bluuebunny/crossref_metadata_2025 huggingface dataset:
New Bounds for the Identical Parallel Processor Weighted Flow Time Problem
Authors: Webster Scott
Published: November 2008

In 1964, Eastman, Even, and Isaacs (EEI) presented a polynomial time lower bound for the NP-hard problem of scheduling n jobs on m available and identical processors to minimize weighted flow time. A general bound, of which the EEI bound is a special case, is proposed. Four new bounds for the identical processor problem are given. All of the new bounds can be applied to problems with variable processor ready times. The EEI bound is limited to problems where all processors are initially available at the same time. Two of the four new bounds are shown to dominate the EEI bound. The two other bounds are found to be effective for a particular problem class.

Two polynomial time lower bounds for problems with nonidentical processors are introduced. One bound is applicable to the uniform processor problem, the other bound can be applied to the general processor problem. No bounds have previously been proposed for these problems.
Rule-Based Forecasting: Development and Validation of an Expert Systems Approach to Combining Time Series Extrapolations
Authors: Collopy Fred , Armstrong J. Scott
Published: November 2008

This paper examines the feasibility of rule-based forecasting, a procedure that applies forecasting expertise and domain knowledge to produce forecasts according to features of the data. We developed a rule base to make annual extrapolation forecasts for economic and demographic time series. The development of the rule base drew upon protocol analyses of five experts on forecasting methods. This rule base, consisting of 99 rules, combined forecasts from four extrapolation methods (the random walk, regression, Brown's linear exponential smoothing, and Holt's exponential smoothing) according to rules using 18 features of time series. For one-year ahead ex ante forecasts of 90 annual series, the median absolute percentage error (MdAPE) for rule-based forecasting was 13% less than that from equally-weighted combined forecasts. For six-year ahead ex ante forecasts, rule-based forecasting had a MdAPE that was 42% less. The improvement in accuracy of the rule-based forecasts over equally-weighted combined forecasts was statistically significant. Rule-based forecasting was more accurate than equal-weights combining in situations involving significant trends, low uncertainty, stability, and good domain expertise.
Improving Monte Carlo Efficiency by Increasing Variance
Authors: Fishman G. S. , Kulkarni V. G.
Published: November 2008

This paper compares the performances of two well-known Monte Carlo procedures for estimating an unknown quantity as the size of the problem grows. One method based on the standard Monte Carlo approach generates K i.i.d. data points. The other derives its data from a single K-step sample path generated by a Markov chain. The paper gives necessary and sufficient conditions for the Markov chain approach to perform more efficiently than the standard Monte Carlo approach does. Moreover, it identifies circumstances under which this better efficiency grows with increasing problem size. This improved efficiency comes from reduced sample generating and function evaluating costs in the Markov chain approach that more than compensate for the increased variance of the estimator that the Markov chain sampling approach induces when compared to the standard Monte Carlo approach. Several examples illustrate how the benefits arise; one also demonstrates a case in which the standard Monte Carlo approach becomes increasingly preferred as the problem size grows.
Top Team Deterioration as Part of the Downward Spiral of Large Corporate Bankruptcies
Authors: Hambrick Donald C. , D'Aveni Richard A.
Published: November 2008

This exploratory study of 57 large bankruptcies and 57 matched survivors examined the top management team (TMT) characteristics associated with major corporate failure. Prior research was used to guide selection of specific team characteristics for study. Not only did the failing firms show significant annual, or cross-sectional, divergence from survivors on several indicators of TMT composition, but also those divergences became more pronounced, even accelerating, over the last five years of the bankrupts' lives. The results thus suggest that deterioration of the top management team is a central element of the downward spiral of large corporate failures. Based upon a limited test of causality, the authors propose that a two-way process is at work: (1) team deficiencies bring about or aggravate corporate deterioration, either through strategic errors or stakeholder uneasiness with the flawed team; and (2) corporate deterioration brings about team deterioration, through a combination of voluntary departures, scapegoating, and limited resources for attracting new executive talent.
Feasibility of Scheduling Lot Sizes of Three Products on One Machine
Authors: Glass Celia A.
Published: November 2008

This paper considers the Economic Lot Scheduling Problem: that is, the problem of finding a feasible schedule that allows cyclic production of several products on a single facility so as to minimize holding and set up costs. We consider the case when three products are required to be produced in a given fixed lot size and at regular intervals. We derive a very simple test for existence of a feasible schedule and a method of constructing feasible schedules if one exists. The approach is simpler than the mixed integer programming approach and enumeration schemes currently proposed in the literature and is constructive.
File and Work Transfers in Cyclic Queue Systems
Authors: Sarkar D. , Zangwill W. I.
Published: November 2008

A cyclic queue has one server and n nodes, where each node has its own distinct type of customers that arrive from the outside. The server visits the nodes cyclically, serving the customers first at node 1, then at node 2, and so on through node n, and then repeating from node 1 again. Setup times are incurred when the server switches nodes.

