bluuebunny/crossref_metadata_2025 huggingface dataset:
Evaluating Project Scheduling and Due Date Assignment Procedures: An Experimental Analysis
Authors: Dumond John , Mabert Vincent A.
Published: November 2008

Managers of construction projects, maintenance activities, auditing contracts, software shops, etc. are frequently faced with the task of establishing a new project's due date, which must compete with other projects already in progress or expected (forecasted) to start in the future. The study reported here addresses the problem of establishing due dates for projects which require limited resources, in an environment where new projects arrive continuously and randomly over time. A set of procedures is developed which set each project's due date when it arrives using information about the new project, current projects, and available resources. The due date setting procedures are tested via simulation with four activity scheduling heuristics that control the assignment of resources to specific activities of available projects. A second test demonstrates the performance of the due date procedures, where a portion of arriving projects have their due dates established by external forces beyond management's control. Performance measures of project mean completion time, project mean lateness, project standard deviation of lateness, and total tardiness (sum of all projects' tardy time) were collected for evaluation.

This study presents a number of important results for managers interested in scheduling projects and setting due dates. First, using more information concerning the current work in progress, available resources, and activity precedent relationships provides a better due date estimate for a new project. Second, a finite scheduling procedure (called SFT) consistently gives better due date estimates than simpler aggregate procedures. Third, when some project due dates are set externally, due date performance deteriorates. However, when SFT is combined with a due date oriented activity scheduling rule, due dale performance deterioration is less. Fourth, the effort, measured by CPU time, for SFT to estimate a good due date depends upon the ratio of activity resources required to total resources available, rather than the number of activities across all projects. And fifth, similarities and differences between the results observed in this study and past due date job shop scheduling research are reviewed.
Note—Price Indexes to Calculate Real R&D Expenditures
Authors: Brockhoff Klaus
Published: November 2008

In a recent contribution, Mansfield (Mansfield, Edwin. 1987. Price indexes for R and D inputs, 1969–1983. Management Sci. 33(January) 124–129.) published a R&D deflator for American industrial R&D expenditures. A similar deflator is presented here for German industrial R&D expenditures. It is shown that both indexes are closely related to R&D employment. They can also be used to evaluate the relative costs of spending on R&D between countries.
Rejoinder—Natural Monopoly and the Bell System: Response to Charnes, Cooper and Sueyoshi
Authors: Evans David S. , Heckman James J.
Published: November 2008

Our study of the Bell System cost function shows that it is possible to reject the hypothesis that AT&T was a natural monopoly. Our study is based on a regression analysis of a translog cost function estimated on 1947–1977 data. Charnes, Cooper, and Sueyoshi (Charnes, A., W. W. Cooper, T. Sueyoshi. 1988. A goal programming/constrained regression review of the bell system breakup. Management Sci. 34 1–26.) claim that they reverse our conclusion when they use goal programming estimators of a translog cost function estimated on exactly the same data that we use. This claim is false. There is no basis for comparing our estimates with their estimates because they, in fact, use different data than we use and estimate a different cost function than we estimate. Moreover, when goal programming estimates and regression estimates based on the same data and similar cost function specifications are compared, they yield similar estimates and produce the same inference about natural monopoly.
Convergence Properties of Infinitesimal Perturbation Analysis Estimates
Authors: Heidelberger Philip , Cao Xi-Ren , Zazanis Michael A. , Suri Rajan
Published: November 2008

Infinitesimal Perturbation Analysis (IPA) is a method for computing a sample path derivative with respect to an input parameter in a discrete event simulation. The IPA algorithm is based on the fact that for certain parameters and any realization of a simulation, the change in parameter can be made small enough so that only the times of events get shifted, but their order does not change. This paper considers the convergence properties of the IPA sample path derivatives. In particular, the question of when an IPA estimate converges to the derivative of a steady state performance measure is studied. Necessary and sufficient conditions for this convergence are derived for a class of regenerative processes. Although these conditions are not guaranteed to be satisfied in general, they are satisfied for the mean stationary response time in the M/G/1 queue. A necessary condition for multiple IPA estimates to simultaneously converge to the derivatives of steady state throughputs in a queueing network is determined. The implications of this necessary condition are that, except in special cases, the original IPA algorithm cannot be used to consistently estimate steady state throughput derivatives in queueing networks with multiple types of customers, state-dependent routing or blocking. Numerical studies on IPA convergence properties are also presented.
A Sequential Lot Sizing Heuristic with Optimal Average Performance
Authors: Axsäter Sven
Published: November 2008

