A joint optimal pricing and order quantity model under parameter uncertainty and its practical implementation

We consider a robust optimization model of determining a joint optimal bundle of price and order quantity for a retailer in a two-stage supply chain under uncertainty of parameters in demand and purchase cost functions. Demand is modeled as a decreasing power function of product price, and unit purchase cost is modeled as a decreasing power function of order quantity and demand. While the general form of the power functions are given, it is assumed that parameters defining the two power functions involve a certain degree of uncertainty and their possible values can be characterized by ellipsoids. We show that the robust optimization problem can be transformed into an equivalent convex optimization which can be solved efficiently and effectively using interior-point methods. In addition, we propose a practical implementation of the model, where the stochastic characteristics of parameters are obtained from regression analysis on past sales and production data, and ellipsoidal representations of the parameter uncertainties are obtained based on a combined use of genetic algorithm and Monte Carlo simulation. An illustrative example is provided to demonstrate the model and its implementation.     

参数不确定性下资产配置的动态均值-方差模型

现有关于资产配置的动态均值-方差模型的研究均假设投资者准确知道与资产收益率相关的参数,从而忽略了参数不确定性对投资决策的影响.本文研究引入参数不确定性和贝叶斯学习时的动态均值-方差模型,使用鞅方法求解得出最优投资策略的解析表达式,并导出了均值-方差有效边界.在此基础上,利用中国证券市场的实际数据进行了实证分析,结果表明参数不确定性对最优投资策略以及投资效果有较大的影响.     

后备技术不确定下资源耗竭动态优化模型研究

不确定性是资源耗竭理论的一个重要研究方向,资源替代研究中经常涉及技术不确定问题.在技术出现时间不确定问题描述的基础上,考虑资源开采成本与开采量相关以及有存货情形,利用动态规划思想处理了技术出现时间不确定,构建了动态优化模型,得到相应地HJB方程和最优开采路径.研究结果表明:确定性情形是不确定性的特例;在早期开采阶段,资源开采速度随着替代技术出现可能性提高而加快,开采了一段时间后,资源的开采速度随着替代技术出现可能性提高而减慢;关系转折时间点取决于资源初始储量,初始储量越大,该时间点越往后延长.     

Modelling and analysis of a multi-stage order quantity model

A single-item, multi-stage serial order quantity MSOQ model with constant demand is discussed. An algorithm to determine the relationship between the lot sizes of the MSOQ model is also developed. Illustrative examples are presented.     

Estimating the optimal order quantity and the maximum expected profit for single-period inventory decisions

The paper considers the classical single-period inventory model, also known as the Newsboy Problem, with the demand normally distributed and fully observed in successive inventory cycles. The extent of applicability of such a model to inventory management depends upon demand estimation. Appropriate estimators for the optimal order quantity and the maximum expected profit are developed. The statistical properties of the two estimators are explored for both small and large samples, analytically and through Monte-Carlo simulations. For small samples, both estimators are biased. The form of distribution of the optimal order quantity estimator depends upon the critical fractile, while the distribution of the maximum expected profit estimator is always left-skewed. Small samples properties of the estimators indicate that, when the critical fractile is set over a half, the optimal order quantity is underestimated and the maximum expected profit is overestimated with probability over 50%, whereas the probability of overestimating both quantities exceeds again 50% when the critical fractile is below a half. For large samples, based on the asymptotic properties of the two estimators, confidence intervals are derived for the corresponding true population values. The validity of confidence intervals using small samples is tested by developing appropriate Monte-Carlo simulations. In small samples, these intervals attain acceptable confidence levels, but with high unit shortage cost, for the case of maximum expected profit, significant reductions in their precision and stability are observed.     

A supplier's pricing model under a customer's economic purchasing policy

This paper develops a pricing model from the perspective of a supplier who produces and supplies a product to order from a single customer on a lot-for-lot basis. Assuming that the customer's ordering behavior is optimal, i.e. the customer follows his economic purchasing policy, the objective of the supplier is to determine the product's selling price, so that a specified gross profit goal is achieved. The algebraic interactions between the price of the product, the customer's EOQ and the supplier's profit level are taken into consideration during the model construction process. The concepts developed are illustrated through a numerical example, which attempts to demonstrate the usefulness of the model in setting an appropriate price for a product under the conditions described.     