Typically, in the past, cyclic queues required that the work at any node arrive from the outside only. Our extension permits special nodes termed dual nodes. At these nodes the total work can include not only the outside customers, but also work transferred from other nodes. The transferred work is attended to as a batch at the dual nodes.

Dual nodes permit a number of applications to be modeled including computer file transfer, rework in manufacturing, and internal mail delivery. If there are m dual nodes, the expected waiting time calculation requires solution of a linear system of size n(1 + m) + 2m or less. Often the system size is less, and for a queue with one dual node we prove that a system of only size n is required.
The Capital Asset Pricing Model with Diverse Holding Periods
Authors: Levy Haim , Samuelson Paul A.
Published: November 2008

Assuming that assets are traded in discrete time and that risk averse investors differ in their holding periods, we investigate the conditions under which the CAPM holds. It is shown that when portfolio rebalancing is allowed the CAPM holds in four cases not rigorously analyzed previously. These four cases are: (a) quadratic preferences; (b) one-period normal distributions when utility is defined on the multiperiod terminal wealth which is not normal; (c) the terminal wealth is log-normally distributed; and (d) the terminal wealth WT is normally distributed, but in this case diverse holding periods are not allowed. Case d is similar to the Sharpe-Lintner model with the exception that T − 1 revisions are allowed.
Daily Stock Market Volatility: 1928–1989
Authors: Turner Andrew L. , Weigel Eric J.
Published: November 2008

This paper examines the daily return variability of the S&P 500 and the Dow Jones indices over the 1928–1989 period. We use the traditional close-to-close standard deviation of returns, two alternative estimators incorporating the daily high and low of the index, and a robust estimator to measure the volatility of stock index returns. The 1980s were the third most volatile decade behind the 1920s and 30s. To a large extent, this was caused by the anomalous behavior of the fourth quarter of 1987. Returns in the 1980s had far more skewness and kurtosis than in any other decade studied; these results were not entirely due to 1987, as returns in 1988 and 1989 had large measures of both skewness and kurtosis. The frequency of extreme-return events increased in the 1980s, but was still dramatically less than the 1920s and 30s. When extreme negative days occurred in the 1980s the losses tended to be more severe than in the previous four decades. Extreme-return days are preceded by significant losses and are intertemporally clustered. There is no evidence of short-term market reversals after either positive or negative jumps in stock index returns.
Market Segmentation, Cannibalization, and the Timing of Product Introductions
Authors: Moorthy K. Sridhar , Png I. P. L.
Published: November 2008

Consider a seller who faces two customer segments with differing valuations of quality of a durable product. Demand is stationary and known, the technology exists to release two products simultaneously, and the seller can commit in advance to subsequent prices and qualities. Should he introduce two differentiated products at once or one at a time? Under the simultaneous strategy, the lower quality would cannibalize demand for the higher quality. To reduce cannibalization, the seller could lower the quality of the low-end model and reduce the price of the high-end. Alternatively, he could increase the quality of the low-end model, but delay its release. Sequential introduction, however, would mean that the profits from the low-end model arrive later. We show that sequential introduction is better than simultaneous introduction when cannibalization is a problem and customers are relatively more impatient than the seller. However, when the seller cannot pre-commit, sequential selling is much less attractive because then he cannot use his product designs to alleviate cannibalization.
Patterns of Communication Among Marketing, Engineering and Manufacturing—A Comparison Between Two New Product Teams
Authors: Griffin Abbie , Hauser John R.
Published: November 2008

Models and scientific evidence suggest that firms are more successful at new-product development if there is greater communication among marketing, engineering, and manufacturing. This paper examines communication patterns for two matched product-development teams where the key difference between the groups is that one used a phase-review development process and the other used Quality Function Deployment (QFD), a product-development process adopted recently at over 100 United States and Japanese firms. To our knowledge, this is the first head-to-head comparison of traditional U.S. product development processes with QFD.

