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1 – 10 of over 10000The purpose of this paper is to investigate the stochastic comparisons of the parallel system with independent heterogeneous Gumbel components and series and parallel systems with…
Abstract
Purpose
The purpose of this paper is to investigate the stochastic comparisons of the parallel system with independent heterogeneous Gumbel components and series and parallel systems with independent heterogeneous truncated Gumbel components in terms of various stochastic orderings.
Design/methodology/approach
The obtained results in this paper are obtained by using the vector majorization methods and results. First, the components of series and parallel systems are heterogeneous and having Gumbel or truncated Gumbel distributions. Second, multiple-outlier truncated Gumbel models are discussed for these systems. Then, the relationship between the systems having Gumbel components and Weibull components are considered. Finally, Monte Carlo simulations are performed to illustrate some obtained results.
Findings
The reversed hazard rate and likelihood ratio orderings are obtained for the parallel system of Gumbel components. Using these results, similar new results are derived for the series system of Weibull components. Stochastic comparisons for the series and parallel systems having truncated Gumbel components are established in terms of hazard rate, likelihood ratio and reversed hazard rate orderings. Some new results are also derived for the series and parallel systems of upper-truncated Weibull components.
Originality/value
To the best of our knowledge thus far, stochastic comparisons of series and parallel systems with Gumbel or truncated Gumble components have not been considered in the literature. Moreover, new results for Weibull and upper-truncated Weibull components are presented based on Gumbel case results.
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Zachary Hornberger, Bruce Cox and Raymond R. Hill
Large/stochastic spatiotemporal demand data sets can prove intractable for location optimization problems, motivating the need for aggregation. However, demand aggregation induces…
Abstract
Purpose
Large/stochastic spatiotemporal demand data sets can prove intractable for location optimization problems, motivating the need for aggregation. However, demand aggregation induces errors. Significant theoretical research has been performed related to the modifiable areal unit problem and the zone definition problem. Minimal research has been accomplished related to the specific issues inherent to spatiotemporal demand data, such as search and rescue (SAR) data. This study provides a quantitative comparison of various aggregation methodologies and their relation to distance and volume based aggregation errors.
Design/methodology/approach
This paper introduces and applies a framework for comparing both deterministic and stochastic aggregation methods using distance- and volume-based aggregation error metrics. This paper additionally applies weighted versions of these metrics to account for the reality that demand events are nonhomogeneous. These metrics are applied to a large, highly variable, spatiotemporal demand data set of SAR events in the Pacific Ocean. Comparisons using these metrics are conducted between six quadrat aggregations of varying scales and two zonal distribution models using hierarchical clustering.
Findings
As quadrat fidelity increases the distance-based aggregation error decreases, while the two deliberate zonal approaches further reduce this error while using fewer zones. However, the higher fidelity aggregations detrimentally affect volume error. Additionally, by splitting the SAR data set into training and test sets this paper shows the stochastic zonal distribution aggregation method is effective at simulating actual future demands.
Originality/value
This study indicates no singular best aggregation method exists, by quantifying trade-offs in aggregation-induced errors practitioners can utilize the method that minimizes errors most relevant to their study. Study also quantifies the ability of a stochastic zonal distribution method to effectively simulate future demand data.
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Choice under risk has a large stochastic (unpredictable) component. This chapter examines five stochastic models for binary discrete choice under risk and how they combine with…
Abstract
Choice under risk has a large stochastic (unpredictable) component. This chapter examines five stochastic models for binary discrete choice under risk and how they combine with “structural” theories of choice under risk. Stochastic models are substantive theoretical hypotheses that are frequently testable in and of themselves, and also identifying restrictions for hypothesis tests, estimation and prediction. Econometric comparisons suggest that for the purpose of prediction (as opposed to explanation), choices of stochastic models may be far more consequential than choices of structures such as expected utility or rank-dependent utility.
