A tutorial on the cross-entropy method

The cross-entropy (CE) method is a new generic approach to combinatorial and multi-extremal optimization and rare event simulation. The purpose of this tutorial is to give a gentle introduction to the CE method. We present the CE methodology, the basic algorithm and its modifications, and discuss applications in combinatorial optimization and machine learning. combinatorial optimization

Heavy tails, importance sampling and cross-entropy

We consider the problem of estimating P(Yi + (...) + Y-n > x) by importance sampling when the Yi are i.i.d. and heavy-tailed. The idea is to exploit the cross-entropy method as a toot for choosing good parameters in the importance sampling distribution; in doing so, we use the asymptotic description that given P(Y-1 + (...) + Y-n > x), n - 1 of the Yi have distribution F and one the conditional distribution of Y given Y > x. We show in some specific parametric examples (Pareto and Weibull) how this leads to precise answers which, as demonstrated numerically, are close to being variance minimal within the parametric class under consideration. Related problems for M/G/l and GI/G/l queues are also discussed.

Improved algorithms for rare event simulation with heavy tails

The estimation of P(S-n > u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n > u) = nP(S, > u, M-n = Y-n), where M-n = max(Y-1,..., Y-n). One estimator uses importance sampling (for Y-n only), and the other uses conditional Monte Carlo conditioning upon Y1,..., Yn-1. Properties of the relative error of the estimators are derived and a numerical study given in terms of the M/G/1 queue in which n is replaced by an independent geometric random variable N. The conclusion is that the new estimators compare extremely favorably with previous ones. In particular, the conditional Monte Carlo estimator is the first heavy-tailed example of an estimator with bounded relative error. Further improvements are obtained in the random-N case, by incorporating control variates and stratification techniques into the new estimation procedures.

Erratum: Two-Dimensional Failure Modeling with Minimal Repair which appeared in this journal of April 2004, Volume 51:3 on pages 345–362

In this Erratum, we point out the reason for an error in the derivation of a result in our earlier paper, “Two-Dimensional Failure Modeling with Minimal Repair” [1], which appeared in the April 2004 issue of this journal, 51:3, on pages 345–362, and give the correct derivation.

Determining operations affected by delay in predictive train timetables

Constructing train schedules is vital in railways. This complex and time consuming task is however made more difficult by additional requirements to make train schedules robust to delays and other disruptions. For a timetable to be regarded as robust, it should be insensitive to delays of a specified level and its performance with respect to a given metric, should be within given tolerances. In other words the effect of delays should be identifiable and should be shown to be minimal. To this end, a sensitivity analysis is proposed that identifies affected operations. More specifically a sensitivity analysis for determining what operation delays cause each operation to be affected is proposed. The information provided by this analysis gives another measure of timetable robustness and also provides control information that can be used when delays occur in practice. Several algorithms are proposed to identify this information and they utilise a disjunctive graph model of train operations. Upon completion the sets of affected operations can also be used to define the impact of all delays without further disjunctive graph evaluations.

A proposal for sea otter protection and research and request for the return of management to the State of California

v.1 - Text and Summaries (272 page document)

Research intensity and knowledge transfer activity in UK universities

As the innovation process has become more open and networked, Government policy in the UK has sought to promote both research excellence in the university sector and the translation of this into economic benefit through university–business engagement. However, this policy approach has tended to be applied uniformly with little account for organisational differences within the sector. In this paper we consider if differences between universities in their research performance is reflected in their knowledge transfer activity. Specifically, as universities develop a commercialization agenda are the strategic priorities for knowledge transfer, the organisational supports in place to facilitate knowledge transfer and the scale and scope of knowledge transfer activity different for high research intensive (HRI) and low research intensive (LRI) universities? The findings demonstrate that universities’ approach to knowledge transfer is shaped by institutional and organisational resources, in particular their ethos and research quality, rather than the capability to undertake knowledge transfer through a Technology Transfer Office (TTO). Strategic priorities for knowledge transfer are reflected in activity, in terms of the dominance of specific knowledge transfer channels, the partners with which universities engage and the geography of business engagement.

The role of operations management in public sector policy and practice alignment: a local government analysis

In responding to the demand for change and improvement, local government has applied a plethora of operations management-based methods, tools and techniques. This article explores how these methods, specifically in the form of performance management models, are used to improve alignment between central government policy and local government practice, an area which has thus far been neglected in the literature. Using multiple case studies from Environmental Waste Management Services, this research reports that models derived in the private sector are often directly ‘implanted’ into the public sector. This has challenged the efficacy of all performance management models. However, those organisations which used models most effectively did so by embedding (contextualisation) and extending (reconceptualisation) them beyond their original scope. Moreover, success with these models created a cumulative effect whereby other operations management approaches were probed, adapted and used.

Good Laboratory Practice for optimization research

Good Laboratory Practice has been a part of non-clinical research for over 40 years. Optimization Research, despite having many papers discussing standards being published over the same period of time, has yet to embrace standards that underpin its research. In this paper we argue the need to adopt standards in optimization research. Building on previous papers, many of which have suggested that the optimization research community should adopt certain standards, we suggest a concrete set of recommendations that the community should adopt. We also discuss how the proposals in this paper could be progressed.

Operational research applied to regional healthcare system

In this thesis we focus on optimization and simulation techniques applied to solve strategic, tactical and operational problems rising in the healthcare sector. At first we present three applications to Emilia-Romagna Public Health System (SSR) developed in collaboration with Agenzia Sanitaria e Sociale dell'Emilia-Romagna (ASSR), a regional center for innovation and improvement in health. Agenzia launched a strategic campaign aimed at introducing Operations Research techniques as decision making tools to support technological and organizational innovations. The three applications focus on forecast and fund allocation of medical specialty positions, breast screening program extension and operating theater planning. The case studies exploit the potential of combinatorial optimization, discrete event simulation and system dynamics techniques to solve resource constrained problem arising within Emilia-Romagna territory. We then present an application in collaboration with Dipartimento di Epidemiologia del Lazio that focuses on population demand of service allocation to regional emergency departments. Finally, a simulation-optimization approach, developed in collaboration with INESC TECH center of Porto, to evaluate matching policies for the kidney exchange problem is discussed.

Internet-based exercises and mini-exams for production and operations management

The purpose of the internet-based teachware mySCM is that students of economics, informatics and industrial engineering get familiar with quantitative methods for supply chain management. Input-output-relationships of various optimization methods can be detected by sampling input values, parameters, and alternative methods for the same problem. Students can gain extra benefits by passing so-called mini-exams that motivate active learning. mySCM can be used for free, round-the-clock, and any place where access to the Internet is available.

Traffic operations control for older drivers. Final report.

Federal Highway Administration, Office of Safety and Traffic Operations Research and Development, McLean, Va.