The classical dynamic lot size problem without backlogging is in practice usually solved with the aid of various heuristics. Most heuristics are sequential techniques, i.e. the future demand is considered period for period, and a decision whether to have a set-up or not in a certain period is taken without regarding the future demand. The average performance of a lot sizing heuristic will depend on the demand process. We assume that a typical demand will look like a sequence of independent identically distributed random numbers, and we derive a sequential lot sizing rule with optimal average performance under such circumstances. The optimal decision rule is compared to the Silver-Meal heuristic. We also analyze the situation when the decision rule is allowed to look ahead one period.
Correction to Reply—“Consider the Principal Finding: A Reply to William T. Ross” (Vol. 34, No. 5, May 1988, pp. 672–673)
Authors: Hogarth Robin M. , Makridakis Spyros
Published: November 2008

On p. 673, we stated that we had been refused permission to replicate our study using the Markstrat game (Hogarth & Makridakis [Hogarth, R. M., S. Makridakis. 1981. The value of decision making in a complex environment: an experimental approach. Management Sci. 27(1) 93–107.]) and questioned whether our results had dampened willingness to conduct this kind of research using Markstrat. These statements were based on a misunderstanding. We sincerely regret their negative implications.
An Object-Oriented World-View for Intelligent, Discrete, Next-Event Simulation
Authors: Burns James R. , Morgeson J. Darrell
Published: November 2008

Concepts from software engineering and knowledge engineering are incorporated into discrete, next-event simulation. The existing, conventional world-view utilized within discrete simulation is reviewed. A construct is presented that makes existing discrete simulation world-views more robust for problems involving endogenous decision-making. The use of knowledge bases and inference engines as mechanisms for modeling such decision making is presented. The result is a simulation world view that is able to simulate systems involving intelligent decision-making entities (actors) whose decisions strongly impact the state of the system.
The Single Machine Problem with a Quadratic Cost Function of Completion Times
Authors: Szwarc Wlodzimierz , Posner Marc E. , Liu John J.
Published: November 2008

This paper examines a single machine sequencing problem with a quadratic cost function of completion times. A new type of precedence relation is constructed that determines the ordering between adjacent jobs. Each pair of jobs has a critical start time, after which the precedence relation changes direction. These relations are incorporated into a solution procedure that solved 191 out of 200 test problems with job sizes ranging from 15 to 100 without using enumeration methods. Although 9 problems were not solved directly by the procedure, even these were reduced to 10 much smaller problems (of the job sizes 3 and 4) which could easily be solved by inspection.
Towards a Heuristic Theory of Problem Structuring
Authors: Smith Gerald F.
Published: November 2008

Management science is concerned with understanding and improving action-oriented managerial thought. While it has addressed this concern through decision making research, there is an alternative conceptualization—the problem solving paradigm—that appears to offer a valuable complementary perspective. This paper develops the foundations of a theory of managerial problem solving. It analyzes the concept of “problem structure” and proposes a conceptualization satisfying relevant criteria. The concept is used in the development of an informal theory of problem structuring. Several structuring methodologies are assessed and an approach pertinent to real world, managerial problems is proposed.
Information Cost and Innovation Adoption Policies
Authors: Jensen Richard
Published: November 2008

A firm's manager must decide whether to adopt an innovation of uncertain profitability or to obtain some information and then decide to adopt or reject the innovation. Obtaining information can involve either waiting to receive some costless information or buying some additional information as well. The optimal policy for this decision problem may not have a reservation property. That is as the probability of success rises from 0 to 1, the optimal policy may be: wait, buy, wait, buy, and adopt. This suggests a complexity in managerial decision-making regarding innovations of uncertain profitability when there are both costless and costly information sources available to the manager.
The Design, Analysis and Implementation of Heuristics
Authors: Fisher Marshall L. , Rinnooy Kan Alexander H. G.
Published: November 2008

The 1950s were a flourishing period for Management Science that saw many practical successfully attacked through the application of inelegant but effective heuristics. In the 1960s, attention turned to optimization, leading to the development of algorithms that employed more sophisticated mathematical constructs. While these algorithms were a significant research achievement, they failed to provide for reliable solutions to many problems. The 1970s seem to have been a period of soul searching in which computational complexity results were discovered, providing evidence that those who failed to develop effective optimization algorithms should not be discouraged, since the problems were probably intractable anyway. As a consequence, some of the intellectual energy that had been devoted to optimization began to be directed to the study of heuristics, but from an enriched perspective that emphasized theoretical performance analysis, both worth case and probabilistic.
Asymptotic Methods in the Probabilistic Analysis of Sequencing and Packing Heuristics
Authors: Coffman E. G. , Lueker G. S. , Rinnooy Kan A. H. G.
Published: November 2008

