how nonparametric methods can produce more reliable conclusions than conventional methods. For this purpose, the roles of bandwidth choice, wild bootstrap, density estimation and trimming are studied. For the German data set of 1984 and for the French data set we find that small firms and large firms are more innovative than firms of intermediate size while the relation is rather hump-shaped for Germany 1989 and decreasing for Belgium. Including an additional parametric component into the estimations based on the French data contributes considerably to the explanation of innovative activity without affecting the U-shaped link between innovation and firm size.
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    Empirical economics 21 (1996), S. 475-482 
    ISSN: 1435-8921
    Keywords: C52
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    Topics: Economics
    Notes: Abstract In this paper we are interested in detecting structural change at an unknown point. We argue that the CUSUM test may not ideal for this, and propose an alternative test. Critical values for this test are determined based on the multiple studentt test procedure. A Monte Carlo study suggests that the new test is quite powerful when the structural change occurs in the latter part of the sample. The new test also provides information about the location of structural change.
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    Empirical economics 21 (1996), S. 427-457 
    ISSN: 1435-8921
    Keywords: C32 ; C52 ; E24
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    Topics: Economics
    Notes: Abstract This paper examines the determinants of equilibrium wage and unemployment rates in Belgium within the framework of a quantity rationing, right-to-manage model with decentralised wage-setting. Empirical results are obtained by first using the Johansen maximum-likelihood procedure for the analysis of cointegration among the variables of interest. The information from this stage is then used to estimate a three equation econometric model explaining the wage share, the unemployment rate and the capital gap. The slowdown in world trade is depicted as the most important factor explaining the rise in unemployment in Belgium, with dampening effects due to wage control policies imposed in the eighties. Because we obtain only two cointegrating relations, for three endogenous variables, our results are compatible with the hypothesis of path dependency and multiple equilibria.
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    Empirical economics 21 (1996), S. 483-499 
    ISSN: 1435-8921
    Keywords: Union coverage ; sectoral wages ; statutory extension of collective agreements ; the Netherlands ; J51 ; J31
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper investigates the impact of union coverage on sectoral wages in the Netherlands. The semi-elasticity of the wage rate with respect to union coverage appears to be around 0.05; it is higher in the industrial than in the other sectors. The impact of union coverage on wages appears to be lower in the Netherlands than in the US and the UK. Union coverage increases the weight of internal (sector-specific) factors in wage determination and decreases the weight of external (labour market) factors. Apparently, unions increase the role of rent sharing in wage formation and stabilize employment.
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    Empirical economics 21 (1996), S. 575-587 
    ISSN: 1435-8921
    Keywords: C15 ; C21
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    Topics: Economics
    Notes: Abstract A new approach for modeling under-reported Poisson counts is developed. The parameters of the model are estimated by Markov Chain Monte Carlo simulation. An application to workers absenteeism data from the German Socio-Economic Panel illustrates the fruitfulness of the approach. Worker absenteeism and the level of pay are unrelated, but absence rates increase with firm size.
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    Empirical economics 21 (1996), S. 589-600 
    ISSN: 1435-8921
    Keywords: Hysteresis ; unemployment ; unit root ; C22 ; E24
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper investigates empirically the presence ofunemployment hysteresis in 16 OECD countries, applying aggregate quarterly unemployment rates covering the past 25 years. Alternative test procedures are discussed and employed, posing both stationarity and hysteresis as null hypotheses. The results suggest that hysteresis effects are highly significant in Australia and Canada, and to a lesser extent also significant in most European countries and in Japan. Only in the USA, the presence of unemployment hysteresis is strongly and consistently rejected.
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  • 96
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    Empirical economics 21 (1996), S. 617-632 
    ISSN: 1435-8921
    Keywords: C91 ; D81
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    Topics: Economics
    Notes: Abstract We test whether violations of expected utility theory in an Allais-paradox environment are sensitive to monetary incentives. Like Harrison (1994), we find that violations are significantly reduced when lotteries are real rather than hypothetical.
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    Empirical economics 21 (1996), S. 601-616 
    ISSN: 1435-8921
    Keywords: Money ; Inflation ; Causality ; Cointegration ; C32 ; E31 ; E52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper analyses the relation between money and inflation in Germany in a cost-push/demand-pull model of an open small economy by means of cointegration methods. The full-information-maximum-likelihood method of Johansen as well as structural methods are applied to datasubsets and the full data set. The focus of the paper is on tests for overidentifying restrictions and for weak and strong exogeneity within these data sets. The result of the paper is that the money stock, the price level and gross national product are endogenous whereas the interest rate and the real import price are both weakly and strongly exogenous. By means of the price cointegration relation we illustrate how monetary targeting should react to imported inflation.
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  • 98
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    Papers in regional science 75 (1996), S. 237-252 
    ISSN: 1435-5957
    Source: Springer Online Journal Archives 1860-2000
    Topics: Geography , Economics
    Notes: Abstract Industrial design can be used to explore some ideas in producer services research. Its geographical location and position in a corporate structure can indicate much about the character of regions and corporations because it represents a way that knowledge is incorporated into production. Hence the size, location and organisation of industrial design can be an important indicator of the vitality of regions. This paper illustrates how these perspectives can be derived, and provides two frameworks that could be used to structure detailed empirical research on firms, industries and regions.
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    Papers in regional science 75 (1996), S. 325-349 
    ISSN: 1435-5957
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    Topics: Geography , Economics
    Notes: Abstract Presents results from a recent study of the use of business service consultancies by major UK companies in managing strategic change. This use is examined in relation to all the sources of skilled management labor available to these companies. The focal processes supporting business service development are interaction and competition between the ‘expert labor’ they offer and that available from the internal labor markets of clients. These processes also underpin modern regional agglomeration trends. Systematic variations appear in the use of consultancies according to client size, mode of control, growth, sector and location. It is argued, however, that patterns of business service use fundamentally reflect the management capabilities of client firms in relation to various types of strategic change. In some cases it substitutes for client deficiencies. More often it appears to supplement client strengths across a variety of both sector-specific and more universally applicable expertise. It is concluded that the availability of expert managerial labor is a critical but neglected aspect of regional economic development, of which the growth of business services is one important manifestation.
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    Power technology and engineering 30 (1996), S. 8-14 
    ISSN: 1570-1468
    Source: Springer Online Journal Archives 1860-2000
    Topics: Energy, Environment Protection, Nuclear Power Engineering
    Notes: Conclusions 1. A numerical algorithm was developed for calculating the propagation of surge waves in canals with a variable cross-sectional area. 2. The satisfactory agreement of the calculation results and theoretical solutions indicates the correctness of using the proposed calculation scheme. 3. In the case of occurrence of breakthrough waves a change in the width of the river valley leads to reflected waves of considerable intensity, which is accompanied by a further rise of the water level at sites located upstream, which leads to an increase of the maximum size of flooded territories and has great significance when organizing rescue operations in emergency situations.
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