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Residual life modeling and maintenance planning for repairable systems IMA J. Manag. Math. (IF 1.7) Pub Date : 2024-03-11 Reza Ahmadi, Amirhossein Sobhani, Zohreh Rasaei
This paper formulates a state-dependent mean residual lifetime model (SDMRL) for a repairable system operating in a dynamic environment. The problem is addressed by means of a two-state damage process reflecting the effect of operating environment on the system and a repair process associated with the damage process. As the damage process shifts to a higher state, to maintain a minimum level of performance
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The “Inter-AI Period:” How Management Mathematics Can Help Shape An AI-Enabled Future IMA J. Manag. Math. (IF 1.7) Pub Date : 2024-02-26 Nada R Sanders
Launched in a post pandemic world primed for technological solutions, Gen AI marked the beginning of a transformational period. Uses, norms, standards, and values embedded in AI technology are evolving at a dizzying pace and are in flux. The current period—termed “the Inter-AI Period”—presents an opportunity for researchers in management mathematics to shape an AI-enabled future. This window of opportunity
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Modelling tactical changes in association football using a Markov game IMA J. Manag. Math. (IF 1.7) Pub Date : 2024-02-22 Nobuyoshi Hirotsu, Yuki Masui, Yu Shimasaki, Masafumi Yoshimura
We model tactical changes in association football as a Markov game. The pitch is discretised into nine zones and the states of the Markov game are defined according to the zone in which the ball is located in play, the team in possession, and the score. We first model tactical changes in a Markov decision process framework, wherein one team maximises their probability of winning. Then, we model tactical
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Cooperative strategies of emission reduction in the 3PL-led supply chain IMA J. Manag. Math. (IF 1.7) Pub Date : 2024-02-21 Bo Li, Hui Zhang, Minxue Wang, Shumin Han, Shuxia Peng
The 3PL industry has grown rapidly over the past few years, and its emission reduction behavior is gaining attention. This paper considers a supply chain system composed of a manufacturer, a retailer, and a third-party logistics provider (3PL), in which both the manufacturer and the 3PL make the low-carbon investment. 3PL is a leader in the low-carbon supply chain. To promote emission reduction in
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The cost of delay as risk measure in target-based multi-period portfolio selection models IMA J. Manag. Math. (IF 1.7) Pub Date : 2024-01-14 Jia Liu, Zhiping Chen, Giorgio Consigli
Increasingly in recent years the fund management industry has evolved towards so-called goal-based investing paradigms, under which investors are assumed to base their portfolio strategies on pre-specified targets to be attained in the future. A similar decision model is common in the wealth management and the life insurance industries where targets may be associated with long term investment horizons
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Anti-corruption measures in large-scale construction projects IMA J. Manag. Math. (IF 1.7) Pub Date : 2024-01-05 Pardis Nikoonam Nezami, Payam Shojaei, Aboalghasem Ebrahimi
Corruption is affecting many developing countries, manifested often in construction projects. This study identifies the factors causing corruption and prioritizes anti-corruption measures in large-scale urban construction projects with empirical data from a developing country: Iran. The model consists of six main dimensions including 24 measures and was developed by systematically reviewing the literature
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Staying Positive: Challenges and Solutions in Using Pure Multiplicative ETS Models IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-12-12 Ivan Svetunkov, John E Boylan
Exponential smoothing in state space form (ETS) is a popular forecasting technique, widely used in research and practice. While the additive error ETS models have been well studied, the multiplicative error ones have received much less attention in forecasting literature. Still, these models can be useful in cases, when one deals with positive data, because they are supposed to work in such situations
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Forecasting the effective reproduction number during a pandemic: COVID-19 R t forecasts, governmental decisions, and economic implications IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-10-12 Chrysovalantis Vasilakis, Konstantinos Nikolopoulos
This research empirically identifies the best-performing forecasting methods for the Effective Reproduction Number Rt of COVID-19, the most used epidemiological parameter for policymaking during the pandemic. Furthermore, based on the most accurate forecasts for the United Kingdom, we model the excess exports and imports during the pandemic (using World Trade Organization data), while simultaneously
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Causal Analysis of Tactics in Soccer: The Case of Throw-ins IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-10-10 Nirodha Epasinghege Dona, Tim B Swartz
This paper investigates optimal target locations for throw-ins in soccer. The investigation is facilitated by the use of tracking data which provides the positioning of players measured at frequent intervals (i.e. 10 times per second). The methods for the investigation are necessarily causal since there are confounding variables that impact both the throw-in location and the result of the throw-in