Recently there has been considerable interest in the average-case performance of heuristics. This paper pursues that interest, where it concerns sequencing and packing problems. In particular, we survey the methods that have been used to obtain formal probabilistic analyses of heuristics for makespan scheduling and one-dimensional bin packing. In so doing, we present many of the key results in these research areas.
A Heuristic Scheduling Policy for Multi-Item, Single-Machine Production Systems with Time-Varying, Stochastic Demands
Authors: Leachman Robert C. , Gascon André
Published: November 2008

A heuristic scheduling policy is introduced for multi-item, single-machine production systems facing stochastic, time-varying demands. The policy, which we term the dynamic cycle lengths heuristic, integrates feedback control based on the monitoring of inventory levels with the maintenance of economic production cycles. The policy is applied time period by time period to make decisions concerning which items to produce in what quantities during the next time period. These quantities reflect production cycles revised each time period in response to differences between projected and actual inventory levels and in response to changes in demand rates. We extend the basic scheduling policy in order to integrate its use with tactical planning. We also discuss the results of simulation tests of the heuristic against other scheduling policies.
Note—An Approximate Algorithm for Multidimensional Zero-One Knapsack Problems—A Parametric Approach
Authors: Lee Jae Sik , Guignard Monique
Published: November 2008

A new approximate algorithm for multidimensional zero-one knapsack problems with all positive coefficients is presented. The procedure is controlled by three parameters which affect the tradeoff between solution quality and computation time and whose values are set by the users. For 48 test problems with 5 to 20 constraints and 6 to 500 variables, the solution found was on the average within 0.34% of the optimum and the computation time was the shortest compared with three other well-known heuristics.
Service Constrained (s, S) Inventory Systems with Priority Demand Classes and Lost Sales
Authors: Cohen Morris A. , Kleindorfer Paul R. , Lee Hau L.
Published: November 2008

This paper presents a model of an (s, S) inventory system in which there are two priority classes of customers. The model treats excess demands as lost sales and can accommodate an arbitrary deterministic lead time. After considering the associated Markov-chain model, an approximate, renewal-based model is derived. This approximation is used to develop a greedy heuristic which minimizes expected costs subject to a fill-rate service constraint. The paper concludes with the results of an extensive numerical test of both the accuracy of the approximation and the performance of the heuristic with respect to the true optimal solution. Results indicate good performance which deteriorates as the fill rate requirement and lead time increase.
Note—Optimal Work-Rest Scheduling with Exponential Work-Rate Decay
Authors: Bechtold Stephen E. , Sumners DeWitt L.
Published: November 2008

This note develops optimal multiple rest break models for the case when the decay in work rate is an exponential function of time worked and recovery of work rate potential during rest is a linear function of time rested. While empirical evidence indicates that work rate decay functions tend to be best approximated by either exponential or linear functions, previous multiple rest break models were based upon a linear work rate decay function. Efficient solution procedures are developed which require only the solution of a transcendental equation using Newton's or an equivalent method. Although linear-linear and exponential-linear models are demonstrated to share some important general characteristics, a preliminary analysis indicated that use of linear-linear policies resulted in substantial sacrifices in productive output when relatively high rates of exponential decay were present. The observed losses were exacerbated by higher rates of recovery.
An Experiment in Approval Voting
Authors: Fishburn Peter C. , Little John D. C.
Published: November 2008

The first major experimental comparison of approval voting with regular plurality voting occurred in the 1985 annual election of The Institute of Management Sciences (TIMS). In approval voting a person votes for (approves of) as many candidates as desired, the winner being the candidate with the most votes. By permitting more votes than the number of positions to be filled, approval voting collects more information from the voter than does plurality voting. This can make a difference, for example, when three candidates compete for a single office. In such situations two candidates with wide but similar appeal sometimes split a majority constituency so that, under plurality voting, a minority candidate is elected. By contrast, approval voting is likely to identify the candidate who is most broadly acceptable to the electorate as a whole.

In the TIMS experiment society members received an experimental approval ballot along with their official plurality ballot. Two contests involved three candidates running for a single office and a third, five candidates for two positions. Surprisingly, in two of the three contests, approval voting would have produced different winners and neither of the changes was of the type usually emphasized in the approval voting literature.

