IMA Journal of Management Mathematics最新文献

{"title":"Cost-based performance optimization of a single system under a hierarchical imperfect maintenance policy","authors":"Xiaojun Liang, Lirong Cui, Ruiting Wang, Weixin Jiang","doi":"10.1093/imaman/dpae020","DOIUrl":"https://doi.org/10.1093/imaman/dpae020","url":null,"abstract":"Due to the influence from external factors such as repair sites and seasonal climate change, it is difficult to restore the system performance to any intermediate level between perfect maintenance and minimal maintenance through imperfect maintenance. This article first categorizes the states of the system just before repair into three classes based on its internal degradation level: failure, major defect, and minor defect, with three corresponding thresholds. Subsequently, the corresponding repairs are carried out to dwindle the system’s degradation to different levels. In detail, if the internal degradation level of the system just before repair is recognized as minor defect, an imperfect repair, termed as type I imperfect repair, is implemented to scale down the degradation level below the minor defect threshold. If the degradation level is identified as major defect, an upgraded imperfect repair, termed as type II imperfect repair, is executed to only lower the degradation to the level between the minor defect threshold and major defect threshold. Otherwise, if the degradation before repair is beyond the failure threshold, replacement will be carried out instead of these imperfect repairs. Thus, a novel hierarchical imperfect maintenance structure is introduced. Then, a multi-variable repair cost model is constructed when considering the related costs incurred from inspection, type I imperfect repair, type II imperfect repair, replacement, and even system downtime. Finally, with the aid of the stationary law of Markov chains and the semi-regenerative process, the cost-based performance optimization with three parameters, including the inspection interval, minor defect threshold, and major defect threshold, is explored through a numerical experiment, and the closed expression of the optimal cost rate is provided.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"7 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180308","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A generalized approach for pricing american options under a regime-switching model","authors":"Yawen Zheng, Song-Ping Zhu","doi":"10.1093/imaman/dpae021","DOIUrl":"https://doi.org/10.1093/imaman/dpae021","url":null,"abstract":"Regime-switching models gained their popularity over the past decade because of their distinctive advantage of modelling different financial market statuses in a discrete manner rather than a continuous manner as in stochastic volatility models. When they are used in option pricing, the clear advantage is that they enable a larger parameter space for models to be calibrated for a specific market dynamics and thus allow a better quantitative risk management in terms of utilizing financial derivatives. However, when they are used to price American-style financial derivatives, a large number of economic statuses result in a demand for improved computational efficiency. This paper provides a new algorithm of high computational efficiency supplemented with a theorem that pre-analyzes the associated matrices and their eigenvalues, without concern about the possibility of duplicated roots being mistakenly identified as simple roots due to rounding errors or the presence of two extremely closely positioned simple roots within the original system.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"22 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180307","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Robustness of copula-correction models in causal analysis: Exploiting between-regressor correlation","authors":"Rouven E Haschka","doi":"10.1093/imaman/dpae018","DOIUrl":"https://doi.org/10.1093/imaman/dpae018","url":null,"abstract":"Causal analysis in management and marketing often faces the challenge of endogeneity, which can result in biased estimates when methods that assume independence between regressors and errors are applied. The joint copula modeling approach proposed by Park and Gupta (Marketing Science, 2012, 31(4), 567–586) provides a practical solution to this issue by modeling the joint distribution of endogenous regressors and errors. This paper proposes a generalisation of their approach with an endogeneity correction that involves the exogenous variables. We first show that the estimator by Park and Gupta requires the strong assumption of independence between the endogenous and the exogenous regressors, and suffers from an omitted variables bias when this assumption is violated. We also quantify this bias. The distinguishing characteristic of the proposed approach is that we use a first-stage auxiliary regression to generate copula correction functions by exploiting the informational content of the exogenous variables in a similar spirit as instrumental-based identification. As this first-stage regression does not generate an additional identification problem, is not more restrictive than the Park and Gupta model. The approach is least-squares-based and thus neither requires numerical optimisation nor the search for starting values. Monte Carlo simulations reveal that the proposed approach performs well in finite samples. We demonstrate the practical applicability by reassessing the empirical example in Park and Gupta using the proposed approach.