The Australian Society for Operations Research

Similar documents
Partial Fraction Expansion

European and American options with a single payment of dividends. (About formula Roll, Geske & Whaley) Mark Ioffe. Abstract

Derivation of the differential equation of motion

How to represent a joint, or a marginal distribution?

Year 8 - SOW Week 1 Week 2 Week 3 Week 4 Week 5 Week 6 Week 7 Week 8. Challenge: Pi 3 Unit 1 Expressions and equations

REVISTA INVESTIGACION OPERACIONAL VOL. 38, NO.4, , 2017

T h e C S E T I P r o j e c t

Journal of Contemporary Issues in Business Research USING THE COST-OF-CARRY FORMULA TO DETERMINE FUTURES PRICES: HOW WRONG CAN YOU BE?

AQUIFER DRAWDOWN AND VARIABLE-STAGE STREAM DEPLETION INDUCED BY A NEARBY PUMPING WELL

THE COST-OF-CARRY FORMULA TO DETERMINE FUTURES PRICES: HOW WRONG CAN YOU BE? *

C 2.21 EDGEWATER HEIGHTS CITY OF MUSKEGO, WI INTERIM GRADING PLAN SEE SHEET C 2.0 LEGEND EDGEWATER COURT NORTHEAST BASIN #1 20 PHASE 1

Chapter 4 Circular and Curvilinear Motions

The Economic Capital and Risk Adjustment Performance for VA with Guarantees with an example of GMAB

Anouncements. Conjugate Gradients. Steepest Descent. Outline. Steepest Descent. Steepest Descent

DSP-First, 2/e. This Lecture: LECTURE #3 Complex Exponentials & Complex Numbers. Introduce more tools for manipulating complex numbers

GLOBAL TRACKING CONTROL OF UNDERACTUATED SURFACE SHIPS IN BODY FRAME

Copyright 2012 Pearson Education, Inc. Publishing as Prentice Hall.

Linearization Variance Estimators for Survey Data: Some Recent Work

Adrian Sfarti University of California, 387 Soda Hall, UC Berkeley, California, USA

Reinforcement learning

333 Ravenswood Avenue

The Exile Began. Family Journal Page. God Called Jeremiah Jeremiah 1. Preschool. below. Tell. them too. Kids. Ke Passage: Ezekiel 37:27

UNIT #5 EXPONENTIAL AND LOGARITHMIC FUNCTIONS

( ) ( ) ( ) 0. dt dt dt ME203 PROBLEM SET #6. 1. Text Section 4.5

Bayesian Credibility for Excess of Loss Reinsurance Rating. By Mark Cockroft 1 Lane Clark & Peacock LLP

General Non-Arbitrage Model. I. Partial Differential Equation for Pricing A. Traded Underlying Security

Investment. Net Present Value. Stream of payments A 0, A 1, Consol: same payment forever Common interest rate r

3 Port Solenoid Valve Pilot Operated Poppet Type. External pilot

Reinforcement learning

BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk

EXERCISE - 01 CHECK YOUR GRASP

A New Model for the Pricing of Defaultable Bonds

P a g e 5 1 of R e p o r t P B 4 / 0 9

Control System Engineering (EE301T) Assignment: 2

GUIDE FOR SUPERVISORS 1. This event runs most efficiently with two to four extra volunteers to help proctor students and grade the student

Integrated Optical Waveguides

4.1 The Uniform Distribution Def n: A c.r.v. X has a continuous uniform distribution on [a, b] when its pdf is = 1 a x b

A L A BA M A L A W R E V IE W

Institute of Actuaries of India

Lecture 2: Bayesian inference - Discrete probability models

XV Exponential and Logarithmic Functions

P a g e 3 6 of R e p o r t P B 4 / 0 9

Instructors Solution for Assignment 3 Chapter 3: Time Domain Analysis of LTIC Systems

Lecture 1: Numerical Integration The Trapezoidal and Simpson s Rule

Valley Forge Middle School Fencing Project Facilities Committee Meeting February 2016

Bethe-Salpeter Equation Green s Function and the Bethe-Salpeter Equation for Effective Interaction in the Ladder Approximation

Double Slits in Space and Time

Shor s Algorithm. Motivation. Why build a classical computer? Why build a quantum computer? Quantum Algorithms. Overview. Shor s factoring algorithm

Midterm exam 2, April 7, 2009 (solutions)

1 Lecture: pp

On the optimality of a general integrated production inventory system with time varying demand, production and deterioration rates

Total Duration of Negative Surplus for a Diffusion Surplus Process with Stochastic Return on Investments

STRIPLINES. A stripline is a planar type transmission line which is well suited for microwave integrated circuitry and photolithographic fabrication.

