Dynamic Programming Approaches for Estimating and Applying Large-scale Discrete Choice Models

People go through their life making all kinds of decisions, and some of these decisions affect their demand for transportation, for example, their choices of where to live and where to work, how and when to travel and which route to take. Transport related choices are typically time dependent and characterized by large number of alternatives that can be spatially correlated. This thesis deals with models that can be used to analyze and predict discrete choices in large-scale networks. The proposed models and methods are highly relevant for, but not limited to, transport applications. We model decisions as sequences of choices within the dynamic discrete choice framework, also known as parametric Markov decision processes. Such models are known to be difficult to estimate and to apply to make predictions because dynamic programming problems need to be solved in order to compute choice probabilities. In this thesis we show that it is possible to explore the network structure and the flexibility of dynamic programming so that the dynamic discrete choice modeling approach is not only useful to model time dependent choices, but also makes it easier to model large-scale static choices. The thesis consists of seven articles containing a number of models and methods for estimating, applying and testing large-scale discrete choice models. In the following we group the contributions under three themes: route choice modeling, large-scale multivariate extreme value (MEV) model estimation and nonlinear optimization algorithms. Five articles are related to route choice modeling. We propose different dynamic discrete choice models that allow paths to be correlated based on the MEV and mixed logit models. The resulting route choice models become expensive to estimate and we deal with this challenge by proposing innovative methods that allow to reduce the estimation cost. For example, we propose a decomposition method that not only opens up for possibility of mixing, but also speeds up the estimation for simple logit models, which has implications also for traffic simulation. Moreover, we compare the utility maximization and regret minimization decision rules, and we propose a misspecification test for logit-based route choice models. The second theme is related to the estimation of static discrete choice models with large choice sets. We establish that a class of MEV models can be reformulated as dynamic discrete choice models on the networks of correlation structures. These dynamic models can then be estimated quickly using dynamic programming techniques and an efficient nonlinear optimization algorithm. Finally, the third theme focuses on structured quasi-Newton techniques for estimating discrete choice models by maximum likelihood. We examine and adapt switching methods that can be easily integrated into usual optimization algorithms (line search and trust region) to accelerate the estimation process. The proposed dynamic discrete choice models and estimation methods can be used in various discrete choice applications. In the area of big data analytics, models that can deal with large choice sets and sequential choices are important. Our research can therefore be of interest in various demand analysis applications (predictive analytics) or can be integrated with optimization models (prescriptive analytics). Furthermore, our studies indicate the potential of dynamic programming techniques in this context, even for static models, which opens up a variety of future research directions.

Essays in corporate finance

China has been growing rapidly over the last decades. The private sector is the driving force of this growth. This thesis focuses on firm-level investment and cash holdings in China, and the chapters are structured around the following issues. 1. Why do private firms grow so fast when they are more financially constrained? In Chapter 3, we use a panel of over 600,000 firms of different ownership types from 1998 to 2007 to find the link between investment opportunities and financial constraints. The main finding indicates that private firms, which are more likely to be financially constrained, have high investment-investment opportunity sensitivity. Furthermore, this sensitivity is relatively lower for state-owned firms in China. This shows that constrained firms value investment opportunities more than unconstrained firms. To better measure investment opportunities, we attempt to improve the Q model by considering supply and demand sides simultaneously. When we capture q from the supply side and the demand side, we find that various types of firms respond differently towards different opportunity shocks. 2. In China, there are many firms whose cash flow is far greater than their fixed capital investment. Why is their investment still sensitive to cash flow? To explain this, in Chapter 4, we attempt to introduce a new channel to find how cash flow affects firm-level investment. We use a dynamic structural model and take uncertainty and ambiguity aversion into consideration. We find that uncertainty and ambiguity aversion will make investment less sensitive to investment opportunities. However, investment-cash flow sensitivity will increase when uncertainty is high. This suggests that investment cash flow sensitivities could still be high even when the firms are not financially constrained. 3. Why do firms in China hold so much cash? How can managers’ confidence affect corporate cash holdings? In Chapter 5, we analyse corporate cash holdings in China. Firms hold cash for precautionary reasons, to hedge frictions such as financing constraints and uncertainty. In addition, firms may act differently if they are confident or not. In order to determine how confidence shocks affect precautionary savings, we develop a dynamic model taking financing constraints, uncertainty, adjustment costs and confidence shocks into consideration. We find that without confidence shocks, firms will save money in bad times and invest in good times to maximise their value. However, if managers lose their confidence, they tend to save money in good times to use in bad times, to hedge risks and financing constraint problems. This can help explain why people find different results on the cash flow sensitivity of cash. Empirically, we use a panel of Chinese listed firms. The results show that firms in China save more money in good times, and the confidence shock channel can significantly affect firms’ cash holdings policy.