Our data suggest that QFD enhances communication levels within the core team (marketing, engineering, manufacturing). QFD changes communication patterns from “up-over-down” flows through management to more horizontal routes where core team members communicate directly with one another. On the other hand, the QFD team communicates less on planning information and less with members of the firm external to the team. If this paucity of external communication means that the team has the information it needs for product development, and the QFD process has provided an effective means for moving the information through the team, it is a positive impact of QFD. If the result means that QFD induces team insularity, even when the team needs to reach out to external information sources, it is a cause for concern.
Analysis of Optimal File Migration Policies in Distributed Computer Systems
Authors: Liu Sheng Olivia R.
Published: November 2008

File migration shows promise as a means of improving data processing performance in distributed systems, but practical application of this idea will require development of effective policies that will allow a system to fully realize the potentials of file migration. Deriving of optimal policies, while computationally complex, nevertheless, is essential to provide insights about how effective migration policies for large systems should be structured. In this paper, analytic properties and performance of optimal file migration policies are investigated based on a Markov decision process model of file migration policies. Optimal migration policies are compared with optimal static policies and the sufficient conditions under which file migration provides absolute improvement or no advantage over static policies are presented. Numerical experiments and simulations were performed to analyze the impact of model assumptions and system parameters on the cost improvement generated by file migration. It is shown that optimal file migration is able to generate substantial cost improvement under certain conditions and that it is robust both with respect to the initial file allocation at an initial system design/reorganization point and to impreciseness of system environments. This analysis should provide system designers and administrators guidance toward achieving effective file migration control.
Aspiration Level Adaptation: An Empirical Exploration
Authors: Lant Theresa K.
Published: November 2008

Organizations have been modeled as goal directed systems which use simple decision rules to adapt behavior in response to performance feedback. This paper examines the formation of organizational goals, or aspiration levels, over time in groups of individuals representing top management teams of simulated organizations. The analysis compares the empirical validity of an adaptive attainment discrepancy model with models derived from rational and adaptive expectations theories. The results suggest that the attainment discrepancy model, which is based on a simple decision rule of adjustment to performance feedback, provides the most robust description of aspiration formation. They are also informative with regard to the application of expectation models to aspiration formation: There is a great deal of similarity between these results and those of prior studies on expectation formation. In addition, the study finds that there tends to be an optimistic bias in aspiration formation, that adaptation is not consistently incremental, and that adaptive learning may, over time, lead to behavioral outcomes that are consistent with rationality.
Deterministic Approximations to Co-Production Problems with Service Constraints and Random Yields
Authors: Bitran Gabriel R. , Leong Thin-Yin
Published: November 2008

We study production planning problems where multiple item categories are produced simultaneously. The items have random yields and are used to satisfy the demands of many products. These products have specification requirements that overlap. An item originally targeted to satisfy the demand of one product may be used to satisfy the demand of other products when it conforms to their specifications. Customers' demand must be satisfied from inventory 100α% of the time. We formulate the problem with service constraints and provide near-optimal solution to the problem with fixed planning horizon. We also propose simple heuristics for the problem solved with a rolling horizon. Some of the heuristics performed very well over a wide range of parameters.
Note—Controlling Inventories in an Acyclic Assembly System
Authors: Tang Christopher S.
Published: November 2008

This note presents a model of an acyclic assembly system that faces yield loss and uncertain demand. While there is no known production rule for managing acyclic systems, we develop a production rule whose operating characteristics could be measured analytically. Thus, the operating characteristics can be used as a benchmark for future comparison. To facilitate our analysis, we extend the model for a serial production system that produces a single product (Tang 1990). This extension entails a modification of the production rule and the analysis of a decomposition scheme.
Managing I/S Design Teams: A Control Theories Perspective
Authors: Henderson John C. , Lee Soonchul
Published: November 2008

The control relationship between project managers and team members is a central aspect of the working of any Information System (I/S) design team. This paper combines research on managerial control and team-member control in order to explore a range of control behaviors that can affect the performance of an I/S design team. Measures are developed and validated for managerial control and team-member control from both an outcome and a process perspective. Results from a study of 41 actual I/S design teams indicate that high-performing teams exhibit high process control by managers and high outcome control by team members. The results also support the proposition that both managerial and team-member control coexists and that increases in the total level of control behavior is positively correlated with performance.
An Integrated Simulation and Dynamic Programming Approach for Determining Optimal Runway Exit Locations
Authors: Sherali Hanif D. , Hobeika Antoine G. , Trani Antonio A. , Kim Byung J.
Published: November 2008

The Federal Aviation Administration and National Aeronautics and Space Administration are researching several problems targeted at improving airport capacity. Among the foremost of these problems is the issue of improving the operational use of runways. The efficiency of runway usage is dictated primarily by the runway occupancy time (ROT) which is the time that an aircraft spends on the runway or its vicinity, until a new arrival or departure can be processed on this runway. This paper considers the problem of determining the geometry and location of high speed exits on a runway to minimize the weighted ROT of a population of aircraft under various landing scenarios and frequencies of usage. Both the problem of designing a new runway and modifying an existing one are addressed. It is shown that the continuous location problem of siting runway turnoffs admits a natural finite set of candidate optimal locations. To characterize problem data and determine optimal exit locations, a simulation program integrated with a polynomial-time dynamic programming algorithm is developed. The methodology has been implemented on a personal computer, and an example is presented to illustrate the approach.
Representation Schemes for Linear Programming Models
Authors: Murphy Frederic H. , Stohr Edward A. , Asthana Ajay
Published: November 2008