The experiment demonstrated the practicality of approval voting and showed that it can elect a set of candidates different from that which plurality voting would. Direct comparison of ballots makes it possible to determine why the experimental switches occurred. It is shown that in each reversal the approval winner had broader support in the electorate than the plurality winner. The experiment also provided empirical data on how voters distribute approvals across candidates and indicated that, in this case, their behavior was roughly, but not exactly, consistent with theoretical analyses of voting efficacy.
Lead User Analyses for the Development of New Industrial Products
Authors: Urban Glen L. , von Hippel Eric
Published: November 2008

Recently, a “lead user” concept has been proposed for new product development in fields subject to rapid change (von Hippel [von Hippel, E. 1986. Lead users: A source of novel product concepts. Management Sci. 32 791–805.]). In this paper we integrate market research within this lead user methodology and report a test of it in the rapidly evolving field of computer-aided systems for the design of printed circuit boards (PC-CAD). In the test, lead users were successfully identified and proved to have unique and useful data regarding both new product needs and solutions responsive to those needs. New product concepts generated on the basis of lead user data were found to be strongly preferred by a representative sample of PC-CAD users. We discuss strengths and weaknesses of this first empirical test of the lead user methodology, and suggest directions for future research.
Utility Functions for Infinite-Period Planning
Authors: Harvey Charles M.
Published: November 2008

This paper presents a systematic discussion of decision analysis models for attitudes toward risk when the effects of a public policy choice extend into the distant or unbounded future. Several issues of social risk attitudes are identified and discussed. Conditions on preferences are presented by which value judgments concerning these issues can be included in a formal model for a public policy evaluation.
Reply—Consider the Principal Finding: A Reply to William T. Ross
Authors: Hogarth Robin M. , Makridakis Spyros
Published: November 2008

By focussing on issues concerning precise relative performance of the human and experimental teams, Ross obscures the major, and a priori surprising result of our study. This is that the experimental teams were not all dominated by the human teams. Replication is the appropriate way to illuminate the substantive issues raised by our study rather than arguments based on ex-post and possibly questionable statistical analyses.
Blacklisting Social Science Departments with Poor Ph.D. Submission Rates
Authors: Colombo Richard A. , Morrison Donald G.
Published: November 2008

In an attempt to reduce the time taken by social science Ph.D. candidates to obtain their degrees, the Economic and Social Science Research Council (ESRC) of the United Kingdom has decided to withhold funds from social science departments of academic institutions with the poorest Ph.D. submission “rates.” Institutions with less than one in ten of their Ph.D. students submitting a thesis within four years of registration will be placed on a blacklist. In interpreting the observed submission rates the ESRC appears not to have taken account of the different numbers of registered students in social science departments, which have cohort sizes ranging from 2 to 79. This failure has potentially counter-productive consequences. An empirical Bayes method is proposed that adjusts estimates of submission rates by taking into account the number of students. The method suggests that differences in true unobservable submission rates between institutions are small and thus observable submission proportions alone do not form a good basis for policy action.
A Continuous Review Model for an Inventory System with Two Supply Modes
Authors: Moinzadeh Kamran , Nahmias Steven
Published: November 2008

In this paper we develop an approximate model of an inventory control system in which there exist two options for resupply, with one having a shorter lead time. Because the optimal policy appears to be extremely complex, we consider a reasonable extension of the standard (Q, R) policy to allow for two different lot sizes Q1 and Q2, and two different reorder levels, R1 and R2. Expressions for the expected on hand inventory and the expected backorders are developed and a procedure for determining the policy parameters is given. The model is validated by simulation, and calculations are included which compare the average annual cost with and without emergency ordering.
The Value of Pre-Decision Side Bets for Utility Maximizers
Authors: Bell David E.
Published: November 2008

If an alternative is attractive only at certain wealth levels of a decision maker, typically above some critical level, then there will be occasions when it is better to enter into an independent side bet prior to making a decision, than to accept or reject the alternative outright.
An Additive Group Utility for a Fund Manager
Authors: Bordley Robert F.
Published: November 2008

The additive utility formula developed by Harsanyi specifies how a rational ethical individual acting on behalf of other people ought to behave. Unfortunately the formula is not invariant to arbitrary utility transformations and hence requires interpersonal comparisons of utility. Many economists have also attacked the formula on ethical grounds.

This paper transplants the Harsanyi paradigm to a new context: that of fund management. We add three further axioms to the Harsanyi argument and deduce the weighted group utility formula with each individual's weight equal to the inverse of the marginal utility of his investment in the fund. These weights make our formula invariant to arbitrary utility transformations which eliminates the problem of interpersonal comparisons of utility. We also explore a number of other properties of this group utility function.
Stock Allocation in a Two-Echelon Distribution System Or “What to Do Until Your Ship Comes In”
Authors: Jackson Peter L.
Published: November 2008

In this paper, we focus on a single order cycle of a warehouse, serving N retailers where the only shipments allowed during the cycle are from the warehouse to the retailers. For a simple ship-up-to-S allocation policy, we develop both the exact cost model and a computationally tractable approximate cost model for the case of identical retailers, and demonstrate empirically the benefits of centralizing at least a portion of the total system stock.
The Siting of Emergency Service Facilities with Workload Capacities and Backup Service
Authors: Pirkul Hasan , Schilling David A.
Published: November 2008

By the very nature of the demand that they serve, emergency service systems require that timely service be readily available to those who need it. Yet, the distinct possibility exists that the closest facility will be occupied with another call for service, and when this primary responding unit is busy, a secondary or backup facility must be assigned. The need for backup service is most prevalent in heavily used systems, which are also prone to facility workloads that can be excessive if uncontrolled. The effective design of these systems should address the siting of both the primary responding facility and a designated backup unit, as well as reasonable workload limits on these facilities.

