Australian Society For Operations Research (ASOR)

Merry Chrismas and Happy New Year.

In the last issue, we have reported that Simon Dunstall is our Australian recipient of ORSJ40 Award 2002. Simon has participated ORSJ40 and written a short report based on his experience of the event, and we are delighted to be publishing it here for Bulletin readers. In this issue, we have also published brief reports on ‘student conference’ and ‘conference on recent advances’ organized by ASOR Melbourne chapter.

I am pleased to inform you that the electronic version of ASOR Bulletin is now available at this web site. Although the electronic version is prepared as an HTML file, for technical reasons articles may be in PDF or PS format.

To commemorate the 40th Anniversary of the Operations Research Society of Japan, ORSJ initiated the International Cooperative Program for the Promotion of Operations Research. For the past six years a major activity in this program has been to invite (relatively) young OR researchers from APORS member societies to attend the Annual Conference of the ORSJ (see http://www.orsj.or.jp/english/icppor.html ). The conference this year was in Hakodate, Hokkaido, and as in previous years ORSJ and the program sponsor, Daiwa House Industry Co., meet the expenses of the invitees.

I flew out of Tullamarine airport on the 9th September, and arrived at Tokyo (Narita) airport in the evening. Narita is 60 minutes from the centre of Tokyo and 80 minutes from Ichijaya, where the APORS group stayed while in Tokyo.

Getting around Tokyo is relatively easy, as there is a lot of English language to be found. For example, the station names are written in both characters and their English equivalent, and the transport services are labelled (and sometimes announced) in English too. However, some things can be hard to locate, and hotels are a good example. Tokyo is humid at this time of year, which can be uncomfortable when you are lugging bags and going round in circles looking for a hotel: which I did, twice.

On Tuesday I visited Tsukuba, which is 80 minutes or so from Tokyo by bus. Tsukuba is a city oriented around science and technology. My reason for travelling there was a visit to the Institute of Policy and Planning Sciences at the University of Tsukuba ( http://www.sk.tsukuba.ac.jp/ipps/indexE.html ). Prof. Hirofumi Matsuo was my host, and I presented a talk that was attended by some students (who I don't think followed much), Prof. Matsuo, Prof. Sato and Prof. Koda (from U. Tsukuba), and Dr Miyashita (AIST / U. Tsukuba).

The above-mentioned Prof. Koda was one of the two ORSJ "tour guides" for the APORS attendees, along with Prof. Makimoto (also U. Tsukuba). In total seven APORS attendees made the trip (from Australia, NZ, Malaysia, Philippines, China, Singapore and Hong Kong), and we gathered on the Tuesday night in Ichijaya.

The next day (Wednesday) we travelled by plane to Hakodate. The ORSJ conference was held at Future University (FUN) in Hakodate. FUN has one building, a large glass-and-steel construction on a hillside overlooking the city and the strait that separates Hokkaido from Honshu.

The conference was in Japanese, with the exception of the APORS stream, which made participation a touch difficult. However, it did make for a pleasant experience in both listening to talks in research areas distant from our own, and in presenting to a diverse audience. The APORS stream, on the Thursday, consisted of the seven talks from the APORS attendees plus a talk by Prof. Mukherjee (president of the OR Soc. Of India) and another by an Indian researcher based in Japan.

The talks (15 mins) in this stream were entertaining, and because we had already spent two days in each other’s pockets, a bit laid-back as well. Matthias Erghott (U. Auckland) presented on the method of elastic constraints in multi-objective combinatorial optimization. Lee Chulung (NUS) talked about path layouts for guided vehicles. Zulkifli Nopiah (U. Kebangsaan, Malaysia) discussed methods for selecting a portfolio of stocks whose combined value tracks market indices. Qiying Hu (Xidian Univ., China) presented an analysis of continuous-time Markov decision processes, and the talk by Wan-Lung Ng (City Univ., HK) was entitled “Iterative Parametric Separation Scheme for Robust Optimization in Two-Stage Stochastic Program”.

Tone & Sahoo (Grad. Inst. Policy & Planning Studies, Japan) talked about technology choices for production, and Emmanuel Macalalag (San Miguel Corp, Phillipines) presented a decision support system for planning alcohol shipments. "The interface between statistics and OR" was the title of the presentation by Prof. Mukherjee, and the main topic was the promotion of research into non-deterministic models. My own talk was on the Electronic Travel Planner (see http://www.cmis.csiro.au/etp/ ).

