Analysis of Some Stochastic Inventory Models with Pooling/ Retrial of Customers

In this thesis we have presented several inventory models of utility. Of these inventory with retrial of unsatisfied demands and inventory with postponed work are quite recently introduced concepts, the latt~~ being introduced for the first time. Inventory with service time is relatively new with a handful of research work reported. The di lficuity encoLlntered in inventory with service, unlike the queueing process, is that even the simplest case needs a 2-dimensional process for its description. Only in certain specific cases we can introduce generating function • to solve for the system state distribution. However numerical procedures can be developed for solving these problem.

Verfahren zur echtzeitfähigen Simulation dynamischer Emissionsverläufe ausgewählter Schadstoffe von Ottomotoren

Im Rahmen dieser Arbeit werden Modellbildungsverfahren zur echtzeitfähigen Simulation wichtiger Schadstoffkomponenten im Abgasstrom von Verbrennungsmotoren vorgestellt. Es wird ein ganzheitlicher Entwicklungsablauf dargestellt, dessen einzelne Schritte, beginnend bei der Ver-suchsplanung über die Erstellung einer geeigneten Modellstruktur bis hin zur Modellvalidierung, detailliert beschrieben werden. Diese Methoden werden zur Nachbildung der dynamischen Emissi-onsverläufe relevanter Schadstoffe des Ottomotors angewendet. Die abgeleiteten Emissionsmodelle dienen zusammen mit einer Gesamtmotorsimulation zur Optimierung von Betriebstrategien in Hybridfahrzeugen. Im ersten Abschnitt der Arbeit wird eine systematische Vorgehensweise zur Planung und Erstellung von komplexen, dynamischen und echtzeitfähigen Modellstrukturen aufgezeigt. Es beginnt mit einer physikalisch motivierten Strukturierung, die eine geeignete Unterteilung eines Prozessmodells in einzelne überschaubare Elemente vorsieht. Diese Teilmodelle werden dann, jeweils ausgehend von einem möglichst einfachen nominalen Modellkern, schrittweise erweitert und ermöglichen zum Abschluss eine robuste Nachbildung auch komplexen, dynamischen Verhaltens bei hinreichender Genauigkeit. Da einige Teilmodelle als neuronale Netze realisiert werden, wurde eigens ein Verfah-ren zur sogenannten diskreten evidenten Interpolation (DEI) entwickelt, das beim Training einge-setzt, und bei minimaler Messdatenanzahl ein plausibles, also evidentes Verhalten experimenteller Modelle sicherstellen kann. Zum Abgleich der einzelnen Teilmodelle wurden statistische Versuchs-pläne erstellt, die sowohl mit klassischen DoE-Methoden als auch mittels einer iterativen Versuchs-planung (iDoE ) generiert wurden. Im zweiten Teil der Arbeit werden, nach Ermittlung der wichtigsten Einflussparameter, die Model-strukturen zur Nachbildung dynamischer Emissionsverläufe ausgewählter Abgaskomponenten vor-gestellt, wie unverbrannte Kohlenwasserstoffe (HC), Stickstoffmonoxid (NO) sowie Kohlenmono-xid (CO). Die vorgestellten Simulationsmodelle bilden die Schadstoffkonzentrationen eines Ver-brennungsmotors im Kaltstart sowie in der anschließenden Warmlaufphase in Echtzeit nach. Im Vergleich zur obligatorischen Nachbildung des stationären Verhaltens wird hier auch das dynami-sche Verhalten des Verbrennungsmotors in transienten Betriebsphasen ausreichend korrekt darge-stellt. Eine konsequente Anwendung der im ersten Teil der Arbeit vorgestellten Methodik erlaubt, trotz einer Vielzahl von Prozesseinflussgrößen, auch hier eine hohe Simulationsqualität und Ro-bustheit. Die Modelle der Schadstoffemissionen, eingebettet in das dynamische Gesamtmodell eines Ver-brennungsmotors, werden zur Ableitung einer optimalen Betriebsstrategie im Hybridfahrzeug ein-gesetzt. Zur Lösung solcher Optimierungsaufgaben bieten sich modellbasierte Verfahren in beson-derer Weise an, wobei insbesondere unter Verwendung dynamischer als auch kaltstartfähiger Mo-delle und der damit verbundenen Realitätsnähe eine hohe Ausgabequalität erreicht werden kann.

