bluuebunny/crossref_metadata_2025 huggingface dataset:
Compound-Return Mean-Variance Efficient Portfolios Never Risk Ruin
Authors: Hakansson Nils H. , Miller Bruce L.
Published: November 2008

The implications of concentrating on the lowest moment(s) of average compound return over N periods in making investment decisions have recently been examined. In particular, maximization of expected average compound return has been shown to imply the existence of a utility of wealth function in each period with the “right” properties for all finite N ≥ 2 as well as in the limit. More importantly, for large N a close (or exact) approximation to the set of mean-variance efficient portfolios (with respect to average compound return) is obtainable via a subset of the isoelastic class of utility of wealth functions. The properties of this class render it both empirically plausible and highly attractive analytically: among them are monotonicity, strict concavity, and decreasing risk aversion; moreover, the optimal mix of risky assets is independent of initial wealth (providing a basis for the formation of mutual funds) and the optimal investment policy is myopic. The purpose of this paper is to extend the class of return distributions for which the preceding results hold and to demonstrate that portfolios which are efficient with respect to average compound return, at least for large N, do not risk ruin either in a short-run or a long-run sense.
A Computer Simulation Model for the Control of Rabies in an Urban Area of Colombia
Authors: Frerichs Ralph R. , Prawda Juan
Published: November 2008

A simulation model is developed describing the transmission of canine rabies within and between 116 spatially distributed barrios (neighborhoods) in Cali, Colombia. The discrete time, dynamic model considers both discrete random variables (incubation and infective periods, appearance and movement of rabid dogs through the city, etc.) and deterministic variables (demographic components of barrio canine populations). Values for the input variables were acquired through field observations, other Colombian sources, and a review of the literature. Various canine vaccination strategies were tested in the model over a ten-year planning horizon for their cost-effectiveness with regard to the prevention of canine rabies. The model is recommended to the Pan American Health Organization to be used as an interactive gaming model to aid health system managers in Cali, Colombia and in other Latin American cities in scheduling the time and locations of vaccination teams in a more cost-effective manner.
On the Management Science Ten Page Constraint
Authors: Erlenkotter Donald
Published: November 2008

In December 1971, a ten page constraint was instituted for most papers published in Management Science. The implications of this page constraint policy are examined, and a modified policy is proposed which retains all of the advantages of the current policy while eliminating some of its disadvantages.
Optimizing the Procurement of Aviation Fuels
Authors: Austin Larry M. , Hogan William W.
Published: November 2008

Defense Department requirements for aviation fuels are met with purchases made in the usual competitive bidding environment. This large-scale contract bidding and selection problem is modeled as a mixed integer linear program with a special structure. The solution of this large optimization problem is approached via an algorithm employing decomposition and implicit enumeration techniques which exploit the special structure of the underlying formulation. Computational results and other considerations are discussed.
Modeling for the Management of Library Collections
Authors: Sinha Bani K. , Clelland Richard C.
Published: November 2008

This paper presents a general model for approaching the problem of control of the active collection of a library through the acquisition and weeding processes. It assumes that age of book and size of holding are important in this process and recognizes constraints related to shelf space and the acquisitions budget. It then discusses three special cases of the model with shelf space the binding constraint as well as certain empirical work that tends to support a negative exponential form for demand as a function of age.
Line Search Techniques Based on Interpolating Polynomials using Function Values Only
Authors: Tamir Arie
Published: November 2008

In this study we derive the order of convergence of some line search techniques based on fitting polynomials; using function values only. It is shown that the order of convergence increases with the degree of the polynomial. If viewed as a sequence, the orders approach the Golden Section Ratio when the degree of the polynomial tends to infinity.
Scheduling of Work Forces Required in Continuous Operations Under Alternative Labor Policies
Authors: Brownell William S. , Lowerre James M.
Published: November 2008

For a seven day a week operation in which N employees are needed on each weekday and n on each weekend day, with N at least as large as n, the effects of time-off policies on the size of the work force are studied. The simplest time-off schedule considered is one in which each employee has two days off out of the week. The most complicated is the policy under which each employee gets even other weekend off, four days off in each two weeks, and all days off in two-day blocks. After the minimum necessary work force has been determined for a policy, it is then shown how any work force meeting the requirement can actually be scheduled.
Potential Avoidability: A Statistic for Controlling In-Patient Utilization in Acute Care Hospitals
Authors: Chorba R. W.
Published: November 2008

A patient-day of service is classified as potentially avoidable if the unique facilities and manpower of an acute care hospital are not essential to providing the services received. From a practical standpoint, not all potentially avoidable days are truly avoidable. However, norms can be established, specific to diagnosis, surgery, sex, and age, which specify an acceptable range for the percentage of potentially avoidable days.