On Thursday night we retired to a resort hotel in Shikabe, about 45 minutes from Hakodate. This hotel has a dormant volcano 500m at the back, the sea 500m at the front, and hot springs on the ground floor. Definitely hard work. To make it even more uncomfortable, we had a sumptuous banquet for dinner. Friday saw us on a mini-bus trip to Shikabe town, Lake Onuma National Park, a fort in Hakodate, the Hakodate waterfront, and then by plane back to Tokyo Hameda airport for a final dinner. Our tour guides Koda and Makimoto were joined by Yutaka Umesawa (Eme. Prof at Univ. Tokyo) for Thursday and Friday. Most of the APORS delegates stayed on for at least some of the weekend, as tourists.

The financial generosity of ORSJ extended to all of the accommodation, most of the travel and many of the meals: and the hospitality was warm and extensive as well. Unfortunately, our group was the last able to be received in this way, the money that had been made available has now been exhausted. The goal of ORSJ's APORS program is to promote ongoing interaction with ORSJ and amongst APORS member countries: in this it has been successful so far amongst our touring group. It was a fabulous trip and I extend my thanks to the selection committee for choosing me as the ASOR delegate.

For many years now the Melbourne Chapter of ASOR has sponsored a Recent Advances in Operations Research Conference. In a change from previous conferences, this year the conference opened and closed with panel discussions. This is a brief report of those panel discussions.

Panel Discussion 1.   “Changing Face and Nature of OR”.
Panel members were Professor Peter Taylor (University of Melbourne), Mr. Jeremy Howard (Optimal Decisions, Melbourne) and Dr Vicky Mak (recent graduate in OR from University of Melbourne).
The panel was moderated by Professor Santosh Kumar (Victoria University of Technology, Melbourne).
In introducing the topic Professor Kumar made the following observations:
•   That following practical success in World War 2 and the post-war years Professional OR Societies proliferated until at least the middle 1970s.
•   Simultaneously, formal training in OR in universities and other tertiary institutes commenced and expanded.
•   However during the past decade, although there is as much OR as ever being carried out ‘in the field’, there seems to be a decline in formal activity branded as OR. This is evidenced by the decline in formal Operations Research courses being offered in educational institutions and in declining memberships of professional societies.
Professor Kumar invited the panellists to respond to a number of questions he put to them. What follows is a selection of edited responses without specific attribution.
•   Many of the early OR problems were physical and functional and have been solved, more or less. Modern problems are more to do with systems and are of a more general nature. They require more generic ‘problem solving’ skills.
•   Modern ‘OR’ courses are still providing ‘technique’ based training and not tackling generic skills.
•   The decline in the use of the term OR in industry follows the general decline in manufacturing over recent times.
•   The ASOR needs to change the way it deals with its members, particularly practitioners. It must provide a venue where practitioners can meet prospective customers, employees and partners. In short, it needs to be an organisation for networking.
•   Talks need to give much more prominence to the use of OR tools and techniques in practical problem solving and the outcomes for the organisation concerned, rather than to academic research for which there are other suitable forums.
•   In support of the previous points, the environment in which members meet needs to be more conducive to networking.
•   To tackle the question of declining membership, there needs to be a more commercial, pragmatic approach to what is offered to members. For example, student members need to have prospective employers available to them. Deeper, commercial links need to be established.

Panel Discussion 2.   “Future Challenges for OR: Unearthing Hidden OR”.
Panel members were Ms Maria Moffat (Business Consultant), Mr. Alan Brown (Insurance Industry - retired) and Grant Mackay (Sporting Systems consultant)
The panel was moderated by Paul Lochert (Monash University - retired).
This panel discussion was conducted in an informal way and points made ranged widely. There was also considerable input from conference participants. Again, what follows is a selection of edited responses without specific attribution.
•   From about 1966 until about 1974 OR was a glamourous discipline with many firms setting up an OR Department or Group. But then came the oil price shock and since then the existence of OR groups has become less common. Most firms disbanded their groups in 1974, those that survived that financial crash were closed in the early 1990's following the crash of 1987.
•   By 1974 many OR departments and OR consultancies had disappeared. Why? Because they were not conspicuously saving money or producing an immediate return or product.
•   Another factor that lead to the post 1974 decline was the development of computing power and spreadsheets which meant that when a problem was solved, its solution could be ‘routinised’ and the need to have a specialist OR person was not deemed necessary by management.
•   The difficulty is therefore to find new problems. They are larger, more diverse and more difficult. OR people are needed to tackle these problems. But will management support such activities in the current "economic rationalist" society?
•   Too much training time is spent on learning established techniques, instead of ‘problem sensing’, ‘problem solving’ and ‘solution implementation’.
•   Jobs where it might be expected that expertise in OR would be useful are usually advertised in terms of a more narrowly defined discipline. For example, ‘logistics expert’, and ‘financial modeller’.
•   Companies employing people with OR skills will want them to be able to recognise problems.
•   There are opportunities for people with OR skills in finance (particularly treasury), in logistics, in health and in environmental modelling. However, jobs are unlikely to be labelled ‘OR’. Defence is an exception, however.
•   People undergoing a job interview should take the approach ‘I can solve your problems’ and when job seeking should focus on large organisations. You need to be able to solve problems. However, people are afraid of ‘experts’ so don’t push your mathematical abilities.
•   Job applicants should adopt the approach that ‘the world’ is the source of employment and should make considerable use of the internet.

