Journal of the Operations Research Society of Japan

[title in Japanese]

Article type: Cover
1999 Volume 42 Issue 4 Pages Cover10-
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.Cover10

JOURNAL FREE ACCESS

Download PDF (17K)
[title in Japanese]

Article type: Appendix
1999 Volume 42 Issue 4 Pages App7-
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.App7

JOURNAL FREE ACCESS

Download PDF (66K)
A BOUNDED DETERIORATION PROPERTY OF A SYMMETRIC POSITIVE DEFINITE CLASS OF NEWTON-LIKE METHODS AND ITS APPLICATION

Hiroshi Yabe, Naokazu Yamaki

Article type: Article
1999 Volume 42 Issue 4 Pages 373-388
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.373

JOURNAL FREE ACCESS

Show abstractHide abstract

This paper is concerned with Newton-like methods for solving unconstrained minimization problems. We derive a general form and its factorized form of a symmetric positive definite matrix that satisfies the secant condition in order to approximate the Hessian matrix of the objective function. We obtain the bounded deterioration property for such a general form, which is an extention of the bounded deterioration property for secant methods. Applying the general form to the secant method, we obtain a new family that includes the Broyden family, and we show local and q-superlinear convergence of our method. Furthermore, we propose applying the general form to nonlinear least squares problems to obtain a modification of the Gauss-Newton method.

View full abstract

Download PDF (985K)
CHARACTERISTICS ON STOCHASTIC DEA EFFICIENCY : RELIABILITY AND PROBABILITY BEING EFFICIENT

Hiroshi Morita, Lawrence M. Seiford

Article type: Article
1999 Volume 42 Issue 4 Pages 389-404
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.389

JOURNAL FREE ACCESS

Show abstractHide abstract

Data envelopment analysis(DEA) is a useful non-parametric method to evaluate a relative efficiency of multi-input and multi-output units based on observed data. In general, observed data have inherent uncertainty, however, it is difficult to treat the stochastic data in the conventional DEA model. It is required the development of stochastic DEA model, where the uncertainty like a measurement error should be incorporated. We consider in this paper an efficiency analysis of decision making units(DMUs) by using inputs and outputs data with stochastic variations, and discuss some stochastic measures of efficiency taking into account of the measurement error. The most interesting characteristic is reliability and robustness of the efficiency result. We propose a measure for reliability of efficient DMUs as the amount of stochastic variations that remain the efficient DMU being efficient. A minimum efficiency score at a specified probability level is also used as a robustness measure. Moreover, we discuss some stochastic measures such as an expected efficiency score, a probability being efficient, an α-percentile of efficiency score.

View full abstract

Download PDF (1198K)
A LARGE-SCALE AHP INCLUDING INCOMPLETE INFORMATION AND MULTIPLE EVALUATORS AND ITS APPLICATION TO PERSONNEL ADMINISTRATION EVALUATION SYSTEM

Naokazu Yamaki, Kazuyuki Sekitani

Article type: Article
1999 Volume 42 Issue 4 Pages 405-421
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.405

JOURNAL FREE ACCESS

Show abstractHide abstract

The conventional AHP supposes that several objects are completely compared by a single evaluator and hence, we can not directly apply it to an evaluation system with a lot of number of alternatives/criteria and multiple evaluators. Applying it to a personnel administration evaluation system in a section of a organization, we are faced with the problem of a large number of alternatives and multiple evaluators. There are several project teams in the section of the organization and all employees belong to each team. Because all project leaders compare some pairs of members within each team, multiple evaluators carry out a part of overall pairwise comparisons among all employees. This study develops a framework of AHP which is available to the evaluation system including multiple evaluators and a lot of alternatives or criteria. Dealing with a lot of alternatives or criteria, we does not assume complete pairwise comparisons and we permit different pairwise comparison values of the same pair by several evaluators. In order to determine priority weights of alternatives (criteria), we proposes the logarithmic least squared method with the input-data of such pairwise comparison values. We show that the proposed framework of AHP is a geometric mean method in the case where a single evaluator compares all pair of alternatives. We prove that it is a group AHP which deals with the geometric mean among multiple comparison values of the same pair as the representative pairwise comparison value. We apply the framework of AHP to a personnel evaluation in software company in order to illustrate its validity.

View full abstract

Download PDF (1467K)
MEAN-ABSOLUTE DEVIATION PORTFOLIO OPTIMIZATION MODEL UNDER TRANSACTION COSTS

Hiroshi Konno, Annista Wijayanayake

Article type: Article
1999 Volume 42 Issue 4 Pages 422-435
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.422

JOURNAL FREE ACCESS

Show abstractHide abstract

We will propose a branch and bound algorithm for solving a portfolio optimization model under nonconvex transaction costs. It is well known that the unit transaction cost is larger when the amount of transaction is small while it remains stable up to a certain point and then increases due to illiquidity effects. Therefore, the transaction cost function is typically nonconvex. The existence of nonconvex transaction costs very much affects the optimal portfolio particularly when the amount of fund is small. However, the portfolio optimization problem under nonconvex transaction cost are largely set aside due to its computational difficulty. In fact, there are only a few studies which treated nonconvex costs in a rigorous manner. In this paper, we will propose a branch and bound algorithm for solving a mean-absolute deviation portfolio optimization model assuming that the cost function is concave. We will use a linear underestimating function for a concave cost function to calculate a good bound, and demonstrate that a fairly large scale problem can be solved in an efficient manner using the real stock data and transaction cost table in the Tokyo Stock Exchange. Finally, extension of our algorithm to rebalancing will be briefly touched upon.