A procedure is developed for efficiently assessing potential avoidability, making it feasible to measure this concept for every patient on a daily basis. The resultant data base can then be used in utilization review screening to detect abnormal patterns of utilization by case, physician, or hospital.
Note—Response to “A Note on ‘The Formulation of the M-Salesman Traveling Salesman Problem’”
Authors: Svestka Joseph A.
Published: November 2008

Response to “A Note on ‘The Formulation of the M-Salesman Traveling Salesman Problem’” (Gavish, Bezalel. 1976. A Note on “The Formulation of the M-Salesman Traveling Salesman Problem”. Management Sci. 22 (6) 704–705).
Note—A Note on Range Programming: Introducing a “Satisficing Range” in a L.P.
Authors: Laurent Gilles
Published: November 2008

A new approach to the problem of minimizing a quartic (fourth order) cost function, subject to linear constraints, is presented. A “satisficing range” is introduced for each variable (i.e., a range in which all values of the variable are considered to entail the same minimal cost), leading to a new linear formulation (“range programming”). Improvements in results over previous approaches are reported for a specific example (due to Goodman), and should be expected in general.
Notes on Hofshi and Korsh 1972
Authors: Joglekar Prafulla
Published: November 2008

Rami Hofshi and James Korsh [Hofshi, Rami, James Korsh. 1972. A measure of an individual's power in a group. Management Sci. 19 (1, September)] (hereafter referred to as H & K) made an important attempt to define a measure of an individual's power in a group. Whereas the direction of their effort is significantly different from earlier efforts in assigning numerical weights to each individual of an organization, there are a number of logical flaws in their model. These comments are meant to identify the inadequacies of the H & K model.
A Least Total Distance Facility Configuration Problem Involving Lattice Points
Authors: Chan Albert W. , Francis Richard L.
Published: November 2008

The problem considered in this paper is to find a layout of a given number of identical facilities so that the total (or average) rectilinear distance between facilities is minimized. The potential locations for the facilities are lattice points in the plane, which are points whose coordinates are integers. A set of geometric properties and necessary conditions for an optimal layout configuration is derived. Based on a symmetry assumption, an implicit enumeration procedure is developed that will yield all optimal configurations together with the least total distance between facilities.
A Computational Algorithm for Multi-Contract Bidding Under Constraints
Authors: Goodman David , Baurmeister Hans
Published: November 2008

This paper considers a multi-contract bidding situation in which the contracts are interrelated because of limited productive facilities and because of budgetary constraints. A dynamic programming model and computational algorithm are presented which derive a bidding strategy which maximizes total expected return from all contracts subject to the constraints. The computational algorithm is efficient in terms of storage capacity required and computation time.
Note—A Note on “Lot Size Scheduling on a Single Machine for Stochastic Demand” by Goyal
Authors: Vergin Roger C.
Published: November 2008

A Note on “Lot Size Scheduling on a Single Machine for Stochastic Demand” by Goyal (Goyal, S. K. 1973. Lot size scheduling on a single machine for stochastic demand. Management Sci. 19 1322–1325).
Author's Reply to Vergin's Note on the Paper “Lot Size Scheduling on a Single Machine for Stochastic Demand”
Authors: Goyal S. K.
Published: November 2008

Author's Reply to Vergin's Note on the Paper “Lot Size Scheduling on a Single Machine for Stochastic Demand” (Vergin, Roger C. 1976. Note—A note on “Lot size scheduling on a single machine for stochastic demand” by Goyal. Management Sci. 22 823–824).
Critical Ratio Scheduling: An Experimental Analysis: Erratum
Authors: Berry William L. , Rao Vittal
Published: November 2008

In the column Notes About Authors in Management Science's October 1975 issue, Vithala R. Rao's biographic paragraph was inadvertantly substituted for that of Vittal Rao. The correct paragraph follows.
A Stochastic Model of Persuasive Communication
Authors: Balachandran V. , Deshmukh S. D.
Published: November 2008

A source repeatedly communicates a message through a channel so as to persuade a decision-maker to take a favorable action. The decision-maker observes the environment, the message and his cumulative learning experience and stochastically goes through a sequence of information processing states before taking an action. The transient and the steady state components of this information processing behavior are modeled in the semi-Markov process framework. Given such behavior, the problem of optimal communication system design is considered, using different measures of effectiveness of the persuasion process. Applications to advertising, decentralized planning and organizational decision-making are indicated.
Optimal Stock Depletion Policies with Stochastic Lives
Authors: Albright S. Christian
Published: November 2008

This paper deals with the optimal issuing sequence of units, say batteries, from storage to the field when field lives are stochastic. Several appealing forms of the field life survival probability F̄(y∣x) are given when the battery has been on the shelf a length of time x. These forms are used to investigate the optimally of LIFO (issue youngest) or FIFO (issue oldest) policies in two basic models. These models correspond to issuing batteries either according to a possibly random schedule (the independent case) or one after another as the successive batteries fail (the dependent case).
Criteria for Market Segmentation Studies
Authors: Beckwith Neil E. , Sasieni Maurice W.
Published: November 2008