Because of the difficulties often experienced in formulating and understanding large-scale models, much current research is directed towards developing systems to support the construction and understanding of management science models. This paper discusses eight different methods for representing linear programming models during the formulation phase. The approaches discussed are matrix generators, block-schematic and algebraic languages, three different kinds of graphical schemes, a database-oriented approach and Structured Modeling. While these eight approaches do not cover the entire spectrum of possible representation schemes, they are representative of past and current approaches to developing interfaces for large-scale linear programming systems. The different model representation schemes are compared using a common example and the transformations that allow one to change from one representation to another are discussed.
Conditional Monitoring Policy Under Moral Hazard
Authors: Kim Son Ku , Suh Yoon S.
Published: November 2008

This paper extends the previous research on conditional monitoring by allowing the principal to choose the level of monitoring investment and by finding the properties of an interior optimal monitoring policy which is not of a bang-bang nature. We show that, under a concave monitoring technology, the optimal monitoring investment is decreasing in the observed outcome and lower-tailed in a variety of contexts.
A Note on Bounds for Direct Shipping Cost
Authors: Hall Randolph W.
Published: November 2008

The bounds on direct shipping cost developed by Gallego and Simchi-Levi are used in this note to demonstrate that it is difficult to rule out multiple stop inventory-routing strategies, even when the optimal shipment size for direct shipping is a full vehicle.
Optimal Allocation of Work in Assembly Systems
Authors: Baker Kenneth R. , Powell Stephen G. , Pyke David F.
Published: November 2008

We investigate how to allocate work in stochastic assembly systems so as to maximize throughput. We use Markov models for systems with exponential processing times and simulation-based methods for other probability distributions. We find that assembly systems should be unbalanced in the direction of assigning less work to assembly and more to component stations. We also find that greater parallelism offers greater opportunity for improvement.
Competition and Investment in Flexible Technologies
Authors: Röller Lars-Hendrik , Tombak Mihkel M.
Published: November 2008

This paper examines the implications of market structure on investment in flexible manufacturing systems (FMS). We analyze a two-stage game, in which firms choose between a flexible and a less flexible technology in the first stage, then choose production quantities in the second stage. In equilibrium, a large proportion of FMS firms is associated with more concentrated markets. Our model predicts that a larger market and/or a more differentiated product results in a higher proportion of FMS firms being sustained. These predictions are empirically supported using cross-section industry level data from both the US and Japan.
Heuristic Algorithms for the Multiple Depot Vehicle Scheduling Problem
Authors: Dell'Amico Mauro , Fischetti Matteo , Toth Paolo
Published: November 2008

We consider the NP-hard Multiple Depot Vehicle Scheduling Problem, in which a given set of time-tabled trips have to be assigned to vehicles stationed at different depots, so as to minimize the number of vehicles used and the overall operational cost. The problem arises in the management of transportation companies.

In this paper some structural properties of the problem are studied and used to design a new polynomial-time heuristic algorithm which always guarantees the use of the minimum number of vehicles. Several effective refining procedures are also proposed. Extensive computational results on test problems involving up to 1,000 trips and 10 depots are reported, showing that the new approach always produces very tight approximate solutions in small computing times and outperforms other heuristics from the literature.
The Solution of Multiperiod Network Models with Bundle Constraints by Aggregation
Authors: Aderohunmu Rotimi S. , Aronson Jay E.
Published: November 2008

We present a new network aggregation/disaggregation approach for solving a multiperiod, network model with bundle (Generalized Upper Bounding) side constraints. The model describes production planning and distribution problems. Instead of solving the original multicommodity problem, we transform it so that a pair of single-commodity network flow problems can be solved. The original network is aggregated and the resulting problem is solved. Its solution determines a disaggregated problem that yields a feasible, near optimal solution to the original problem.