There are numerous valuable insights in these comments both for the OR community in general and for the ASOR and its Chapters in particular. We ignore them at our peril.

Between the two panel discussions we had 7 excellent papers that prompted much discussion. The abstracts from the talks follow.

TIME SERIES ANALYSIS OF CONFIDENTIAL DAT
Alan Brown and Patrick Tobin

Abstrac
Analysts are frequently confronted with the problem of working with data that must be kept private and confidential for commercial reasons. Difficulties also arise when reporting the results to ensure that breaches of security are avoided. A natural procedure for the analysis of time series is shown to provide useful information whilst still preserving privacy and confidentiality. Only elementary data transformations are used in a process that has widespread applicability.
Examples are provided from health insurance, retail banking and the supply of electricity.

A NEW MODEL FOR ONE-DIMENSIONAL CUTTING STOCK PROBLEM
Robert E Johnston** and Enes Sadinlija*
**Professor, *Graduate student, Department of Chemical Engineering, Monash University, Australia

Abstract
The cutting stock problem has been studied extensively in recent decades and many different concepts have been developed. The current programming packages for the cutting stock problems are able to produce low trim loss solutions, and in certain circumstances can minimise the number of distinct cutting patterns. Despite these successes there is still no universal acceptance of available techniques. There are still significant difficulties with existing software packages and many users use their own solution procedures, even manual methods to produce cutting plans. This is particularly true because current packages fail to address some other issues, such as due date/time for customer orders, dispatch or warehouse restrictions etc.
The capability to address these issues is essential for any package that intends to be used in an automatic, hands-off mode, as required by a modern computerized control system. Without such a package, use of sophisticated information technologies in control systems will be restricted by the need to have some kind of manual intervention, the quality of which is very difficult to predict.
The present limitations of the cutting stock problem solution algorithms therefore give rise to the requirement of theoretical breakthroughs from the computer scientists or operations research experts. The new model does not require pre-specification of cutting patterns. It explicitly includes practical constraints such as pattern cardinality constraints, minimum run length constraints and order finish time constraints. The model resolves the non-linearity in the one-dimensional cutting stock problem, between pattern variables and pattern run lengths, by a novel use of 0-1 variables resulting in a relatively compact MIP.

A MODEL FOR INVESTMENT AND PRODUCTION
B. D. Craven, University of Melbourne,    joint research with Dr. S. M. N Islam from Victoria University.

Abstract:
A simple economic model is presented, which explores the interaction between financial factors (investment, and random fluctuations of share price) and production factors (growth of physical capital, and consumption). This leads to an optimal control model in discrete time. A positive feedback path is involved. Some computed results are presented, for the case of a single product.

MACHINE SCHEDULING WITH ANT COLONY OPTIMIZATIO
Lam Phuong Lam
Operations Research Group, CSIRO Mathematical & Information Sciences

Abstrac
For many industries, by automating part, or all, of the process of machine scheduling, significant improvements in production line utilization and cost reduction can be achieved.

This research has considered a class of practical and complex industry machine scheduling problems, that has not (or rarely) been looked at by the research community and has relevance to the wine bottling industry. These problems possess more characteristics and treat the constraints as hard in different ways.

This research has explored if the Ant Colony Optimization metaheuristic can be applied to solve these types of problems, and if so, does the standard Ant Colony Optimization techniques work? Or what are the modifications and parameter settings that need to be made for it to work?

In answering these questions, this research has arrived at a conclusion of the ingredients that make the Ant Colony Optimization metaheuristic effective in solving these types of machine scheduling problems.

INTEGER BLOCKING MODELS FOR SCHOOL TIMETABLIN
Liam Merlot

Abstract:
Blocking is a tool often used by real life timetablers at Victorian high schools, but strangely this technique has been largely ignored by timetabling researchers. It is a means of allocating all students enrolled in a subject into classes in such a manner as will be consistent with later constraints on the timetable. In this talk the blocking problem for a Victorian high school is presented. An integer programming model is suggested as a means for solving this problem, and some computational
results will be discussed.