Dynamic pricing and revenue management process in Internet retailing under uncertainty: An integrated real options approach

Competition and demand volatility often cause modern enterprises to be confronted by uncertain environments. When a firm manages revenue in such competitive and risky environments, the optimization of pricing and capacity allocation, subject to a fixed time and capacity, becomes a complicated problem. Many previous papers concerning revenue management (RM) and pricing require that the firm possesses the ability to know the demand curve (or demand distribution) and set prices on it to maximize profits. However, this assumption may not be the case in some industries. Therefore, this paper focuses on the dynamic lead indicators rather than assumptive lag indicators to establish a concise and flexible decision model for practical use. This paper provides an integrated real options (IRO) approach with analytic hierarchy process (AHP) for the auction RM problem under competitive/dynamic pricing and revenue uncertainty in Internet retailing. A numerical example is also presented to illustrate that the IRO approach can generate better decisions than the naı¨ve (or risk unawareness) approach in revenue quality of safety and profitability. The new perspective and approach proposed by this paper can be extended to other RM fields whenever both profitability and risk are critical to decision making.     

考虑支付红利的可转债模糊定价模型及其算法

由于金融市场经常受到一些模糊不确定因素的影响,使得可转债定价具有模糊特征.本文研究了具有支付红利以及标的资产为美式期权的可转债模糊定价问题.在Black-Scholes模型的基础上,提出了该类型可转债的模糊定价模型,它推广了传统的具有确定参数值的可转债定价模型.为了方便估计可转债价值,给出了具有三角模糊数形式的可转债定价公式.最后,选取实例分析和检验了该模糊定价方法的实用性.     

A real options model of market entry: Endogenous uncertainty and exogenous uncertainty

We develop a real options model of market entry that focuses on the dueling growth and deferral options by differentiating between endogenous uncertainty and exogenous uncertainty. While exogenous uncertainty influences the growth option market value or price, it is endogenous uncertainty that influences the value of the growth option through the ability to create a competitive advantage from preemptive market entry. First, the firm can decrease the exercise price of the growth option (i.e., the cost of the follow-on investment) through experiential learning that reduces endogenous uncertainty. Second, the firm can increase the relative discounted cash flows of the follow-on investment due to its ability to influence market demand that reduces endogenous uncertainty. On the other hand, the value of the deferral option increases with exogenous uncertainty as firms cannot influence exogenous uncertainty, and therefore, should invest elsewhere while waiting for the exogenous uncertainty to subside. As such, we provide a solution to the conundrum that the value of both the growth option and the deferral option increase with uncertainty. Finally, we demonstrate how the model addresses sequential market entry; irreversibility and market entry mode; competition; scarce strategic resources; host country development level; and industry life cycle stage.     

Location-boundedness,investment irreversibility,and divestment of international joint ventures under host market demand uncertainty

We employ the real options perspective to examine how the irreversibility of location-bound assets and resources affects the divestment of international joint ventures (IJVs) under exogenous uncertainty in host countries. Utilizing a large sample of Korean IJVs and addressing a sample selection of IJVs and the endogeneity of firms’ choice of location-bound investments, we find that high host market demand uncertainty interacts with localized products or local sales forces and reduces divestment rates of IJVs. We also find that the deterrent effects of these two country-specific investments are more salient for IJVs with local sourcing and sales. These findings imply that the deterrent effect of location-boundedness is congruent with the uncertainty-based real options theory when explaining IJV divestment.     

Optimal planning of the joint placement of photovoltaic panels and green roofs under climate change uncertainty

Photovoltaic (PV) panels directly convert sunlight into electricity; but, sunlight also heats the panels, negatively impacting their efficiency. Green roofs are vegetative layers grown on rooftops, mainly to provide added insulation on the roof to save energy. Green roofs also cool near-surface air temperature. Hence, the joint installation of PV panels and green roofs may potentially lead to higher efficiency of PV panels in certain climates. We develop a two-stage stochastic programming model to optimally place PV panels and green roofs under climate change uncertainty to maximize the overall profit from energy generated and saved. We calibrate the model using the literature, industry reports, and the data from different, at times conflicting, climate projections. We then conduct a case study for a mid-size city in the U.S., perform extensive sensitivity and robustness analyses and provide insights.     