Morrison recently claimed that models which attempt to explain differences in purchasing behavior in terms of the characteristics of individual purchasers should be expected to have low R2's. Here we generalize his stochastic model and also examine a slightly different stochastic model which is consistent with the usual regression segmentation studies. Correctly specified segmentation studies are shown to have higher R2's (roughly exceeding 0.5) than typically reported, indicating many previous segmentation studies are misspecified. We also show how to estimate the correlation between prediction and long run average behavior from short term observations.
Note—On Evaluating Market Segmentation Studies and the Properties of R2
Authors: Wildt Albert R.
Published: November 2008

In a recent paper (Management Science, Vol. 19, No. 11, pp. 1213–1221) Morrison presents an interesting and useful explanation relating to empirical studies in market segmentation and their marked failure in explaining much of the variance in individual purchasing behavior. The explanation centers around the fact that, while a model may be very effective in predicting the average number of purchases for a particular individual, it may be very poor in predicting the exact number of purchases for that individual during a specified time period. He proceeds to show that, under a given set of assumptions, the upper limit of the population R2 statistic for the models used in most empirical studies in this area is considerably less than 1.0. He further states that, in cases where the model explains less than 50% of the variance of the expected number of purchases for individuals, R2 (true population value) becomes negative. This conclusion is one which lacks intuitive appeal and deserves further consideration.
Note—A Note on the Single-Machine Multi-Product Lot Scheduling Problem
Authors: Haessler Robert W. , Hogue Steven L.
Published: November 2008

This note develops a procedure for automatically generating feasible solutions for the single-machine multi-product lot scheduling problem.
Note—Re: Michael A. Crane, Donald L. Iglehart, “Simulating Stable Stochastic Systems, IV: Approximation Techniques”
Authors: Hofri Micha
Published: November 2008

The paper considered here contains interesting suggestions to aid in implementing the methods the authors suggest in the earlier parts. The purpose of this note is merely to point out that the numerical tests reported in this article bear little relationship to the intent and give scant testimony on the usefulness and efficacy of their proposals.
Note—Optimal Portfolio Revision with Proportional Transaction Costs: Extension to Hara Utility Functions and Exogenous Deterministic Income
Authors: Constantinides George M.
Published: November 2008

Kamin's theorem [Kamin, Jules H. 1975. Optimal portfolio revision with a proportional transaction cost. Management Sci. 21 (11, July).] on portfolio revision with proportional transaction costs is extended to allow for hyperbolic absolute risk averse investors and for the possibility of exogenous deterministic income, assuming that one of the two investment opportunities is riskless.
A Collections Planning Model for Regional Blood Suppliers: Description and Validation
Authors: Cumming P. D. , Kendall K. E. , Pegels C. C. , Seagle J. P. , Shubsda J. F.
Published: November 2008

A planning model has been developed to assist regional blood suppliers in alleviating seasonal imbalances between supply and demand of blood. A Markovian population model is used to project various performance measures for a blood supply region. These measures are summarized in graphs covering a planning period of several months to one year. The planner improves projected performance by changing collection plans and using the planning model iteratively to evaluate each plan. The data required by the model are generally available: past performance of bloodmobile sponsors, quotas and demand forecasts. In this paper the model is described, projected performance measures are validated against actual measures, sensitivity to errors in inputs is analyzed and the model is evaluated relative to less complex models. The planning model is shown to be sufficiently accurate for its purpose and highly effective for its cost. It has been implemented by two regional blood suppliers using remote computer terminals.
Acceleration of Lagrangian Column-Generation Algorithms by Penalty Function Methods
Authors: O'Neill Richard P. , Widhelm William B.
Published: November 2008

A Lagrangian column-generation procedure is developed which retains the original problem functions for column generation but uses transformed penalty functions in the Lagrangian optimization. The class of penalty functions considered maintains the original order of differentiability and often enhances the optimization operation. Convergence is proven for convex problems and limited computational experience cited where the new procedure converges two to four times faster than the standard method. Certain modifications of these techniques to attack nonconvex problems are also presented.
Note—On Marketing Strategy and the Optimal Production Schedule
Authors: Welam Ulf Peter
Published: November 2008

Several models for joint optimization of functional decision making have been presented during the last few years. This note comments on one of these models described in a recent article in this journal, “Marketing Strategy and the Optimal Production Schedule” [Leitch, R. 1974. Marketing strategy and the optimal production schedule. Management Sci. 21 (3, November).], and argues that there are rather serious deficiencies both with respect to the design of the model and the numerical experiments reported in the aforementioned article.
Implications of Resource Directive Allocation Models for Organizational Design
Authors: Freeland James R. , Moore Jeffrey H.
Published: November 2008