FITTING A TABLE TO A PAGE USING NON-LINEAR OPTIMISATIO
Nicholas Beaumont, Department of Management, Monash University

Abstract
It is sometimes difficult to fit a large table comprising several rows and columns onto a page. The usual tactic is to manually adjust column widths, abbreviate some text and/or change some cells’ font sizes until the table fits onto a page. We show that it is possible to express the problem of adjusting column widths so as to minimize the height of a table as a mathematical optimization problem with non-linear constraints. Three test problems were routinely solved using a free software package. We stress that the solutions are approximate because the model imperfectly simulates how many lines of a cell of a table will be required to contain a segment of text, but they appear to provide good approximations in difficult cases.

ON THE MINIMUM MAKESPAN SINGLE MACHINE SCHEDULING PROBLEM WITH SEQUENCE DEPENDENT SETUP TIMES AND DEADLINE CONSTRAINT
Authors: Andreas Ernst (CSIRO), Vicky Mak (MelbU)
Speaker: Vicky Mak

Abstract:
In this talk, we discuss a non-preemptive minimum makespan single-machine scheduling problem with sequence dependent setup times and deadline constraints. The problem can be viewed as a special class of the Asymmetric Travelling Salesman Problem with Time-windows. We provide an overview of various methods we developed for solving the problem, and present some numerical results.

- Gavin Cole,
Vice-Chair, ASOR (Melbourne Chapter).

As regular full time professor at Université Laval ,a French speaking university in Québec, (Canada), for the second part of my sabbatical leave, from the 1st july 2003 to the 31th December , 2003, I seek for an Australian university or research center which could accomodate me during this period.. I work in the field of OR and decision engineering , more specifically multicriterion modeling, group decision modeling, quality management, including the mathematical and algorithmic aspect of the latters. My research applications are implied mainly in the process engineering and the urban transport fields. My coordinates :

                                                              Dr Laszlo Nandor KISS , professor
                                                              Université Laval, bureau 2537/PAP
                                                              SAINTE_FOY(Québec)
                                                               G1K 7P4 Canada
                                                               e-mail : laszlo.kiss@fsa.ulaval.ca

To the top

New Books for 2002
Compiled by: Emma Hunt

Evolutionary Optimization
Edited by
Ruhul Sarker
University of New South Wales, Canberra, Australia
Masoud Mohammadian
University of Canberra, Australia
Xin Yao
The University of Birmingham, UK
(Volume 48 in the International Series in Operations Research and Management Science)
Kluwer Academic Publishers, Boston
Hardbound, ISBN 0-7923-7654-4
January 2002 , 432 pp.
EUR 150.00 / USD 136.00 / GBP 96.00
http://www.wkap.nl/prod/b/0-7923-7654-4
The use of evolutionary computation techniques has grown considerably over the past several years. Over this time, the use and applications of these techniques have been further enhanced resulting in a set of computational intelligence (also known as modern heuristics) tools that are particularly adept for solving complex optimization problems. Moreover, they are charac-teristically more robust than traditional methods based on formal logics or mathematical programming for many real world OR/MS problems. Hence, evolutionary computation techniques have dealt with complex optimization problems better than traditional optimization techniques although they can be applied to easy and simple problems where conventional techniques work well. Clearly there is a need for a volume that both reviews state-of-the-art evolutionary computation techniques, and surveys the most recent developments in their use for solving complex OR/MS problems. This volume on Evolutionary Optimization seeks to fill this need.

Evolutionary Optimization is a volume of invited papers written by leading researchers in the field. All papers were peer reviewed by at least two recognized reviewers. The book covers the foundation as well as the practical side of evolutionary optimization.

Project Scheduling: A Research Handbook
By
Erik L. Demeulemeester
Dept. of Applied Economics, Katholieke Universiteit, Leuven, Belgium
Willy S. Herroelen
Dept. of Applied Economics, Katholieke Universiteit, Leuven, Belgium

(Volume 49 in the International Series in Operations Research and Management Science)
Project management can be broadly defined as the process of managing, allocating and timing resources to achieve given objectives in an efficient and expedient manner. The builders of the pyramids in Egypt and the Maya temples in Central America are often cited as the world's first project managers. Without the help of computers or planning software, they managed exceptionally complex projects, using the simplest of tools. Nowadays projects, sets of activities which have a defined start point and a defined end state and which pursue a defined goal and use a defined set of resources, come in many and various forms. The Manhattan project which created the first atom bomb, the Apollo moon program, the construction of the Channel tunnel, the design of the Airbus, the development of new products, the construction of large office buildings, the relocation of a factory, the installation of a new information system, as well as the development of a marketing plan are all well-known examples of projects.