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Management mathematics: the audacity of BOPE IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-10-10 Sridhar Tayur
Can mathematical research from a business school professor that is published in academic journals also substantially improve actual industrial practice in global supply chains? Yes. Can mathematics and operations management help improve fairness in access to organ transplants? Yes, again. Can mathematics developed for business applications facilitate the development of new types of quantum hardware
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Joint maintenance and spare-parts inventory models: a review and discussion of practical stock-keeping rules IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-10-10 Phil Scarf, Aris Syntetos, Ruud Teunter
It is natural to coordinate spare-parts inventory planning and maintenance. However, work in the former area often neglects part utilisation, and work in the latter the fact that effective execution of maintenance schedules is conditioned to the availability of the necessary spare parts. This paper is a call for further integration between the two areas, and to that end we review the literature on
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Singular Spectrum analysis based hybrid models for emergency ambulance demand time series forecasting IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-10-03 Jing Wang, Xuhong Peng, Jindong Wu, Youde Ding, Barkat Ali, Yizhou Luo, Yiting Hu, Keyao Zhang
One of the challenges of emergency ambulance demand (EAD) time series prediction lies in their non-stationary nature. We study this important problem and propose two hybrid forecasting models, which combine the Singular Spectrum Analysis (SSA) time-series technique with Autoregressive Integrated Moving Average (ARIMA) parameterized multivariate forecasting. Both daily and hourly time series are studied
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Income growth, forecasting, and stock valuation IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-09-25 Dimitris Psychoyios
We show that using forecasts of a firm’s income growth in the context of stock valuation can lead to overpricing of the firm’s stock that is consistent with “optimism bias” reported amongst financial analysts. Firms with volatile earnings, high income growth, and low systematic risk are prone to larger valuation errors. To address this issue, we develop a new estimator of the firm value that corrects
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A new approach to the joint order batching and picker routing problem with alternative locations IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-08-22 Sajjad Hedayati, Mostafa Setak, Emrah Demir, Tom Van Woensel
The clustered and generalized vehicle routing problem (CGVRP) extends the well-known vehicle routing problem by grouping the demand points into multiple distinct zones, and within each zone, further separation is made by forming clusters. The objective of the CGVRP is to determine the optimal routes for a fleet of vehicles dispatched from a depot, visiting all zones within each cluster. This requires
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A new Malmquist productivity index with an application to commercial banks IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-08-16 Chuanjin Zhu, Nan Zhu, Ali Emrouznejad, Tao Ye
Management-led productivity improvements are crucial for achieving sustainable development, and the Malmquist productivity index is known to be useful in relevant contexts. This study aims to extend such index by using non-parametric mathematical modeling of production processes. Specifically, and in the spirit of the existing index, we introduce the directional distance function to develop a new one
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Modelling player ratings in one day international cricket using the modified Duckworth-Lewis method IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-08-15 Muhammad Asif, Muhammad Yousaf
We present a player rating system for One-Day International (ODI) cricket using the Modified Duckworth-Lewis (MDL) model. We used ball-by-ball data of 1764 uninterrupted ODI matches played from Jan-2004 to Jun-2021 to estimate model parameters. The proposed method is then used to rate players who appeared in the ICC Men’s World Cup 2019. The method is novel because the rating depends on the state of
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Optimal reinsurance contract and investment strategy for multiple competitive-cooperative insurers and a reinsurer IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-07-15 Tao Wang, Zhiping Chen, Peng Yang
In this article, we consider a reinsurance contract design by taking into account the joint interests of multiple insurers and a reinsurer. The reinsurance contract consists of optimal reinsurance strategies and reinsurance prices. The former are chosen by the competitive-cooperative insurers and the latter are determined by a reinsurer. Both insurers and the reinsurer can invest in the common risk-free
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Solving Non-Linear Optimization Problems by a Trajectory Approach IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-07-10 Zvi Drezner, Malgorzata Miklas-Kalczynska
We propose solving non-linear optimization problems by a trajectory method. A parameter is introduced into the optimization problem. For example, a variable in the original formulation is replaced by its squared value. The parameter is the power at which the variable is raised. For a particular value of the parameter (power of 2), the optimal solution is easily obtained. The original optimization problem