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"56 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180309","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Managing flexibility in supply chains: mathematical analysis of dual sourcing systems","authors":"Sripad K Devalkar, Sridhar Seshadri","doi":"10.1093/imaman/dpae019","DOIUrl":"https://doi.org/10.1093/imaman/dpae019","url":null,"abstract":"The COVID 19 pandemic forced supply chain managers to explore different ways to cope with rapid changes in supply, manufacturing, distribution and demand. The lessons learnt from that experience is that flexibility in responding to demand and modularity must be planned at every stage. Along with planning we argue that execution becomes challenging and is equally important to consider when making plans. We illustrate with a broad category of flexibility and modularity, dual sourcing, and how management mathematics can be used to manage these systems and understand the cost of execution. Dual sourcing has been used to manage the trade-off between cost and responsiveness by firms and has received considerable attention in academic literature. It is known that except in special cases, the optimal sourcing policy does not have an easy structure that is practically appealing and can be used by managers. Over the last decade and half, researchers have developed various management mathematics techniques and analyzed the performance of heuristic policies. This paper presents a discussion of the results in a few key papers related to the dual sourcing inventory management problem and recent distribution free results in asymptotic regions. The asymptotic regimes considered include systems where the lead-time from the slower supplier is significantly higher than that from the closer, faster supplier, and conditions where the unit cost of procurement is significantly higher compared to the unit cost of carrying inventory. These regimes represent different conditions about how valuable or costly using the faster supplier is and illustrate the value of simple heuristic policies and characterize the cost of these heuristics. The key learnings are that optimal ordering decisions may be robust to misspecification of demand distribution and managers only need summary statistics such as the average and standard deviation of demand to determine the order quantities from the different suppliers. Managers could also consider ways to roll out new planning and control systems for managing multiple suppliers.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"21 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142180310","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"On head-to-head results as tie-breaker and consequent opportunities for collusion","authors":"László Csató","doi":"10.1093/imaman/dpae016","DOIUrl":"https://doi.org/10.1093/imaman/dpae016","url":null,"abstract":"Accepted by: Phil Scarf The outcome of some football matches has benefited both teams at the expense of a third team because head-to-head results were used for breaking ties. Inspired by these examples, our mathematical analysis identifies all possible collusion opportunities caused by this particular ranking rule in a single round-robin tournament with four teams. According to a simulation model based on the 2024 UEFA European Football Championship, merely the tie-breaking rule increases the probability of reaching a situation vulnerable to collusion by between 11.5 and 14.8 percentage points. This risk can scarcely be mitigated by a static match schedule. Therefore, tournament organizers are strongly encouraged to choose goal difference as the primary tie-breaking rule, similar to the official policy of FIFA.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"29 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141571334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Improving efficiency evaluation in the presence of ratio data: Inverse non-radial enhanced Russell models","authors":"Dariush Akbarian, Amar Oukil","doi":"10.1093/imaman/dpae017","DOIUrl":"https://doi.org/10.1093/imaman/dpae017","url":null,"abstract":"In many real-world scenarios, decision makers often rely on data available in ratio form. Under the data envelopment analysis (DEA) framework, radial (R) models, such as DEA-R, do consider ratio data for the efficiency evaluation of decision making units (DMUs). Nevertheless, the omission of the slack values over the evaluation process may lead to inaccurate results. Hence, this paper introduces non-radial Enhanced Russell Models (ERM) with ratio data for more precise and reliable assessments. Furthermore, we develop new inverse non-linear ERM formulations to determine the optimal levels of inputs and outputs for preset ratio-efficiency scores. The validity of the proposed models is demonstrated through illustrative examples and a real-world case study, highlighting their practical relevance across diverse organizational contexts. Our research contributes novel insights and methodologies to the field of efficiency assessment, offering managers robust tools for more accurate decision-making.