The objectives in writing Project Scheduling: A Research Handbook are threefold: (1) Provide a unified scheme for classifying the numerous project scheduling problems occurring in practice and studied in the literature; (2) Provide a unified and up-to-date treatment of the state-of-the-art procedures developed for their solution; (3) Alert the reader to various important problems that are still in need of considerable research effort. As such, this book should differ from other project scheduling books in its use of an innovative unified resource scheduling classification scheme, and a unified treatment of both exact and heuristic solution procedures.

Project Scheduling: A Research Handbook has been divided into four parts. Part I consists of three chapters on the scope and relevance of project scheduling, on the nature of project scheduling, and finally on the introduction of a unified scheme that will be used in subsequent chapters for the identification and classification of the project scheduling problems studied in this book. Part II focuses on the time analysis of project networks. Part III carries the discussion further into the crucial topic of scheduling under scarce resources. Part IV deals with robust scheduling and stochastic scheduling issues. Numerous tables and figures are used throughout the book to enhance the clarity and effectiveness of the discussions. For the interested and motivated reader, the problems at the end of each chapter should be considered as an integral part of the presentation.
Kluwer Academic Publishers, Boston
Hardbound, ISBN 1-4020-7051-9
712 pp.
EUR 202.00 / USD 185.00 / GBP 128.00
http://www.wkap.nl/prod/b/1-4020-7051-9

Traffic Theory
By
Denos C. Gazis
(Volume 50 in the International Series in Operations Research and Management Science)
Traffic Theory describes and illustrates the key models of traffic flow and associated traffic phenomena such as conflicts in traffic, traffic generation and assignment, and traffic control. The use of these various models are explored both in terms of how they have improved traffic systems over the years and how better implementation of these models can accelerate the successful deployment of Intelligent Transportation Systems (ITS). Furthermore, the book outlines opportunities for development of additional models needed for continued improvement of ITS.

The book is intended as a textbook for a college Transportation Science curriculum, and as a reference book for researchers in Transportation Science. Dr. Gazis has concentrated in the book's presentation on the fundamental concepts and methods in the various areas of traffic theory.
Kluwer Academic Publishers, Boston
Hardbound, ISBN 1-4020-7095-0
June 2002 , 280 pp.
EUR 125.00 / USD 115.00 / GBP 80.00
http://www.wkap.nl/prod/b/1-4020-7095-0

Multiple Criteria Optimization: State of the Art Annotated Bibliographic Surveys
Edited by
Matthias Ehrgott
Dept. of Engineering Science, University of Auckland, New Zealand
Xavier Gandibleux
Université de Valenciennes, France
(Volume 52 in the International Series in Operations Research and Management Science)
The roots of Multiple Criteria Decision Making and Multiple Criteria Optimization were laid by Pareto at the end of the 19th century, and since then the discipline has prospered and grown, especially during the last three decades. Today, many decision support systems incorporate methods to deal with conflicting objectives. The foundation for such systems is a mathematical theory of optimization under multiple objectives.

Since its beginnings, there have been a vast number of books, journal issues, papers and conferences that have brought the field to its present state. Despite this vast body of literature, there is no reliable guide to provide an access to this knowledge. Over the years, many literature surveys and bibliographies have been published. With the ever rapidly increasing rate of publications in the area and the development of subfields, these were mostly devoted to particular aspects of multicriteria optimization: Multiobjective Integer Programming, Multi-objective Combinatorial Optimization, Vector Optimization, Multiobjective Evolutionary Methods, Applications of MCDM, MCDM Software, Goal Programming. Hence the need for a comprehensive overview of the literature in multicriteria optimization that could serve as a state of the art survey and guide to the vast amount of publications. Multiple Criteria Optimization: State of the Art Annotated Bibliographic Surveys is precisely this book. Experts in various areas of multicriteria optimization have contributed to the volume. The chapters in this book roughly follow a thread from most general to more specific. Some of them are about particular types of problems (Theory of Vector Optimization, Nonlinear Multiobjective Programming, Fuzzy Multiobjective Programming, Multiobjective Combinatorial Optimization, Multicriteria Scheduling Problems), while the others are focused on multi-objective methodologies (Goal Programming, Interactive Methods, Evolutionary Algorithms, Data Envelopment Analysis). All contributing authors invested great effort to produce comprehensive overviews and bibliographies and to have references that are as precise as possible.
Kluwer Academic Publishers, Boston
Hardbound, ISBN 1-4020-7128-0
June 2002 , 520 pp.
EUR 175.00 / USD 160.00 / GBP 110.00
http://www.wkap.nl/prod/b/1-4020-7128-0

