bluuebunny/crossref_metadata_2025 huggingface dataset:
A Branch and Bound Procedure for the Resource Constrained Project Scheduling Problem with Discounted Cash Flows
Authors: Icmeli Oya , Erenguc S. Selcuk
Published: November 2008

Management of projects is complicated by the scarcity of resources required to execute them. Limited resources usually extend the project completion times beyond those determined by CPM/PERT. Several solution procedures have been developed for solving the resource constrained project scheduling problem. One objective commonly used for these problems is to complete the project as early as possible (minimize makespan). The problem considered in this paper is a resource constrained project scheduling problem, with the added features that there are cash flows associated with the project activities, and the objective is to schedule the project activities in such a way that the net present value of cash flows is maximized. With these features the problem becomes financially motivated and more realistic.

We introduce a branch and bound procedure to solve the resource constrained project scheduling problem with discounted cash flows. Our procedure exploits the known fact that potential resource violations can be eliminated by introducing additional precedence relations between certain project activities. Specifically, we use the “minimal delaying alternatives” concept to resolve resource conflicts. The bounds in the branch and bound procedure are computed by solving Payment Scheduling Problems, which can be formulated as linear programs and by that are well-solvable.

We test our procedure computationally on a set of 90 test problems from the literature and compare it with the only other exact procedure we know of.
An Information Model Based on Classification Theory
Authors: Parsons Jeffrey
Published: November 2008

This paper develops a formal information structuring model based on the premise that an information system represents knowledge about things in an organization. Since humans organize knowledge about things via categories or classes, the model is motivated by a theory of classification. The theory suggests several critical elements of classification based on the importance of classifying things to human survival. These elements are reflected by constructs in the model. Formal implications of the model for systems development are derived and strategies proposed for empirically evaluating these implications with respect to current modeling approaches. Necessary conditions are identified for a collection of classes to be considered a “good” model of some domain. The conditions permit different users to classify the same objects in different ways, depending on need. This suggests a new approach to data or object modeling which emphasizes instances and properties, rather than fixed categories of data or schemas. The model also offers insights into the role of classification in object-oriented analysis and, design methodologies. Finally, a program of research is outlined in which the model is being used to develop and experimentally evaluate an information modeling methodology, and as a source of implementation primitives for “instance-based” data modeling.
Quota-Based Compensation Plans for Multiterritory Heterogeneous Salesforces
Authors: Raju Jagmohan S. , Srinivasan V.
Published: November 2008

We compare quota-based salesforce compensation plans with the BLSS plan, i.e., the optimal curvilinear agency-theory-based compensation plans proposed in Basu, Lal, Srinivasan and Staelin (Basu, A. K., R. Lal, V. Srinivasan, R. Staelin. 1985. Salesforce compensation plans: An agency theoretic perspective. Marketing Sci. 4(Fall) 267–291.). A quota plan pays a fixed salary which is supplemented by commission income that is a prespecified fraction of the dollar sales that exceed the quota. For a salesforce comprised of multiple salespersons/territories, we consider a basic quota plan where the commission rate and salary remain the same across salespersons; however, quotas vary across salespersons/territories. Compared to the BLSS plan that is individually tailored to each salesperson/territory, the basic quota plan's total nonoptimality in profit has two components: (i) a shapeinduced nonoptimality arising from the fact that the quota-based plan does not have the same optimal shape as the curvilinear BLSS plan, and (ii) a heterogeneity-induced nonoptimality arising from the fact that the salary and commission rate in the basic quota plan are constrained to be the same across the salesforce. Our numerical experiments indicate that the total nonoptimality is merely about 1% for the parametric scenarios studied. The basic quota plan is simpler to implement than the BLSS plan. Furthermore, changes in business conditions in a territory, or the transfer of a salesperson from one territory to another, can be accommodated by changing only the quota, without having to change the salary and the commission rate structure. Such advantages, together with our result that the nonoptimality is slight, suggest that quota-based plans offer considerable potential as a salesforce compensation scheme.
A Fast Algorithm for a Class of Generalized Fractional Programs
Authors: Gugat Martin
Published: November 2008

In many decision problems, criteria occur that can be expressed as ratios. The corresponding optimization problems are nonconvex programs of fractional type.