Extinction Ratio and Power Penalty

8 - GRAVITATION Page 1

CHAPTER 24 HYPERBOLIC FUNCTIONS

Jonathan Turner Exam 2-10/28/03

OH BOY! Story. N a r r a t iv e a n d o bj e c t s th ea t e r Fo r a l l a g e s, fr o m th e a ge of 9

The Moúõ. ExplÉüers. Fun Facts. WÉüd Proèô. Parts oì Sp. Zoú Animal Roêks

Posterior analysis of the compound truncated Weibull under different loss functions for censored data.

Homework 2 Solutions

An Indian Journal FULL PAPER. Trade Science Inc. A stage-structured model of a single-species with density-dependent and birth pulses ABSTRACT

The angle between L and the z-axis is found from

English Made Easy: Foundation Book 1 Notes for parents

Design Example Analysis and Design of Jib Crane Boom

4.3 Design of Sections for Flexure (Part II)

I M P O R T A N T S A F E T Y I N S T R U C T I O N S W h e n u s i n g t h i s e l e c t r o n i c d e v i c e, b a s i c p r e c a u t i o n s s h o

! ( ! ( " ) ) ( ( # BRENT CROSS CRICKLEWOOD BXC PHASE 1B NORTH PERSONAL INJURY ACCIDENT AREA ANALYSIS STUDY AREA TP-SK-0001.

Chemistry 342 Spring, The Hydrogen Atom.

Effect of Compensation Factor on the Subsynchronous Resonance in Single Machine Infinite Bus System

An Asymptotic Expansion for the Non-Central Chi-square Distribution. By Jinan Hamzah Farhood Department of Mathematics College of Education

The far field calculation: Approximate and exact solutions. Persa Kyritsi November 10th, 2005 B2-109

H STO RY OF TH E SA NT

Trade Patterns, Production networks, and Trade and employment in the Asia-US region

ADDITIVE INTEGRAL FUNCTIONS IN VALUED FIELDS. Ghiocel Groza*, S. M. Ali Khan** 1. Introduction

Analytical Evaluation of Multicenter Nuclear Attraction Integrals for Slater-Type Orbitals Using Guseinov Rotation-Angular Function

Probabilistic Graphical Models

POSITIVITY AND REACHABILITY OF FRACTIONAL ELECTRICAL CIRCUITS

Coupled Mass Transport and Reaction in LPCVD Reactors

Surfaces in the space E

Sharif University of Technology - CEDRA By: Professor Ali Meghdari

UMX-HDMI-140. UMX Series Switcher for VGA, DVI-I, HDMI and DisplayPort with Audio Embedding. Part No: Description

Supplementary Information

SOLUTIONS. 1. Consider two continuous random variables X and Y with joint p.d.f. f ( x, y ) = = = 15. Stepanov Dalpiaz

ERROR SPACE MOTION CONTROL METHODOLOGY FOR COMPLEX CONTOURS. Robert G. Landers

H is equal to the surface current J S

Noise in electronic components.

2.1. Differential Equations and Solutions #3, 4, 17, 20, 24, 35

5. An object moving along an x-coordinate axis with its scale measured in meters has a velocity of 6t

Final Exam. Thursday, December hours, 30 minutes

PS#4 due today (in class or before 3pm, Rm ) cannot ignore the spatial dimensions

International Journal of Computer Science Trends and Technology (IJCST) Volume 3 Issue 6, Nov-Dec 2015

1. Consider a pure-exchange economy with stochastic endowments. The state of the economy

RAKE Receiver with Adaptive Interference Cancellers for a DS-CDMA System in Multipath Fading Channels

Convergence tests for the cluster DFT calculations

Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information

Problem Set #3: AK models

b denotes trend at time point t and it is sum of two


Feedback Control and Synchronization of Chaos for the Coupled Dynamos Dynamical System *

Transcription:

h Asalian Sociy fo Opaions sach www.aso.og.a ASO Bllin Vol 33 ss 4 Pags 4-48 A Coninos viw nvnoy Mol fo Dioaing s wih Sochasic Dan an Pic Discon on Backos Manisha Pal an Sjan Chana Dpan of Saisics Univsiy of Calca nia Eail: anishapal@gail.co Dpan of Saisics Halia Gov. Collg nia Asac h pap sis a coninos viw invnoy ol fo ioaing is whn an is ano an only a facion of h n an is acklogg. a i is ass o consan an h invnoy anag offs a pic iscon on ackos o p csos o wai. Kywos: Coninos viw invnoy ol; ponnially ioaing is; sochasic an; fi la i; pic iscon on ackos.. nocion n classical invnoy ols wih shoags i is gnally ass ha h n an is ih coplly los o coplly acklogg. Howv i is qi possil ha whil so csos lav ohs a willing o wai ill flfiln of hi an. n so siaions h invnoy anag ay off a iscon on ackos an/o cion in waiing i o p csos o wai. Oyang al. 999 consi cion in la i an oing cos in a coninos viw ol wih paial ackoing. Dan an Hsian si invnoy ols wih acko iscon an ano la i. Chang al. 4 iscss a isiion f poc fo i invnoy ol wih acko iscon an vaial la i. al. 7 si an invnoy policy involving ack-o iscons an vaial la i an Uhayaka an Pavai 8 consi a coninos viw ol wih only fis wo ons of h la i an known an oain h opi acko pic iscon an o qaniy in ha siaion. Pal an Chana si a inisic invnoy ol wih pissil lay in payn an pic iscon on ackos. S also Chng an Hang 998 vino al. 993 Ki al. 99. h Asalian Sociy fo Opaions sach 4

