Sensitivity analysis for base-stock levels in multiechelon production-inventory systems
Article Abstract:
Inventory control in large-scale production and distribution systems requires the application of techniques for aligning model solutions to real-world conditions. Such simulation-based techniques are useful in the estimation of inventory cost sensitivities, particularly in relation to policy parameters. They are also useful in the adjustment of optimal parameters to the complexities that can be added in a simulation. Simulation-based techniques for use in capacitated, multiechelon systems characterized by base-stock policies are considered and estimators of derivatives are then developed in relation to base-stock levels. These estimates are shown to converge to the correct value of average and discounted cost criteria under finite- and infinite-horizon conditions. These techniques are also demonstrated to be easy to implement, as well as being conducive to quick convergence.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
Estimating security price derivatives using simulation
Article Abstract:
The pathwise method and the likelihood ratio method are two direct techniques for the estimation of the derivatives of security prices using simulation. The pathwise method relies on the dependence of the security payoff on the parameter of interest to attain derivative information while the likelihood ratio method uses the dependence of the underlying probability density on the parameter of interest. The main benefit of these direct methods over re-simulation is increased computational speed and absence of bias. Results of a comparative study shows that the likelihood ratio method produces significantly larger standard errors than the pathwise method. The pathwise and re-simulation methods generate almost the same point estimates and standard errors.
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1996
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Theoretical foundation for a learning rate budget. Variance effects in cyclic production systems. Eliminating inventory in a series facility production system
- Abstracts: Cognitive heuristics and feedback in a dynamic decision environment. The reliability of subjective probabilities obtained through decomposition
- Abstracts: Organizational dress as a symbol of multilayered social identities. When cashiers meet customers: an analysis of the role of supermarket cashiers
- Abstracts: ESOP's appeal on the increase: employee stock ownership plans are back - and stimulating productivity. See you out of court
- Abstracts: Two jailed Americans freed in Iraq. U.N. arms team in 'provocation' row. Iraq, U.N. reach compromise on arms search; U.S. inspectors barred from team