In this paper, an algorithm for the numerical solution of these problems is introduced that converges always at superlinear speed. Numerical examples are presented.
Repeated Optional Gambles and Risk Aversion
Authors: Gollier Christian
Published: November 2008

We analyze in this paper the effect of age on the optimal dynamic strategy toward repeated independent gambles. When deciding to accept or to reject a lottery that is offered today, the gambler knows how many lotteries can yet be played in the future. We first characterize the optimal dynamic strategy when future lotteries are identically distributed. We show that the existence of future lotteries always increases the willingness to gamble today. When the sequence of lotteries is independent but not identically distributed, we show that this does not need to be true. This analysis can be applied to the problem of investing in indivisible risky investment projects, or to the problem of dynamic optimal insurance demand.
Economic Models for Vendor Evaluation with Quality Cost Analysis
Authors: Tagaras George , Lee Hau L.
Published: November 2008

Successful vendor-vendee relationship is viewed as an important ingredient for maintaining competitiveness in the current marketplace. This calls for a careful and comprehensive approach in selecting vendors. The cost of quality (or better phrased as the cost of “unquality”) resulted from imperfections of a vendor's incoming input materials is one component of the total costs in the evaluation of vendors. The purpose of this paper is to show that looking at only one dimension of the quality cost is not sufficient and to highlight the importance of having a high quality internal process. We explore the relationship between the vendor's quality cost, the vendor's input quality, and the imperfections of the manufacturing process. We analyze the properties of the resulting quality cost model, and draw managerial implications in the selection of vendors.
An Empirical Analysis of the Product-Process Matrix
Authors: Safizadeh M. Hossein , Ritzman Larry P. , Sharma Deven , Wood Craig
Published: November 2008

Process choice, a major part of operations strategy, is a key decision that links operations to business strategy. Hayes and Wheelwright, among others, argue that the emphasis given to product customization and other competitive priorities should agree with process choice. Our empirical study investigates whether firms actually link their process choice to product customization and other competitive priorities as hypothesized, and whether compatible decision patterns lead to better performance. Analysis of data collected from managers at 144 U.S. manufacturing plants shows a strong correlation between process choice, product customization, and competitive priorities. Process choice is highly related with the degree of product customization, and also with the emphasis placed on the quality and cost competitive priorities. Job shops and batch shops tend to have more product customization, higher costs, and higher quality. Some continuous flow shops use part commonality and flexible automation to achieve more customization than would otherwise be expected. Without these initiatives, customization in continuous flow shops results in weak performance.
Curvature of the Probability Weighting Function
Authors: Wu George , Gonzalez Richard
Published: November 2008

When individuals choose among risky alternatives, the psychological weight attached to an outcome may not correspond to the probability of that outcome. In rank-dependent utility theories, including prospect theory, the probability weighting function permits probabilities to be weighted nonlinearly. Previous empirical studies of the weighting function have suggested an inverse S-shaped function, first concave and then convex. However, these studies suffer from a methodological shortcoming: estimation procedures have required assumptions about the functional form of the value and/or weighting functions. We propose two preference conditions that are necessary and sufficient for concavity and convexity of the weighting function. Empirical tests of these conditions are independent of the form of the value function. We test these conditions using preference “ladders” (a series of questions that differ only by a common consequence). The concavity-convexity ladders validate previous findings of an S-shaped weighting function, concave up to p < 0.40, and convex beyond that probability. The tests also show significant nonlinearity away from the boundaries, 0 and 1. Finally, we fit the ladder data with weighting functions proposed by Tversky and Kahneman (Tversky, Amos, Daniel Kahneman. 1992. Advances in prospect theory: Cumulative representation of uncertainty. J. Risk and Uncertainty 5 297–323.) and Prelec (Prelec, Dražen. 1995. The probability weighting function. Unpublished paper.).
A Standard Measure of Risk and Risk-Value Models
Authors: Jia Jianmin , Dyer James S.
Published: November 2008

In this paper we propose a standard measure of risk that is based on the converted expected utility of normalized lotteries with zero-expected values. This measure of risk has many desirable properties that characterize the notion of risk. It is very general and includes many previously proposed measures of risk as special cases. Moreover, our standard measure of risk provides a preference-based and unified method for risk studies. Since the standard measure of risk is compatible with the measure of expected utility, it can be used explicitly or implicitly in an expected utility model. Under a condition called risk Independence, a decision could be made by explicitly trading off between risk and value, which offers an alternative representation of the expected utility model, named the standard risk-value model. Finally, we discuss some other applications of the standard measure of risk and extensions of our risk-value tradeoff framework for descriptive decision making.
Combining Interior-Point and Pivoting Algorithms for Linear Programming
Authors: Andersen Erling D. , Ye Yinyu
Published: November 2008