We describe the determination of theoretical a priori and a posteriori bounds. We also introduce a very tight “computational” error bound. The implementation of the algorithm was tested against MPSX/370, and the specialized code for solving networks with side constraints NETSIDE. The proposed solution method was found to be much more efficient with negligible error.
Screening Women of Childbearing Age for Human Immunodeficiency Virus: A Model-Based Policy Analysis
Authors: Brandeau Margaret L. , Owens Douglas K. , Sox Carol H. , Wachter Robert M.
Published: November 2008

This paper analyzes the costs and benefits of screening women of childbearing age for HIV. The analysis is based on a dynamic compartmental model of the HIV epidemic that incorporates disease transmission and progression over time, behavioral changes, and effects of screening and associated counseling and education. The model allows one to consider not only effects on the screened women and their newborns, but also effects on the rest of the population. The analysis reveals that the primary benefit of screening programs targeted to women of childbearing age lies not in the prevention of HIV infection in their newborns but in the prevention of infection in their adult contacts. We find that screening medium and high risk women is likely to be cost-beneficial. Screening women regardless of risk group may also be cost-beneficial if screened positive women show relatively modest levels of behavioral change, but screening programs that reach primarily low risk women are not likely to be cost-beneficial. The results hold over a broad range of sensitivity analyses of important variables.
Context-Dependent Preferences
Authors: Tversky Amos , Simonson Itamar
Published: November 2008

The standard theory of choice—based on value maximization—associates with each option a real value such that, given an offered set, the decision maker chooses the option with the highest value. Despite its simplicity and intuitive appeal, there is a growing body of data that is inconsistent with this theory. In particular, the relative attractiveness of x compared to y often depends on the presence or absence of a third option z, and the “market share” of an option can actually be increased by enlarging the offered set. We review recent empirical findings that are inconsistent with value maximization, and present a context-dependent model that expresses the value of each option as an additive combination of two components: a contingent weighting process that captures the effect of the background context, and a binary comparison process that describes the effect of the local context. The model accounts for observed violations of the standard theory and provides a framework for analyzing context-dependent preferences.
Decision Structuring with Phantom Alternatives
Authors: Farquhar Peter H. , Pratkanis Anthony R.
Published: November 2008

A phantom alternative is an illusory choice option—it looks real but for some reason is unavailable at the time a decision is made. Phantoms can both help and hinder successful decision making. On the one hand, phantoms can provide useful information on the boundaries of a decision problem and thus help generate new options through a restructuring of the problem. But phantoms can also produce biases, deception, and suboptimal decisions.

We argue that phantoms should be considered explicitly in decision structuring rather than being allowed to work their effects surreptitiously. We offer guidelines on recognizing unavailable alternatives, utilizing the information provided by phantoms, counteracting phantom biases, avoiding deception in decision structuring, and guarding against suboptimal decisions.
Inferences with an Unknown Noise Level in a Bernoulli Process
Authors: Gaba Anil
Published: November 2008

Inferences about a proportion p are often based on data generated from dichotomous processes, which are generally modeled as processes that are Bernoulli in p. In reality, the assumption that a data-generating process is Bernoulli in p is often violated due to the presence of noise. The level of noise is usually unknown and, furthermore, dependent on the unknown proportion in which one is interested. A specific model which takes into account the existence of noise is developed. Any arguments about p based exclusively on a likelihood analysis can lead to difficulties. A Bayesian approach is used, which also helps us to formalize a priori dependence between the proportion and the noise level. Empirical data are used to illustrate the model and provide some flavor of the implications of our uncertainty about the noise for inferences about a proportion.
Discounted and Per Unit Net Revenues and Costs of Product Warranty: The Case of Phase-Type Lifetimes
Authors: Kao Edward P. C. , Smith Marion Spokony
Published: November 2008

In a paper published in this journal, Mamer (1987) studies the expected costs to producers and benefits to consumers of three types of product warranty: the ordinary free replacement warranty, the unlimited free replacement warranty, and the pro-rata warranty. In addition to assuming a random product lifetime, Mamer's models allow for randomness in consumer repurchase behavior and for the possibility of an independent damage process acting on products sold under warranty. The criteria for evaluating warranty policies are discounted costs and net revenues over an infinite horizon, and per unit costs and net revenues. In this paper, we consider the case of phase-type product lifetimes. Under this assumption, we simplify the computation of the expected cost and revenue functions. Since most distributions can often be represented by phase-type distributions, our simplifications enhance the applicability of Mamer's useful yet computationally unwieldy results. For the per-unit-net-revenue criterion, our results supplement those of Mamer's. There, we also establish an interesting relation pertaining to expected net revenues as a function of consumer loyalty. We find that under the per-unit-net-revenue criterion, from the producer's perspective, repeated purchases by the same customer are not as profitable as one would intuitively conjecture. Such a counter-intuitive relation makes the need for being able to compute various cost and revenue functions more compelling—particularly when lifetimes are not exponential.
A Combined Tchebycheff/Aspiration Criterion Vector Interactive Multiobjective Programming Procedure
Authors: Steuer Ralph E. , Silverman Joe , Whisman Alan W.
Published: November 2008