Potential Function Methods for Approximately Solving Linear Programming Problems: Theory and Practice
By
Daniel Bienstock
Dept. of Industrial Engineering and OR, Columbia University, New York, USA
(Volume 53 in the International Series in Operations Research and Management Science)
Potential Function Methods For Approximately Solving Linear Programming Problems breaks new ground in linear programming theory. The book draws on the research developments in three broad areas: linear and integer programming, numerical analysis, and the computational architectures which enable speedy, high-level algorithm design. During the last ten years, a new body of research within the field of optimization research has emerged, which seeks to develop good approximation algorithms for classes of linear programming problems. This work both has roots in fundamental areas of mathematical programming and is also framed in the context of the modern theory of algorithms. The result of this work, in which Daniel Bienstock has been very much involved, has been a family of algorithms with solid theoretical foundations and with growing experimental success. This book will examine these algorithms, starting with some of the very earliest examples, and through the latest theoretical and computational developments.
Kluwer Academic Publishers, Boston
Hardbound, ISBN 1-4020-7173-6
August 2002 , 136 pp.
EUR 91.00 / USD 89.00 / GBP 61.00
http://www.wkap.nl/prod/b/1-4020-7173-6

Handbook of Game Theory with Economic Applications
Edited by                       R. Aumann and S. Hart
In 3 volumes, Elsevier Science, 2002.      Volume 3
This is the third and last volume of the Handbook of Game Theory with Economic Applications. Since the publication of multi-Volume 1 a decade ago, game theory has continued to develop at a furious pace, and today it is the dominant tool in economic theory. The three volumes together cover the fundamental theoretical aspects, a wide range of applications to economics, several chapters on applications to political science and individual chapters on applications to disciplines as diverse as evolutionary biology, computer science, law, psychology and ethics. The authors are the most eminent practitioners in the field, including three Nobel Prize winners.
The topics covered in the present volume include strategic ("Nash") equilibrium; incomplete information; two-person non-zero-sum games; noncooperative games with a continuum of players; stochastic games; industrial organization; bargaining, inspection; economic history; the Shapley value and its applications to perfectly competitive economies, to taxation, to public goods and to fixed prices; political science; law mechanism design; and game experimentation.
http://www.elsevier.nl/inca/publications/store/6/0/1/1/1/0/index.htt
Hardbound, ISBN: 0-444-89428-4     832 pages                          USD 134, EUR 134

Chapters in Game Theory In Honor of Stef Tijs
Edited by
Peter Borm
Faculty of Economics and Business Administration, University of Tilburg, The Netherlands
Hans J.M. Peters
Dept. of Quantitative Economics, Maastricht University, The Netherlands
Book Series: THEORY AND DECISION LIBRARY C: Game Theory, Mathematical Programming and Operations Research : Volume 31
Chapters in Game Theory has been written on the occasion of the 65th birthday of Stef Tijs, who can be regarded as the godfather of game theory in the Netherlands. The contributors all are indebted to Stef Tijs, as former Ph.D. students or otherwise.

The book contains fourteen chapters on a wide range of subjects. Some of these can be considered surveys while other chapters present new results: most contributions can be positioned somewhere in between these categories. The topics covered include: cooperative stochastic games; noncooperative stochastic games; sequencing games; games arising form linear (semi-) infinite programming problems; network formation, costs and potential games; potentials and consistency in transferable utility games; the nucleolus and equilibrium prices; population uncertainty and equilibrium selection; cost sharing; centrality in social networks; extreme points of the core; equilibrium sets of bimatrix games; game theory and the market; and transfer procedures for nontransferable utility games.

Both editors did their Ph.D with Stef Tijs, while he was affiliated with the Mathematics Department of the University of Nijmegen.
Kluwer Academic Publishers, Boston
Hardbound, ISBN 1-4020-7063-2
May 2002 , 328 pp.
EUR 127.00 / USD 110.00 / GBP 78.00
http://www.wkap.nl/prod/b/1-4020-7063-2

Social Networks and Trust
By
Vincent Buskens
Dept. of Sociology, Utrecht University, The Netherlands
Book Series: THEORY AND DECISION LIBRARY C: Game Theory, Mathematical Programming and Operations Research : Volume 30
Social Networks and Trust discusses two possible explanations for the emergence of trust via social networks. If network members can sanction untrustworthiness of actors, these actors may refrain from acting in an untrustworthy manner. Moreover, if actors are informed regularly about trustworthy behavior of others, trust will grow among these actors.

A unique combination of formal model building and empirical methodology is used to derive and test hypotheses about the effects of networks on trust. The models combine elements from game theory, which is mainly used in economics, and social network analysis, which is mainly used in sociology.