We propose a new approach to combine linear programming (LP) interior-point and simplex pivoting algorithms. In any iteration of an interior-point algorithm we construct a related LP problem, which approximates the original problem, with a known (strictly) complementary primal-dual solution pair. Thus, we can apply Megiddo's (Megiddo, N. 1991. On finding primal- and dual-optimal bases. ORSA J. Comput. 3(1) 63–65.) pivoting procedure to compute an optimal basis for the approximate problem in strongly polynomial time. We show that, if the approximate problem is constructed from an interior-point iterate sufficiently close to the optimal face, then any optimal basis of the approximate problem is an optimal basis for the original problem. If the LP data are rational, the total number of interior-point iterations to create such a sufficient approximate problem is bounded by a polynomial in the data size. We develop a modification of Megiddo's procedure and discuss several implementation issues in solving the approximate problem. We also report encouraging computational results for this combined approach.
Consumer Heterogeneity and Strategic Quality Decisions
Authors: Rhee Byong-Duk
Published: November 2008

Though recent studies show that quality differentiation is an equilibrium outcome, products of similar qualities frequently are observed in the marketplace. This inconsistency may be explained by incorporating consumer heterogeneity along unobservable attributes into a model of competition. In this paper, consumers not only take into account the quality and price of a product but also their heterogeneous tastes along other attributes which are unobservable to firms. We investigate the effect of heterogeneity along the unobservable attributes on both quality and price equilibrium in a two-stage game framework. We show that when consumers are sufficiently heterogeneous along the unobservable attributes, the firms offer products of identical qualities in equilibrium. Under low levels of heterogeneity along the unobservable attributes, however, our results are consistent with past research which argues for quality differentiation.
New Product Development: The Performance and Time-to-Market Tradeoff
Authors: Cohen Morris A. , Eliasberg Jehoshua , Ho Teck-Hua
Published: November 2008

Reduction of new product development cycle time and improvements in product performance have become strategic objectives for many technology-driven firms. These goals may conflict, however, and firms must explicitly consider the tradeoff between them. In this paper we introduce a multistage model of new product development process which captures this tradeoff explicitly. We show that if product improvements are additive (over stages), it is optimal to allocate maximal time to the most productive development stage. We then indicate how optimal time-to-market and its implied product performance targets vary with exogenous factors such as the size of the potential market, the presence of existing and new products, profit margins, the length of the window of opportunity, the firm's speed of product improvement, and competitor product performance. We show that some new product development metrics employed in practice, such as minimizing break-even time, can be sub-optimal if firms are striving to maximize profits. We also determine the minimal speed of product improvement required for profitably undertaking new product development, and discuss the implications of product replacement which can occur whenever firms introduce successive generations of new products. Finally, we show that an improvement in the speed of product development does not necessarily lead to an earlier time-to-market, but always leads to enhanced products.
Indicators of Ill-Conditioned Data Sets and Model Misspecification in Data Envelopment Analysis: An Extended Facet Approach
Authors: Olesen O. B. , Petersen N. C.
Published: November 2008

Date Envelopment Analysis (DEA) employs mathematical programming to measure the relative efficiency of Decision Making Units (DMUs). This paper is concerned with development of indicators to determine whether or not the specification of the input and output space is supported by data in the sense that the variation in data is sufficient for estimation of a frontier of the same dimension as the input output space. Insufficient variation in data implies that some inputs/outputs can be substituted along the efficient frontier but only in fixed proportions. Data thus locally supports variation in a subspace of a lower dimension rather than in the input output space of full dimension. Each segment of the efficient frontier is in this sense subject to local collinearity. Insufficient variation in data provides a bound on admissible disaggregations in cases where substitution in fixed proportions is incompatible with a priori information concerning the production process. A data set incapable of estimating a frontier of full dimension will in this case be denoted ill-conditioned. It is shown that the existence of well-defined marginal rates of substitution along the estimated strongly efficient frontier segments requires the existence of Full Dimensional Efficient Facets (FDEFs). A test for the existence of FDEFs is developed, and an operational two-stage procedure for efficiency evaluation relative to an over-all non-fixed technology is developed; the two-stage procedure provides a lower and an upper bound on the efficiency index for each DMU.
Resolving the Process vs. Product Innovation Dilemma: A Consumer Choice Theoretic Approach
Authors: Bhoovaraghavan Sriraman , Vasudevan Ashok , Chandran Rajan
Published: November 2008