Individual Decision-Making and Inflation Persistence

The traditional task of a central bank is to preserve price stability and, in doing so, not to impair the real economy more than necessary. To meet this challenge, it is of great relevance whether inflation is only driven by inflation expectations and the current output gap or whether it is, in addition, influenced by past inflation. In the former case, as described by the New Keynesian Phillips curve, the central bank can immediately and simultaneously achieve price stability and equilibrium output, the so-called ‘divine coincidence’ (Blanchard and Galí 2007). In the latter case, the achievement of price stability is costly in terms of output and will be pursued over several periods. Similarly, it is important to distinguish this latter case, which describes ‘intrinsic’ inflation persistence, from that of ‘extrinsic’ inflation persistence, where the sluggishness of inflation is not a ‘structural’ feature of the economy but merely ‘inherited’ from the sluggishness of the other driving forces, inflation expectations and output. ‘Extrinsic’ inflation persistence is usually considered to be the less challenging case, as policy-makers are supposed to fight against the persistence in the driving forces, especially to reduce the stickiness of inflation expectations by a credible monetary policy, in order to reestablish the ‘divine coincidence’. The scope of this dissertation is to contribute to the vast literature and ongoing discussion on inflation persistence: Chapter 1 describes the policy consequences of inflation persistence and summarizes the empirical and theoretical literature. Chapter 2 compares two models of staggered price setting, one with a fixed two-period duration and the other with a stochastic duration of prices. I show that in an economy with a timeless optimizing central bank the model with the two-period alternating price-setting (for most parameter values) leads to more persistent inflation than the model with stochastic price duration. This result amends earlier work by Kiley (2002) who found that the model with stochastic price duration generates more persistent inflation in response to an exogenous monetary shock. Chapter 3 extends the two-period alternating price-setting model to the case of 3- and 4-period price durations. This results in a more complex Phillips curve with a negative impact of past inflation on current inflation. As simulations show, this multi-period Phillips curve generates a too low degree of autocorrelation and too early turnings points of inflation and is outperformed by a simple Hybrid Phillips curve. Chapter 4 starts from the critique of Driscoll and Holden (2003) on the relative real-wage model of Fuhrer and Moore (1995). While taking the critique seriously that Fuhrer and Moore’s model will collapse to a much simpler one without intrinsic inflation persistence if one takes their arguments literally, I extend the model by a term for inequality aversion. This model extension is not only in line with experimental evidence but results in a Hybrid Phillips curve with inflation persistence that is observably equivalent to that presented by Fuhrer and Moore (1995). In chapter 5, I present a model that especially allows to study the relationship between fairness attitudes and time preference (impatience). In the model, two individuals take decisions in two subsequent periods. In period 1, both individuals are endowed with resources and are able to donate a share of their resources to the other individual. In period 2, the two individuals might join in a common production after having bargained on the split of its output. The size of the production output depends on the relative share of resources at the end of period 1 as the human capital of the individuals, which is built by means of their resources, cannot fully be substituted one against each other. Therefore, it might be rational for a well-endowed individual in period 1 to act in a seemingly ‘fair’ manner and to donate own resources to its poorer counterpart. This decision also depends on the individuals’ impatience which is induced by the small but positive probability that production is not possible in period 2. As a general result, the individuals in the model economy are more likely to behave in a ‘fair’ manner, i.e., to donate resources to the other individual, the lower their own impatience and the higher the productivity of the other individual. As the (seemingly) ‘fair’ behavior is modelled as an endogenous outcome and as it is related to the aspect of time preference, the presented framework might help to further integrate behavioral economics and macroeconomics.