This paper develops theoretical results, for a class of coordination mechanisms for resource allocation in decentralized firms, using as a model the decomposition of linear programs. Of the two pure decentralized allocation mechanisms (price-directive and resource-directive), resource-directive mechanisms, based in concept upon rationing or budgeting procedures, have received less attention in the literature. This paper focuses on these mechanisms and reports that under rather mild conditions the use of the plausible and economically appealing rule of allocating a global resource so as to equalize its marginal value over alternate uses is almost surely doomed to failure. In particular it is found that (1) resource-directive decompositions induce a kind of structural degeneracy in the decentralized divisions; (2) the amount of degeneracy increases with the number of divisions and the number of scarce global resources; and (3) degeneracy “seeks its own level” in that degeneracies spread over the divisions. The implication of these results for those interested in organizational design is that caution should be observed in utilizing such a rule as equalizing marginal values, and that more complicated and costly procedures for effecting resource allocation may be required. Finally, some symmetries between price-directive and resource-directive mechanisms are summarized.
A Model for Planning the Transition to Equilibrium of a University Budget
Authors: Hopkins David S. P. , Massy William F.
Published: November 2008

Five-year projections of university expense and income items are incorporated into a model requiring long-run financial equilibrium (LRFE) at the end of the planning period. LRFE means that both budget levels and growth rates are in balance. The “transition to equilibrium” model consists of a set of simultaneous linear equations that are solved for an estimate of the amount of budget base reductions needed to achieve LRFE five years later. The model was applied at Stanford University, the resulting $10.2 million budget adjustment target was accepted, and now (two years later) more than 85 percent of the needed changes have been implemented.
An Algorithm for Deriving the Capital Market Line
Authors: Alexander Gordon J.
Published: November 2008

This paper examines the problem of deriving the tangent (or market) portfolio from a given set of risky assets and a specified risk-free borrowing and lending rate. Deriving the tangent portfolio involves solving a mathematical programming problem which can be specified as the minimization of a quadratic objective function with linear constraints. The complementary pivot algorithm has previously been shown to be capable of deriving the optimal solution to certain quadratic programming problems, subject to a nonnegativity constraint. This paper demonstrates that the algorithm can be used to derive the tangent portfolio and that the nonnegativity constraint does not pose any serious handicap. Furthermore, it is shown that the algorithm can efficiently solve large-scale problems of this nature.
Geometric Approaches to Solving the Traveling Salesman Problem
Authors: Norback John P. , Love Robert F.
Published: November 2008

Two geometric approaches to solving sequencing problems are described and tested. Both methods have yielded optimal or near optimal solutions in problems where the optimal is known. Further, these methods have the advantage of being programmable, with execution in relatively short computation times, even for large problems. (The largest tested was composed of 318 cities.) One of these methods (the largest angle method) can be used to generate tours without any computation, if the number of cities is less than 25 or so, giving the practitioner an effective “back of the envelope method” of finding solutions. The results include applications to problems previously reported in the literature as well as several original large problems. The tours, their costs and computation times are presented.
Note—Capital Budgeting of Interdependent Projects: Activity Analysis Approach
Authors: Goldwerger Juval , Paroush Jacob
Published: November 2008

The purpose of this note is to discuss the usefulness of activity analysis as a general approach and as a wide framework in which it becomes possible to analyze the selection of optimal combinations of projects in the dependence case.
Note—A Comment on Rao's Class ℳ and S̄ Matrices
Authors: Koehler Gary J.
Published: November 2008

A comment on a class of matrices introduced by Rao (Rao, A. K. 1975. On the linear complementarity problem. Management Sci. 22 (4) 427–429.), relating them to the linear complementary problem.
Note—A Computational Refinement for Discrete-Valued Dynamic Programs with Convex Functions
Authors: Robinson Don R.
Published: November 2008

A search procedure is presented for discrete-valued dynamic programming problems with the objective of minimising the sum of convex functions. This procedure may be more efficient than available methods if the sum is to be minimized over a uniform grid of values of the state variable. Furthermore, the procedure can be used to reduce the computational effort if only some of the return functions have a special structure.
Communication—A Comprehensive Model for Long Range Academic Strategies
Authors: Gray Paul
Published: November 2008

The interest in using management science models for higher education manpower planning in recent years has led to the application of Markov chains, networks, goal programming, and other familiar modeling techniques. Goal programming appears intuitively appealing because educational objectives often involve satisficing rather than optimizing. It must be assumed that the purpose of the Walters, Mangold, Haran paper (Walters, A., J. Mangold, E. G. P. Haran. 1976. A comprehensive planning model for long-range academic strategies. Management Sci. 22 (7) 727–738.) was not simply to demonstrate that goal programming is of interest for this planning problem, since Schroeder (Schroeder, R. G. 1974. Resource planning in university management by goal programming. Oper. Res. 22 (July–August) 700–710.) published such a demonstration two years previously.
Determining Sample Size for Pretesting Comparative Effectiveness of Advertising Copies
Authors: Dalal Siddhartha R. , Srinivasan V.
Published: November 2008