Essays on Macroeconomic Trends and Cycles

This dissertation describes two studies on macroeconomic trends and cycles. The first chapter studies the impact of Information Technology (IT) on the U.S. labor market. Over the past 30 years, employment and income shares of routine-intensive occupations have declined significantly relative to nonroutine occupations, and the overall U.S. labor income share has declined relative to capital. Furthermore, the decline of routine employment has been largely concentrated during recessions and ensuing recoveries. I build a model of unbalanced growth to assess the role of computerization and IT in driving these labor market trends and cycles. I augment a neoclassical growth model with exogenous IT progress as a form of Routine-Biased Technological Change (RBTC). I show analytically that RBTC causes the overall labor income share to follow a U-shaped time path, as the monotonic decline of routine labor share is increasingly offset by the monotonic rise of nonroutine labor share and the elasticity of substitution between the overall labor and capital declines under IT progress. Quantitatively, the model explains nearly all the divergence between routine and nonroutine labor in the period 1986-2014, as well as the mild decline of the overall labor share between 1986 and the early 2000s. However, the model with IT progress alone cannot explain the accelerated decline of labor income share after the early 2000s, suggesting that other factors, such as globalization, may have played a larger role in this period. Lastly, when nonconvex labor adjustment costs are present, the model generates a stepwise decline in routine labor hours, qualitatively consistent with the data. The timing of these trend adjustments can be significantly affected by aggregate productivity shocks and concentrated in recessions. The second chapter studies the implications of loss aversion on the business cycle dynamics of aggregate consumption and labor hours. Loss aversion refers to the fact that people are distinctively more sensitive to losses than to gains. Loss averse agents are very risk averse around the reference point and exhibit asymmetric responses to positive and negative income shocks. In an otherwise standard Real Business Cycle (RBC) model, I study loss aversion in both consumption alone and consumption-and-leisure together. My results indicate that how loss aversion affects business cycle dynamics depends critically on the nature of the reference point. If, for example, the reference point is status quo, loss aversion dramatically lowers the effective inter-temporal rate of substitution and induces excessive consumption smoothing. In contrast, if the reference point is fixed at a constant level, loss aversion generates a flat region in the decision rules and asymmetric impulse responses to technology shocks. Under a reasonable parametrization, loss aversion has the potential to generate asymmetric business cycles with deeper and more prolonged recessions.

Multi-level, Multi-stage and Stochastic Optimization Models for Energy Conservation in Buildings for Federal, State and Local Agencies

Energy Conservation Measure (ECM) project selection is made difficult given real-world constraints, limited resources to implement savings retrofits, various suppliers in the market and project financing alternatives. Many of these energy efficient retrofit projects should be viewed as a series of investments with annual returns for these traditionally risk-averse agencies. Given a list of ECMs available, federal, state and local agencies must determine how to implement projects at lowest costs. The most common methods of implementation planning are suboptimal relative to cost. Federal, state and local agencies can obtain greater returns on their energy conservation investment over traditional methods, regardless of the implementing organization. This dissertation outlines several approaches to improve the traditional energy conservations models. Any public buildings in regions with similar energy conservation goals in the United States or internationally can also benefit greatly from this research. Additionally, many private owners of buildings are under mandates to conserve energy e.g., Local Law 85 of the New York City Energy Conservation Code requires any building, public or private, to meet the most current energy code for any alteration or renovation. Thus, both public and private stakeholders can benefit from this research. The research in this dissertation advances and presents models that decision-makers can use to optimize the selection of ECM projects with respect to the total cost of implementation. A practical application of a two-level mathematical program with equilibrium constraints (MPEC) improves the current best practice for agencies concerned with making the most cost-effective selection leveraging energy services companies or utilities. The two-level model maximizes savings to the agency and profit to the energy services companies (Chapter 2). An additional model presented leverages a single congressional appropriation to implement ECM projects (Chapter 3). Returns from implemented ECM projects are used to fund additional ECM projects. In these cases, fluctuations in energy costs and uncertainty in the estimated savings severely influence ECM project selection and the amount of the appropriation requested. A risk aversion method proposed imposes a minimum on the number of “of projects completed in each stage. A comparative method using Conditional Value at Risk is analyzed. Time consistency was addressed in this chapter. This work demonstrates how a risk-based, stochastic, multi-stage model with binary decision variables at each stage provides a much more accurate estimate for planning than the agency’s traditional approach and deterministic models. Finally, in Chapter 4, a rolling-horizon model allows for subadditivity and superadditivity of the energy savings to simulate interactive effects between ECM projects. The approach makes use of inequalities (McCormick, 1976) to re-express constraints that involve the product of binary variables with an exact linearization (related to the convex hull of those constraints). This model additionally shows the benefits of learning between stages while remaining consistent with the single congressional appropriations framework.