In this paper we combine the Tchebycheff method of Steuer and Choo with Wierzbicki's Aspiration Criterion Vector method in order to form an improved procedure for interactive multiple objective programming. The Combined procedure is sensible because the Tchebycheff and Aspiration Criterion Vector methods possess complementary distinguishing characteristics, solve similar optimization problems to probe the nondominated set, and share a similar computer/user interface. In the early iterations, Tchebycheff probes of the nondominated set might be conducted to locate promising neighborhoods of search. In later iterations, Aspiration Criterion Vector probes might be used to pinpoint a final solution. Computational experience is reported showing the improved effectiveness of the Combined Procedure when employed in this fashion when compared against the Tchebycheff and Aspiration Criterion Vector methods run separately.
High-Definition Television: Assessing Demand Forecasts for a Next Generation Consumer Durable
Authors: Bayus Barry L.
Published: November 2008

High-Definition Television promises to be the next generation of television. This technology has broad implications for consumer markets, as well as the underlying manufacturing, technology development, and R&D activities of firms. Under increasing pressure from various groups, the U.S. government must make major policy and funding decisions based on its assessment of the likely demand for HDTV. Three published reports which forecast sales of HDTV after its scheduled introduction in the mid-1990s are available. Unfortunately, these forecasts offer widely differing perspectives on HDTV's potential. This paper presents an approach that links product segmentation (based on historical demand parameters, and marketing and manufacturing related variables) and demand forecasting for new products. The published HDTV forecasts are then assessed using this segmentation scheme. Differing from the Congressional Budget Office's earlier evaluation, this analysis indicates that one report is consistent with historical data from the home appliance industry.
An Analytic Model for Design of a Multivehicle Automated Guided Vehicle System
Authors: Johnson M. Eric , Brandeau Margaret L.
Published: November 2008

We consider the problem of designing a multivehicle automated guided vehicle system (AGVS) to supplement an existing nonautomated material handling system. The AGVS consists of a pool of vehicles that deliver raw components from a central storage area to workcenters throughout the factor floor. The objective is to determine which workcenters warrant automated component delivery and the number of vehicles required to service those workcenters, to maximize the benefit of the AGVS, subject to a constraint that the average waiting time for material transport in the system not exceed a predefined limit. The pool of vehicles is modeled as an M/G/c queuing system and the design model is formulated as a binary integer program with nonlinear waiting time constraints, which are expressed by approximate queueing formula. We develop two different implicit enumeration algorithms to exactly solve the analytical model. We illustrate our model with an example of an actual AGVS design problem at Hewlett-Packard, and we present computational experience for other example design problems. We show how sensitivity analysis can be used to ensure that the analytical model yields an optimal solution to the design problem.
Second Derivative Sample Path Estimators for the GI/G/m Queue
Authors: Fu Michael C. , Hu Jian-Qiang
Published: November 2008

Applying the technique of smoothed perturbation analysis (SPA) to the GI/G/m queue with first-come, first-served (FCFS) queue discipline, we derive sample path estimators for the second derivative of mean steady-state system time with respect to a parameter of the service time distribution. Such estimators provide a possible means for speeding up the convergence of gradient-based stochastic optimization algorithms. The derivation of the estimators sheds some new light on the complications encountered in applying the technique of SPA. The most general cases require the simulation of additional sample subpaths; however, an approximation procedure is also introduced which eliminates the need for additional simulation. Simulation results indicate that the approximation procedure is reasonably accurate. When the service times are exponential or deterministic, the estimator simplifies and the approximation procedure becomes exact. For the M/M/2 queue, the estimator is proved to be strongly consistent.
Multiattribute Risk Linearity
Authors: Harvey Charles M.
Published: November 2008

In applying multiattribute utility theory, one typically assumes the condition of mutual utility independence and uses a multiattribute utility function that is additive or multiplicative. This paper proposes a model in which this condition is not satisfied, that is, the risk attitude for one attribute depends on the amounts of the other attributes. We introduce a condition on this dependence called “multiattribute risk linearity” that implies a logarithmic form for the multiattribute utility function, and we show that a logarithmic utility function can be determined by assessment procedures that require the same number of indifference assessments as those for a multiplicative utility function.
Bandwidth Packing: A Tabu Search Approach
Authors: Laguna Manuel , Glover Fred
Published: November 2008