In this paper, a model formulation for emergency service systems is presented where facility workload is controlled and backup service for some or all demand points is provided. The model is sufficiently general to allow it to be adapted to several problem settings and decision criteria. An effective solution procedure was developed using a Lagrangean relaxation of the original model formulation. Results of extensive computational experiments testing this solution procedure are discussed. Finally, a large-scale example using real world data was solved and a summary of results is presented to demonstrate the applicability of the model and the solution procedure.
Note—A Note on Including Ordinal Relations Among Multipliers in Data Envelopment Analysis
Authors: Golany Boaz
Published: November 2008

Data Envelopment Analysis (DEA) evaluates the efficiency of Decision Making Units without imposing a priori weights on the input and output dimensions involved. This Note extends DEA to situations where ordinal relations among weights corresponding to certain dimensions exist. The extended model is reduced to the original DEA formulation where some of the input and output factors are accumulated. An illustrative example is provided and potential areas of applications are pointed out.
Financial Planning Where the Firm's Demand for Funds is Nonstationary and Stochastic
Authors: Martin John D. , Morgan George Emir
Published: November 2008

The incentive for a firm to engage in planning (prearranging) for its future financing derives from the interaction of uncertainty concerning the amount and timing of future needs and the cost of negotiating and terminating contracts in capital markets. Three conditions on relative costs and probability distributions are identified under which no financial slack should be raised. If those conditions are not met, then under one set of reasonable assumptions the optimum amount of slack will be more than the largest possible future need. The model allows for surprises which can cause upward or downward (in contrast to EOQ models) revisions in the future regarding the optimal level of slack to continue to carry.
On a Possible Benefit to Bid Takers from Using Multi-Stage Auctions
Authors: Engelbrecht-Wiggans Richard
Published: November 2008

Each year, multi-stage auctions of one form or another sell or let billions of dollars worth of goods and contracts. Yet despite the significance of such auctions, the existing theory of auctions and competitive bidding fails to explain why a bid taker might prefer a multi-stage auction to a, possibly simpler, single-stage mechanism. In fact, the existing theory tends to overlook multi-stage mechanisms altogether.

This paper takes a first step in correcting that omission. We start with several illustrations of what we will define to be multi-stage auctions. All the illustrated auctions allow bidders to acquire information—or, more generally, to increase the amount of resources committed to bidding—in stages. We conjecture that allowing such a sequential commitment of resources could result in a more efficient auction than if bidders had no chance to adjust their commitments.

An analytic example illustrates and documents the benefits to the bid taker from using a multi-stage auction. In the example, bidders acquire costly information in stages; a bidder may stop acquiring additional information as soon as further participation in the auction would no longer increase his expected net profit. The resulting auction generates significantly more expected revenue for the bid taker than if the bidders all had to acquire the same amount of information.
M/G/c Queueing Systems with Multiple Customer Classes: Characterization and Control of Achievable Performance Under Nonpreemptive Priority Rules
Authors: Federgruen A. , Groenevelt H.
Published: November 2008

This paper considers an M/G/c queueing system serving a finite number (J) of distinct customer classes. Performance of the system, as measured by the vector of steady-state expected waiting times of the customer classes (the performance vector), may be controlled by adopting an appropriate priority discipline.

We show that the performance space, the set of performance vectors which are achievable under some nonpreemptive work conserving priority rule, is a polyhedron described by 2J − 1 inequalities. The special (polymatroidal) structure of this polyhedron, nevertheless, allows for efficient (O(J2 log J)) procedures to minimize any convex (separable) function of the performance vector.