Risk management for mathematical optimization under uncertainty

We present a general multistage stochastic mixed 0-1 problem where the uncertainty appears everywhere in the objective function, constraints matrix and right-hand-side. The uncertainty is represented by a scenario tree that can be a symmetric or a nonsymmetric one. The stochastic model is converted in a mixed 0-1 Deterministic Equivalent Model in compact representation. Due to the difficulty of the problem, the solution offered by the stochastic model has been traditionally obtained by optimizing the objective function expected value (i.e., mean) over the scenarios, usually, along a time horizon. This approach (so named risk neutral) has the inconvenience of providing a solution that ignores the variance of the objective value of the scenarios and, so, the occurrence of scenarios with an objective value below the expected one. Alternatively, we present several approaches for risk averse management, namely, a scenario immunization strategy, the optimization of the well known Value-at-Risk (VaR) and several variants of the Conditional Value-at-Risk strategies, the optimization of the expected mean minus the weighted probability of having a "bad" scenario to occur for the given solution provided by the model, the optimization of the objective function expected value subject to stochastic dominance constraints (SDC) for a set of profiles given by the pairs of threshold objective values and either bounds on the probability of not reaching the thresholds or the expected shortfall over them, and the optimization of a mixture of the VaR and SDC strategies.

Attitudes towards risk in financial decision making

Doutoramento em Gestão

The impact of gender differences on consumer-brand relationships

Dissertação de Mestrado, Marketing, Faculdade de Economia, Universidade do Algarve, 2016

Relatório de estágio de intervenção comunitária

O desenvolvimento da sociedade nos últimos anos contribuiu para um desenvolvimento das condições de vida e dos cuidados de saúde, levando a um aumento da esperança média de vida, e permitindo assim alterações demográficas de entre as quais se destacam o envelhecimento. Este facto provoca alterações profundas a vários níveis, entre os quais económicos, sociais, familiares e de saúde. Numa época em que o progresso científico e o desenvolvimento tecnológico têm proporcionado importantes avanços a todos os níveis, paralelamente têm emergido novas ameaças à saúde de todos nós. O cenário atual em que vivemos não é fácil, os recursos são cada vez mais escassos e as disparidades socioeconómicas começam a acentuar-se. O envelhecimento é um tema que tem suscitado interesse no meio político, social, económico e académico, e há um reconhecimento de que o seu processo pode ser mais ou menos complexo, com mais ou menos pesar para os que o experienciam na primeira pessoa, mas também para aqueles que de perto vivem este fenómeno. Apesar de estar disponível muita informação sobre este assunto, acreditamos que nunca é demais abordar e estudar esta problemática. A sua persistência e aumento significativo, previsivelmente duradouro, merecem todas as soluções, propostas e intervenções que possam ir ao encontro destas necessidades, para que assim, possam ser colmatadas ou minimizadas. Tendo em conta estas premissas, o estágio de intervenção comunitária decorreu no período de 16 de Setembro de 2013 a 31 de Janeiro de 2014, na Freguesia de Tramaga, sendo a população alvo os idosos com 65 ou mais anos. A intervenção comunitária foi desenvolvida com base no planeamento em saúde, mas no âmbito da promoção da saúde todas as atividades foram baseadas na Teoria de Organização Comunitária, uma vez que no decurso das atividades desenvolvidas, o principal objetivo passou pela capacitação dos idosos, incentivando ao empowerment. Enquanto profissionais de saúde, o propósito da intervenção comunitária passou pela transmissão de conhecimentos e sensibilização aos idosos, para que estes possam participar de maneira informada e consciente na tomada de decisão relativamente à sua saúde. O objetivo final será a sensibilização positiva para a mudança de comportamentos, traduzindo ganhos em saúde, ainda que a longo prazo. Este estágio de intervenção comunitária permitiu-nos adquirir a maioria das competências gerais do Enfermeiro Especialista, bem como as competências específicas do Enfermeiro Especialista em Enfermagem Comunitária e de Saúde Pública definidas pela Ordem dos Enfermeiros.