The hypotheses are tested (1) by analyzing contracts in information technology transactions from a survey on small and medium-sized enterprises and (2) by studying judgments of subjects in a vignette experiment related to hypothetical transactions with a used-car dealer.

The book is of interest for academics in various fields within economics, sociology, and political science such as game theory, organizational behavior, social networks and rational choice theory.
Kluwer Academic Publishers, Boston
Hardbound, ISBN 1-4020-7010-1
March 2002 , 270 pp.
EUR 121.50 / USD 105.00 / GBP 74.50
http://www.wkap.nl/prod/b/1-4020-7010-1

Stochastic Approximation and Its Application
By
Han-Fu Chen
Institute of Systems Science, Academy of Mathematics and System Science, Chinese Academy of Sciences, Beijing, PR of China
This book presents the recent development of stochastic approximation algorithms with expanding truncations based on the TS (trajectory-subsequence) method, a newly developed method for convergence analysis. This approach is so powerful that conditions used for guaranteeing convergence have been considerably weakened in comparison with those applied in the classical probability and ODE methods. The general convergence theorem is presented for sample paths and is proved in a purely deterministic way. The sample-path description of theorems is particularly convenient for applications. Convergence theory takes both observation noise and structural error of the regression function into consideration. Convergence rates, asymptotic normality and other asymptotic properties are presented as well. Applications of the developed theory to global optimization, blind channel identification, adaptive filtering, system parameter identification, adaptive stabilization and other problems arising from engineering fields are demonstrated.

Audience: Researchers and students of both graduate and undergraduate levels in systems and control, optimization, signal processing, communication and statistics.
Kluwer Academic Publishers, Dordrecht
Hardbound, ISBN 1-4020-0806-6
September 2002 , 376 pp.
EUR 137.00 / USD 130.00 / GBP 87.00
http://www.wkap.nl/prod/b/1-4020-0806-6

Foundations of Bilevel Programming
By
Stephan Dempe
Freiberg University of Mining and Technology, Germany
Bilevel programming problems are hierarchical optimization problems where the constraints of one problem (the so-called upper level problem) are defined in part by a second parametric optimization problem (the lower level problem). If the lower level problem has a unique optimal solution for all parameter values, this problem is equivalent to a one-level optimization problem having an implicitly defined objective function. Special emphasize in the book is on problems having non-unique lower level optimal solutions, the optimistic (or weak) and the pessimistic (or strong) approaches are discussed. The book starts with the required results in parametric nonlinear optimization. This is followed by the main theoretical results including necessary and sufficient optimality conditions and solution algorithms for bilevel problems. Stationarity conditions can be applied to the lower level problem to transform the optimistic bilevel programming problem into a one-level problem. Properties of the resulting problem are highlighted and its relation to the bilevel problem is investigated. Stability properties, numerical complexity, and problems having additional integrality conditions on the variables are also discussed.

Audience: Applied mathematicians and economists working in optimization, operations research, and economic modelling. Students interested in optimization will also find this book useful.
Kluwer Academic Publishers, Dordrecht
Hardbound, ISBN 1-4020-0631-4
May 2002 , 320 pp.
EUR 125.00 / USD 115.00 / GBP 79.00
http://www.wkap.nl/prod/b/1-4020-0631-4

Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information
By
Nikolai Dokuchaev
St. Petersburg State University, Russia and The University of West Indies, Jamaica
Book Series: INTERNATIONAL SERIES IN OPERATIONS RESEARCH AND MANAGEMENT SCIENCE : Volume 47
Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information investigates optimal investment problems for stochastic financial market models. It is addressed to academics and students who are interested in the mathematics of finance, stochastic processes, and optimal control, and also to practitioners in risk management and quantitative analysis who are interested in new strategies and methods of stochastic analysis.

While there are many works devoted to the solution of optimal investment problems for various models, the focus of this book is on analytical strategies based on "technical analysis" which are model-free. The technical analysis of these strategies has a number of characteristics. Two of the more important characteristics are: (1) they require only historical data, and (2) typically they are more widely used by traders than analysis based on stochastic models. Hence it is the objective of this book to reduce the gap between model-free strategies and strategies that are "optimal" for stochastic models. We hope that researchers, students and practitioners will be interested in some of the new empirically based methods of "technical analysis" strategies suggested in this book and evaluated via stochastic market models.
Kluwer Academic Publishers, Boston
Hardbound, ISBN 0-7923-7648-X
January 2002 , 232 pp.
EUR 120.00 / USD 110.00 / GBP 77.00
http://www.wkap.nl/prod/b/0-7923-7648-X

