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Our concern here, is the characterization of dissimilarity indexes defined over finite sets, whose spatial representation is spherical. Consequently, we propose a methodology (NormedMultiDimensional Scaling) to determine the spherical euclidean representation of a set ofitems best accounting for the initial dissimilarity between items. Thismethodology has the advantage of being graphically readable on individual qualitiesof projection like the normed PCA, of which it constitutes a generalization. Moreover, it avoids the arbitrary character of spherical encoding which the use of similitude functions currently used in MDS, implies.
We address the 3-Machine Assembly-Type Flowshop Scheduling Problem (3MAF). This problem is known to be NP-complete in the strongsense. We propose an exact branch and bound method based on a recursiveenumeration of potential inputs and outputs of the machines. Using this algorithm,several large size instances have been solved to optimality.
The relations between automatic clustering methods and inferentiel statistical models have mostely been studied when the data involves only one set. We propose to study these relations in the caseof data involving two sets. We shall look at cross clustering methods assuggested by Govaert [6]; we show that these methods, like the simple clusteringmethods, can be considered as a clustering approach of a mixture model. Weintroduce the notion of crossed mixture from a concret example and define thenotions of likelihood and associated clustered likelihood. Then, we study therelations which exist between the crossed mixture models and simple models and weshow that these relations are completely similar to those which exist betweenthe crossed clustering methods and simple clustering methods.
Fractional programming consists in optimizing a ratio oftwo functions subject to some constraints. Different versions of thismodel, linear or nonlinear, have applications in various fields likecombinatorial optimization, stochastic programming, data bases, andeconomy. Three resolution methods are presented: direct solution,parametric approach and solution of an equivalent problem.
This paper presents an application of Multiple Attribute Utility Theory onstrategic choices concerning energy transportation. The environmental assessmentof a network reinforcement strategy is emphasized. Our assessment bringsabout to consider multidimensional variables in MCDM. However, Multi-AttributedUtility Theory (MAUT) cannot, as a practical matter, manage such variables. We therefore work out a methodology to transform multidimensional variablesinto unidimensional ones. We apply it then to a pratical case. From the application, we draw some conclusions on Multi-Attributed Utility Theoryand on its interest for strategic choices dealing with environmental consequences.
We consider a generalized proximal point method (GPPA) forsolving the nonlinear complementarity problem with monotone operators inRn. It differs from the classical proximal point method discussedby Rockafellar for the problem of finding zeroes of monotone operatorsin the use of generalized distances, called φ-divergences,instead of the Euclidean one. These distances play not only aregularization role but also a penalization one, forcing the sequencegenerated by the method to remain in the interior of the feasible set,so that the method behaves like an interior point one. Under appropriateassumptions on the φ-divergence and the monotone operator weprove that the sequence converges if and only if the problem hassolutions, in which case the limit is a solution. If the problem doesnot have solutions, then the sequence is unbounded. We extend previousresults for the proximal point method concerning convex optimizationproblems.
Comparing q-ary relations on a set ${\cal O}$ ofelementary objects is one of the most fundamental problems ofclassification and combinatorial data analysis. In this paper thespecific comparison task that involvesclassification tree structures (binary or not) is considered in thiscontext. Two mathematical representationsare proposed. One is defined in terms of a weighted binary relation; the second uses a 4-ary relation.The most classical approaches to tree comparison are discussed in thecontext of a set theoretic representation of these relations. Formalandcombinatorial computing aspects of a construction method for a verygeneralfamily of association coefficients between relations are presented. The main purpose of this article is to specify the componentsof this construction, based on a permutational procedure, when thestructuresto be compared are classification trees.
An algebraic and combinatorial approach to the study ofthe Quadratic Assignment Problem produced theoretical results that canbe applied to (meta) heuristics to give them information about theproblem structure, allowing the construction of algorithms. In thispaper those results were applied to inform a Simulated Annealing-typeheuristic (which we called RedInv-SA). Some results from tests withknown literature instances are presented.
We show that the problem of deciding if there is a scheduleof length three for the multiprocessor scheduling problem on identicalmachines and unit execution time tasks in -complete even for bipartitegraphs, i.e. for precedence graphs of depth one. This complexity resultextends a classical result of Lenstra and Rinnoy Kan [5].
Single server queues with repeated attempts are useful inthe modeling of computer and telecommunication systems. In addition, weconsider in this paper the possibility of disasters. When a disasteroccurs, all the customers present in the system are destroyedimmediately. Using a regenerative approach, we derive a numericallystable recursion scheme for the state probabilities. This model can beemployed to analyze the behaviour of a buffer in computers with virusinfections.
In this paper, a discrete-event simulation model iscoupled with a genetic algorithm to treat highly combinatorialscheduling problems encountered in a production campaign of a finechemistry plant. The main constraints and features of fine chemistryhave been taken into account in the development of the model, thusallowing a realistic evaluation of the objective function used in thestochastic optimization procedure. After a presentation of problemcombinatorics, the coupling strategy is then proposed and illustrated byan example of industrial size (24 equipment items, 140 products, 12different production recipes and 40 products to be recycled during thecampaign). This example serves as an incentive to show how the approachcan improve production performance. Three technical criteria have beenstudied: campaign completion time, average product cycle time, respectof due-dates. Two kinds of optimization variables have been considered:product input order and/or allocation of heuristics for conflittreatment. The results obtained are then analysed and some perspectivesof this work are presented.
