The Multi-Location Transshipment Problem with Positive Replenishment Lead Times

Transshipments, monitored movements of material at the same echelon of a supply chain, represent an effective pooling mechanism. With a single exception, research on transshipments overlooks replenishment lead times. The only approach for two-location inventory systems with non-negligible lead times could not be generalized to a multi-location setting, and the proposed heuristic method cannot guarantee to provide optimal solutions. This paper uses simulation optimization by combining an LP/network flow formulation with infinitesimal perturbation analysis to examine the multi-location transshipment problem with positive replenishment lead times, and demonstrates the computation of the optimal base stock quantities through sample path optimization. From a methodological perspective, this paper deploys an elegant duality-based gradient computation method to improve computational efficiency. In test problems, our algorithm was also able to achieve better objective values than an existing algorithm.Transshipment;Infinitesimal Perturbation Analysis (IPA);Simulation Optimization

Unified covariant treatment of hyperfine splitting for heavy and light mesons

This paper aims at proving the fundamental role of a relativistic formulation for quarkonia models. We present a completely covariant description of a two-quark system interacting by the Cornell potential with a Breit term describing the hyperfine splitting. Using an appropriate procedure to calculate the Breit correction, we find heavy meson masses in excellent agreement with experimental data. Moreover, also when applied to light quarks and even taking average values of the running coupling constant, we prove that covariance properties and hyperfine splitting are sufficient to explain the light mesons spectrum and to give a very good agreement with the data.Comment: 4 page

Functional PCA for Remotely Sensed Lake Surface Water Temperature Data

Functional principal component analysis is used to investigate a high-dimensional surface water temperature data set of Lake Victoria, which has been produced in the ARC-Lake project. Two different perspectives are adopted in the analysis: modelling temperature curves (univariate functions) and temperature surfaces (bivariate functions). The latter proves to be a better approach in the sense of both dimension reduction and pattern detection. Computational details and some results from an application to Lake Victoria data are presented

Asymptotic behaviour of zeros of bieberbach polynomials

AbstractLet Ω be a simply-connected domain in the complex plane and let πn denote the nth-degree Bieberbach polynomial approximation to the conformal map f of Ω onto a disc. In this paper we investigate the asymptotic behaviour (as n→σ) of the zeros of πn, πn′ and also of the zeroes of certain closely related rational approximants to f. Our result show that, in each case, the distribution of the zeros is governed by the location of the singularities of the mapping function f in C⧹ω, and we present numerical examples illustrating this

Analysis of Performance Indices for Simulated Skeleton Descents

In the winter Olympic sport of Skeleton, sliders sprint and load themselves onto the sled facing head forwards. The slider uses primarily their shoulders and torso to apply control to the direction of the sled as it progressively gains speed during its descent. These small control course keeping maneuvers alongside more severe use of toe tapping onto the ice will help determine the eventual trajectory of the sled. It is therefore of interest to consider for a possible trajectory what control actions will determine the fastest descent time and in particular what metrics should be examined. In this paper a three degree-of-freedom simulation has been developed to analyse the influence of different control strategies on the descent time of a bob-skeleton. A proportional-derivative (PD) controller is used to steer the simulation down a representation of the Igls ice-track. Parametric variations of the simulation's performance were analysed and compared to identify possible correlations for controllers assist the design of an optimal controller. Analysis of the results have identified positive correlations between descent time, transverse distance travelled and energy dissipation establishing that the fastest descent time is achieved by minimising the energy lost through the descent

High-order short-time expansions for ATM option prices of exponential L\'evy models

In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential L\'{e}vy models with or without Brownian component. The results hereafter shed new light on the connection between both the volatility of the continuous component and the jump parameters and the behavior of ATM option prices near expiration. In the presence of a Brownian component, the second-order term, in time-$t$, is of the form $d_{2}\,t^{(3-Y)/2}$, with $d_{2}$ only depending on $Y$, the degree of jump activity, on $\sigma$, the volatility of the continuous component, and on an additional parameter controlling the intensity of the "small" jumps (regardless of their signs). This extends the well known result that the leading first-order term is $\sigma t^{1/2}/\sqrt{2\pi}$. In contrast, under a pure-jump model, the dependence on $Y$ and on the separate intensities of negative and positive small jumps are already reflected in the leading term, which is of the form $d_{1}t^{1/Y}$. The second-order term is shown to be of the form $\tilde{d}_{2} t$ and, therefore, its order of decay turns out to be independent of $Y$. The asymptotic behavior of the corresponding Black-Scholes implied volatilities is also addressed. Our approach is sufficiently general to cover a wide class of L\'{e}vy processes which satisfy the latter property and whose L\'{e}vy densitiy can be closely approximated by a stable density near the origin. Our numerical results show that the first-order term typically exhibits rather poor performance and that the second-order term can significantly improve the approximation's accuracy, particularly in the absence of a Brownian component.Comment: 35 pages, 8 figures. This is an extension of our earlier submission arXiv:1112.3111. To appear in Mathematical Financ