The bandwidth packing (BWP) problem is a combinatorially difficult problem arising in the area of telecommunications. The problem consists of assigning calls to paths in a capacitated graph, such that capacities are not violated and the total profit is maximized. In this paper we discuss the development of a tabu search (TS) method for the BWP problem. The method makes use of an efficient implementation of the k-shortest path algorithm, that allows the identification of a controlled set of feasible paths for each call. A tabu search is then performed to find the best path assignment for each call. The TS method developed here incorporates a number of features that have proved useful for obtaining optimal and near optimal solutions to difficult combinatorial problems. We establish the effectiveness of our approach by comparing its performance in speed and solution quality to other specialized heuristics and to a standard optimization package applied to a 0-1 integer programming formulation of the problem.
Aggregating Point Estimates: A Flexible Modeling Approach
Authors: Clemen Robert T. , Winkler Robert L.
Published: November 2008

In many decision situations information is available from a number of different sources. Aggregating the diverse bits of information is an important aspect of the decision-making process but entails special statistical modeling problems in characterizing the information. Prior research in this area has relied primarily on the use of historical data as a basis for modeling the information sources. We develop a Bayesian framework that a decision maker can use to encode subjective knowledge about the information sources in order to aggregate point estimates of an unknown quantity of interest. This framework features a highly flexible environment for modeling the probabilistic nature and interrelationships of the information sources and requires straightforward and intuitive subjective judgments using proven decision-analysis assessment techniques. Analysis of the constructed model produces a posterior distribution for the quantity of interest. An example based on health risks due to ozone exposure demonstrates the technique.
What is the Opportunity Cost of Mean-Variance Investment Strategies?
Authors: Simaan Yusif
Published: November 2008

An analytical framework is set up to evaluate the foregone opportunity cost of mean-variance investment strategies. A parametric structure of the joint distribution of security returns, for which mean-variance investment strategy is suboptimal, is specified. For all constant absolute risk-aversion investors, the optimal strategy, its corresponding mean-variance alternative, and the foregone opportunity cost of mean-variance investment strategy are analytically derived and operationalized empirically. When the investor's opportunity set includes the riskless asset, the premium to replace the mean-variance investment strategy by its optimal one does not exceed 0.05 cents on an invested dollar regardless of the investor's risk aversion. When the riskless asset is denied, the opportunity costs of mean-variance investment strategies increase with the degree of risk aversion.
Weighted Tardiness Single Machine Scheduling with Proportional Weights
Authors: Szwarc Wlodzimierz , Liu John J.
Published: November 2008

This paper considers Arkin and Roundy's single machine weighted tardiness scheduling model with tardiness penalties proportional to the processing times. It presents a two-stage decomposition mechanism that proves to be powerful in solving the problem completely or reducing it to a much smaller problem. Three types of orderings of adjacent jobs are derived that play a crucial role in problem decomposition. The decomposition method solves 155 out of 320 test problems with job sizes ranging from 20 to 150. It reduces 163 unsolved problems to smaller subproblems with sizes not exceeding 25 jobs. The job sizes of the remaining two unsolved subproblems are 30 and 45.
Level Schedules for Mixed-Model, Just-in-Time Processes
Authors: Steiner George , Yeomans Scott
Published: November 2008

A mixed-model manufacturing facility running under a Just-in-Time (JIT) production system is controlled by setting the production sequence of the final assembly process. This sequence is set to achieve the primary goal of an organization operating under a JIT system, which is to maintain a constant rate of part usage. In this paper, a graph-theoretic approach is used to determine an optimal solution for this goal for a new, nonconvex objective function. Furthermore, it is shown that a schedule always exists such that, at all times, the deviation of actual production from the desired level of production for every product is never more than one unit.
Covariance Structure Models and Influence Diagrams
Authors: Burns William J. , Clemen Robert T.
Published: November 2008

Statisticians use covariance structure modeling as a versatile tool for modeling and testing theory. The models that result provide explicit and detailed descriptions of stochastic systems. We show how covariance structure models are related—mathematically, conceptually, philosophically and practically—to Gaussian influence diagrams as described by Shachter and Kenley (1989). This relationship suggests ways in which covariance structure modeling can be used to advantage in the prescriptive domain of decision analysis. The paper includes an example concerning the management of hazardous materials, in which a covariance structure model is converted to an influence diagram for use in a prescriptive analysis.
Filtered Sampling from Populations with Heterogeneous Event Frequencies
Authors: Blumstein Alfred , Canela-Cacho José A. , Cohen Jacqueline
Published: November 2008

A hierarchical model is developed to account for selection biases that result from processes in which events have a fixed probability of being sampled, but individuals in the population generate events at varying rates. It is shown that inferences about the population parameters from such unrepresentative samples are not only possible but can be statistically powerful, provided the selection biases are adequately controlled for and the specification of the model is appropriate. The model assumptions are sufficiently flexible to accommodate a variety of stochastic processes with heterogeneous event frequencies. In an example, the model is applied to data on robbery rates for prison inmates in order to estimate the robbery rates for all offenders. The model fits the data well, and the results show that the bias toward high rate offenders among prison inmates is substantial.
Diversification Under Supply Uncertainty
Authors: Anupindi Ravi , Akella Ram
Published: November 2008