This paper considers the problem of determining optimal sample sizes in advertising pretests, where two or more copies are compared for their relative advertising effectiveness measured on a dichotomous (0 or 1) scale. As the sample size is increased, sampling variations decrease so that the pretest has a better chance of identifying the truly best ad. Consequently, increasing the sample size decreases the opportunity costs of not selecting the best ad which, however, have to be balanced against the increased sampling costs. Taking these two considerations into account, three approaches (indifference zone, minimizing maximum loss and Bayesian) for determining sample size are discussed. The minimizing maximum loss approach seems to offer the best compromise in terms of realistic modelling and practical implementability. Extensions of the approaches to the case where advertising effectiveness is measured on an interval scale are outlined.
The Markovian Queue with Bounded Waiting time
Authors: Gavish Bezalel , Schweitzer Paul J.
Published: November 2008

The single-server queueing system is studied where arrivals are rejected if their waiting plus service times would exceed a fixed amount K. Applications of this model include equipment repair facilities and buffered communication devices with constant discharge rate receiving messages from a high-speed data channel. A procedure for computing the equilibrium behavior is described for the case of random arrivals and arbitrary service time requirements. Detailed analytic results and graphs are given for the case of exponentially distributed service time requirements, including the server utilization, rejection probability, mean time in system, mean server busy period, and the mean and probability density function of the virtual waiting time.
Note—A Comment on Keeney's Group Utility Axioms
Authors: McClain John O.
Published: November 2008

Keeney has described a set of axioms which allows one to merge individual utility functions using a linear combination [Keeney, Ralph L. 1976. A group preference axiomatization with cardinal utility. Management Sci. 23 140–145]. This is a very handy result, especially because the linear combination is probably the most easily studied of all possible methods. This comment is intended to call attention to three concepts which aid in determining and interpreting the weights obtained and studying the structure of the group's preferences. These concepts have been illustrated in [McClain, John O., Vithala R. Rao. 1974. Tradeoffs and conflicts in evaluation of health system alternatives: methodology for analysis. Health Services Res. (Spring) 35–52].
Note—Simulating a Lognormal Time Series with Prescribed Serial Correlation
Authors: Coleman Denis R. , Saipe Alan L.
Published: November 2008

This note describes a method of simulating a time series of lognormally distributed observations with prescribed mean, variance, and serial correlation as well as pointing out an error in this procedure described in “A Simulating Model for the Evaluation of Fishing Trawler Designs” by Nickerson et al. [Nickerson, T. B., T. G. O'Flaherty, D. W. Rice. 1973. A simulation model for the evaluation of fishing Trawler designs. Management Sci. 20 (4, Part II) 699–707].
Disutility as a Probability: A Reconsideration of the Symmetry Approach to the Committee Decision Problem
Authors: Theil Henri
Published: November 2008

Von Neumann and Morgenstern formulated the expected-utiiity approach in terms of a simultaneous utility-probability axiomatization, which makes utility unique up to a linear transformation. This note illustrates, that there are situations in which it is convenient to consider utility or, more precisely, disutility as a probability. The disutility caused by the best decision is zero: that caused by any other decision is nonnegative and usually positive: the only further condition which disutilities must satisfy in order to qualify as probabilities is that they add up to 1, for which a linear transformation of the utility function can be used. Disutility may thus be interpreted as the “probability of injury.”

This idea is illustrated by means of the symmetry approach to the committee decision problem as formulated by Van den Bogaard and Versiuis [van den Bogaard, P. J. M., J. Versluis. 1962. The design, of optimal committee decisions. Statistica Neerlandica 16 271–289.] and Theil [Theil, H. 1963. On the symmetry approach to the committee decision problem. Management Sci. 9 380–393; Theil, H. 1964. Optimal Decision Rules for Government and Industry. American Elsevier Publishing Co., Inc., New York, and North-Holland Publishing Company. Amsterdam.]. Each committee member has his own preferences, but the committee as a whole is responsible for making a decision. The committee's debate is described in terms of a Markov chain, and the symmetry approach appears to correspond to the steady state of Markov chain theory. An application to a three-member committee is discussed.
A Group Preference Axiomatization with Cardinal Utility
Authors: Keeney Ralph L.
Published: November 2008

Given a group composed of N individuals and given that each has rated all of the alternatives using a cardinal utility function, the problem is to aggregate these to obtain a group cardinal utility function for evaluating each alternative. The cardinal utilities indicate the strength of preference of one alternative relative to others as well as order the alternatives. Five assumptions, which seem reasonable for the aggregation, are postulated, and it is shown the group cardinal utility function which is implied must be a linear combination of the individual cardinal utility functions. For assessing such a function, interpersonal comparisons of preferences are required. Suggestions for who should make these comparisons and how they might be done are given.
Analysis of Implied Risk-Taking Behavior Under a Goal-Based Incentive Scheme
Authors: Itami Hiroyuki
Published: November 2008