There has been considerable emphasis on the strategic importance of process and product innovation in the management literature. What actually constitutes process and product innovation, however, is a confused issue in the current literature. Are product and process innovations separate, or are they on a continuum? The importance of addressing this issue is that research over the past few decades has attributed Japan's increasing competitiveness to its propensity to process innovate. This paper uses a consumer-based approach to distinguish between process and product innovation using a model based on choice theory. An empirical illustration of the model is also presented. The model is then used to emphasize the need to pursue an integrated strategy of process and product innovation in response to consumer wants. The model also helps managers decide on the appropriate mix of process innovation relative to product innovation for R&D resource allocation purposes.
Setting Base Stock Levels Using Product-Form Queueing Networks
Authors: Rubio Rodrigo , Wein Lawrence M.
Published: November 2008

A manufacturing facility produces multiple products in a make-to-stock manner, and unsatisfied demand is backordered. A simple production control policy is analyzed: When the amount of work-in-process inventory plus finished goods inventory for a particular product falls below a base stock level, then release another unit of that product onto the shop floor. Assuming that the work-in-process inventory has a steady state distribution and that there are different costs incurred for carrying in-process, completed and backordered units, we show that the cost minimizing base stock level for each product is a critical fractile of the steady state distribution of the product's total work-in-process inventory. By exploiting the relationship between the make-to-stock system and an open queueing network, we identify specific formulas for the base stock levels under standard product-form assumptions. For the lost sales case, a similar relation to a closed queueing network can be used to characterize the optimal control parameters.
A Game Theoretic Approach to Problems in Telecommunication
Authors: van den Nouweland A. , Borm P. , van Golstein Brouwers W. , Groot Bruinderink R. , Tijs S.
Published: November 2008

This paper considers two specific problems in telecommunication, namely the Terrestrial Flight Telephone System and the rerouting of international telephone calls. Both situations are modelled as coalitional games, and game theoretic techniques are used to tackle the problems. It is shown that a special class of coalitional games emerges from the situations under consideration and that the structure of the situations has theoretical implications, including the coincidence of several game theoretic solution concepts. The implications of these theoretical results for the two practical problems are discussed.
DEA on Relaxed Convexity Assumptions
Authors: Bogetoft Peter
Published: November 2008

In a recent paper, Petersen (Petersen, N. C. 1990. Data envelopment analysis on a relaxed set of assumptions. Management Sci. 36 305–314.) proposed to relax the convexity assumptions invoked in traditional Data Envelopment Analysis (DEA). Unfortunately, the new approach is not consistent with the relaxed assumptions. Also, the efficiency evaluations in input and output spaces are based on different technologies assumptions. The aim of this paper is to clarify which assumptions are actually involved and to develop modifications such that the input and output based measures are consistent. In effect, a family of DEA methods based on relaxed convexity assumptions is identified.
Using Rank Statistics for Determining Programmatic Efficiency Differences in Data Envelopment Analysis
Authors: Brockett Patrick L. , Golany Boaz
Published: November 2008

This paper presents an analytical approach, based on rank statistics, to the issue of comparing programs within Data Envelopment Analysis (DEA) efficiency evaluation framework. The program evaluation procedure distinguishes between managerial and programmatic inefficiency and uses the Mann-Whitney rank statistic to evaluate the statistical significance of the differences observed between a treatment program and its control group program after adjusting for differences in managerial efficiency between the programs. A numerical example, based on the data used to evaluate the educational enhancement of the Program Follow Through, is used to illustrate the proposed statistical procedures.
Note: A Problem with the Decomposition of Technical Inefficiency into Scale and Congestion Components
Authors: McDonald John
Published: November 2008

In 1988, Byrnes, Färe, Grosskopf and Lovell define a decomposition of inefficiency differentials into scale and congestion components. This note shows that the decomposition may be sensitive to the order in which the two components are calculated, and, consequently, use of the decomposition may result in misleading signals being given to management.
A Scaled Stochastic Approximation Algorithm
Authors: Andradöttir Sigrún
Published: November 2008

Consider a stochastic system of such complexity that its performance can only be evaluated by using simulation or direct experimentation. To optimize the expected performance of such systems as a function of several continuous input parameters (decision variables), we present a “scaled” stochastic approximation algorithm for finding the zero (root) of the gradient of the response function. In each iteration of the scaled algorithm, two independent gradient estimates are sampled at the current estimate of the optimal input-parameter vector to compute a scale-free estimate of the next search direction. We establish sufficient conditions to ensure strong consistency and asymptotic normality of the resulting estimator of the optimal input-parameter vector. Strong consistency is also established for a variant of the scaled algorithm with Kesten's acceleration. An experimental performance comparison of the scaled algorithm and the classical Robbins-Monro algorithm in two simple queueing systems reveals some of the practical advantages of the scaled algorithm.
Combining Buy-In Penalties with Commissions at Auction Houses
Authors: Greenleaf Eric A. , Sinha Atanu R.
Published: November 2008