Linear objectives are shown to be minimized by absolute priority rules, thus generalizing a well-known result for M/G/1 systems. We also show that each point in the performance space may be achieved by a unique, generalized dynamic priority rule, specified by J − 1 parameters, which may be determined by the recursive solution of J − 1 single variable quadratic equations. This class of rules contains the absolute priority rules and the (pure) dynamic rules as special cases. Our results are accurate up to one, extremely accurate, approximation and completely exact for M/G/1 and M/M/c systems as well as in heavy traffic.
Estimation Uncertainty and Optimal Advertising Decisions
Authors: Aykac A. , Corstjens M. , Gautschi D. , Horowitz I.
Published: November 2008

In this paper we develop a normative model that is built on an empirically relevant foundation. We observe that decision makers, among them advertisers, rely on estimated relationships in reaching resource allocation decisions, and we investigate the normative implications of this process. In particular, we explore the effects of uncertainty stemming from the use of sample estimates of population parameters. In general, we find that ignoring this estimation-related uncertainty leads to suboptimal decisions.
A Bivariate First-Order Autoregressive Time Series Model in Exponential Variables (BEAR(1))
Authors: Dewald Lee S. , Lewis Peter A. W. , McKenzie Ed
Published: November 2008

A simple time series model for bivariate exponential variables having first-order autoregressive structure is presented, the BEAR(1) model. The linear random coefficient difference equation model is an adaptation of the New Exponential Autoregressive model (NEAR(2)). The process is Markovian in the bivariate sense and has correlation structure analogous to that of the Gaussian AR(1) bivariate time series model. The model exhibits a full range of positive correlations and cross-correlations. With some modification in either the innovation or the random coefficients, the model admits some negative values for the cross-correlations. The marginal processes are shown to have correlation structure of ARMA(2, 1) models.
Project Scope and Project Performance: The Effect of Parts Strategy and Supplier Involvement on Product Development
Authors: Clark Kim B.
Published: November 2008

This paper examines the effect on product development of project scope: the extent to which a new product is based on unique parts developed in-house. Using data from a larger study of product development in the world auto industry, the paper presents evidence on the impact of scope on lead time and engineering productivity. Studies of the automotive supplier industry suggest that very different structures and relationships exist in Japan, the U.S., and Europe. Yet there has been little study of the impact of these differences on development performance. Further, little is known about the effects of different parts strategies (i.e. unique versus common or carryover parts) on development. The evidence presented here suggests that project scope differs significantly in the industry, even for comparable products. These differences in strategy, in turn, explain an important part of differences in performance. In particular, it appears that a distinctive approach to scope among Japanese firms—high levels of unique parts, intensive supplier involvement in engineering—accounts for a significant fraction of their advantage in lead time and cost.
Simulating Discounted Costs
Authors: Fox Bennett L. , Glynn Peter W.
Published: November 2008

We numerically estimate, via simulation, the expected infinite-horizon discounted cost d of running a stochastic system. A naive strategy estimates a finite-horizon approximation to d. We propose alternatives. All are ranked with respect to asymptotic variance as a function of computer-time budget and discount rate, when semi-Markov and/or regenerative structure or neither is assumed. In this setting, the naive truncation estimator loses; it may triumph, however, when the computer-time budget is modest, the discount rate is large, and the process simulated is not regenerative or has long cycle lengths.
Estimation of Multiresponse Simulation Metamodels Using Control Variates
Authors: De O. Porta Nova Acácio M. , Wilson James R.
Published: November 2008

This paper provides a unified development of the method of control variates for simulation experiments in which the objective is estimation of a multiresponse metamodel—that is, a linear model for an output vector of simulation performance measures expressed in terms of an input vector of decision variables for the target system. In contrast to previous treatments of this topic, we allow both the input and output of the metamodel to be multidimensional so that control variates can be applied to multipopulation, multiresponse simulation experiments. Assuming that the responses and controls are jointly normal with a homogeneous covariance structure across the points of the experimental design, we develop control variates procedures for point and confidence-region estimation and for hypothesis testing on the coefficients of a postulated metamodel. We derive a generalized minimum variance ratio to quantify the maximum efficiency that is achievable with a given set of controls, and we formulate a generalized loss factor to measure the degradation in efficiency that occurs when the optimal control coefficients are estimated by the method of least squares. A detailed example illustrates the application of these results.
Importance Sampling for Stochastic Simulations
Authors: Glynn Peter W. , Iglehart Donald L.
Published: November 2008

Importance sampling is one of the classical variance reduction techniques for increasing the efficiency of Monte Carlo algorithms for estimating integrals. The basic idea is to replace the original random mechanism in the simulation by a new one and at the same time modify the function being integrated. In this paper the idea is extended to problems arising in the simulation of stochastic systems. Discrete-time Markov chains, continuous-time Markov chains, and generalized semi-Markov processes are covered. Applications are given to a GI/G/1 queueing problem and response surface estimation. Computation of the theoretical moments arising in importance sampling is discussed and some numerical examples given.
Replenishment Delays for Expensive Slow-Moving Items
Authors: Schultz Carl R.
Published: November 2008

Traditional single-item inventory control policies operating under continuous review call for the immediate placement of a replenishment order each time a demand causes the inventory position to drop to or below the order point. In an environment where lead times are small relative to the average time between demands, and holding costs are large relative to other inventory costs, it may be more economical to delay ordering to achieve holding cost savings with little additional risk or cost of shortages.

