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IMA Journal of Management Mathematics最新文献

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Soccer as a Markov process: modelling and estimation of the zonal variation of team strengths 足球是一个马尔可夫过程：球队实力区域变化的建模和估计
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-11-01 DOI: 10.1093/imaman/dpab042
Nobuyoshi Hirotsu;Keita Inoue;Kenji Yamamoto;Masafumi Yoshimura
{"title":"Soccer as a Markov process: modelling and estimation of the zonal variation of team strengths","authors":"Nobuyoshi Hirotsu;Keita Inoue;Kenji Yamamoto;Masafumi Yoshimura","doi":"10.1093/imaman/dpab042","DOIUrl":"https://doi.org/10.1093/imaman/dpab042","url":null,"abstract":"This study models soccer as a Markov process. We discretize the pitch into nine zones, and define the states of the Markov process according to the zone of the pitch in which the ball is located, the team in possession and the score. Log-linear models are used to represent state transitions. Using the log-linear models, we estimate team strengths not only with respect to scoring or conceding, but also with respect to gaining or losing possession, while considering the discretized zones in which the ball is located. We use play-by-play data from Japan League Division 1 games in the 2015 season to illustrate our approach, and characterize the strengths of teams in this league. Sanfrecce Hiroshima is used as a particular example. We determine the goodness-of-fit of the log-linear models. Additionally, we introduce random effects into the log-linear models and discuss the complexity of the state transition process. We demonstrate that our Markov model, at the nine-zone level, provides estimates of teams’ strengths to a good approximation.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"34 2","pages":"257-284"},"PeriodicalIF":1.7,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67999328","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}
引用次数: 2
Coordination of dual-channel supply chains with uncertain demand information 具有不确定需求信息的双渠道供应链协调
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-11-01 DOI: 10.1093/imaman/dpac011
Yanping Liu;Bo Yan;Xiaoxu Chen
{"title":"Coordination of dual-channel supply chains with uncertain demand information","authors":"Yanping Liu;Bo Yan;Xiaoxu Chen","doi":"10.1093/imaman/dpac011","DOIUrl":"10.1093/imaman/dpac011","url":null,"abstract":"Uncertain demand information increases the difficulty of decision-making in supply chains, especially in the light of inventory costs. This article researches a two-echelon dual-channel fresh agricultural product (FAP) supply chain, and discusses optimal decision-making and the value of information sharing using the Stackelberg game. To eliminate the double marginalization effect between supply chain parties, a two-part linear tariff contract is introduced for coordination. The results show that information sharing is always profitable for the manufacturer, but not for the retailer. The inventory and shortage costs will reduce the manufacturer's optimal pricing and fresh-keeping effort level. When the manufacturer overestimates the market demand predicted by the retailer, asymmetric information will increase the manufacturer's inventory. The results provide important managerial implications for effective supply chain management.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"34 2","pages":"333-353"},"PeriodicalIF":1.7,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48224655","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}
引用次数: 1
Portfolio optimization and intergenerational risk sharing for a collective defined contribution pension plan 集体固定缴款养老金计划的投资组合优化和代际风险分担
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-11-01 DOI: 10.1093/imaman/dpab038
Suxin Wang;Peiqi Wang;Shuhua Zhang
{"title":"Portfolio optimization and intergenerational risk sharing for a collective defined contribution pension plan","authors":"Suxin Wang;Peiqi Wang;Shuhua Zhang","doi":"10.1093/imaman/dpab038","DOIUrl":"https://doi.org/10.1093/imaman/dpab038","url":null,"abstract":"In this paper, we use a continuous time stochastic model to study a collective defined contribution pension plan when the interest rate is stochastic, and where the benefit levels are adjusted depending on the performance of the plan, and with risk sharing between different generations. The nominal interest rate is characterized by the Vasicek model, and the pension fund is invested in a financial market consisting of three assets: one risk-free asset, one bond and one risky asset. The participants of the pension plan are the risk bearers, and the plan seeks optimal investment and risk-sharing arrangements for plan sponsors and participants that maximize the expected accumulated discount utility of intermediate benefit adjustments and terminal wealth. Closed-form solutions are derived via the stochastic optimal control approach under constant relative risk aversion utility function. Numerical results show the effects of financial market parameters on the optimal investment strategy and how the optimal benefit changes with respect to different risk aversions and wage increase rates.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"34 2","pages":"383-414"},"PeriodicalIF":1.7,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67839951","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}
