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REFERENCE LINKING PLATFORM OF KOREA S&T JOURNALS
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Management Science and Financial Engineering
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The Korean Operations and Management Science Society
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Volume & Issues
Volume 17, Issue 2 - Nov 2011
Volume 17, Issue 1 - May 2011
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Integrated Inventory-Distribution Planning in a (1 : N) Supply Chain System with Heterogeneous Vehicles Incorporated
Kim, Eun-Seok ; Lee, Ik-Sun ;
Management Science and Financial Engineering, volume 17, issue 2, 2011, Pages 1~21
This paper considers an integrated inventory-distribution system with a fleet of heterogeneous vehicles employed where a single warehouse distributes a single type of products to many spatially distributed retailers to satisfy their dynamic demands. The problem is to determine order planning at the warehouse, and also vehicle schedules and delivery quantities for the retailers with the objective of minimizing the sum of ordering cost at the warehouse, inventory holding cost at both the warehouse and retailers, and transportation cost. For the problem, we give a Mixed Integer Programming formulation and develop a Lagrangean heuristic procedure for computing lower and upper bounds on the optimal solution value. The Lagrangean dual problem of finding the best Lagrangrean lower bound is solved by subgradient optimization. Computational experiments on randomly generated test problems showed that the suggested algorithm gives relatively good solutions in a reasonable amount of computation time.
An Exact Splitting Algorithm for a 4-Class-Based Dedicated Linear Storage Problem
Yang, Moon-Hee ; Choi, Chang-Hwan ; Kim, Hee ;
Management Science and Financial Engineering, volume 17, issue 2, 2011, Pages 23~37
In this paper, we address a layout design problem for determining an optimal 4-class-based dedicated linear storage layout in a class of unit load storage systems. Assuming that space requirement for a class is the sum of the maximum inventory levels of products assigned to the class, and that one-way travel time is a linear function of storage index, we formulate a 4-class-based dedicated linear storage problem PTL and provide an exact splitting algorithm with
. Our algorithms could be applied to more than a 4-class-based dedicated storage layout problem with slight modification in order to reduce computational execution time.
An Optimization Algorithm for the Maximum Lifetime Coverage Problems in Wireless Sensor Network
Ahn, Nam-Su ; Park, Sung-Soo ;
Management Science and Financial Engineering, volume 17, issue 2, 2011, Pages 39~62
In wireless sensor network, since each sensor is equipped with a limited power, efficient use of the energy is important. One possible network management scheme is to cluster the sensors into several sets, so that the sensors in each of the sets can completely perform the monitoring task. Then the sensors in one set become active to perform the monitoring task and the rest of the sensors switch to a sleep state to save energy. Therefore, we rotate the roles of the active set among the sensors to maximize the network lifetime. In this paper, we suggest an optimal algorithm for the maximum lifetime coverage problem which maximizes the network lifetime. For comparison, we implemented both the heuristic proposed earlier and our algorithm, and executed computational experiments. Our algorithm outperformed the heuristic concerning the obtained network lifetimes, and it found the solutions in a reasonable amount of time.
Dominance, Potential Optimality, and Strict Preference Information in Multiple Criteria Decision Making
Park, Kyung-Sam ; Shin, Dong-Eun ;
Management Science and Financial Engineering, volume 17, issue 2, 2011, Pages 63~84
The ordinary multiple criteria decision making (MCDM) approach requires two types of input, alternative values and criterion weights, and employs two schemes of alternative prioritization, dominance and potential optimality. This paper allows for incomplete information on both types of input and gives rise to the dominance relationships and potential optimality of alternatives. Unlike the earlier studies, we emphasize that incomplete information frequently takes the form of strict inequalities, such as strict orders and strict bounds, rather than weak inequalities. Then the issues of rising importance include: (1) The standard mathematical programming approach to prioritize alternatives cannot be used directly, because the feasible region for the permissible decision parameters becomes an open set. (2) We show that the earlier methods replacing the strict inequalities with weak ones, by employing a small positive number or zeroes, which closes the feasible set, may cause a serious problem and yield unacceptable prioritization results. Therefore, we address these important issues and develop a useful and simple method, without selecting any small value for the strict preference information. Given strict information on both types of decision parameters, we first construct a nonlinear program, transform it into a linear programming equivalent, and finally solve it via a two-stage method. An application is also demonstrated herein.
Long Term Mean Reversion of Stock Prices Based on Fractional Integration
Jun, Duk-Bin ; Kim, Yong-Jin ; Park, Dae-Keun ;
Management Science and Financial Engineering, volume 17, issue 2, 2011, Pages 85~97
In this study we examine the long term behavior of stock returns. The analysis reveals that negative autocorrelations of the returns exist for a super-long horizon as long as 10 years. This pattern, however, contrasts to predictions of previous stock price models which include random walks. We suggest the introduction of a fractionally integrated process into a nonstationary component of stock prices, and demonstrate empirically the existence of the process in NYSE stock returns. The predicted values of autocorrelation from our stock price model confirm the super-long term behavior of the returns observed in regression, indicating that inefficiency in the stock market could remain for a long time.
Uncertainty, View, and Hedging: Optimal Choice of Instrument and Strike for Value Maximization
Kwon, Oh-Sang ;
Management Science and Financial Engineering, volume 17, issue 2, 2011, Pages 99~129
This paper analytically studies how to choose hedging instrument for firms with steady operating cash flows from value maximization perspective. I derive a formula to determine option's optimal strike that makes hedged cash flow have the best monetary payoff given a hedger's view on the underlying asset. I find that not only the expected mean but also the expected standard deviation of the underlying asset in relation to the forward price and the implied volatility play a crucial role in making optimal hedging decision. Higher moments play a certain part in hedging decision but to a lesser degree.