http://hdl.handle.net/1903/1588 2013-05-25T09:34:10Z 2013-05-25T09:34:10Z Peng, Yijie Chen, Chun-Hung Fu, Michael Hu, Jian-Qiang http://hdl.handle.net/1903/12870 2012-07-31T02:30:59Z 2012-01-01T00:00:00Z

Title: Online Supplement to `Efficient Simulation Resource Sharing and Allocation for Selecting the Best' Authors: Peng, Yijie; Chen, Chun-Hung; Fu, Michael; Hu, Jian-Qiang Abstract: This is the online supplement to the article by the same authors, "Efficient Simulation Resource Sharing and Allocation for Selecting the Best," published in the IEEE Transactions on Automatic Control.

2012-01-01T00:00:00Z Souza, Gilvan Ferguson, Mark Jayaraman, Vaidy http://hdl.handle.net/1903/2304 2007-12-01T05:05:50Z 2005-07-19T20:53:40Z

Title: Note: An Application of the EOQ Model with Nonlinear Holding Cost to Inventory Management of Perishables Authors: Souza, Gilvan; Ferguson, Mark; Jayaraman, Vaidy Abstract: We consider a variation of the economic order quantity (EOQ) model where cumulative holding cost is a nonlinear function of time. This problem has been studied by Weiss (1982), and we here show how it is an approximation of the optimal order quantity for perishable goods, such as milk, and produce, sold in small to medium size grocery stores where there are delivery surcharges due to infrequent ordering, and managers frequently utilize markdowns to stabilize demand as the product’s expiration date nears. We show how the holding cost curve parameters can be estimated via a regression approach from the product’s usual holding cost (storage plus capital costs), lifetime, and markdown policy. We show in a numerical study that the model provides significant improvement in cost vis-à-vis the classic EOQ model, with a median improvement of 40%. This improvement is more significant for higher daily demand rate, lower holding cost, shorter lifetime, and a markdown policy with steeper discounts.

2005-07-19T20:53:40Z Jin, Xing Fu, Michael C. http://hdl.handle.net/1903/2301 2008-03-11T18:40:12Z 2005-07-01T12:31:49Z

Title: A Large Deviations Analysis of Quantile Estimation with Application to Value at Risk Authors: Jin, Xing; Fu, Michael C. Abstract: Quantile estimation has become increasingly important, particularly in the financial industry, where Value-at-Risk has emerged as a standard measurement tool for controlling portfolio risk. In this paper we apply the theory of large deviations to analyze various simulation-based quantile estimators. First, we show that the coverage probability of the standard quantile estimator converges to one exponentially fast with sample size. Then we introduce a new quantile estimator that has a provably faster convergence rate. Furthermore, we show that the coverage probability for this new estimator can be guaranteed to be 100% with sufficiently large, but finite, sample size. Numerical experiments on a VaR example illustrate the potential for dramatic variance reduction.

2005-07-01T12:31:49Z Diaz, Angel Fu, Michael C. http://hdl.handle.net/1903/2300 2008-03-11T18:39:24Z 2005-07-01T12:31:37Z

Title: Multi-Echelon Models for Repairable Items: A Review Authors: Diaz, Angel; Fu, Michael C. Abstract: We review multi-echelon inventory models for repairable items. Such models have been widely applied to the management of critical spare parts for military equipment for around three decades, but the application to manufacturing and service industries seems to be much less documented. We feel that the appropriate use of models in the management of spare parts for heavily utilized equipment in industry can result in significant cost savings, in particular in those settings where repair facilities are resource constrained. In our review, we provide a strategic framework for making these decisions, place the modeling problem in the broader context of inventory control, and review the prominent models in the literature under a unified setting, highlighting some key relationships. We concentrate on describing those models which we feel are most applicable for practical application, revisiting in detail the Multi-Echelon Technique for Recoverable Item Control (METRIC) model and its variations, and then discussing a variety of more general queueing models. We then discuss the components which we feel must be addressed in the models in order to apply them practically to industrial settings.

2005-07-01T12:31:37Z