The purpose of this paper is an analysis of how an incentive scheme and the subordinate's risk preference criterion to determine the implied risk preference criterion which is essentially used in arriving at a decision under uncertainty in a decentralized decision making situation. After emphasizing the importance of risk-congruence in management control under uncertainty, a topic rarely mentioned in the past, some analytical result which would be of help to management in designing a goal-based incentive scheme are obtained. Results are related to earlier empirical observations.
On Optimal Bidding Strategies
Authors: Näykki Pertti
Published: November 2008

This paper determines the optimal bid price for a fine bidding against several other firms, when each firm estimates its own cost and the cost estimates of the prices of other firms. Game theoretic and decision theoretic approaches are compared.
The Theory of Two-Currency Gambles
Authors: Folks William R.
Published: November 2008

This paper describes a theory of decision making under uncertainty when payoffs are made in two different currencies. It is shown that immediate lotteries can be evaluated consistently using utility functions assessed in either currency. Delayed lotteries subject to the exchange risk may also be evaluated by single currency utility functions; the implications of the use of such functions are discussed. The conditions where a utility function should include the rate of exchange itself are outlined. Finally, the fallacy of the use of risk adjusted exchange rates for specific exchange management operations is discussed.
Note—Sequencing with Finite Intermediate Storage
Authors: Reddi S. S.
Published: November 2008

This note presents procedures for finding optimal solutions to the deterministic N-job two machine flow-shop sequencing problem when the buffer size z is nearly the same as the number of jobs. When m = N − z − 2 is small, a simple and fast procedure that uses Johnson's algorithm on the middle N − 2m jobs is used. The procedure has a computational complexity of o(N2m+1) comparisons.
A “Working” System Model of Car Buyer Behavior
Authors: Farley John U. , Howard John A. , Lehmann Donald R.
Published: November 2008

A four-equation “working version” system based on elements of a buyer behavior model was used to organize an analysis of a five-wave consumer panel tracking the introduction of a new brand of subcompact automobile. Parameters of endogenous model variables are remarkably stable over time, alternative brands, parameter estimation methods and specially-defined subgroups of the panel, while parameters of exogenous model variables vary systematically. The model behaves reasonably in a systems sense when tested with extreme values of endogenous and exogenous variables.
Optimal Wage Rates and Force Composition in Military Manpower Planning
Authors: Jaquette D. L. , Nelson G. R.
Published: November 2008

A mathematical model of a military manpower system is presented which seeks to determine the optimal steady state wage rate and force distribution by length of service. Accessions and retention are the transition parameters of a steady state manpower model and these are assumed to be a function of wages. A productivity function is introduced to measure effectiveness of each force structure. Gradient search is used to find the compensation plan that will produce a long-run force with maximum effectiveness within a given limited annual budget.
Optimal Location of Plants
Authors: Alcouffe Alain , Muratet Gilles
Published: November 2008

This paper deals with the problem of a firm that searches the optimal location of plants under the following conditions: (1) Transport costs for delivery are incurred by the firm; transport costs between a plant and a customer are linear. (2) The customers' demands are known and have to be met; customers are scattered. (3) The possible plant locations are known. (4) The production cost, at each possible plant, may be divided into two parts: (a) a fixed charge supported only if there is some production; (b) a linear unit cost. The rigorous treatment of the problem involves the production and transport costs' being minimized for each combination of plant locations. This paper presents an algorithm using the special features of the problem that reduces the number of combinations of plant locations to study. A heuristic method based on market simulation is also shown to work pretty well.
A Comparison of the Bad as Old and Superimposed Renewal Models
Authors: Blumenthal Saul , Greenwood A. , Herbach L. H.
Published: November 2008

For the bad as old (BAO) model for system reliability, asymptotic distributions for time between failures and time of rth failure are obtained. For series systems, inequalities are obtained for the BAO and superimposed renewal (SR) models for distributions of number of failures and time between failures. Approximations for the distribution of number of failures are obtained for the BAO model for new, large series systems. Consideration is given to the use of BAO probabilities as approximations to SR probabilities for series systems.
Solution of a Multi-Product Manufacturing and Distribution Problem
Authors: Folie Michael , Tiffin John
Published: November 2008

An actual multi-product production and distribution problem is described and an optimizing algorithm is developed. The problem, which is an example of a multi-commodity capacitated trans-shipment problem, is solved by the technique suggested by Ford and Fulkerson [Ford, L. R., D. R. Fulkerson. 1958. A suggested computation for maximal multi-commodity network flows. Management Sci. 3 (1) 97–101.]. Due to the size of the problem and computational constraints, the usefulness of this technique is improved by incorporating the Generalized Upper Bound algorithm of Dantzig and Van Slyke [Dantzig, G. B., R. M. Van Slyke. 1967. Generalized upper bounding technique. J. Comput. System Sci. 1 213–226.]. The modified technique requires manipulation of a relatively small matrix whose order is N by N where N is the number of capacitated links in the network. The traditional node-arc formulation solved by linear programming, the original arc-chain technique and the modified arc-chain algorithm are each compared in terms of computer storage requirements and solution times, resulting in considerable time efficiencies, of the order of fifty to one, for the modified Ford-Fulkerson method.
Multiple Objective Linear Programming with Interval Criterion Weights
Authors: Steuer Ralph E.
Published: November 2008

