Search results
21 – 30 of over 13000Jonathan Bendor and Kenneth W. Shotts
We build three stochastic models of garbage can processes in an organization populated by boundedly rational agents. Although short-run behavior in our models can be quite…
Abstract
We build three stochastic models of garbage can processes in an organization populated by boundedly rational agents. Although short-run behavior in our models can be quite chaotic, they generate systematic, testable predictions about patterns of organizational choice. These predictions are determined, in fairly intuitive ways, by the degree of preference conflict among agents in the organization, by their patterns of attention, and by their tendencies to make errors. We also show that nontrivial temporal orders can arise endogenously in one of our models, but only when some form of intentional order, based on agents’ preferences, is also present.
ERIC G. FLAMHOLTZ, MARIA L. BULLEN and WEI HUA
There is growing recognition that the core economic resources of the current era are human and intellectual capital, rather than physical assets such as inventories, plant, and…
Abstract
There is growing recognition that the core economic resources of the current era are human and intellectual capital, rather than physical assets such as inventories, plant, and equipment. Given the increasing importance of human capital and intellectual property as determinants of economic success at both the macroeconomic and enterprise levels, it is clear that the nature of investments made by firms need to shift to reflect the new economic realities. Specifically, if human capital is a key determinant of organizational success, then investments in training and development of people also become critical. In turn, there is a need to develop concepts and tools for monitoring and evaluating management development programs in terms of their impact, results, and value or return on investment. The specific objective of this article is to draw upon the concepts and measurement approaches of the field that has come to be known as “human resource accounting” and show how they, specifically the stochastic rewards valuation model, can be used as tools for the measurement of the value of investments in training programs designed to increase the value of human capital.
Feng Dai, Jianping Qi and Ling Liang
The purpose of this paper is to reveal some basic characteristics in social and economic process, and lay the analytic foundation for advance‐retreat course (ARC).
Abstract
Purpose
The purpose of this paper is to reveal some basic characteristics in social and economic process, and lay the analytic foundation for advance‐retreat course (ARC).
Design/methodology/approach
The paper presents the analytic model of stochastic ARC (SARC), which is based on the partial distribution and partial process (belonging to the probability theory and stochastic process), and describes some important characteristics of social and economic process in a quantitative method.
Findings
The successful socio‐economic process, including many biological process, are usually divided into three basic stages: the weak growth, the quick development and the swift decline. In general, rapid growth brings with it the weak persistence, and slow growth brings with it the strong persistence. The socio‐economic fluctuations are mainly caused by the excessive environmental pressures. The duration of the socio‐economic growth is inverse with the environmental pressure.
Research limitations/implications
All the basic variables and parameters in an ARC model should be no less than zero.
Practical implications
Based on US GDP (chained) price index data (1940‐2005), American economic process in recent 70 years is analyzed, and the analysis indicates, American economic motivity is clearly insufficient after 2008, and the present economic recovery will be very arduous and prolonged.
Social implications
The environmental pressures will become the main problem for future global socio‐economic development.
Originality/value
SARC model in this paper presents a special way to analyze the social development and economic growth, and is helpful to related academic research and socio‐economic decision making.
Details
Keywords
Binghai Zhou, Faqun Qi and Hongyu Tao
The purpose of this paper is to develop a condition-based maintenance (CBM) model for those systems subject to the two-stage deterioration including a deterioration pitting…
Abstract
Purpose
The purpose of this paper is to develop a condition-based maintenance (CBM) model for those systems subject to the two-stage deterioration including a deterioration pitting initiation process and a deterioration pitting growth process.
Design/methodology/approach
Regarding environmental changes as random shocks, the effect of environmental changes on the deterioration process is considered. Then, non-homogeneous Poison process and non-stationary gamma process are introduced to model the deterioration pitting initiation process and the deterioration pitting growth process, respectively. Finally, based on the deterioration model, a CBM policy is put forward to obtain the optimal inspection interval by minimizing the expected maintenance cost rate. Numerical simulations are given to optimize the performance of the deteriorating system. Meanwhile, comparisons between a single-stage deterioration model and a two-stage deterioration model are conducted to demonstrate the application of the proposed approach.
Findings
The result of simulation verifies that the deterioration rate is not constant in the life cycle and is affected by the environment. Furthermore, the result shows that the two-stage deterioration model proposed makes up for the shortage of single-stage deterioration models and can effectively reduce system failures and unreasonable maintenance caused by optimistic prediction using single-stage deterioration models.
Practical implications
In practical situations, except for normal deterioration caused by internal factors, many systems are also greatly influenced by the random shocks during operation, which are probably caused by the environmental changes. What is more, most systems have self-protection ability in some extent that protects them to keep running as new ones for some time. Under such circumstances, the two-stage deterioration model proposed can effectively reduce system failures and unreasonable maintenance caused by optimistic prediction using single-stage deterioration models. In the combination with the bootstrap estimation, the paper obtains the life distributions with approximate 95 percent confidence intervals which can provide valuable information for practical system maintenance scheduling.
Originality/value
This paper presents a new CBM model for those systems subject to the two-stage deterioration including a deterioration pitting initiation process and a deterioration pitting growth process. Considering the effect of the environmental change on the system deterioration process, a two-stage deterioration model with environmental change factors is proposed to describe the system deterioration.
Details
Keywords
Yuichiro Kawaguchi and Kazuhiro Tsubokawa
This paper proposes a discrete time real options model with time‐dependent and serial correlated return process for a real estate development problem with waiting options. Based…
Abstract
This paper proposes a discrete time real options model with time‐dependent and serial correlated return process for a real estate development problem with waiting options. Based on a Martingale condition, the paper claims to be able to relax many unrealistic assumptions made in the typical real option pricing methodology. Our real option model is a new one without assuming the return process as “Ito Process”, specifically, without assuming a geometric Brownian motion. We apply the model to the condominium market in Tokyo metropolitan area in the period 1971‐1997 and estimate the value of waiting to invest in 1998‐2007. The results partly provide realistic estimates of the parameters and show the applicability of our model.