This paper introduces the concept of delayed replenishment orders for expensive items subject to intermittent, unit-sized demands. The inventory system modeled is one with complete backlogging, constant lead times, arbitrary inter-demand distributions, linear carrying costs, and emergency handling of shortages at a premium cost. Results are given for the optimal delay for inter-demand distributions with increasing failure rates. Specific expressions for the optimal delay are given for several commonly used inter-demand distributions.
Sensitivity Analysis from Sample Paths Using Likelihoods
Authors: Heidelberger Philip , Towsley Don
Published: November 2008

We modify the likelihood-based method for obtaining derivatives with respect to the rate of a Poisson process to that it is not necessary to know the exact value of that rate. This type of modification is necessary if the method is to be used on a sample path from a real system. The method is also applicable to simulation studies of certain real time control policies and may be useful in trace driven simulations. The modification to the likelihood estimator is simply to use the value of the Poisson rate estimated during the sample interval. For regenerative systems, this produces a strongly consistent, asymptotically normal and asymptotically unbiased estimate of the derivative. The strong law and central limit theorem are generalized to the case of estimating a derivative with respect to an unknown parameter from the exponential class of probability density functions. Numerical results for the M/M/1 queue illustrate little difference between the estimates for the derivative of the expected delay with respect to arrival rate obtained when the arrival rate is known and unknown. However, both estimates are highly biased for small sample sizes. This bias can be reduced by jackknifing.
Asset Stock Accumulation and Sustainability of Competitive Advantage
Authors: Dierickx Ingemar , Cool Karel
Published: November 2008

Given incomplete factor markets, appropriate time paths of flow variables must be chosen to build required stocks of assets. That is, critical resources are accumulated rather than acquired in “strategic factor markets” (Barney [Barney, J. 1986. Strategic factor markets: Expectations, luck, and business strategy. Management Sci. (October) 1231–1241.]). Sustainability of a firm's asset position hinges on how easily assets can be substituted or imitated. Imitability is linked to the characteristics of the asset accumulation process: time compression diseconomies, asset mass efficiencies, inter-connectedness, asset erosion and causal ambiguity.
Modeling Managerial Behavior: Misperceptions of Feedback in a Dynamic Decision Making Experiment
Authors: Sterman John D.
Published: November 2008

Studies in the psychology of individual choice have identified numerous cognitive and other bounds on human rationality, often producing systematic errors and biases. Yet for the most part models of aggregate phenomena in management science and economics are not consistent with such micro-empirical knowledge of individual decision-making. One explanation has been the difficulty of extending the experimental methods used to study individual decisions to aggregate, dynamic settings. This paper reports an experiment on the generation of macrodynamics from microstructure in a common managerial context. Subjects manage a simulated inventory distribution system which contains multiple actors, feedbacks, nonlinearities, and time delays. The interaction of individual decisions with the structure of the simulated firm produces aggregate dynamics which systematically diverge from optimal behavior. An anchoring and adjustment heuristic for stock management is proposed as a model of the subjects' decision processes. Econometric tests show the rule explains the subjects' behavior well. The estimation results identify several ‘misperceptions of feedback’ which account for the poor performance of the subjects. In particular, subjects are shown to be insensitive to the feedbacks from their decisions to the environment. Finally, the generality of the results is considered and implications for behavioral theories of aggregate social and economic dynamics are explored.
Capacitated Lot Sizing with Setup Times
Authors: Trigeiro William W. , Thomas L. Joseph , McClain John O.
Published: November 2008

This research focuses on the effect of setup time on lot sizing. The setting is the Capacitated Lot Sizing Problem (the single-machine lot sizing problem) with nonstationary costs, demands, and setup times.

A Lagrangian relaxation of the capacity constraints of CLSP allows it to be decomposed into a set of uncapacitated single product lot sizing problems. The Lagrangian dual costs are updated by subgradient optimization, and the single-item problems are solved by dynamic programming. A heuristic smoothing procedure constructs feasible solutions (production plans) which do not require overtime.

The algorithm solves problems with setup time or setup cost. Problems with extremely tightly binding capacity constraints were much more difficult to solve than anticipated. Solutions without overtime could not always be found for them.