Lower Bounds for Achieving Synchronous Early Stopping Consensus with Orderly Crash Failures

In this paper, we discuss the consensus problem for synchronous distributed systems with orderly crash failures. For a synchronous distributed system of n processes with up to t crash failures and f failures actually occur, first, we present a bivalency argument proof to solve the open problem of proving the lower bound, min (t + 1, f + 2) rounds, for early-stopping synchronous consensus with orderly crash failures, where t < n - 1. Then, we extend the system model with orderly crash failures to a new model in which a process is allowed to send multiple messages to the same destination process in a round and the failing processes still respect the order specified by the protocol in sending messages. For this new model, we present a uniform consensus protocol, in which all non-faulty processes always decide and stop immediately by the end of f + 1 rounds. We prove that the lower bound of early stopping protocols for both consensus and uniform consensus are f + 1 rounds under the new model, and our proposed protocol is optimal.

Análisis del ciclo económico en una economía con rigideces nominales y un amplio sector informal

En este trabajo se construye un modelo de Equilibrio General Dinámico Estocástico (DSGE) con sector informal y rigideces en precios, usando como marco de análisis la teoría de búsqueda y emparejamiento del mercado de trabajo. El objetivo principal es analizar el efecto de los diferentes tipos de choques económicos sobre las principales variables del mercado laboral, en una economía con presencia importante del sector informal. Igualmente se estudia el efecto de la política monetaria, ya que la presencia de este sector afecta la dinámica del ciclo económico, y por ende los mecanismos de transmisión de la política monetaria. En particular, se analiza la dinámica del modelo bajo diferentes reglas de política monetaria y se compara el bienestar agente representativo generado por cada una de estas reglas.

De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).

Mercados laborales en entornos de conflictos armados: un análisis empírico para Colombia

Históricamente se ha reconocido que los conflictos internos afectan de manera directa variables a nivel individual como la salud de las personas, los niveles de escolaridad y el desplazamiento forzoso de los afectados. Sin embargo, solo hasta la última década las investigaciones académicas se han inclinado en documentar y cuantificar rigurosamente los efectos colaterales de la violencia sobre las condiciones de vida de los individuos. La presente investigación estudia cómo la exposición al conflicto en Colombia ha afectado las decisiones en términos de mercado laboral de las personas. La estrategia de identificación internaliza los reconocidos problemas de endogeneidad del conflicto con variables de actividad y desarrollo económico y presenta resultados robustos a fenómenos de migración interna y desplazamiento. En términos de participación laboral y desempleo, se encuentran efectos heterogéneos a nivel de género como respuestas a la violencia experimentada. En particular, la probabilidad de participación laboral de las mujeres se incremente como consecuencia de la exposición al conflicto, mientras que la de desempleo disminuye. Para los hombres, los resultados muestran una menor probabilidad de participación, efecto contrario al de las mujeres, y un efecto análogo en términos de desempleo. La investigación no encuentra efectos diferenciales en términos de informalidad laboral.

Estimation of age- and stage-specific Catalan breast cancer survival functions using US and Catalan survival data

During the last part of the 1990s the chance of surviving breast cancer increased. Changes in survival functions reflect a mixture of effects. Both, the introduction of adjuvant treatments and early screening with mammography played a role in the decline in mortality. Evaluating the contribution of these interventions using mathematical models requires survival functions before and after their introduction. Furthermore, required survival functions may be different by age groups and are related to disease stage at diagnosis. Sometimes detailed information is not available, as was the case for the region of Catalonia (Spain). Then one may derive the functions using information from other geographical areas. This work presents the methodology used to estimate age- and stage-specific Catalan breast cancer survival functions from scarce Catalan survival data by adapting the age- and stage-specific US functions. Methods: Cubic splines were used to smooth data and obtain continuous hazard rate functions. After, we fitted a Poisson model to derive hazard ratios. The model included time as a covariate. Then the hazard ratios were applied to US survival functions detailed by age and stage to obtain Catalan estimations. Results: We started estimating the hazard ratios for Catalonia versus the USA before and after the introduction of screening. The hazard ratios were then multiplied by the age- and stage-specific breast cancer hazard rates from the USA to obtain the Catalan hazard rates. We also compared breast cancer survival in Catalonia and the USA in two time periods, before cancer control interventions (USA 1975–79, Catalonia 1980–89) and after (USA and Catalonia 1990–2001). Survival in Catalonia in the 1980–89 period was worse than in the USA during 1975–79, but the differences disappeared in 1990–2001. Conclusion: Our results suggest that access to better treatments and quality of care contributed to large improvements in survival in Catalonia. On the other hand, we obtained detailed breast cancer survival functions that will be used for modeling the effect of screening and adjuvant treatments in Catalonia