Andrew M. Jones, Nigel Rice and Silvana Robone
Anchoring vignettes have become a popular method to adjust self-assessed data for systematic differences in reporting behaviour to aid comparability, for example, of cross-country…
Abstract
Anchoring vignettes have become a popular method to adjust self-assessed data for systematic differences in reporting behaviour to aid comparability, for example, of cross-country analyses. The method relies on the two fundamental assumptions of response consistency and vignette equivalence. Evidence on the validity of these assumptions is equivocal. This chapter considers the utility of the vignette approach by considering how successful the method is in moving self-assessed reports of health mobility towards objective counterparts. We draw on data from the Survey of Health, Ageing and Retirement in Europe (SHARE) and undertake pairwise country comparisons of cumulative distributions of self-reports, their objective counterparts and vignette adjusted reports. Comparison of distributions is based on tests for stochastic dominance. Multiple cross-country comparisons are undertaken to assess the consistency of results across contexts and settings. Both non-parametric and parametric approaches to vignette adjustment are considered. In general, we find the anchoring vignette methodology poorly reconciles self-reported data with objective counterparts.
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The purpose of this paper is to develop a stochastic multi-criteria decision-making approach to solute the warehouse location problem in the stochastic environment which contains…
Abstract
Purpose
The purpose of this paper is to develop a stochastic multi-criteria decision-making approach to solute the warehouse location problem in the stochastic environment which contains uncertain condition.
Design/methodology/approach
In developed approach, the weight of criteria was calculated by using the stochastic analytic hierarchy process (SAHP) method. Alternative ranking was made and evaluated by fuzzy VIKOR (VlseKriterijumska Optimizacija I Kompromisno Resenje).
Findings
This study dealt with warehouse location selection problem of a supermarket that has sellers in many regions in Turkey and selected proper warehouse.
Originality/value
This study combined SAHP and fuzzy VIKOR methods as a solution approach for warehouse location selection problems.
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The purpose of this study is to present a newly proposed and developed sorting algorithm-based merging weighted fraction Monte Carlo (SAMWFMC) method for solving the population…
Abstract
Purpose
The purpose of this study is to present a newly proposed and developed sorting algorithm-based merging weighted fraction Monte Carlo (SAMWFMC) method for solving the population balance equation for the weighted fraction coagulation process in aerosol dynamics with high computational accuracy and efficiency.
Design/methodology/approach
In the new SAMWFMC method, the jump Markov process is constructed as the weighted fraction Monte Carlo (WFMC) method (Jiang and Chan, 2021) with a fraction function. Both adjustable and constant fraction functions are used to validate the computational accuracy and efficiency. A new merging scheme is also proposed to ensure a constant-number and constant-volume scheme.
Findings
The new SAMWFMC method is fully validated by comparing with existing analytical solutions for six benchmark test cases. The numerical results obtained from the SAMWFMC method with both adjustable and constant fraction functions show excellent agreement with the analytical solutions and low stochastic errors. Compared with the WFMC method (Jiang and Chan, 2021), the SAMWFMC method can significantly reduce the stochastic error in the total particle number concentration without increasing the stochastic errors in high-order moments of the particle size distribution at only slightly higher computational cost.
Originality/value
The WFMC method (Jiang and Chan, 2021) has a stringent restriction on the fraction functions, making few fraction functions applicable to the WFMC method except for several specifically selected adjustable fraction functions, while the stochastic error in the total particle number concentration is considerably large. The newly developed SAMWFMC method shows significant improvement and advantage in dealing with weighted fraction coagulation process in aerosol dynamics and provides an excellent potential to deal with various fraction functions with higher computational accuracy and efficiency.