4 ASO Bllin Vol 33 ss 4 Pags 4-48 n his pap w consi a coninos viw invnoy ol fo ioaing is whn an is ano an a pic iscon is off o csos who a willing o wai fo ackos. a i is ass o fi an h an a of ioaion is also consan. h pap is oganiz as follows. Scion givs h noaions s an h asspions a in h sy. Scion 3 folas an analyzs h ol. n scion 4 a snsiiviy analysis is cai o hogh an apl. Finally concling aks a a in scion 5.. Noaions an Mol Asspions h invnoy ol consi is a coninos viw ol. h following noaions an asspions hav n s h.. Noaions = invnoy lvl a i poin = facion of h an acko ing sock o = pp on on acko aio θ= a of ioaion = fi la i X = ano an ing la i = pc lngh of a plnishn cycl = h o qaniy a ach o poin = sock high which iggs off an o = pc i akn fo sock o co own o K = oing cos p o p = pchas cos p ni h = holing cos p ni p ni i s = fi shoag cos p ni sho p ni i s = los sals cos p ni an los = pic iscon on ni acko off = aginal pofi p ni. Asspions h asspions govning h ol a as follows:. h ol consis only on i in invnoy.

4 ASO Bllin Vol 33 ss 4 Pags 4-48. h sock on han ioas a a consan a. h is no pai o placn of ioa is. 3. Dan is ano wih an an a. 4. Shoags a allow an a facion of n ans ing sock-o is acklogg. 5. a i is fi. 6. Dan ing la i follows an ponnial isiion wih paa. 7. Only on o can osaning a any poin of i. 8. Ding h sock-o pio h acko facion is icly popoional o h pic iscon off y h invnoy anag on ni acko. hs wh. 3. Mol Folaion an Analysis h invnoy policy is o plac an o fo is whnv h sock high cos own o. W ass h planning pio o of infini lngh so ha h ol is si ov a plnishn cycl. A plnishn cycl fins h i inval wn wo consciv spplis of h o qaniy. no h invnoy lvl a i poin in h plnishn cycl. s consi h siaion wh h sock on han a h n of h la i is ga han o qal o zo. hn sinc plion of sock occs owing o an an ioaion h following iffnial qaions will fin ansiions in invnoy ing h la i: / wih onay coniion =. H - = h la i. Hnc. say. Sinc w s hav hs h iffnial qaions fining ansiions in invnoy ing a plnishn inval will as follows: i fo /.

43 ASO Bllin Vol 33 ss 4 Pags 4-48 ii Fo / / wh is h i akn fo sock on han o has ing h la i whn. n i h onay coniion givs an h onay coniion givs ln ln. n ii fo h onay coniions w g. Sinc h laionship wn an is oain as ln. h pc invnoy ing a cycl is hn givn y

44 ASO Bllin Vol 33 ss 4 Pags 4-48 E = f f [ { }{ } { Ei ln - Ei }] wh Ei. h n of nis ioaing p cycl is hfo E. Sinc shoag occs ov h pio [ ] whn h la i an cs an nos h acko aio h n of ackos p cycl is givn y S [ f h pc n of los sals ing a cycl is { ln Ei Ei }] hs h oal pc cos p ni pc lngh of a plnishn cycl is givn y C [ K h p E ss s ] ln

45 ASO Bllin Vol 33 ss 4 Pags 4-48 [ ] [ [ { ln[ ] C k s S s h E P E s k Ei }] [ ln { }{ } s Ei h P { }]] ln[ ] Ei Ei N Fo givn h opial vals of an which iniiz C s saisfy C an C which giv C P h.. }}] ] [ { { } } { { [ C Ei P h s Ei s Fo. an. an a oain as non-lina fncions of. Hnc C can pss as a fncion of alon iniizing which w oain h opi vals of an hnc of an.