Details
Keywords
The purpose of this paper is to derive semi‐closed‐form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine‐term structure models.
Abstract
Purpose
The purpose of this paper is to derive semi‐closed‐form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine‐term structure models.
Design/methodology/approach
The paper first derives the Frobenius series solution to the cross‐moment generating function, and then inverts the related characteristic function using the Gauss‐Laguerre quadrature rule for the corresponding cumulative probabilities.
Findings
This paper values options on discount bonds, coupon bond options, swaptions, interest rate caps, floors, and collars, etc. The valuation approach suggested in this paper is found to be both accurate and fast and the approach compares favorably with some alternative methods in the literature.
Research limitations/implications
Future research could extend the approach adopted in this paper to some non‐affine‐term structure models such as quadratic models.
Practical implications
The valuation approach in this study can be used to price mortgage‐backed securities, asset‐backed securities and credit default swaps. The approach can also be used to value derivatives on other assets such as commodities. Finally, the approach in this paper is useful for the risk management of fixed‐income portfolios.
Originality/value
This paper utilizes a new approach to value many of the most commonly traded interest rate derivatives in a stochastic volatility framework.
Details
Keywords
Gopal Shruthi and Murugan Suvinthra
The purpose of this paper is to study large deviations for the solution processes of a stochastic equation incorporated with the effects of nonlocal condition.
Abstract
Purpose
The purpose of this paper is to study large deviations for the solution processes of a stochastic equation incorporated with the effects of nonlocal condition.
Design/methodology/approach
A weak convergence approach is adopted to establish the Laplace principle, which is same as the large deviation principle in a Polish space. The sufficient condition for any family of solutions to satisfy the Laplace principle formulated by Budhiraja and Dupuis is used in this work.
Findings
Freidlin–Wentzell type large deviation principle holds good for the solution processes of the stochastic functional integral equation with nonlocal condition.
Originality/value
The asymptotic exponential decay rate of the solution processes of the considered equation towards its deterministic counterpart can be estimated using the established results.
Details
Keywords
The purpose of this paper is to derive the output predictor for a stationary normal process with rational spectral density and linear stochastic discrete-time state-space model…
Abstract
Purpose
The purpose of this paper is to derive the output predictor for a stationary normal process with rational spectral density and linear stochastic discrete-time state-space model, respectively, as the output predictor is very important in model predictive control. The derivations are only dependent on matrix operations. Based on the output predictor, one quadratic programming problem is constructed to achieve the goal of subspace predictive control. Then an improved ellipsoid optimization algorithm is proposed to solve the optimal control input and the complexity analysis of this improved ellipsoid optimization algorithm is also given to complete the previous work. Finally, by the example of the helicopter, the efficiency of the proposed control strategy can be easily realized.
Design/methodology/approach
First, a stationary normal process with rational spectral density and one stochastic discrete-time state-space model is described. Second, the output predictors for these two forms are derived, respectively, and the derivation processes are dependent on the Diophantine equation and some basic matrix operations. Third, after inserting these two output predictors into the cost function of predictive control, the control input can be solved by using the improved ellipsoid optimization algorithm and the complexity analysis corresponding to this improved ellipsoid optimization algorithm is also provided.
Findings
Subspace predictive control can not only enable automatically tune the parameters in predictive control but also avoids many steps in classical linear Gaussian control. It means that subspace predictive control is independent of any prior knowledge of the controller. An improved ellipsoid optimization algorithm is used to solve the optimal control input and the complexity analysis of this algorithm is also given.
Originality/value
To the best knowledge of the authors, this is the first attempt at deriving the output predictors for stationary normal processes with rational spectral density and one stochastic discrete-time state-space model. Then, the derivation processes are dependent on the Diophantine equation and some basic matrix operations. The complexity analysis corresponding to this improved ellipsoid optimization algorithm is analyzed.
Details
Keywords
Jin Zhu, Xingsheng Gu and Wei Gu
The purpose of this paper is to set up a two‐stage stochastic integer‐programming model (TSM) for the multiperiod scheduling of multiproduct batch plants under demand uncertainty…
Abstract
Purpose
The purpose of this paper is to set up a two‐stage stochastic integer‐programming model (TSM) for the multiperiod scheduling of multiproduct batch plants under demand uncertainty involving the constraints of material balances and inventory constraints, as well as the penalty for production shortfalls and excess.
Design/methodology/approach
Scheduling model is formulated as a discrete‐time State Task Network. Given a scheduling horizon consisting of several time‐periods in which product demands are placed, the objective is to select a schedule that maximizes the expected profit for a single and multiple product with a given probability level. The stochastic elements of the model are expressed with equivalent deterministic optimization models.
Findings
The TSM model not only allows for uncertain product demand correlations, but also gives different processing modes by a range of batch sizes and a task‐dependent processing time. The experimental results show that the TSM model is more appropriate than another model for multiperiod scheduling of multiproduct batch plants under correlated uncertain demand.
Research limitations/implications
The choice of penalty parameter of demand uncertainty is the main limitation.
Practical implications
The paper provides very useful advice for multiperiod scheduling of multiproduct batch plants under demand uncertainty.
Originality/value
A stochastic model for the multiperiod scheduling of multiproduct batch plants under demand uncertainty was set up. A test problem involving 12 correlated uncertain product demands and two alternative models verified the availability of the TSM.
Details