引用次数: 0
On the delayed worse-than-minimal repair model and its application to preventive replacement 延迟劣于最小修理模型及其在预防性更换中的应用
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-11-01 DOI: 10.1093/IMAMAN/DPAB036
J. Cha, M. Finkelstein, G. Levitin
{"title":"On the delayed worse-than-minimal repair model and its application to preventive replacement","authors":"J. Cha, M. Finkelstein, G. Levitin","doi":"10.1093/IMAMAN/DPAB036","DOIUrl":"https://doi.org/10.1093/IMAMAN/DPAB036","url":null,"abstract":"","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44800032","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}
引用次数: 0
Control and optimization of workforce outsourcing decisions 劳动力外包决策的控制和优化
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-11-01 DOI: 10.1093/imaman/dpac007
Kannan Nilakantan
{"title":"Control and optimization of workforce outsourcing decisions","authors":"Kannan Nilakantan","doi":"10.1093/imaman/dpac007","DOIUrl":"10.1093/imaman/dpac007","url":null,"abstract":"With outsourcing of work having become ubiquitous, and more importantly, given its potential to become controversial, the need for such outsourcing decisions to be drafted carefully, managed effectively and controlled accurately cannot be underscored. In this context, this paper has constructed a mathematical model of organizations with ‘outsource’ employees to study the problem of the monitoring and control of the extent of outsourcing, and the number and distribution of outsource manpower. Control policies for maintaining desired blends of internal and outsource manpower have been mathematically derived, thereby obviating the need for further statistical validation. The cost savings that could be expected to accrue due to outsourcing, as also the problem of optimal outsourcing have been investigated and illustrated with numerical examples. This paper thereby studies a problem of contemporary relevance and importance, and organizations could use the suggested models as a decision-making tool, to generate alternative trade-off scenarios between cost savings due to outsourcing on the one hand, and the need to restrict the extent of outsourcing on the other.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"34 2","pages":"307-332"},"PeriodicalIF":1.7,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44346806","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}
引用次数: 0
Electric vehicle manufacturers’ decisions on investing in carbon-reduction technology under government subsidy: a Cournot game model 电动汽车制造商在政府补贴下投资碳减排技术的决策:古诺博弈模型
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-10-05 DOI: 10.1093/imaman/dpab034
Jing Liu, Hongping Yuan, J. Nie
{"title":"Electric vehicle manufacturers’ decisions on investing in carbon-reduction technology under government subsidy: a Cournot game model","authors":"Jing Liu, Hongping Yuan, J. Nie","doi":"10.1093/imaman/dpab034","DOIUrl":"https://doi.org/10.1093/imaman/dpab034","url":null,"abstract":"\u0000 To reduce carbon emissions in the electric vehicle (EV) market, the Chinese government has issued a subsidy scheme involving a subsidy threshold that is quite different from the fixed subsidy. This study aims to investigate competing EV manufacturers’ decisions on carbon-reduction (CR) technology investment under the subsidy threshold. We construct a Cournot game model involving two competitive EV manufacturers. The results show that decisions of the two EV manufacturers on investing in CR technology vary under different subsidy thresholds. Particularly, they would make the same investment decisions when the subsidy threshold is low or large, but achieve the opposite investment decisions when the subsidy threshold is intermediate. In the benchmark model where there is only one EV manufacturer, an EV manufacturer could always increase its profit from investing in CR technology when the subsidy threshold is low. In the Cournot model where there are two competing manufacturers, however, they may get involved in the Prisoner’s Dilemma and both manufacturers could suffer economic losses from CR technology investment.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48222583","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}
引用次数: 1
Improving service use through prediction modelling: a case study of a mathematics support centre 通过预测建模改善服务使用：一个数学支持中心的案例研究
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-09-28 DOI: 10.1093/imaman/dpab035
E. Howard, Anthony Cronin
{"title":"Improving service use through prediction modelling: a case study of a mathematics support centre","authors":"E. Howard, Anthony Cronin","doi":"10.1093/imaman/dpab035","DOIUrl":"https://doi.org/10.1093/imaman/dpab035","url":null,"abstract":"In higher education, student learning support centres are examples of walk-in services with nonstationary demand. For many centres, the major expenditure is tutor wages; thus, optimizing tutor numbers and ensuring value for money in this area are key. In University College Dublin, the mathematics support centre (MSC) has developed a software system, which electronically records the time each student enters the queue, their start time with a tutor and time spent with a tutor. In this paper, we show how data analysis of 25,702 student visits and tutor timetable data, spanning 6 years, is used to identify busy and quiet periods. Prediction modelling is then used to estimate the waiting time for future MSC visitors. Subsequently, we discuss how this is used for staffing optimization, i.e. to ensure there is sufficient coverage for busy times and no resource wastage during quieter periods. The analysis described resulted in the MSC reducing the number of queue abandonments and releasing funds from overstaffed hours to increase opening hours. The methods used are easily adapted for any busy walk-in service, and the code and data referenced are freely available: https://github.com/ehoward1/Math-Support-Centre-.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45639131","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}