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An advanced acceptance reliability sampling plan for heterogeneous items subject to external shocks IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-05-22 Ji Hwan Cha, Maxim Finkelstein
In practice, many engineering items have more than one failure mode, whereas most of the existing reliability acceptance sampling plans reported in the literature assume that they have only one basic failure mode. To fill the gap, in this paper, we propose a reliability sampling plan for items with an additional failure mode that is due to external shocks. Moreover, heterogeneous populations of items
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Probabilistic forecasting of daily COVID-19 admissions using machine learning IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-05-14 Bahman Rostami-Tabar, Siddharth Arora, Juan F Rendon-Sanchez, Thanos E Goltsos
Accurate forecasts of daily COVID-19 admissions are critical for healthcare planners and decision-makers to better manage scarce resources during and around infection peaks. Numerous studies have focused on forecasting COVID-19 admissions at the national or global levels. Localised predictions are vital, as they allow for resource planning redistribution, but also scarce and harder to get right. Several
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Supply chain pricing strategies for advance selling with a deposit IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-05-02 Qi Lyu, Shuang Wu, Bo Li, Yawen Zhang
This research studies the pricing strategy of a supply chain with a manufacturer and a retailer. We analyse the customers’ purchase behaviour in advance selling with deposit by using utility theory and obtain the pricing decision of the supply chain by using the Stackelberg model. We find that when consumers are not sensitive to the distribution lead time, the retailer’s advance selling strategy could
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A review of inverse data envelopment analysis: origins, development, and future directions IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-04-19 Ali Emrouznejad, Gholam R Amin, Mojtaba Ghiyasi, Maria Michali
Data Envelopment Analysis (DEA) is a widely used mathematical programming approach for assessing the efficiency of decision-making units (DMUs) in various sectors. Inverse DEA is a post-DEA sensitivity analysis approach developed initially for solving resource allocation. The main objective of Inverse DEA is to determine the optimal quantity of inputs and/or outputs for each DMU under input and/or
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Mathematical modelling of mission-abort policies: a review IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-04-19 Augusto José Silva Rodrigues, Cristiano Alexandre Virgínio Cavalcante, Alexandre Ramalho Alberti, Phil Scarf, Naif Mohammed Alotaibi
This paper reviews works that consider the mathematical modelling of mission-abort policies. In a mission-abort policy (MAP), a valuable, and perhaps vulnerable system performs a mission with two, sometimes conflicting objectives, mission success and system survival, and the purpose of modelling is to determine conditions under which a mission should be aborted. Such problems are important in defence
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A systematic literature review on solution approaches for the index tracking problem IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-04-17 Julio Cezar, Soares Silva, Adiel Teixeira de, Almeida Filho
The passive management approach offers conservative investors a way to reduce risk concerning the market. This investment strategy aims at replicating a specific index, such as the NASDAQ Composite or the FTSE100 index. The problem is that buying all the index’s assets incurs high rebalancing costs, and this harms future returns. The index tracking problem concerns building a portfolio that follows
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Eco-efficiency considering NetZero and data envelopment analysis: a critical literature review IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-03-20 Ali Emrouznejad, Marianna Marra, Guo-liang Yang, Maria Michali
We highlight the state-of-the-art in the eco-efficiency measurement using Data Envelopment Analysis, including Malmquist-Luenberger productivity index. We also consider productivity change over time, provide directions for future studies in the field, and gather the most recent policy suggestions for governments, organisations and sectors for reducing CO2 emissions. A structured literature search of
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The economic production quantity model with optimal single sampling inspection IMA J. Manag. Math. (IF 1.7) Pub Date : 2023-02-17 Mahdi Nakhaeinejad
This paper derives an inspection policy for an economic production quantity (EPQ) model under the assumption that a process may produce non-conforming (NC) items. In various stages of a production process, a department receiving an order uses a single sampling inspection policy to detect NC items. Under such a policy, a lot is accepted if the number of NC items in the inspected sample is equal to or
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Channel encroachment strategy through pure online or combined offline retailing IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-12-07 Sheng Chen, Ruidong Zhao
With the rise of e-commerce, an increasing number of retailers concentrate on the online channel to sell their products (strategy O), while some retailers select online and offline combined retailing. That is, the retailers introduce an offline experience store in addition to their online channels (strategy B). However, there is little literature on which strategies are better when a retailer’s intrusion