Serial clustering of extratropical cyclones

The clustering in time (seriality) of extratropical cyclones is responsible for large cumulative insured losses in western Europe, though surprisingly little scientific attention has been given to this important property. This study investigates and quantifies the seriality of extratropical cyclones in the Northern Hemisphere using a point-process approach. A possible mechanism for serial clustering is the time-varying effect of the large-scale flow on individual cyclone tracks. Another mechanism is the generation by one parent cyclone of one or more offspring through secondary cyclogenesis. A long cyclone-track database was constructed for extended October March winters from 1950 to 2003 using 6-h analyses of 850-mb relative vorticity derived from the NCEP NCAR reanalysis. A dispersion statistic based on the varianceto- mean ratio of monthly cyclone counts was used as a measure of clustering. It reveals extensive regions of statistically significant clustering in the European exit region of the North Atlantic storm track and over the central North Pacific. Monthly cyclone counts were regressed on time-varying teleconnection indices with a log-linear Poisson model. Five independent teleconnection patterns were found to be significant factors over Europe: the North Atlantic Oscillation (NAO), the east Atlantic pattern, the Scandinavian pattern, the east Atlantic western Russian pattern, and the polar Eurasian pattern. The NAO alone is not sufficient for explaining the variability of cyclone counts in the North Atlantic region and western Europe. Rate dependence on time-varying teleconnection indices accounts for the variability in monthly cyclone counts, and a cluster process did not need to be invoked.

Simulation of the diurnal cycle in a climate model and its evaluation using data from Meteosat 7

The representation of the diurnal cycle in the Hadley Centre climate model is evaluated using simulations of the infrared radiances observed by Meteosat 7. In both the window and water vapour channels, the standard version of the model with 19 levels produces a good simulation of the geographical distributions of the mean radiances and of the amplitude of the diurnal cycle. Increasing the vertical resolution to 30 levels leads to further improvements in the mean fields. The timing of the maximum and minimum radiances reveals significant model errors, however, which are sensitive to the frequency with which the radiation scheme is called. In most regions, these errors are consistent with well documented errors in the timing of convective precipitation, which peaks before noon in the model, in contrast to the observed peak in the late afternoon or evening. When the radiation scheme is called every model time step (half an hour), as opposed to every three hours in the standard version, the timing of the minimum radiance is improved for convective regions over central Africa, due to the creation of upper-level layer-cloud by detrainment from the convection scheme, which persists well after the convection itself has dissipated. However, this produces a decoupling between the timing of the diurnal cycles of precipitation and window channel radiance. The possibility is raised that a similar decoupling may occur in reality and the implications of this for the retrieval of the diurnal cycle of precipitation from infrared radiances are discussed.

Visual Object Recognition Using Deformable Models of Vehicles

This workshop paper reports recent developments to a vision system for traffic interpretation which relies extensively on the use of geometrical and scene context. Firstly, a new approach to pose refinement is reported, based on forces derived from prominent image derivatives found close to an initial hypothesis. Secondly, a parameterised vehicle model is reported, able to represent different vehicle classes. This general vehicle model has been fitted to sample data, and subjected to a Principal Component Analysis to create a deformable model of common car types having 6 parameters. We show that the new pose recovery technique is also able to operate on the PCA model, to allow the structure of an initial vehicle hypothesis to be adapted to fit the prevailing context. We report initial experiments with the model, which demonstrate significant improvements to pose recovery.