The purpose of this research is to develop a computer applicable methodology for analyzing multiple objective linear programming problems when interval, rather than fixed, weights are assigned to each of the objectives. Rather than obtaining a single efficient extreme point as one would normally expect with fixed weights, a cluster of efficient extreme points is typically generated when interval weights are specified. Then, from the subset of solutions generated, it is contemplated, that the decision-maker will be able to qualitatively identify his efficient extreme point of greatest utility (which should either be the decision-maker's optimal point or be close enough to it to terminate the decision process).

The procedure presented in this paper involves converting the multiple objective linear programming problem with interval criterion weights into an equivalent vector-maximum problem. Once in such form, an algorithm for the vector-maximum problem can then be used to determine the subset of “efficient extreme” points corresponding to the interval weights specified.

General computational experience regarding the operation of the equivalent vector-maximum problem is reported. Also, a numerical example is provided to illustrate the total procedure described.
Decomposition of a Multi-Period Media Scheduling Model in Terms of Single Period Equivalents
Authors: Srinivasan V.
Published: November 2008

This paper develops a method for choosing advertising media plans for the next T-periods in order to maximize net discounted profits. Using the discrete maximum principle of Optimal Control Theory, it is shown that under certain conditions a T-period media model can be decomposed into a sequence of T one-period models together with the determination of the corresponding carry-over effects using an iterative procedure. The single period models with their objective functions modified to include the carry-over effects can be solved by conventional methods. Although the conditions for decomposition are not always satisfied, the heuristic solution procedure defined by the decomposition approach has been found to give close to optimal solutions in randomly generated test problems. The solutions obtained in these tests are usually better than the corresponding solutions obtained by the Little and Lodish type of heuristic applied to the present model. Finally, the T-period model is specialized to derive a steady-state formulation of an infinite horizon media planning problem.
Equity and Selective Pollution Abatement Procedures
Authors: Carbone R. , Sweigart J. R.
Published: November 2008

This paper centers on issues of equity which are related to least cost air pollution abatement strategies. Motivation is provided by a hypothetical example based on Knox County, Tennessee data. In this example substantial loss in economic efficiency occurs when all polluters are required to reduce emissions by the same rate, which is a popular kind of equity notion termed a “benchmark” solution. This notion of equity is shown to be equivalent to another which is related to the requirement that each polluter reduce by the proportion that he contributes to total controllable pollutant concentration at points in the region.

A new air quality management strategy is suggested which is based on the requirement that polluters who choose to act independently of others must reduce emissions according to the benchmark solution. This strategy provides economic motivation for coalition formation.
Evaluating Security Performance Forecasts
Authors: Neave Edwin H. , Wiginton John C.
Published: November 2008

The value of information is used to evaluate the worth of a forecast to the recipient. The basic concepts of information economics are augmented by modern Bayesian statistical methods to provide a means of learning about the true, but unknown, information structure and distribution of state probabilities. The value of information measure appears in this context to be useful in detecting temporal changes in the information structure, in a fashion somewhat analogous to the use of control limits.
A Parsimonious Description of the Hendry System
Authors: Kalwani Manohar U. , Morrison Donald G.
Published: November 2008

In this paper we will present some basic concepts of the Hendry System and derive the results claimed in the HendroDynamics Chapters [HendroDynamics: Fundamental Laws of Consumer Dynamics, Hendry Corporation, Chapter 1 (1970) and Chapter 2 (1971).] from two simple probabilistic assumptions; namely, zero order consumers and switching proportional to market share. We will develop the notion of partitioning which constitutes a major component of the Hendry System by briefly describing the procedure for identifying the partitioning structure in a given market. With this illustration we will point out various implications which can be drawn from a correctly identified market structure. All of our results are obtained without resorting to the entropy concept that has caused so much confusion in recent debates over the validity or usefulness of the Hendry Model.
Further Results on Planning Horizons in the Production Smoothing Problem
Authors: Lee Dwight R. , Orr Daniel
Published: November 2008