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Strategic joining rules in unobservable queues with dynamic service rate IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-12-05 Shuangfeng Ma, Wei Guo
This paper considers an unobservable queue with adjustable service rate and strategic customers. A queueing-game-theoretic model is built to capture the interaction between the server’s service rate and customers’ joining decisions. Iterative and recursive methods are used to derive the steady-state distribution and the expected sojourn time in the queue. We obtain customers’ equilibrium and socially
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Coordination of dual-channel supply chains with uncertain demand information IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-10-08 Yanping Liu, Bo Yan, Xiaoxu Chen
Uncertain demand information increases the difficulty of decision-making in supply chains, especially in the light of inventory costs. This article researches a two-echelon dual-channel fresh agricultural product supply chain, and discusses optimal decision-making and the value of information sharing using the Stackelberg game. To eliminate the double marginalization effect between supply chain parties
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Process mean selection and price differentiation in an imperfectly segmented market for a risk-averse firm IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-10-06 Syed Asif Raza, Srikrishna Madhumohan Govindaluri
In this paper we propose an integrated model for optimising the process mean, the price of products, and the production quantity. This optimisation is conducted considering the impact of price differentiation in an imperfectly segmented market where demand leakages are common. The products that are produced by the production process are assigned to two market segments using sampling inspection. For
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An inverse Data Envelopment Analysis model to consider ratio data and preferences of decision-makers IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-08-17 Deepak Mahla, Shivi Agarwal, Gholam R Amin, Trilok Mathur
Inverse data envelopment analysis (DEA) determines the optimal level of inputs and/or outputs of decision-making units (DMUs) to reach efficiency targets. This paper presents a new inverse DEA model for determining minimum inputs for working capital management. The proposed model is employed in the Indian textile industry to calculate working capital efficiency. Given the working capital efficiency
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Planning and scheduling of a parallel-machine production system subject to disruptions and physical distancing IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-08-16 Mohammad Reza Bazargan-Lari, Sharareh Taghipour, Arash Zaretalab, Mani Sharifi
This paper aims to quantify the effects of production disruptions and physical distancing constraints due to the pandemic in a parallel-machine production environment. The machines are non-identical and are utilized for producing a finite set of jobs (parts) in a plastic injection molding production. The production process is subject to random production downtime disruptions. A mixed-integer linear
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Control and optimization of workforce outsourcing decisions IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-07-22 Kannan Nilakantan
With outsourcing of work having become ubiquitous, and more importantly, given its potential to become controversial, the need for such outsourcing decisions to be drafted carefully, managed effectively and controlled accurately cannot be underscored. In this context, this paper has constructed a mathematical model of organizations with ‘outsource’ employees to study the problem of the monitoring and
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Optimal pricing and budget decisions in public health systems with delay sensitive patients IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-07-10 Senlong Huang, Dongbin Hu, Wuhua Chen
The congestion of public hospitals for elective treatment in some countries and regions, such as Canada and Hong Kong where the free health policy is implemented, is a serious issue. The main reason is the excessive demand generated by the provision of free service. In response, the government can set appropriate service price and budget for public hospitals to moderate such demand. This is often referred
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Last mile logistics: Research trends and needs IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-06-29 Emrah Demir, Aris Syntetos, Tom van Woensel
Aspiring green agendas in conjunction with tremendous economic pressures are resulting in an increased attention to the environment and technological innovations for improving existing logistics systems. Last mile logistics, in particular, are becoming much more than a consumer convenience necessity and a transportation optimization exercise. Rather, this area presents a true opportunity to foster
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Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-04-03 Peng Yang,Zhiping Chen
Abstract We investigate the reinsurance contract and investment strategy problem between an insurer and a reinsurer under the continuous-time framework. For the reinsurance contract design, the joint interests of the insurer and the reinsurer are considered. That is, the insurer determines the claim risk sharing strategy, and the reinsurer determines the reinsurance price. The insurer and the reinsurer
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Pricing double-barrier Parisian options IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-02-21 Liu C, Zhu S, Zhang S.