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The purpose of this study is to examine the impact of thin trading on the day‐of‐the‐week effect in the emerging equity markets of the United Arab Emirates (UAE). Researchers have…
Abstract
Purpose
The purpose of this study is to examine the impact of thin trading on the day‐of‐the‐week effect in the emerging equity markets of the United Arab Emirates (UAE). Researchers have stated that emerging markets are typically characterized by low liquidity, thin trading and possibly less well‐informed investors with access to unreliable information and considerable volatility. It is well known that thin trading can affect the results of empirical studies on patterns of equity markets by introducing a serious bias into the results.
Design/methodology/approach
This study applies a stochastic dominance approach to detect the day‐of‐the‐week effect. The reason for utilizing this approach is that the parametric tests are not strictly appropriate for assets with non‐normally distributed returns. In fact, stochastic dominance is a useful tool for making comparisons among distributions without relying on parametric assumptions.
Findings
The findings indicate that there is day‐of‐the‐week effect in published daily prices, while daily effect vanishes when data are corrected to remove any measurement bias arising from thin trading. The stochastic dominance results show that the day‐of‐the‐week effect in the UAE equity markets is not present when we correct raw data for thin and infrequent trading.
Originality/value
There has been no research in the literature testing the day‐of‐the‐week effect on the emerging financial markets in the UAE. The study provides empirical evidence on their degree of market efficiency. If the day‐of‐the‐week effect exists, this means that the Abu Dhabi Securities Markets and the Dubai Financial Markets are inefficient. These results will help investors to develop a good investment strategy
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Bartholemew Kenner, Dayton M. Lambert, Carlos Omar Trejo-Pech, Jada M. Thompson and Thomas Gill
The purpose of this paper is to determine the stochastic net present value (NPV) of a model smallholder poultry operation in Rwanda under production and market uncertainty.
Abstract
Purpose
The purpose of this paper is to determine the stochastic net present value (NPV) of a model smallholder poultry operation in Rwanda under production and market uncertainty.
Design/methodology/approach
A discounted cash flow calculator was used to determine the NPV of operator investments and operating cash flows, including time, materials and capital. Broiler production data, market prices and variable input costs were collected from 125 smallholder operations in the Musanze District, Rwanda. These data were combined with a historical price index tracking the inflation rate of Rwanda’s currency. Policies including overstocking, technical support repayment scheduling, selling broilers at a spot market price, using marketing contracts and selling poultry manure were compared using non-parametric paired comparisons and stochastic dominance.
Findings
Risk-neutral and risk-averse producers would prefer overstocking, delaying repayment of technical support services and selling manure to status quo operational policy. No differences were observed between the option to sell birds at spot market prices or through contracts.
Research limitations/implications
This analysis demonstrates how individual managerial or an intervention in smallholder broiler production affects financial performance.
Practical implications
To mitigate risk associated with this novel enterprise, producers should consider overstocking birds. If local markets for manure were developed, the risks faced by new or beginning poultry operators could be mitigated.
Originality/value
A stochastic, discounted cash flow model calculator was used to determine the NPV and discounted payback period of operator investments and operating cash flows, including time, materials and capital.
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This paper aims to study the implication of the stochastic gross-profit-per-day objective on the ship profitability and the ship capacity and speed.
Abstract
Purpose
This paper aims to study the implication of the stochastic gross-profit-per-day objective on the ship profitability and the ship capacity and speed.
Design/methodology/approach
The paper has used the mathematical model and the solution methodology given by El Noshokaty, 2013, 2014, 2017a, 2017b, and SOS, 2019.
Findings
The paper finds that if the ship owner follows the rate concept and the cargo demand forecast, he can improve the profitability of his company and be able to select the proper capacities and speeds for the ships used.
Research limitations/implications
The findings are not only useful for the shipping or other cargo transport companies but also for businesses like gas reservoir development, car assembly lines in the industry, cooperative farming and crop harvesting in agriculture, port cargo handling in trade and road paving in construction.
Originality/value
The contribution of this paper lies in notifying the ship owners of the possible profitability improvement and the consequences of building ships of larger capacities and slower speeds.
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