Most auction sellers consign property to auction houses rather than holding the auction themselves. In addition to charging sellers a commission on property that sells in the auction, many auction houses also specify buy-in penalties in auction contracts. This is an amount the seller must pay the auction house if the property fails to sell at auction. An important managerial question for auction houses is whether and when buy-in penalties can increase revenues of the auction house, seller, or both, and what combinations of commission and buy-in penalty to use. We show that auctions which combine buy-in penalties with lower commissions Pareto-dominate auctions that use only commissions. This strategy motivates the seller to set a lower reserve, which creates a surplus in auction revenues that can go to one or both parties. This strategy is Pareto-dominant even if the auction house and the seller are uncertain about the number of bidders at the auction, or the auction house is uncertain about the seller's own valuation for the property, at the time the buy-in penalty, commission, and reserve are contractually set. We also discuss the incentive issues raised by this strategy.
A Queuing Network Model of a Single-Operator Manufacturing Workcell with Machine/Operator Interference
Authors: Desruelle Paul , Steudel Harold J.
Published: November 2008

We present an analytical approach to evaluate the performance of a manufacturing workcell tended by a single operator when operator-induced machine interference occurs. Each part must be processed at every workstation in the workcell. The fact that one or more machines can request an operator service while the operator is busy at another machine induces machine interference. If the reduction of the workcell's capacity due to this interference becomes too great, then the customer demand may not be satisfied. Our approach determines quickly whether the workcell can meet a required demand under its current configuration and operating parameters. We do this by modeling the workcell as two interacting queuing networks: an open part/machine network, and a closed machine/operator network. In the open network, parts arrive in batches of a fixed size for each part type, but with exponentially distributed interarrival times between parts. In both networks, service times follow general distributions that are characterized by their first two moments.
Maximising a Function Over a Finite Set of Actions—Technical Note
Authors: White D. J.
Published: November 2008

In this technical note we examine a method of extending a problem over a finite set of actions, to a problem of maximising a function over a bi-product set. The solution set is characterised in terms of fixed point solutions and partial solutions, and two improvement algorithms are given.
Involving Patients in the Cadaveric Kidney Transplant Allocation Process: A Decision-Theoretic Perspective
Authors: Ahn Jae-Hyeon , Hornberger John C.
Published: November 2008

The United Network for Organ Sharing system of allocating cadaveric kidneys for transplantation permits only minimal involvement of patients in the selection process. The system ignores potential variations in the importance that patients may attach to outcomes associated with the transplant decision. For instance, some patients may prefer only kidneys that will give them a very favorable chance to achieve a successful transplant. We designed a decision model in which patients are surveyed about their preferences for health states that in turn affect decisions about the type of donor kidneys that would be acceptable for transplantation. Our analyses show that patients with favorable transplant characteristics (e.g., young age, good health, good immunologic match between the donor kidney and the recipient) or who expect a minimal improvement in quality of life after successful transplantation can afford to be selective when considering which kidneys to accept for transplantation. Involving patients in selecting the optimal donor-kidney should improve patients' quality and duration of life with end-stage renal disease, and thereby improve the overall efficiency of the U.S. kidney transplantation program.
A Bayesian Approach to Managing Learning-Curve Uncertainty
Authors: Mazzola Joseph B. , McCardle Kevin F.
Published: November 2008

This paper introduces a Bayesian decision theoretic model of optimal production in the presence of learning-curve uncertainty. The well-known learning-curve model is extended to allow for random variation in the learning process with uncertainty regarding some parameter of the variation. A production run generates excess value (above its current revenue) for a Bayesian manager in two ways: it pushes the firm further along the learning curve, increasing the likelihood of lower costs for future runs; and it provides information, through the observed costs, that reduces the uncertainty regarding the rate at which costs are decreasing. We provide conditions under which one of the classical deterministic learning-curve results—namely, that optimal production exceeds the myopic level—carries over to the extended framework. We demonstrate that another classical deterministic learning-curve result—namely, that optimal production increases with cumulative production—does not hold in the Bayesian setting.
Organizational Complexity and Innovation: Developing and Testing Multiple Contingency Models
Authors: Damanpour Fariborz
Published: November 2008