AbstractParisian options are a useful real-option tool in risk management, particularly for corporate bankruptcy protection. However, in the past, only one barrier with the Parisian feature was studied in the literature, possibly due to the additional complication that arises with the co-existence of two barriers. In this paper, we present an analytic solution for the valuation of European-style double-barrier
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Inverse DEA-R models for merger analysis with negative data IMA J. Manag. Math. (IF 1.7) Pub Date : 2022-01-27 Mehdi Soltanifar, Mojtaba Ghiyasi, Hamid Sharafi
Data envelopment analysis (DEA) is a mathematical programming technique for efficiency analysis. For dealing with the data in ratio form, the DEA model for ratio data known as DEA-R exists in the literature. However, some ratio data like financial risk may be negative naturally. In this paper, we contribute to the literature in two ways. In the first place, we deal with DEA-R models in the presence
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A review of partial information in additive multicriteria methods IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-12-30 Lucas Borges Leal Da Silva, Eduarda Asfora Frej, Adiel Teixeira De Almeida, Rodrigo José Pires Ferreira, Danielle Costa Morais
The relevance of multiple criteria decision-making/aiding is reinforced by the prominence of these methods in a wide range of applications. Whether by solving problems with a single decision-maker (DM) or a group of DMs, additive modelling, based on value or utility functions, is the most traditional. However, applying this kind of method raises a critical issue: the difficulty in eliciting DM’s preferences
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A generalized inverse DEA model for firm restructuring based on value efficiency IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-11-29 Javad Gerami, Mohammad Reza Mozaffari, Peter F Wanke, Henrique L Correa
We present a novel general inverse data envelopment analysis model for assessing the restructuring of decision-making units (DMUs) while observing predetermined value efficiency targets, under two distinct scenarios: merger and acquisitions and split. By considering the set of efficient DMUs as the Decision Maker’s set of Most Preferred Solutions, virtual new units with desired targets for value efficiency
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Assessing the eco-efficiency of industrial investment in China: a DEA approach IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-11-23 Chuanjin Zhu, Nan Zhu
Although the rapid growth of industrial investment has greatly contributed to Chinese socioeconomic development, the consequent resource depletion and environmental degradation have seriously restricted its potential for sustainability. Hence, the concept of eco-efficiency of industrial investment (EEII) is constructed under the comprehensive perspective of economic benefits, energy consumption and
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Soccer as a Markov process: modelling and estimation of the zonal variation of team strengths IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-11-23 Nobuyoshi Hirotsu, Keita Inoue, Kenji Yamamoto, Masafumi Yoshimura
This study models soccer as a Markov process. We discretize the pitch into nine zones, and define the states of the Markov process according to the zone of the pitch in which the ball is located, the team in possession and the score. Log-linear models are used to represent state transitions. Using the log-linear models, we estimate team strengths not only with respect to scoring or conceding, but also
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An inverse DEA model for intermediate and output target setting in serially linked general two-stage processes IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-11-19 Ahmad Kazemi, Don U A Galagedera
In this paper, we formulate an inverse data envelopment analysis (DEA) model for a serially linked two-stage production process operating under constant returns to scale technology. The inverse DEA model determines a set of intermediate and output targets for an input augmented decision-making unit (DMU) to maintain its relative efficiency at a pre-specified level. We solve the inverse DEA model using
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Portfolio optimization and intergenerational risk sharing for a collective defined contribution pension plan IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-10-29 Suxin Wang, Peiqi Wang, Shuhua Zhang
In this paper, we use a continuous time stochastic model to study a collective defined contribution pension plan when the interest rate is stochastic, and where the benefit levels are adjusted depending on the performance of the plan, and with risk sharing between different generations. The nominal interest rate is characterized by the Vasicek model, and the pension fund is invested in a financial