Barriers to colorectal cancer screening in Asia: A systematic review

Purpose: Colorectal cancer (CRC) is among the top five cancers afflicting both men and women globally. Once predominantly a Western disease, it has begun to rise in Asian countries as well. This systematic review aims to compile and analyze the various barriers towards colorectal cancer screening in Asia, and to determine if the barriers are consistent throughout the continent. Methods: Article Inclusion criteria for based on year of publication from year 2008 till 2015, has been conducted in Asia, and written in English language. A total of 23 studies were included in this review, chosen via primary search of journal websites and databases, and a secondary search through the reference lists of eligible articles. Results: It was found that major barriers of colorectal cancer screening are; poor education/knowledge, negative perceptions towards screening, aversion to test results, financial constraints, time constraints, lack of physicians’ recommendation, limited/difficult access to screening locations, fatalistic beliefs, low perceived risks, language barriers, confidence in traditional medicine/distrust in Western medicine, ignorance and old age. Conclusion: Lack of knowledge/education is the most critical barrier that is linked to a majority of other barriers that can hinder a person from undergoing CRC screening for early prevention, detection and treatment. Majority of these barriers encountered regarding the poor rates of CRC screening are similar across countries in Asia.

Économie comportementale : retrouve-t-on un effet d’ancrage dans la LNH ?

De par leur nature scientifique, les sciences économiques visent, entre autre, à observer, qualifier, ainsi que quantifier des phénomènes économiques afin de pouvoir en dégager diverses prévisions. Ce mémoire se penche sur ces prévisions et, plus particulièrement, sur les facteurs pouvant biaiser les prévisionnistes au niveau comportemental en référant à l’effet d’ancrage, un biais propre à l’économie comportementale – une sous-discipline des sciences économiques. Il sera donc question de comprendre, par une analyse selon la discipline que représente l’économie comportementale, ce qui peut les affecter, avec un accent mis sur l’effet d’ancrage plus précisément. L’idée générale de ce dernier est qu’un agent peut être biaisé inconsciemment par la simple connaissance d’une valeur précédente lorsqu’il est demandé de faire une estimation ultérieure. De cette façon, une analyse des salaires des joueurs de la Ligne Nationale de Hockey (NHL) selon leurs performances passées et leurs caractéristiques personnelles, de 2007 à 2016, a été réalisée dans ce travail afin d’en dégager de possibles effets d’ancrage. Il est alors possible de constater que les directeurs généraux des équipes de la ligue agissent généralement de façon sensible et rationnelle lorsque vient le temps d’octroyer des contrats à des joueurs mais, néanmoins, une anomalie persiste lorsqu’on porte attention au rang auquel un joueur a été repêché. Dans un tel contexte, il semble pertinent de se référer à l’économie comportementale afin d’expliquer pourquoi le rang au repêchage reste une variable significative huit ans après l’entrée d’un joueur dans la NHL et qu’elle se comporte à l’inverse de ce que prévoit la théorie à ce sujet.

Assisted reproductive technology – IVF treatment in Ireland: A study of couples with successful outcomes

Human Fertility 17(3):165-9 This article describes the experiences of twelve Irish couples who had successful IVF treatment in Ireland. Irish Medical guidelines specify that IVF may only be used when no other treatment is likely to be effective. This article is based on data drawn from a longitudinal research study by Cotter (2009) which tells the stories of 34 couples who sought fertility treatment. Initially, the women assumed that they would become pregnant when they stopped using contraception. As a couple, it was the ‘right time’ for them to have a child - they were ready, socially and financially. For several months they were patient, hoping it would happen naturally. With envy and some despair they watched as their friends had babies. Infertility came as a shock to most of them. They were reluctant to talk about it to anyone, and over time their anxieties were accompanied by feelings of regret, stigma and social exclusion. They finally sought medical treatment. The latter involved a series of diagnostic treatments, which eventually culminated in IVF which offered them a final chance of having a ‘child of their own’. While IVF can be clinically assessed in terms of cycle success rates, their stories showed treatment as a series of discoveries, as an extensive range of diagnostic tests and procedures helped to reveal to them where their problems might lie. They described their treatments as a series of sequential ‘hurdles’ that they had to overcome, which further strengthened their resolve to try IVF. Much more knowledgeable at that stage, they embraced IVF as a final challenge with single minded dedication while drawing on all their psychological and biological resources to promote a successful outcome. Of the 34 couples who took part in the study, twelve got pregnant. Unfortunately, two children died shortly after birth but eighteen babies survived (see Table I). The findings suggest that health policy should raise awareness of infertility, and advise women to become aware of it just as in the past, when health policy addressed contraception. Increased public knowledge would reduce the stigma attached to the inability to have a baby. In the Irish case, infertility diagnosis should be reviewed with a view to giving eligible couples earlier access to IVF.  