A generalized version of the Modigliani-Hohn production smoothing model is analyzed, and two types or classes of theorem are proved. (Theorems 1 and 2): The planning horizon (defined as a minimal interval of sufficient length to yield optimal current decisions) depends critically on the existence of “bottleneck” conditions; in the case of the original M-H model, a bottleneck arises out of the inventory nonnegativity constraint, and it is here shown that an additional interesting bottleneck condition arises out of an inventory storage capacity constraint. Whether a particular type of bottleneck defines a horizon will depend, interestingly, on the terminal inventory condition that is imposed for the original optimization process. (Theorems 3 and 4): The sensitivity of horizon length to two economic parameters, the discount factor and the marginal storage cost, will depend on whether the horizon-determining bottleneck is due to a binding inventory capacity constraint, or a binding nonnegativity constraint. The capacity constraint will yield “perverse” horizon sensitivities first noted by Charnes, Dreze and Miller [Charnes, Abraham, Drèze, Jaques, Miller, Merton. 1966. Decision and horizon rules for stochastic planning problems: a linear example. Econometrica 34 307–330.] in their work on the warehousing problem. In light of these results, the importance of horizons as a programming concept can be questioned.
“Multi-Echelon Production Scheduling When Demand is Stochastic”: Erratum
Authors: Williams Jack F.
Published: November 2008

Correction to the paper “Multi-Echelon Production Scheduling When Demand is Stochastic,” by Jack F. Williams, Management Science, Vol. 20, No. 9, May 1974.
Quadratic Approximations of the Portfolio Selection Problem When the Means and Variances of Returns are Infinite
Authors: Ohlson James A.
Published: November 2008

This paper derives quadratic approximations of the standard one-period portfolio selection model under the assumption that means and variances of returns are infinite. Samuelson [Samuelson, P. A. 1970. The fundamental approximation theorem of portfolio analysis in terms of means, variances, and higher moments. Rev. Econom. Stud. 37 (October).], among others, has derived mean-variance approximations when moments are finite; hence, this paper weakens conditions sufficient to obtain quadratic approximations.
An Efficient Branch and Bound Algorithm for the Capacitated Warehouse Location Problem
Authors: Akinc Umit , Khumawala Basheer M.
Published: November 2008

This paper describes an efficient solution procedure for the warehouse location problem in which limitations on the amount of goods which can be handled are also imposed. The proposed branch-and-bound solution method is made efficient by developing dominance, lower and upper bounding procedures and branch and node selection rules utilizing the special structure of this problem. Computational results are provided for large sized problems.
Dynamic Programming for a Stochastic Markovian Process with an Application to the Mean Variance Models
Authors: Goldwerger Juval
Published: November 2008

This paper presents a fresh perspective on the Markov reward process. In order to bring Howard's [Howard, R. A. 1969. Dynamic Programing and Markov-Process. The M.I.T. Press, 5th printing.] model closer to practical applicability, two very important aspects of the model are restated: (a) We make the rewards random variables instead of known constants, and (b) we allow for any decision rule over the moment set of the portfolio distribution, rather than assuming maximization of the expected value of the portfolio outcome. These modifications provide a natural setting for the rewards to be normally distributed, and thus, applying the mean variance models becomes possible. An algorithm for solution is presented, and a special case: the mean-variability models decision rule of maximizing (μ/σ) is worked out in detail.
Cooperative Games in Stochastic Characteristic Function Form
Authors: Granot Daniel
Published: November 2008

Additional results are presented in this paper which further extend and modify the theory of cooperative games in characteristic function form so as to encompass situations where the values of the coalitions are random variables with given distribution functions.

We reintroduce the prior nucleolus and provide a new characterization of it in terms of an optimal solution to a finite sequence of consistent and bounded NLP problems. From this new characterization it follows immediately that the prior nucleolus is unique for strictly monotone increasing distribution functions. We also extend the notions of objections and counterobjections to these games and construct and study the prior kernel and prior bargaining set 𝒫ℛ1(i).

A new notion of solution for the second part of the play of these games is suggested.
Multi-Criteria School Busing Models
Authors: Lee Sang M. , Moore Laurence J.
Published: November 2008

This paper presents multi-criteria school busing models. More specifically, it reports on the application of goal programming to the school busing problem in order to achieve multiple, conflicting objectives. The models attempt to derive optimal solutions in order to reflect such goals as providing educational opportunity to children, striving for a racial balance, balancing overcrowding among schools, permitting the community school concept, and minimizing total transportation costs. The study offers practical applications of the approach to the complex social issue of busing.
Horizon Effects in Aggregate Production Planning with Seasonal Demand
Authors: McClain John O. , Thomas Joseph
Published: November 2008

When a demand pattern is dominated by a seasonal effect, the concept of a steady state solution can be used in two ways in aggregate production planning. First, general policy recommendations can be made concerning the use of seasonal workforce changes versus overtime and seasonal inventory. Second, the results can be used to provide ending conditions in an intermediate range planning algorithm with a moving horizon. These ideas are explored using a linear programming model, making use of known planning horizon properties. A simulation experiment tests the efficacy of short horizon deterministic models in a stochastic environment, and demonstrates that ending conditions, derived from the steady state model, improve decisions under a variety of conditions on costs and horizon length.