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A new interval efficiency measure in data envelopment analysis based on efficiency potential IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-10-29 Sebastián Lozano, Somayeh Khezri
This study proposes a new approach for evaluating the efficiency of decision-making units (DMUs) with interval data. We define a potential-based measure of efficiency (PBM), analogous with the concepts of the vector field and the potential function in Physics that projects the DMUs onto the best and the worst frontiers defined by the best and the worst values of the inputs and outputs of the DMUs.
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An efficient routing heuristic for a drone-assisted delivery problem IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-10-27 Abhishake Kundu, Ricardo Gatica Escobar, Timothy I Matis
In this paper, we present a routing heuristic for the Flying Sidekick Traveling Salesman Problem. This problem combines a single truck with a single drone. The drone may be launched from the truck from a customer location and can make a single package delivery before being recovered by the truck. While the drone is in flight, the truck can deliver packages independently. The problem is one of simultaneously
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Electric vehicle manufacturers’ decisions on investing in carbon-reduction technology under government subsidy: a Cournot game model IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-10-08 Jing Liu, Hongping Yuan, Jiajia Nie
To reduce carbon emissions in the electric vehicle (EV) market, the Chinese government has issued a subsidy scheme involving a subsidy threshold that is quite different from the fixed subsidy. This study aims to investigate competing EV manufacturers’ decisions on carbon-reduction (CR) technology investment under the subsidy threshold. We construct a Cournot game model involving two competitive EV
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Portfolio rebalancing based on time series momentum and downside risk IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-10-05 Xiaoshi Guo, Sarah M Ryan
To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we generate scenarios of future return according to a momentum-based stochastic process model. A new hybrid
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On the delayed worse-than-minimal repair model and its application to preventive replacement IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-10-04 Ji Hwan Cha, Maxim Finkelstein, Gregory Levitin
Minimal repair and other imperfect repair models have been intensively studied in the literature. Much less attention has been payed to the ‘worse than minimal’ repair problem, although it often occurs in practice due to the adverse effects of previous repairs, environmental and internal shocks, etc. To model this type of repair, we define a new point process that behaves as the non-homogeneous Poisson
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Improving service use through prediction modelling: a case study of a mathematics support centre IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-09-08 Emma Howard, Anthony Cronin
In higher education, student learning support centres are examples of walk-in services with nonstationary demand. For many centres, the major expenditure is tutor wages; thus, optimizing tutor numbers and ensuring value for money in this area are key. In University College Dublin, the mathematics support centre (MSC) has developed a software system, which electronically records the time each student
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Mathematics meet sports IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-08-13 Dimitris Karlis, Ioannis Ntzoufras, Panagiotis Repoussis
Sports have been always a fertile area of application of mathematics with a wide range of potential problems, ranging from simple examples which can be effectively used to teach students fundamental ideas about mathematics, probability and statistics (see, e.g. Kvam & Sokol, 2004), up to complicated models that can be utilized to study space creation in soccer (see, e.g. Bornn et al., 2018). Students
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Pricing energy quanto options in the framework of Markov-modulated additive processes IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-08-15 Fred E Benth, Griselda Deelstra, And Sinem Kozpınar
Energy quanto options are risk management tools that have a payoff similar to the product of the payoffs of two options, each written on an energy-related underlying. These options, as opposed to standardized contracts that only account for price risk, are designed to manage both volumetric and price risk in energy markets. Since the use of such options enables actors in the energy market also to hedge
