ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01477.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

Combinatorial optimization problems appear in many disciplines ranging from management and logistics to mathematics, physics, and chemistry. These problems are usually relatively easy to formulate mathematically, but most of them are computationally hard due to the restriction that a subset of the variables have to take integral values. During the last two decades there has been a remarkable progress in techniques based on the polyhedral description of combinatorial problems, leading to a large increase in the size of several problem types that can be solved. The basic idea behind polyhedral techniques is to derive a good linear formulation of the set of solutions by identifying linear inequalities that can be proved to be necessary in the description of the convex hull of feasible solutions. Ideally we can then solve the problem as a linear programming problem, which can be done efficiently. The purpose of this manuscript is to give an overview of the developments in polyhedral theory, starting with the pioneering work by Dantzig. Fulkerson and Johnson on the traveling salesman problem, and by Gomory on integer programming. We also present some modern applications, and computational experience.

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01478.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

The use of statistical methods in quality management has a long history. Most of the pioneers, such as Walter A. Shewhart and W. Edwards Deming, refer to themselves as statisticians. Statistical thinking in industry means that all work is a series of interconnected processes, that all processes show variation, and that a reduction in variation is the key for continuous improvement. In the statistical literature we find several approaches to achieve this: quality by inspection, quality by process control and quality by design. In this paper we give a survey of the contributions of Dutch statisticians during the last five years.

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01479.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

In this paper we give an introduction in option pricing theory and explicitly specify the Black‐Scholes model. Although market participants use this and similar models to price options, they violate one of the fundamental assumptions of the model. They do not set a constant value for the volatility of the underlying asset over time, but change the volatility even during a day. By means of event study methodology we investigate the volatility of the underlying asset and the volatility implicit in option prices around earnings announcements by firms. We find that the volatility in option prices increases before the announcement date and drops sharply afterwards. The volatility of the underlying stocks is higher only at the announcement dates and we do not observe a higher volatility around these dates. Hence, the constant volatility of the underlying asset, which is one of the assumptions in the Black‐Scholes model, does not hold. However, the market seems to correctly anticipate the change in volatility, by correcting option pri

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01480.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

Estimation in the interval censoring model is considered. A class of smooth functionals is introduced, of which the mean is an example. The asymptotic information lower bound for such functionals can be represented as an inner product of two functions. In case 1, i.e. one observation time per unobservable event time, both functions can be given explicitly. We mainly consider case 2, with two observation times for each unobservable event time, in the situation that the observation times can not become arbitrarily close to each other. For case 2, one of the functions in the inner product can only be given implicitly as solution to a Fredholm integral equation. We study properties of this solution and, in a sequel to this paper, prove that the nonparametric maximum likelihood estimator of the functional asymptotically reaches the information lower bound.

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01481.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

In epidemiologyR0denotes the average number of secondary cases of an infectious disease that one case would generate in a completely susceptible population. This concept is among the foremost and most valuable ideas that mathematical thinking has brought to epidemic theory. In this contribution, we first review the historical development of Ro, from demography to epidemiology, proceed to give an exposition of the recently formalised theory to define and calculateR0for structured populations, return to the interaction of demography and epidemiology for an example of the use of the concept to study vaccination campaigns and finally we deal with statistical aspects of estimatingR0. In the appendix we discuss some issues of current attention.

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01482.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

It is evident from recent issues of journals like Psychometrika and Applied Psychological Measurement that the Dutch contribution to the development of the area of measurement and scaling is considerable. In the first part of this paper, we try to answer the question how this could happen. In the early development De Groot in Amsterdam and Van de Geer in Leiden created an academic climate that made it possible for many researchers to develop their skills. Some other possible reasons are sketched for the flourishing of this area in the Netherlands, but it is difficult to assess which reasons were most important. In the second part of the paper, we analyze the international impact of the Dutch contribution by a citation analysis in four fields of measurement and scaling: factor analysis, test theory including item response theory, latent class analysis, and optimal scaling and multidimensional scaling. It appears that Dutch researchers not only publish a lot, but also that the impact of their publications is at the same level as publications produced world‐wid

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01483.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

This paper is a mini‐review of some recent developments on probabilistic models for polymer chain

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01484.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

The introduction of Karmarkar's polynomial algorithm for linear programming (LP) in 1984 has influenced wide areas in the field of optimization. While in the 1980s emphasis was on developing and implementing efficient variants of interior point methods for LP, the 1990s have shown applicability to certain structured nonlinear programming and combinatorial problems. We will give a historical account of the developments and illustrate the typical results by analyzing a new method for computing the smallest eigenvalue of a matrix. We formulate this latter problem as a so‐called semidefinite optimization problem. Semidefinite optimization has recently gained much attention since it has a lot of applications in various fields (like control and system theory, combinatorial optimization, algebra, statistics, structural design) and semidefinite problems can be efficiently solved with interior point method

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01485.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY

摘要:

How much additional income does a family with four children need to attain the same welfare level as a family with two children? And how much does a single person need compared to a childless couple? These questions are important in applied micro‐economics and underlie public policy on, for example, social benefits and child allowances. In microeconomics, this is known as the problem of measuring equivalence scales. We estimate these scales using two types of subjective survey information. First, we use answers to survey questions on the income required to attain a given utility level. We compare the results for the usual linear model with semiparametric estimates, in which the functional form of the relationship between required income and family size and actual income is left unspecified. Second, we use answers to the question: how satisfied are you with actual household income? We present parametric and semiparametric estimates for ordered response models explaining this discrete variable. We find that according to the second type of information, costs of children are much larger than according to the firs

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1996.tb01486.x

出版商:Blackwell Publishing Ltd    

年代:1996

数据来源: WILEY