Modeling Uncertainty: An Examination of Stochastic Theory, Methods, and Applications
Edited by
Moshe Dror
MIS Dept., University of Arizona, Tucson, USA
Pierre L'Ecuyer
University of Montreal, QC, Canada
Ferenc Szidarovszky
Dept. of Systems and Industrial Engineering, University of Arizona, Tucson, USA
Book Series: INTERNATIONAL SERIES IN OPERATIONS RESEARCH AND MANAGEMENT SCIENCE : Volume 46
Modeling Uncertainty: An Examination of Stochastic Theory, Methods, and Applications, is a volume undertaken by the friends and colleagues of Sid Yakowitz in his honor. Fifty internationally known scholars have collectively contributed 30 papers on modeling uncertainty to this volume. Each of these papers was carefully reviewed and in the majority of cases the original submission was revised before being accepted for publication in the book. The papers cover a great variety of topics in probability, statistics, economics, stochastic optimization, control theory, regression analysis, simulation, stochastic programming, Markov decision process, application in the HIV context, and others. There are papers with a theoretical emphasis and others that focus on applications. A number of papers survey the work in a particular area and in a few papers the authors present their personal view of a topic. It is a book with a considerable number of expository articles, which are accessible to a nonexpert - a graduate student in mathematics, statistics, engineering, and economics departments, or just anyone with some mathematical background who is interested in a preliminary exposition of a particular topic. Many of the papers present the state of the art of a specific area or represent original contributions which advance the present state of knowledge. In sum, it is a book of considerable interest to a broad range of academic researchers and students of stochastic systems.
Kluwer Academic Publishers, Boston
Hardbound, ISBN 0-7923-7463-0
January 2002 , 800 pp.
EUR 275.00 / USD 250.00 / GBP 175.00
http://www.wkap.nl/prod/b/0-7923-7463-0

Data Mining: A Heuristic Approach:
Edited by
Hussein A. Abbass
Charles S. Newton
Ruhul Sarker
School of Computer Science, University of New South Wales, ADFA Campus, Australia
Real life problems are known to be messy, dynamic and multi-objective, and involve high levels of uncertainty and constraints. Because traditional problem-solving methods are no longer capable of handling this level of complexity, heuristic search methods have attracted increasing attention in recent years for solving such problems. Inspired by nature, biology, statistical mechanics, physics and neuroscience, heuristics techniques are used to solve many problems where traditional methods have failed. Data Mining: A Heuristic Approach will be a repository for the applications of these techniques in the area of data mining.
ISBN: 1-930708-25-4
Publisher: Idea Group Publishing
Hardcover; 310 pages
Price: $89.95 US
http://www.idea-group.com/books/details.asp?id=271

Heuristics and Optimization for Knowledge Discovery
Edited by
Hussein A. Abbass
Charles S. Newton
Ruhul Sarker
School of Computer Science, University of New South Wales, ADFA Campus, Australia
With the large amount of data stored by many organizations, capitalists have observed that this information is an intangible asset. Unfortunately, handling large databases is a very complex process and traditional learning techniques are expensive to use. Heuristic techniques provide much help in this arena, although little is known about heuristic techniques. Heuristic and Optimization for Knowledge Discovery addresses the foundation of this topic, as well as its practical uses, and aims to fill in the gap that exists in current literature.
ISBN: 1-930708-26-2
Publisher: Idea Group Publishing
Hardcover; 296 pages
Price: $89.95 US
http://www.idea-group.com/books/details.asp?id=277

Stochastic Modeling in Economics and Finance
By
Jitka Dupacová
Dept. of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Prague, Czech Republic
Jan Hurt
Dept. of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Prague, Czech Republic
Josef Štepán
Dept. of Statistics, Charles University, Prague, Czech Republic
Book Series: APPLIED OPTIMIZATION : Volume 75
Unlike other books that focus only on selected specific subjects this book provides both a broad and rich cross-section of contemporary approaches to stochastic modeling in finance and economics; it is decision making oriented. The material ranges from common tools to solutions of sophisticated system problems and applications

In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities.

Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects.

Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study. Selected examples of successful applications in finance, production planning and management of technological processes and electricity generation are presented. Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories.

In Part IV, the sections devoted to stochastic calculus cover also more advanced topics as DDS Theorem or extremal martingale measures, which make it possible to treat more delicate models in Mathematical Finance (complete markets, optimal control, etc.)

Audience: Students and researchers in probability and statistics, econometrics, operations research and various fields of finance, economics, engineering, and insurance.
Kluwer Academic Publishers, Dordrecht
Hardbound, ISBN 1-4020-0840-6
September 2002 , 392 pp.
EUR 142.00 / USD 135.00 / GBP 90.00
http://www.wkap.nl/prod/b/1-4020-0840-6

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