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Optimal portfolio execution with a Markov chain approximation approach IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-08-14 Jingnan Chen, Liming Feng, Jiming Peng, Yu Zhang
We study the problem of executing a large multi-asset portfolio in a short time period where the objective is to find an optimal trading strategy that minimizes both the trading cost and the trading risk measured by quadratic variation. We contribute to the existing literature by considering a multi-dimensional geometric Brownian motion model for asset prices and proposing an efficient Markov chain
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Robust portfolio choice under the 4/2 stochastic volatility model IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-08-13 Yuyang Cheng, Marcos Escobar-Anel
This paper provides the first optimal portfolio analysis for a constant relative risk-averse and ambiguity-averse investor under the state-of-the-art 4/2 stochastic volatility model in a complete market setting. We determine the robust optimal strategy and the worst case measure by allowing separate levels of uncertainty for variance and stock drivers. Technical conditions for well-defined solutions
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A two-stage method for improving discrimination and variable selection in DEA models IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-08-11 Qiwei Xie, Rong Li, Yanping Zou, Yujia Liu, Xiaojiong Wang
One of the main challenges when applying data envelopment analysis (DEA) is the selection of appropriate input and output variables. This paper addresses this important problem using a novel two-stage method. In the first stage, we use entropy theory to generate a comprehensive efficiency score (CES) of each decision-making unit. In the second stage, we select input and output variables using the Bayesian
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Optimal inspection policy for a second-hand product with a two-dimensional warranty IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-07-30 Majeed Heydari
This paper studies the situation in which a manufacturer acts as a dealer and buys a second-hand product from one customer and sells it with a two-dimensional warranty to another customer. The manufacturer plans to inspect the product during the warranty period to identify and remove hidden defects and hence prevent failure as well as their corresponding cost. We describe a two-dimensional delay time
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Less is more: simple algorithms for the minimum sum of squares clustering problem IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-07-30 Pawel Kalczynski, Jack Brimberg, Zvi Drezner
The clustering problem has many applications in machine learning, operations research and statistics. We propose three algorithms to create starting solutions for improvement algorithms for the minimum sum of squares clustering problem. We test the algorithms on 72 instances that were investigated in the literature. We found five new best known solutions and matched the best known solution for 66 of
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Pricing in make-to-order firms with a lead time-dependent cost IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-07-16 Xiaoli Cai, Jun Li
The existing literature on make-to-order firms typically supposes that the unit production cost is a constant. In contrast, in this study, this cost is a variable that depends on the lead time. Under this assumption, we investigate the pricing problem for both a monopoly firm and two competing firms. Specifically, we develop a queueing-game-theoretic model to capture the interaction between customers
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Forty years of score-based soccer match outcome prediction: an experimental review IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-07-10 Ondřej Hubáček, Gustav Šourek, Filip železný
We investigate the state-of-the-art in score-based soccer match outcome modelling to identify the top-performing methods across diverse classes of existing approaches to the problem. Namely, we bring together various statistical methods based on Poisson and Weibull distributions and several general ranking algorithms (Elo, Steph ratings, Gaussian-OD ratings) as well as domain-specific rating systems
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Competitive balance measures and the uncertainty of outcome hypothesis in European football IMA J. Manag. Math. (IF 1.7) Pub Date : 2021-07-01 V Manasis, I Ntzoufras, J J Reade
Competitive balance is an important issue in professional sport in general and European football in particular. However, competitive balance is difficult to quantify because competitiveness is multi-dimensional and particular sports are distinctive. We aim to identify the most appropriate index for a holistic view of competitive balance in European football. We use data from eight domestic European