Current research in organizational innovation is extensive, yet, because of limitations in scope, most studies are not adequately encompassing. These studies typically relate organizational variables to innovation and control at most for the effect of one contingency factor. Because innovation depends upon a complex host of factors, such theories have limited predictive application. This study intends to develop and test theories that explain the variation in the organizational complexity-innovation relationship in greater detail. The study considers two major indicators of organizational complexity—structural complexity and organizational size. Hypotheses are proposed on the effects of 14 contingency factors on the relationships between structural complexity and innovation and organizational size and innovation. The contingency factors include environmental uncertainty, organizational size, industrial sectors, types of innovation, and stages of innovation adoption. Using a meta-analytic procedure for multivariate analysis, the hypotheses are then tested with data from published studies in organizational innovation during the last three decades. The effects of four methods variables—operational definitions of innovation, structural complexity and size, and similarity of data sources—are controlled for in testing the hypotheses. This process results in two powerful and encompassing models: (1) the association between structural complexity and innovation depends upon operational definition of complexity, environmental uncertainty, use of manufacturing organizations, use of service organizations, focus on technical innovations, focus on product innovations, and focus on implementation of innovation; and (2) the association between organizational size and innovation depends upon operational definition of size, environmental uncertainty, use of service organizations, use of for-profit organizations, focus on technical innovations, and focus on product innovations. These models suggest avenues for further theory development and research, which we discuss.
The Stochastic Economic Lot Scheduling Problem: Cyclical Base-Stock Policies with Idle Times
Authors: Federgruen Awi , Katalan Ziv
Published: November 2008

In this paper we discuss stochastic Economic Lot Scheduling Problems (ELSP), i.e., settings where several items need to be produced in a common facility with limited capacity, under significant uncertainty regarding demands, production times, setup times, or combinations thereof. We propose a class of production/inventory strategies for stochastic ELSPs and describe how a strategy which minimizes holding, backlogging, and setup costs within this class can be effectively determined and evaluated. The proposed class of strategies is simple but rich and effective: when the facility is assigned to a given item, production continues until either a specific target inventory level is reached or a specific production batch has been completed; the different items are produced in a given sequence or rotation cycle, possibly with idle times inserted between the completion of an item's production batch and the setup for the next item. An optimal strategy within the class can be determined, and all relevant performance measures can be evaluated in just a few CPU seconds, using a 486-based PC. We also derive a number of easily computable lower bounds for the optimal cost value and establish a comparison with deterministic ELSPs.
A Fast Taboo Search Algorithm for the Job Shop Problem
Authors: Nowicki Eugeniusz , Smutnicki Czeslaw
Published: November 2008

A fast and easily implementable approximation algorithm for the problem of finding a minimum makespan in a job shop is presented. The algorithm is based on a taboo search technique with a specific neighborhood definition which employs a critical path and blocks of operations notions. Computational experiments (up to 2,000 operations) show that the algorithm not only finds shorter makespans than the best approximation approaches but also runs in shorter time. It solves the well-known 10 × 10 hard benchmark problem within 30 seconds on a personal computer.
Heuristic Scheduling of Parallel Heterogeneous Queues with Set-Ups
Authors: Duenyas Izak , Van Oyen Mark P.
Published: November 2008

We consider the problem of allocating a single server to a system of queues with Poisson arrivals. Each queue represents a class of jobs and possesses a holding cost rate, general service distribution, and general set-up time distribution. The objective is to minimize the expected holding cost due to the waiting of jobs. A set-up time is required to switch from one queue to another. We provide a limited characterization of the optimal policy and a simple heuristic scheduling policy for this problem. Simulation results demonstrate the effectiveness of our heuristic over a wide range of problem instances.
Individualized Hybrid Models for Conjoint Analysis
Authors: Green Paul E. , Krieger Abba M.
Published: November 2008

Increasingly, conjoint analysts are being asked to design and analyze studies involving large numbers of attributes and/or attribute levels. Various types of approaches, including attribute bridging, Adaptive Conjoint Analysis, and hybrid models have been proposed to deal with the problem. This paper describes recent developments in hybrid modeling.