46 ASO Bllin Vol 33 ss 4 Pags 4-48 4. Snsiiviy Analysis Sinc algaic acailiy is alos ipossil w ap o g an ia of h havio of h opial wih chang in h ol paas hogh nical apls. al : Showing h opial vals of an cosponing pc cos p ni i fo iffn vals of whn K=4 =35 p=3 h=7 s=5 s =5 = =5 =.5 =.5 C.3.958 7.457.7457.7838.547.5.883 7.49.7593.783396 6.4..5559 6.76665.7653.784336 39.33.3 9.546 4.67899.837.7885 74.5493.5 8.5644.756766.874.796 9.45.8 7.4586.857.633.84488 85.4675 al : Showing h opial vals of an cosponing pc cos p ni i fo iffn vals of h whn K=4 =35 p=3 s=5 s =5 θ=. = =5 =.5 =.5 h C..467 8.78665.7653.784336 69.39.7.4755 8.76644.7653.784335 7.4 4.9646 7.6397.7653.784335.4896.767 5.89399.7653.784335 6.838 5 9.559 4.3568.7653.784335 87.64 7 5.4639.89 4.9489.996546 63.3636 5.8585.643 4.9456.99635 87.854 al 3: Showing h opial vals of an cosponing pc cos p ni i fo iffn vals of whn K=4 =35 p=3 h=7 s=5 s =5 θ=. = =5 =.5 C. 4..5779 4.9995.99533 677.9.3 43.3659 9.3793 4.9995.99533 34.678.5.5559 6.76665.7653.784336 39.33.7.738 4.77953 8.94458.59684 4.785 5.948 3.94738 6.769847.4533 7.9988

47 ASO Bllin Vol 33 ss 4 Pags 4-48 al 4: Showing h opial vals of an cosponing pc cos p ni i fo iffn vals of s whn K=4 =35 p=3 h=7 s =5 θ=. = =5 =.5 =.5 s C.5675 6.596.4676.76457 45.46 3.55955 6.6983.663.7744 4.39 5.5559 6.76665.7653.784336 39.33 8.53965 6.86943.988.7997 33.838.5369 6.958793.368.89 3.78 al 5: Showing h opial vals of an cosponing pc cos p ni i fo iffn vals of s whn K=4 =35 p=3 h=7 s=5 θ=. = =5 =.5 =.5 s C 5.77.4439 3.979786.6539.54 3 7.454 3.747494 7.637586.597 9.7599 5.5559 6.76665.7653.784336 39.33 7.34 9.894 4.9995.99533 4.949 9.8577.57 4.9995.99533 44.867 h following osvaions a a fo als 5: a an a casing fncions of an h whil incass as /h incass. an a casing fncions of. c As s incass an incas cass. an a non-casing fncions of s. 5. Conclsion h pap sis a coninos viw invnoy ol fo ioaing is whn an follows an ponnial isiion an la i is fi. n o o ncoag csos o wai fo flfilln of hi an whn sock on han is zo h invnoy anag offs a iscon on ackos. h opial o qaniy o lvl an iscon on ackos hav n oain so as o iniiz h oal pc cos of h invnoy anag. h na of chang in h opial vals of h cision vaials wih chang in h ol paas has n invsiga hogh nical apls.

48 ASO Bllin Vol 33 ss 4 Pags 4-48 fncs. Chang B.. Oyang.Y. Chang K.W.: A no on pioic viw invnoy ol wih conollal sp cos an la i. Cops & Opaions sach. 34 549 56 4. Chng K.J. Hang C.K.: Econoic anfacing qaniy ol involving la i an sp cos cion invsn as cision vaials. nnaional Jonal of Opaions an aniaiv Managn. 4 9 6 998 3. Dan an Hsian: nvnoy ols wih acko iscons an vaial la i. nnaional Jonal of Sys Scinc. 37 95-99 4. Ki K.. Hayya J.C. an Hong J.D.: Sp cos cion in conoic pocion qaniy ol. Dcision Scincs. 3 5-58 99 5. W.C. W J.W. i C..: Opial invnoy policy involving ack-o iscons an vaial la i an. nnaional Jonal of Avanc Manfacing chnology. 349-958 967 7 6. Oyang. Chng C. Chang H.: a i an oing cos cions in coninos viw invnoy syss wih paial ackos. Jonal of h Opaional sach Sociy. 5 7 79 999 7. Pal M. an Chana S. : A inisic invnoy ol wih pissil lay in payn an pic iscon on ackos. o appa in Opsach. 8. vino J. Hly B.J Fiich W.: A ahaical ol fo h conoic jsificaion of sp i cion. nnaional Jonal of Pocion sach. 3 9 993 9. Uhayaka. Pavahi P.: nvnoy Mols wih i of Backos involving cil a i an Sp Cos. Opsach. 45-33 8