引用次数: 0
Optimal inspection policy for a second-hand product with a two-dimensional warranty 具有二维保修的二手产品的最优检验策略
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-08-28 DOI: 10.1093/imaman/dpab030
Majeed Heydari
{"title":"Optimal inspection policy for a second-hand product with a two-dimensional warranty","authors":"Majeed Heydari","doi":"10.1093/imaman/dpab030","DOIUrl":"https://doi.org/10.1093/imaman/dpab030","url":null,"abstract":"\u0000 This paper studies the situation in which a manufacturer acts as a dealer and buys a second-hand product from one customer and sells it with a two-dimensional warranty to another customer. The manufacturer plans to inspect the product during the warranty period to identify and remove hidden defects and hence prevent failure as well as their corresponding cost. We describe a two-dimensional delay time model in which the customer’s usage rate affects both the time to defect and delay time. This concept is then used to derive a new class of failure models, namely, the two-dimensional and two-stage failure model. The number and time of inspections are determined to minimize the service cost during the warranty period under periodic and sequential inspection policies. Our approach is illustrated using an example from the automobile industry. A sensitivity analysis evaluates the effect of changes in the parameters of the model. Results indicate that the proposed model can aid the decision-making of a manufacturer, particularly in relation to the effect of customers’ usage and the effect of inspection upon the service cost during the warranty period.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43154846","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}
引用次数: 2
Less is more: simple algorithms for the minimum sum of squares clustering problem 少即是多:最小平方和聚类问题的简单算法
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-08-19 DOI: 10.1093/imaman/dpab031
P. Kalczynski, J. Brimberg, Z. Drezner
{"title":"Less is more: simple algorithms for the minimum sum of squares clustering problem","authors":"P. Kalczynski, J. Brimberg, Z. Drezner","doi":"10.1093/imaman/dpab031","DOIUrl":"https://doi.org/10.1093/imaman/dpab031","url":null,"abstract":"\u0000 The clustering problem has many applications in machine learning, operations research and statistics. We propose three algorithms to create starting solutions for improvement algorithms for the minimum sum of squares clustering problem. We test the algorithms on 72 instances that were investigated in the literature. We found five new best known solutions and matched the best known solution for 66 of the remaining 67 instances. Thus, we are able to demonstrate that good starting solutions combined with a simple local search get results comparable with, and sometimes even better than, more sophisticated algorithms used in the literature.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48108451","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}
引用次数: 3
Optimal portfolio execution with a Markov chain approximation approach 基于马尔可夫链近似方法的最优投资组合执行
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-08-16 DOI: 10.1093/imaman/dpab025
Jingnan Chen, Liming Feng, Jiming Peng, Yu Zhang
{"title":"Optimal portfolio execution with a Markov chain approximation approach","authors":"Jingnan Chen, Liming Feng, Jiming Peng, Yu Zhang","doi":"10.1093/imaman/dpab025","DOIUrl":"https://doi.org/10.1093/imaman/dpab025","url":null,"abstract":"\u0000 We study the problem of executing a large multi-asset portfolio in a short time period where the objective is to find an optimal trading strategy that minimizes both the trading cost and the trading risk measured by quadratic variation. We contribute to the existing literature by considering a multi-dimensional geometric Brownian motion model for asset prices and proposing an efficient Markov chain approximation (MCA) approach to obtain the optimal trading trajectory. The MCA approach allows us not only to numerically compute the optimal strategy but also to theoretically analyse the influence of factors such as price impact, risk aversion and initial asset price on the optimal strategy, providing both quantitative and qualitative guidance on the trading behaviour. Numerical results verify the theoretical conclusions in the paper. They further illustrate the effects of cross impact and correlations on the optimal execution strategy in a multi-asset liquidation problem.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43932136","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}
引用次数: 2
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