The most significant results are that (1) the tightness of the capacity constraint is a good indicator of problem difficulty for problems with setup time; and (2) the algorithm solves larger problems better than smaller problems, although they are more time consuming to solve. This indicates that larger problems may be easier despite the greater computational effort they require.
Foundations of Decision Analysis: Along the Way
Authors: Fishburn Peter C.
Published: November 2008

This paper offers a personal perspective on the development of decision theory and related subjects during the past half century. It first reviews six milestones in the foundations of decision analysis that are associated with Frank P. Ramsey, John von Neumann and Oskar Morgenstern, Leonard J. Savage, Maurice Allais and Ward Edwards, West Churchman and Russell Ackoff, and Kenneth Arrow. It then gives a personal account of further developments over the past 30 years in linear utility theory, subjective probability and ambiguity, nonlinear preference and utility, stochastic dominance and inequality analysis, multiattribute utility theory, and the theory of social choice.

The paper could be viewed as a supplement to my extensive review of utility theory in Management Science some 20 years ago. However, it makes no claim of completeness since its main aim is to recall important debts and describe what it has been like to be a part of the development of decision analysis in the past few decades.
Market Reaction to Quarterly Earnings' Announcements: A Stochastic Dominance Based Test of Market Efficiency
Authors: Falk Haim , Levy Haim
Published: November 2008

The use of the CAPM in empirical research is subject to some criticism. In light of this criticism the Stochastic Dominance criteria are offered as an alternative research method for the examination of market efficiency. The underlying assumptions of the two frameworks are discussed and the Stochastic Dominance technique is demonstrated via the examination of market reaction to quarterly earnings announcements during the 24 quarters commencing with October 1962. The findings are compared to those of Watts (Watts, R. The Time Series Behavior of Quarterly Earnings. Unpublished Paper, University of Newcastle, Newcastle, N.S.W. 1975, quoted in Watts [1978].) who utilized the same data base. In contrast to Watts' conclusion, our analysis suggests that the market was efficient during the entire period examined and that no significant differences in market behavior between the first and the second 12-month periods was evident. The discord may be attributed to the relative effectiveness of the two analytical tools and some differences in the research designs.
Firm Strategies for Costly Engineering Learning
Authors: Mody Ashoka
Published: November 2008

The models developed in this paper seek to open up the ‘black-box’ of learning. I suggest that we need to think of learning-by-doing as a process of knowledge creation on the shop-floor by specialized teams of engineers. Learning is to be viewed, therefore, as a conscious decision and not a mere by-product of production. The models in this paper provide the basis for understanding international and inter-firm differences in rates of learning. For example, cheaper engineering resources, longer time horizons, faster output growth rates and superior transferability of knowledge from engineers to production workers are shown to be some possible factors responsible for faster learning in Japanese firms compared to U.S. firms.
The M/M/1 Queue with Randomly Varying Arrival and Service Rates: A Phase Substitution Solution
Authors: Kao Edward P. C. , Lin Chiunsin
Published: November 2008

This paper presents an alternative procedure for computing the steady state probability vector of an M/M/1 queue with randomly varying arrival and service rates. By exploiting the structure of the infinitesimal generator of the underlying continuous-time Markov chain, the approach represents an efficient adaptation of the state reduction method introduced by Grassmann for solving problems involving M/M/1 queues under a random environment. We compare computational requirements of the proposed approach with the method of Neuts and block elimination under different rush-hour congestion patterns while keeping the overall traffic intensity constant as well as under different traffic intensities. We demonstrate that the proposed method requires minimal computing time to reach convergence and moreover the time requirement does not change much when traffic intensity increases.
A Cooperative Game Theory Model of Quantity Discounts
Authors: Kohli Rajeev , Park Heungsoo
Published: November 2008

Quantity discounts offered by a monopolist are considered in the context of a bargaining problem in which the buyer and the seller negotiate over the order quantity and the average unit price. All-units and incremental quantity discounts that permit transaction at a negotiated outcome are described. The effects of risk sensitivity and bargaining power on quantity discounts are discussed for alternative bargaining models.
Recursion Models for Describing and Managing the Transient Flow of Materials in Generalized Flowlines
Authors: Saboo S. , Wang L. , Wilhelm W. E.
Published: November 2008

This paper describes new algorithms for estimating the transient performance of generalized flowlines in which completed products undergo test and rework until quality standards are met. The recursion approach is extended to incorporate features found in actual systems including (a) small-lot production, (b) priority release of kits, (c) lot sequencing (dispatching) at stations, (d) parallel machines at a station, (e) generalized flowline routing, and (f) test/rework cycles. Accuracy of the modeling approach is investigated and test scenarios demonstrate application of the model as an aid in evaluating certain management policies that affect material flow. A number of tests are based on an actual industrial setting involving the small-lot assembly of circuit cards (i.e., printed circuit boards).