Four hybrid models are described and compared in terms of their performance in an industry-based study entailing 15 product attributes. Comparisons are made in terms of internal cross-validation, market share estimates, attribute importances clustering, and its relationship to exogenous background variables. The proposed models are also compared to selected models from the transportation science literature. The authors emphasize the point that comparative model performance may strongly depend on the ways in which the models are to be used.
When Competition Eclipses Cooperation: An Event History Analysis of Joint Venture Failure
Authors: Park Seung Ho , Russo Michael V.
Published: November 2008

Why do so many joint ventures fail? Despite the fact that their success is the exception rather than the rule, the literature on why joint venture performance has been so poor remains fragmentary. We address this issue, adopting a transaction-cost economics perspective and modeling joint ventures as governance structures that blend the advantages and drawbacks of both markets and hierarchies. Using a data base on electronics industry ventures and event history analysis, we identify several predictors of joint venture failure and test for their influences. A key finding is that the presence of competition between joint venture partners outside of the agreement significantly impairs chances for the operation's chance of survival. We also find clear evidence that the failure rate of joint ventures is nonmonotonic, rising to a peak in the middle term and then declining. Finally, we compare and contrast predictors of terminations due to failure to those due to acquisition of the joint venture by one of its partners. Our overall conclusions highlight implications for strategic choice theory-building and the management of joint ventures.
Medical Resident Work Schedules: Design and Evaluation by Stimulation Modeling
Authors: Dittus Robert S. , Klein Robert W. , DeBrota David J. , Dame Mark A. , Fitzgerald John F.
Published: November 2008

Society has demanded reform in medical resident work scheduling; consequently, hospitals are implementing changes having organizational, clinical, financial, social, emotional, and educational consequences for physician training and patient care. We report the use of simulation modeling as an approach to evaluate the outcomes of alternative designs prior to implementation. Mobile resources such as physicians with complex job descriptions and patients with time-varying arrival processes complicated the modeling task. A flexible, powerful simulation language helped to model resource decision rules and the frequent preemptions of less urgent activities as more urgent requests arise. A distribution fitting package enhanced the synthesis of data from diverse sources into distributions that adequately modeled input processes. The resulting simulation model was used to examine alternatives in the design of a new housestaff work schedule. We were able to predict accurately the effects on the sleep and activity profile of interns when their schedules were modified. Furthermore, this model has remained an asset for investigating consequences of many types of variation within the system, including changes in patient demand as well as numbers or job descriptions of the housestaff.
Strategic Spillovers and Incentives for Research and Development
Authors: Harhoff Dietmar
Published: November 2008

This paper develops a model in which a monopolist supplier can contribute to downstream product improvements by creating knowledge spillovers which downstream firms use as a substitute for their own R&D efforts. Although a market for R&D information does not exist, the supplier may appropriate an indirect return on R&D for two reasons. Sufficiently high levels of spillover information lead to greater downstream product quality, and spillover information reduces the equilibrium sunk cost of R&D for downstream firms and thus facilitates entry. Both effects cause an expansion of downstream output and enhance the demand for the supplier's intermediate good. Given sufficiently strong incentives for supplier R&D, the locus of R&D shifts partially from the downstream to the upstream industry. R&D expenditures, technological opportunities, and downstream industry structure are determined endogenously. Weak appropriability conditions in the downstream industry enhance innovation incentives in the supply sector.
Quasi-Monte Carlo Methods in Numerical Finance
Authors: Joy Corwin , Boyle Phelim P. , Tan Ken Seng
Published: November 2008

This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo method has proven to be a powerful and flexible tool for many types of derivatives calculations. Under the conventional approach pseudo-random numbers are used to evaluate the expression of interest. Unfortunately, the use of pseudo-random numbers yields an error bound that is probabilistic which can be a disadvantage. Another drawback of the standard approach is that many simulations may be required to obtain a high level of accuracy. There are several ways to improve the convergence of the standard method. This paper suggests a new approach which promises to be very useful for applications in finance. Quasi-Monte Carlo methods use sequences that are deterministic instead of random. These sequences improve convergence and give rise to deterministic error bounds. The method is explained and illustrated with several examples. These examples include complex derivatives such as basket options, Asian options, and energy swaps.
Risk Propensity and Firm Performance: A Study of the Petroleum Exploration Industry
Authors: Walls Michael R. , Dyer James S.
Published: November 2008

This paper explores the differences in observed risk propensity among petroleum firms and their impact on firm performance. In this work, we (1) develop a decision theoretic model which measures a firm's risk propensity in the form of an “implied” utility function; (2) investigate changes in corporate risk propensity with respect to changes in firm size; and (3) examine the relationships between firms' risk propensities and alternative dimensions of economic performance, including ex post risk and return measures. We also develop a new risk propensity measure, the Risk Tolerance Ratio (RTR), which controls for firm size and allows firms to be differentiated in terms of relative risk propensity. The motivation for this work is managerial concerns regarding appropriate risk-taking behavior and the effect of risky choice on firm performance. This methodology has importance business strategy implications in that we are able to make strong inferences about causal relationships between ex ante risk-taking and performance. Our findings are compelling in that corporate risk propensity seems to matter, and that decisions about corporate risk policy have a significant impact on the petroleum firm's economic performance.
A Generalized Qualitative-Response Model and the Analysis of Management Fraud
Authors: Hansen J. V. , McDonald J. B. , Messier W. F. , Bell T. B.
Published: November 2008