Do gender and year of study affect the ability of the theory of planned behaviour to predict binge-drinking intentions and episodes?

Background: The present study tested the utility of the theory of planned behaviour (TPB), augmented with anticipated regret, as a model to predict binge-drinking intentions and episodes among female and male undergraduates and undergraduates in different years of study. Method: Undergraduate students (N = 180, 54 males, 126 females, 60 per year of study) completed baseline measures of demographic variables, binge-drinking episodes (BDE), TPB constructs and anticipated regret. BDE were assessed one-week later. Results: The TPB accounted for 60% of the variance in female undergraduates' intentions and 54% of the variance in male undergraduates' intentions. The TPB accounted for 57% of the variance in intentions in first-year undergraduates, 63% of the variance in intentions in second-year undergraduates and 68% of the variance in intentions in final-year undergraduates. Follow-up BDE was predicted by intentions and baseline BDE for female undergraduates as well as second- and final-year undergraduates. Baseline BDE predicted male undergraduates’ follow-up BDE and first-year undergraduates’ follow-up BDE. Conclusion: Results show that while the TPB constructs predict undergraduates’ binge-drinking intentions, intentions only predict BDE in female undergraduates, second- and final-year undergraduates. Implications of these findings for interventions to reduce binge drinking are outlined.

Économie comportementale : retrouve-t-on un effet d’ancrage dans la LNH ?

De par leur nature scientifique, les sciences économiques visent, entre autre, à observer, qualifier, ainsi que quantifier des phénomènes économiques afin de pouvoir en dégager diverses prévisions. Ce mémoire se penche sur ces prévisions et, plus particulièrement, sur les facteurs pouvant biaiser les prévisionnistes au niveau comportemental en référant à l’effet d’ancrage, un biais propre à l’économie comportementale – une sous-discipline des sciences économiques. Il sera donc question de comprendre, par une analyse selon la discipline que représente l’économie comportementale, ce qui peut les affecter, avec un accent mis sur l’effet d’ancrage plus précisément. L’idée générale de ce dernier est qu’un agent peut être biaisé inconsciemment par la simple connaissance d’une valeur précédente lorsqu’il est demandé de faire une estimation ultérieure. De cette façon, une analyse des salaires des joueurs de la Ligne Nationale de Hockey (NHL) selon leurs performances passées et leurs caractéristiques personnelles, de 2007 à 2016, a été réalisée dans ce travail afin d’en dégager de possibles effets d’ancrage. Il est alors possible de constater que les directeurs généraux des équipes de la ligue agissent généralement de façon sensible et rationnelle lorsque vient le temps d’octroyer des contrats à des joueurs mais, néanmoins, une anomalie persiste lorsqu’on porte attention au rang auquel un joueur a été repêché. Dans un tel contexte, il semble pertinent de se référer à l’économie comportementale afin d’expliquer pourquoi le rang au repêchage reste une variable significative huit ans après l’entrée d’un joueur dans la NHL et qu’elle se comporte à l’inverse de ce que prévoit la théorie à ce sujet.

Amor e criação: A universalidade das cartas portuguesas

Dissertação de Mestrado apresentada no ISPA – Instituto Universitário para obtenção do grau de Mestre em Psicologia especialidade de Psicologia Clínica.

Vivências institucionais dos idosos e dos futuros utentes da estrutura residencial para pessoas idosas da Santa Casa da Misericórdia de Portalegre

Trabalho de Projeto apresentado à Escola Superior de Educação do Instituto Politécnico de Castelo Branco para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Gerontologia Social.