The standard multiple criteria optimization starts with anassumption that the criteria are incomparable. However, there are manyapplications in which the criteria express ideas of allocation ofresources meant to achieve some equitable distribution. This paperfocuses on solving linear multiple criteria optimization problems withuniform criteria treated in an equitable way. An axiomatic definition ofequitable efficiency is introduced as an refinement ofPareto-optimality. Various generation techniques are examined and thestructure of the equitably efficient set is analyzed.
In time series analysis, the basic univariate model is the autoregressive moving average (ARMA) one. The estimation of ARMA models has been the subject of a vast literature over many years. If a pure autoregressive (AR) model is considered then ordinary least squares (OLS) estimation is appropriate and is asymptotically equivalent to maximum likelihood when the errors are normally distributed. However, the introduction of moving average (MA) components to the model complicates the estimation problem because the least squares criterion is no longer linear in the parameters. Both least squares and maximum likelihood estimation for models involving MA terms involves numerical optimisation and is relatively computationally difficult. As a result, a variety of techniques for the estimation of models with MA terms have been suggested that do not involve numerical optimisation. These techniques have generally made use (implicitly or explicitly) of moment conditions implied by the ARMA model, and therefore fall within the class of GMM estimators. This chapter has two aims. The first is to provide an introduction to some of these moments–based estimators. The second is a pedagogic one to illustrate the general theory of GMM presented in Chapter 1 as applied to a relatively simple time series model.
An outline of the chapter is as follows. In Section 6.1 we discuss the estimation of pure MA models. For simplicity we focus mostly on first order MA models, and indicate how extensions to higher order models follow.
The estimation of unknown parameters generally involves optimizing a criterion function based on the likelihood function or a set of moment restrictions. Unfortunately, for many econometric models the likelihood function and/or the relevant moment restrictions do not have a tractable analytical form in terms of the unknown parameters rendering thereby the estimation by maximum likelihood (ML) or the generalized method of moments (GMM) infeasible. This estimation problem typically arises when unobservable variables enter the model nonlinearly, leading to multiple integrals in the criterion function, which cannot be evaluated by standard numerical procedures. Prominent examples of such models in financial econometrics are continous–time models of stock prices or interest rates and discrete–time stochastic volatility models.
Until recently, estimation problems due to the lack of some kind tractable criterion function were often circumvented by using approximations of the model producing criterion functions simple enough to be evaluated. However, using such approximations may lead to inconsistent estimates of the parameters of interest. An alternative solution in such cases which has received increased attention over the last few years, is the use of Monte Carlo simulation methods to compute an otherwise intractable criterion function. Seminal for the development of this type of estimation procedures were the contributions of McFadden [1989] and Pakes and Pollard [1989] who introduced the Method of Simulated Moments (MSM) in a cross sectional context. This approach, which was extended to time series applications by Lee and Ingram [1991] and Duffie and Singleton [1993], modifies the traditional GMM estimator by using moments computed from simulated data rather than the analytical ones.
The standard econometric modelling practice for quite a long time was founded on strong assumptions concerning the underlying data generating process. Based on these assumptions, estimation and hypothesis testing techniques were derived with known desirable, and in many cases optimal, properties. Frequently, these assumptions were highly unrealistic and unlikely to be true. These shortcomings were attributed to the simplification involved in any modelling process and therefore inevitable and acceptable. The crisis of econometric modelling in the seventies led to many well known new, sometimes revolutionary, developments in the way econometrics was undertaken. Unrealistically strong assumptions were no longer acceptable. Techniques and procedures able to deal with data and models within a more realistic framework were badly required. Just at the right time, i.e., the early eighties when all this became obvious, Lars Peter Hansen's seminal paper on the asymtotic properties of the generalized method of moments (GMM) estimator was published in Econometrica. Although the basic idea of the GMM can be traced back to the work of Denis Sargan in the late fifties, Hansen's paper provided a ready to use, very flexible tool applicable to a large number of models, which relied on mild and plausible assumptions. The die was cast. Applications of the GMM approach have mushroomed since in the literature, which has been, as so many things, further boosted recently by the increased availability of computing power.
Nowadays there are so many different theoretical and practical applications of the GMM principle that it is almost impossible to keep track of them.
Since the mid eighties, alongside the literature arising on GMM, a large number of papers emerged on cointegration as well. This is due to the fact that cointegration models combine two features which many economic time series possess, i.e., random walk individual behavior and stationary linear combinations of multiple series.
Cointegration models are essentially linear models with reduced rank parameters. The reduced forms of the traditional simultaneous equation models have also this reduced rank property (see Hausman [1983]). The estimation techniques used in cointegration and simultaneous equation models are therefore very similar. Maximum likelihood estimators for both models use, for example, canonical correlations, (see Anderson and Rubin [1949] and Johansen [1991]), and maximum likelihood reduced rank regression therefore amounts to the use of canonical correlations and vectors. This chapter shows that GMM reduced rank regression amounts to the use of two stage least squares (2SLS) estimators. The asymptotic properties of the 2SLS estimators used in simultaneous equation models are in general identical to the properties of maximum likelihood estimators (see, for example, Phillips [1983]). This chapter shows that this also holds for cointegration models. Furthermore, the GMM objective function has asymptotic properties which are identical to a likelihood ratio statistic for cointegration, the Johansen trace statistic (Johansen [1991]), and it can thus be used in a similar way. The similarities between GMM and maximum likelihood estimators in reduced rank models are therefore quite large. The GMM, however, also allows for the derivation of the asymptotic properties in the more complex reduced rank models, which is not true for the maximum likelihood estimators.