Management fraud has become a topic of increasing interest to the public accounting profession. Prior research indicates that management fraud is seldom experienced by audiGtors. As a result, it is doubtful that auditors have a well-developed cognitive model for making fraud risk assessments as part of the audit planning process. Early research studies attempted to identify factors that could be linked to the occurrence of management fraud, while more recent work has attempted to build models to predict the presence of management fraud. In this paper, we report on a study that uses a powerful generalized qualitative-response model, EGB2, to model and predict management fraud based on a set of data developed by an international public accounting firm. The EGB2 specification includes the probit and logit models and others as special cases. Moreover, EGB2 easily accommodates asymmetric costs of type I and type II errors. This is important for public accounting firms since failure to predict fraud when it is present (a type II error) is usually very costly to the firm in terms of litigation. The results demonstrate good predictive capability for both symmetric and asymmetric cost assumptions.
Neural Network Models for Time Series Forecasts
Authors: Hill Tim , O'Connor Marcus , Remus William
Published: November 2008

Neural networks have been advocated as an alternative to traditional statistical forecasting methods. In the present experiment, time series forecasts produced by neural networks are compared with forecasts from six statistical time series methods generated in a major forecasting competition (Makridakis et al. [Makridakis, S., A. Anderson, R. Carbone, R. Fildes, M. Hibon, R. Lewandowski, J. Newton, E. Parzen, R. Winkler. 1982. The accuracy of extrapolation (time series) methods: Results of a forecasting competition. J. Forecasting 1 111–153.]); the traditional method forecasts were estimated by experts in the particular technique. The neural networks were estimated using the same ground rules as the competition. Across monthly and quarterly time series, the neural networks did significantly better than traditional methods. As suggested by theory, the neural networks were particularly effective for discontinuous time series.
Executive Succession, Strategic Reorientation and Performance Growth: A Longitudinal Study in the U.S. Cement Industry
Authors: Tushman Michael L. , Rosenkopf Lori
Published: November 2008

This research explores the performance consequences of CEO succession, executive team change, and strategic reorientation in different contexts. Based on team demography and organization learning ideas, we argue that CEO succession or executive team change enhances incremental organization change, while either strategic reorientation or the combination of CEO succession with executive team change triggers discontinuous organization change. We hypothesize that these contrasting intervention modes are appropriate in different contexts. A longitudinal study of the U.S. cement industry from 1918–1986 demonstrates that simple CEO succession is positively associated with subsequent performance when context is stable, but significantly more negatively associated with subsequent performance in turbulent contexts. Executive team change has significant effects on organization adaptation in both stable and turbulent contexts. Strategic reorientations are negatively associated with subsequent performance in stable contexts, but significantly more positively associated with subsequent performance in turbulent contexts. As a set, these results reinforce a demographic approach to succession research and indicate that CEO succession, executive team change, and reorientation are each distinct and important levers shaping organization adaptation. The impacts of these levers are contingent on organization context.
Nelder-Mead Simplex Modifications for Simulation Optimization
Authors: Barton Russell R. , Ivey John S.
Published: November 2008

When the Nelder-Mead method is used to optimize the expected response of a stochastic system (e.g., an output of a discrete-event simulation model), the simplex-resizing steps of the method introduce risks of inappropriate termination. We give analytical and empirical results describing the performance of Nelder-Mead when it is applied to a response function that incorporates an additive white-noise error, and we use these results to develop new modifications of Nelder-Mead that yield improved estimates of the optimal expected response. Compared to Nelder-Mead, the best performance was obtained by a modified method, RS + S9, in which (a) the best point in the simplex is reevaluated at each shrink, step and (b) the simplex is reduced by 10% (rather than 50%) at each shrink step. In a suite of 18 test problems that were adapted from the MINPACK collection of NETLIB, the expected response at the estimated optimal point obtained by RS + S9 had errors that averaged 15% less than at the original method's estimated optimal point, at an average cost of three times as many function evaluations. Two well-known existing modifications for stochastic responses, the (n + 3)-rule and the next-to-worst rule, were found to be inferior to the new modification RS + S9.