A note on an economic production quantity model and just-in-time production

In this paper an economic production quantity (EPQ) model in which the production rate is variable is studied. An analysis is presented of the impact of a variable production rate on the optimal production quantity and the total relevant cost. It is observed that this EPQ production and inventory system, in which the production rate is close to the demand rate, possesses many characteristics that are similar to a just-in-time (JIT) production system. It is shown that the normal prerequisites and benefits of JIT production can be identified from an analysis of such an EPQ system.     

Joint optimal pricing and advertising policies in a fashion supply chain under the ODM strategy considering fashion level and goodwill

Journal of Combinatorial Optimization - The original design manufacturing (ODM) strategy has become popular in the fashion supply chain field. We consider apparel’s fashion level and...     

A new EPQ model: integrating lower pricing,rework and reject situations

The economic production quantity (EPQ) is a well-known and commonly used inventory control technique. It has been used for well over 50 years to optimize lot sizes in transportation/production. The standard results are easy to apply but are based on a number of assumptions. A common assumption in the EPQ model is that all units produced are of perfect quality, this will underestimate the actual required quantity. Many researchers have studied the effects after relaxing this assumption on the EPQ model. The previous studies had considered that imperfect quality and defective items are either to be reworked instantaneously and kept in stock or rejected at a cost. The objective of this paper is to provide a framework to integrate lower pricing, rework and reject situations into a single EPQ model. A 100% inspection is performed in order to identify the amount of good quality items, imperfect quality items and defective items in each lot. This model assumes that items of imperfect quality, not necessarily defective, could be used in another production situation or sold to a particular purchaser at a lower price. The electronic and clothing industries give good examples for such situations. A mathematical model is developed and a numerical example is presented to illustrate the solution procedures. It is found that the time factor of when to sell the imperfect items is critical, as this decision will affect the inventory cost and the batch quantities.     

Multi-item production lot-size inventory model with varying order cost under a restriction: A geometric programming approach

In this paper we present a geometric programming approach for determining the inventory policy for multiple items having varying order cost, which is a continuous function of the order quantity, and a limit on the total average inventory of all items. Our model is a generalization of that of Gupta and Gupta for unrestricted single-item order quantity model with varying order cost and assumes the same order cost function. This cost function relates well to real-life situations since it increases as the order quantity increases and, at the same time, it is easy to handle when deducing previous work as special cases of our model since it is easily reducible to a constant. An example is solved to illustrate the method.     

A network DEA quantity and quality-orientated production model: An application to Australian university research services

The motivation for this analysis is the recently developed Excellence in Research for Australia (ERA) program developed to assess the quality of research in Australia. The objective is to develop an appropriate empirical model that better represents the underlying production of higher education research. In general, past studies on university research performance have used standard DEA models with some quantifiable research outputs. However, these suffer from the twin maladies of an inappropriate production specification and a lack of consideration of the quality of output. By including the qualitative attributes of peer-reviewed journals, we develop a procedure that captures both quality and quantity, and apply it using a network DEA model. Our main finding is that standard DEA models tend to overstate the research efficiency of most Australian universities.     

群体会话支持系统的概念模型及应用

提出了一个群体会话支持系统的概念模型 ,并讨论了基于该模型的群件信息系统的构筑方法 .群体会话支持系统的概念模型可以用于不同的组织结构和不同的工作形态 .会话模式不仅是现实群体活动的抽象 ,同时也是构筑计算机的群体会话系统的理论依据 .系统设计人员可以根据离散的会话状态的数学表达 ,设计信息系统中的信息交互方式 ,根据信息系统的软、硬件配置可以比较容易地实现具体的任务 ,从而对基于计算机的群体会话活动提供有效的支持     

Negotiating control and achieving performance in international joint ventures: A conceptual model

Adapting well-established organization theories to international joint ventures (IJVs), this paper develops an overarching theoretical model of the determinants and effects of parent control of IJVs from an interpartner bargaining power perspective. Drawing upon power dependence, transaction costs, and agency theories, we argue that the relative bargaining power between IJV partners serves as the key determinant of control structure, and that control exerts a direct effect on the venture's performance. In addition, government influence and interpartner working relationship are critical factors that complicate the linkage between control and performance but may help to explain past conflicting results. Propositions regarding these relationships are formed for future empirical test, and implications and directions for future research are provided.