View full abstract

Download PDF (764K)
MATRIX PRODUCT-FORM SOLUTIONS OF STATIONARY PROBABILITIES IN TANDEM QUEUES

Hsing Paul Luh

Article type: Article
1999 Volume 42 Issue 4 Pages 436-456
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.436

JOURNAL FREE ACCESS

Show abstractHide abstract

Fujimoto et al., have proved that the tail of the joint queue length distribution in a two-stage tandem queueing system has the geometric decay property. We continue to investigate the properties of stationary distributions in this tandem queueing system. Under the same conditions proposed by them, it is further shown that the stationary probability of the saturated states in the PH/PH/c_1 → /PH/c_2 queue has a linear combination of product-forms. The method of linear combination of product-forms is presented in a QBD process with a countable number of phases in each level. We show that each component of these products can be expressed in terms of roots of the associated characteristic polynomials which involve only the Laplace-Stieltjes transforms of the interarrival and service time distributions.

View full abstract

Download PDF (1359K)
OPTIMAL SEQUENTIAL BACKUP STRATEGY UNDER CONSTRAINED RESOURCES

Toshio Hamada

Article type: Article
1999 Volume 42 Issue 4 Pages 457-470
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.457

JOURNAL FREE ACCESS

Show abstractHide abstract

When we construct a program by using a computer, we sometimes interrupt to work and store the program constructed up to this point on a disk or another medium. At that time, we sometimes make a backup copy of the program on another disk. Whether we make a backup copy or not seems to depend on the probability that the program on a disk will be broken by an accident during the work. This kind of problem is formulated by dynamic programming and the optimal strategy is derived with the critical values whose explicit form is analytically derived.

View full abstract

Download PDF (808K)
PIECEWISE PSEUDO ESTIMATION FOR NHPP USING DATA IN THE ADJACENT INTERVALS

Kenichi Funaki, Hideaki Matoba

Article type: Article
1999 Volume 42 Issue 4 Pages 471-489
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.471

JOURNAL FREE ACCESS

Show abstractHide abstract

In modeling a system with NHPP, we generally need to estimate the parameters of its mean function A(t). In practical situations, however, there exist many cases that the parametric representation of A(t) is unknown. For such a case, Law and Kelton proposed a nonparametric estimation with a piecewiseconstant intensity function, which requires many sample data sets to obtain statistically accurate values. In this paper we propose a piecewise estimation method which covers the case that only one or a few sets of sample data can be obtained. The proposed method gives pseudo estimator by using the sample data of the adjacent intervals, nevertheless it can theoretically gain more statistical accuracy even with one or a few sets of sample data than the method by Law and Kelton. The effectiveness of the proposed method is shown by some experimental results.

View full abstract

Download PDF (1600K)
ON M/G/1 QUEUES WITH THE FIRST N CUSTOMERS OF EACH BUSY PERIOD RECEIVING EXCEPTIONAL SERVICES

Yutaka Baba

Article type: Article
1999 Volume 42 Issue 4 Pages 490-500
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.490

JOURNAL FREE ACCESS

Show abstractHide abstract

This paper studies generalized M/G/1 queues in which the first N customers of each busy period receive exceptional services. Applying the supplementary variable approach, we derive the recursion formulas to obtain the generating function of the stationary queue length distribution given that n customers have been served since the beginning of current busy period. Furthermore, we present a computationally tractable scheme which recursively determines the moments of the queue length distribution and the sojourn time distribution. Special cases are treated in detail. Numerical examples are also provided.

View full abstract

Download PDF (605K)
CUMULATIVE DAMAGE MODEL WITH TWO KINDS OF SHOCKS AND ITS APPLICATION TO THE BACKUP POLICY

Cunhua Qian, Syouji Nakamura, Toshio Nakagawa

Article type: Article
1999 Volume 42 Issue 4 Pages 501-511
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.501

JOURNAL FREE ACCESS

Show abstractHide abstract

This paper considers an extended cumulative damage model with two kinds of shocks: One is failure shock at which a system fails and the other is damage shock at which it suffers only damage. Shocks occur at a nonhomogeneous Poisson process. A system fails when a failure shock occurs or the total damage has exceeded a threshold level K. A system is also replaced before failure at scheduled time T. Reliability measures of this model are derived, using the theory of cumulative processes. Further, this is applied to the backup of files in a database system. Optimal replacement times which minimize the expected cost are discussed and numerically computed for several cases.

View full abstract

Download PDF (748K)
[title in Japanese]

Article type: Appendix
1999 Volume 42 Issue 4 Pages 512-514
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.512

JOURNAL FREE ACCESS

Download PDF (234K)
[title in Japanese]

Article type: Appendix
1999 Volume 42 Issue 4 Pages 515-
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.515

JOURNAL FREE ACCESS

Download PDF (65K)
[title in Japanese]

Article type: Index
1999 Volume 42 Issue 4 Pages 516-518
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.516

JOURNAL FREE ACCESS

Download PDF (162K)
[title in Japanese]

Article type: Appendix
1999 Volume 42 Issue 4 Pages App8-
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.App8

JOURNAL FREE ACCESS

Download PDF (325K)
[title in Japanese]

Article type: Cover
1999 Volume 42 Issue 4 Pages Cover11-
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.Cover11

JOURNAL FREE ACCESS

Download PDF (50K)
[title in Japanese]

Article type: Cover
1999 Volume 42 Issue 4 Pages Cover12-
Published: 1999
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.42.Cover12

JOURNAL FREE ACCESS

Download PDF (50K)

Register with J-STAGE for free!