Supply chain management is becoming an increasingly important issue, especially when in most industries the cost of materials purchased comprises 40–60% of the total sales revenue. Despite the benefits cited for single sourcing in the popular literature, there is enough evidence of industries having two/three sources for most parts. In this paper we address the operational issue of quantity allocation between two uncertain suppliers and its effects on the inventory policies of the buyer. Based on the type of delivery contract a buyer has with the suppliers, we suggest three models for the supply process. Model I is a one-delivery contract with all of the order quantity delivered either in the current period with probability β, or in the next period with probability 1 – β. Model II is also a one-delivery contract with a random fraction of the order quantity delivered in the current period; the portion of the order quantity not delivered is cancelled. Model III is similar to Model II with the remaining quantity delivered in the next period. We derive the optimal ordering policies that minimize the total ordering, holding and penalty costs with backlogging. We show that the optimal ordering policy in period n for each of these models is as follows: for x ≥ ūn, order nothing; for v̄n ≤ x < ūn, use only one supplier; and for x < v̄n, order from both suppliers. For the limiting case in the single period version of Model I, we derive conditions under which one would continue ordering from one or the other or both suppliers. For Model II, we give sufficient conditions for not using the second (more expensive) supplier when the demand and yield distributions have some special form. For the single period version of Models II and III with equal marginal ordering costs we show that the optimal order quantities follow a ratio rule when demand is exponential and yields are either normal or gamma distributed.
A Multiperiod Minimax Resource Allocation Problem with Substitutable Resources
Authors: Nguyen Quynh C. , Stone Richard E.
Published: November 2008

In this paper we consider a multiperiod resource allocation model in which the resources are storable and substitutable. A specific application of this model relates to the multiperiod production planning for electronic circuit board assembly factories. In this case, resources are electronic components, which are storable, that is, excess components in one period can be used in subsequent periods. Components that can be used in the same function on a circuit board are considered substitutable. Substitutability between components, however, may be dependent upon the specific circuit board on which they reside. Given that there are certain production requirements for the circuit boards, and that some components are in short supply, our algorithm (a) revises the production levels of the affected circuit boards, and (b) efficiently allocates the available components according to the revised production, so as to minimize the maximum weighted deviation from the original production plans. The weights reflect the relative importance of the circuit boards. The objective function uses cumulative production levels and cumulative demands to allow for back-scheduling.

We present a primal-dual algorithm that is very efficient. An implementation of the algorithm compares favorably with a standard linear programming code. We solved a problem with 300 components, 20 different circuit boards (average of 10 functions/board) for 10 time periods (approximately 30,000 variables) in less than one minute on a VAX 11/785. We also discuss upper and lower bound extensions, and a lexicographic algorithm to ensure that less critical resources are also allocated effectively.
Control-Variate Models of Common Random Numbers for Multiple Comparisons with the Best
Authors: Nelson Barry L. , Hsu Jason C.
Published: November 2008

Using common random numbers (CRN) in simulation experiment design is known to reduce the variance of estimators of differences in system performance. However, when more than two systems are compared, exact simultaneous statistical inference in conjunction with CRN is typically impossible. We introduce control-variate models of CRN that permit exact statistical inference, specifically multiple comparisons with the best. These models explain the effect of CRN via a linear regression of the simulation output on “control variates” that are functions of the simulation inputs. We establish theoretically, and illustrate empirically, that the control-variate models lead to sharper statistical inference in the sense that the probability of detecting differences in systems' performance is increased.
Internal Pricing and Cost Allocation in a Model of Multiproduct Competition with Finite Capacity Increments
Authors: Karmarkar Uday , Pitbladdo Richard
Published: November 2008

Internal prices are used in practice to allocate central resources to a firms' profit centers. The fixed costs of capacity acquisitions are often included in these prices. We examine the interaction between capacity acquisition and competition when capacity is available in fixed increments. We find predictably that if the increments are small, unit capacity cost is a good approximation for the internal price, and if the increments are large, the internal price is zero. However, the relationship between the internal price and the capacity increment for intermediate cases is quite irregular, to the extent that it is not possible to approximate the internal price with accounting data. The analysis also suggests that full cost allocation overcharges for the opportunity cost of capacity. Furthermore, the right internal price does not act either as a way of recovering fixed costs or as a proxy for externalities such as congestion costs. The conclusions are not materially altered in the case where variable costs increase at the margin, and where these costs rather than hard capacity constraints are the reason to restrict output.