The effect of doubled CO2 and model basic state biases on the monsoon-ENSO system. II: Changing ENSO regimes

Integrations of a fully-coupled climate model with and without flux adjustments in the equatorial oceans are performed under 2×CO2 conditions to explore in more detail the impact of increased greenhouse gas forcing on the monsoon-ENSO system. When flux adjustments are used to correct some systematic model biases, ENSO behaviour in the modelled future climate features distinct irregular and periodic (biennial) regimes. Comparison with the observed record yields some consistency with ENSO modes primarily based on air-sea interaction and those dependent on basinwide ocean wave dynamics. Simple theory is also used to draw analogies between the regimes and irregular (stochastically forced) and self-excited oscillations respectively. Periodic behaviour is also found in the Asian-Australian monsoon system, part of an overall biennial tendency of the model under these conditions related to strong monsoon forcing and increased coupling between the Indian and Pacific Oceans. The tropospheric biennial oscillation (TBO) thus serves as a useful descriptor for the coupled monsoon-ENSO system in this case. The presence of obvious regime changes in the monsoon-ENSO system on interdecadal timescales, when using flux adjustments, suggests there may be greater uncertainty in projections of future climate, although further modelling studies are required to confirm the realism and cause of such changes.

Improvements to the accuracy of measurements of NO2 by zenith-sky visible spectrometers II: errors in zero using a more complete chemical model

Using a flexible chemical box model with full heterogeneous chemistry, intercepts of chemically modified Langley plots have been computed for the 5 years of zenith-sky NO2 data from Faraday in Antarctica (65°S). By using these intercepts as the effective amount in the reference spectrum, drifts in zero of total vertical NO2 were much reduced. The error in zero of total NO2 is ±0.03×1015 moleccm−2 from one year to another. This error is small enough to determine trends in midsummer and any variability in denoxification between midwinters. The technique also suggests a more sensitive method for determining N2O5 from zenith-sky NO2 data.

A semi-quantitative approach to deriving a model structure for the uptake of organic chemicals by vegetation

An expert elicitation exercise was undertaken to determine those components and processes that are most important for modeling plant uptake of organic chemicals. The state of our knowledge of these processes was also assessed. This semi-quantitative analysis allowed the construction of an idealized model with seven compartments; soil bulk, soil water, roots, stem, leaves, fruit, and air. Three main areas were identified further research: 1) the uptake of organic chemicals by fruit; 2) the internal transfer of organic chemicals between plant structures (e.g., stem and leaves); and 3) the transfer via the soil-air-plant pathway. Until new data becomes available to quantify these processes, it is proposed that an equilibrium partitioning approach is used between plant components other than fruit or that models consist of both an edible and inedible compartment.

Human exposure modelling for chemical risk assessment: a review of current approaches and research and policy implications

A wide variety of exposure models are currently employed for health risk assessments. Individual models have been developed to meet the chemical exposure assessment needs of Government, industry and academia. These existing exposure models can be broadly categorised according to the following types of exposure source: environmental, dietary, consumer product, occupational, and aggregate and cumulative. Aggregate exposure models consider multiple exposure pathways, while cumulative models consider multiple chemicals. In this paper each of these basic types of exposure model are briefly described, along with any inherent strengths or weaknesses, with the UK as a case study. Examples are given of specific exposure models that are currently used, or that have the potential for future use, and key differences in modelling approaches adopted are discussed. The use of exposure models is currently fragmentary in nature. Specific organisations with exposure assessment responsibilities tend to use a limited range of models. The modelling techniques adopted in current exposure models have evolved along distinct lines for the various types of source. In fact different organisations may be using different models for very similar exposure assessment situations. This lack of consistency between exposure modelling practices can make understanding the exposure assessment process more complex, can lead to inconsistency between organisations in how critical modelling issues are addressed (e.g. variability and uncertainty), and has the potential to communicate mixed messages to the general public. Further work should be conducted to integrate the various approaches and models, where possible and regulatory remits allow, to get a coherent and consistent exposure modelling process. We recommend the development of an overall framework for exposure and risk assessment with common approaches and methodology, a screening tool for exposure assessment, collection of better input data, probabilistic modelling, validation of model input and output and a closer working relationship between scientists and policy makers and staff from different Government departments. A much increased effort is required is required in the UK to address these issues. The result will be a more robust, transparent, valid and more comparable exposure and risk assessment process. (C) 2006 Elsevier Ltd. All rights reserved.