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"81 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141503760","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Planning maintenance when resources are limited: a study of periodic opportunistic replacement","authors":"Cristiano Cavalcante, Phil Scarf, Yan Ribeiro, Augusto Rodrigues, Naif Alotaibi","doi":"10.1093/imaman/dpae015","DOIUrl":"https://doi.org/10.1093/imaman/dpae015","url":null,"abstract":"We study an aged-based replacement policy with two control limits. The first triggers opportunistic replacement and the second triggers a guaranteed replacement. The policy is novel because: the instances for component replacement are restricted to instances of time, which we call slots, that arise periodically; and a slot provides an opportunity for replacement with a particular probability. The policy models contexts in which maintenance is periodic, and resources are limited or execution of maintenance is not guaranteed. The policy is important for practice because it is simple and reflects the common reality of time-based maintenance planning. Long-run cost per unit time and average availability are calculated in a renewal-reward framework. Numerical study indicates that, if opportunities are rare, guaranteed replacement is beneficial and opportunities should be taken early in the life of a system. Using the policy, a maintainer can evaluate the cost–benefit of investing more resources to reduce the time between slots. Specific analysis and policy comparisons can be carried out using a web-application developed by the authors.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"2012 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A stochastic volatility model for the valuation of temperature derivatives","authors":"Aurélien Alfonsi, Nerea Vadillo","doi":"10.1093/imaman/dpae013","DOIUrl":"https://doi.org/10.1093/imaman/dpae013","url":null,"abstract":"This paper develops a new stochastic volatility model for the average daily temperature. It is a natural extension of a Gaussian model in which the temperature returns to a seasonal trend with a deterministic time-dependent volatility. The new model allows to be more conservative regarding extreme events while keeping tractability. We give a method based on Conditional Least Squares to estimate the parameters on daily data and estimate our model on eight major European cities. We then show how to calculate efficiently the average payoff of weather derivatives both by Monte-Carlo and Fourier transform techniques. This new model allows to better assess the risk related to temperature volatility.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"171 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140830184","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Evaluating the cost-emissions trade-offs of a modal shift in intermodal and synchromodal transportation planning","authors":"Heletjé E Staden, Hannah Yee, Robert N Boute","doi":"10.1093/imaman/dpae010","DOIUrl":"https://doi.org/10.1093/imaman/dpae010","url":null,"abstract":"Intermodal transportation planning combines road with more sustainable transportation modes to encourage a modal shift. To evaluate the impact of a modal shift on transportation cost and emissions, we propose an intermodal transportation planning model to provide transparency in the cost-emissions trade-off. The model incorporates minimum load requirements, time windows, freight consolidation, and stochastic travel times to generate alternative transportation options. It also includes order consolidation to facilitate the utilization of transportation modes that would otherwise be infeasible due to, for instance, minimum load requirements. We also propose a synchromodal planning tool to evaluate re-planning and re-consolidation options in response to disruptions. We numerically illustrate the working of our model using a representative network setting and quantify the trade-offs concerning costs and emissions by evaluating different transportation route options.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"94 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140630060","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Online customized strategy for manufacturers to counter showrooming behavior in a dual-channel supply chain","authors":"Qian Lei, Juan He","doi":"10.1093/imaman/dpae009","DOIUrl":"https://doi.org/10.1093/imaman/dpae009","url":null,"abstract":"Showrooming refers to a behavior of consumer transferring from offline stores to online purchasing. Consumers’ showrooming behavior would affect not only the offline stores but also manufacturers in the long run. This study aims at putting forward an online customized strategy offered by a manufacturer to defeat the negative of showrooming in the context of a dual-channel supply chain where a manufacturer sells products online to consumers via a direct channel and wholesales products to an offline retailer, then the retailer sells products via an offline channel. Based on game theory and backward induction, optimal pricing decisions for the manufacturer and the retailer are established. It shows that consumers’ showrooming behavior decreases the selling prices and increases sales volumes in both the online direct channel and the offline channel. As further revealed, showrooming behavior would hurt the retailer under certain conditions and always damage the manufacturer. To mitigate the negative effects of showrooming, an online customized strategy is developed for the manufacturer. That is, the manufacturer would provide standard and customized products for online channel, allowing offline channel to sell only standard products. According to the results, online customized strategy would always damage the interests of the retailer, while customized strategy increases the profit of the manufacturer and increases the social welfare of the supply chain under certain circumstances.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"6 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140569525","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}