The Erlang-R Queue. Time-Varying QED Queues with Reentrant Customers in Support of Healthcare Staffing

Size: px
Start display at page:

Download "The Erlang-R Queue. Time-Varying QED Queues with Reentrant Customers in Support of Healthcare Staffing"

Transcription

1 Motivation Results : Time-Varying QED Queues with Reentrant Customers in Support of Healthcare Staffing Galit Yom-Tov Avishai Mandelbaum Industrial Engineering and Management Technion MSOM Conference, June 2010

2 Motivation Results The Problem Studied The Problem Studied Problems in Emergency Departments: Hospitals do not manage patients flow. Long waiting times in the ED for physicians, nurses, and tests. => Deterioration in medical state. Patients leave ED without being seen or abandon during their stay. => Patient return in severe state. We use Service Engineering approach to reduce these effects.

3 Motivation Results The Problem Studied The Problem Studied (08/01/2009) Other Lab Imagine Nurse Physician Administrative reception Vital signs & Anamnesis First Examination Examination A B A A A Labs Imagine: Treatment Treatment Consultation B X-Ray, CT, Ultrasound B C Follow-up C Decision C Awaiting evacuation Instruction prior discharge Administrative release Alternative Operation - C Recourse Queue - Synchronization Queue Ending point of alternative operation - Figure 4 - Activities-Resources (Flow) Chart Can we determine the number of physicians (and nurses) needed to improve patients flow, and control the system in balance between service quality and efficiency? 7

4 Motivation Results The Problem Studied The Problem Studied Standard assumption in service models: service time is continuous. But we find systems in which: service is dis-continuous and customers re-enter service again and again. Service (Needy) Content What is the appropriate staffing procedure? What is the significance of the re-entering customers? What is the implication of using simple Erlang-C models for staffing?

5 Motivation Results The Problem Studied The Problem Studied Standard assumption in service models: service time is continuous. But we find systems in which: service is dis-continuous and customers re-enter service again and again. Service (Needy) Content What is the appropriate staffing procedure? What is the significance of the re-entering customers? What is the implication of using simple Erlang-C models for staffing?

6 Motivation Results The Problem Studied Related Work Mandelbaum A., Massey W.A., Reiman M. Strong Approximations for Markovian Service Networks Massey W.A., Whitt W. Networks of Infinite-Server Queues with Nonstationary Poisson Input Green L., Kolesar P.J., Soares J. Improving the SIPP Approach for Staffing Service Systems that have Cyclic Demands Jennings O.B., Mandelbaum A., Massey W.A., Whitt W. Server Staffing to Meet Time-Varying Demand Feldman Z., Mandelbaum A., Massey W.A., Whitt W. Staffing of Time-Varying Queues to Achieve Time-Stable Performance

7 Content Motivation Results Model Definition Staffing Time-Varying Erlang-R Queue (Delay) Model Definition The (Time-Varying) Erlang-R Queue: 2 Arrivals Poiss(λ t) Needy (s t-servers) rate- μ 1 1-p Patient discharge Content (Delay) rate - δ 2 p λ t - Arrival rate of a time-varying Poisson arrival process. µ - Service rate. δ - Delay rate (1/δ is the delay time between services). p - Probability of return to service. s t - Number of servers at time t.

8 Motivation Results Model Definition Staffing Time-Varying Erlang-R Queue Patients Arrivals to an Emergency Department Patien nts per hour Hour of day

9 Motivation Results Model Definition Staffing Time-Varying Erlang-R Queue Staffing: Determine s t, t 0 Based on the QED-staffing formula: s = R + β R, where R = λe[s] In time-varying environments: s(t) = R(t) + β R(t), where β is chosen according to the steady-state QED. Two approaches to calculate the time-varying offered load (R(t)): PSA / SIPP (lag-sipp) - divide the time-horizon to planning intervals, calculate average arrival rate and steady-state offered-load for each interval, then staff according to steady-state recommendation (i.e., R(t) λ(t)e[s]). MOL/IS - assuming no constraints on number of servers, calculate the time-varying offered-load. For example, in a single service system: R(t) = E[ t t S λ(u)du] = E[λ(t S e)]e[s].

10 Motivation Results Model Definition Staffing Time-Varying Erlang-R Queue Staffing: Determine s t, t 0 Based on the QED-staffing formula: s = R + β R, where R = λe[s] In time-varying environments: s(t) = R(t) + β R(t), where β is chosen according to the steady-state QED. Two approaches to calculate the time-varying offered load (R(t)): PSA / SIPP (lag-sipp) - divide the time-horizon to planning intervals, calculate average arrival rate and steady-state offered-load for each interval, then staff according to steady-state recommendation (i.e., R(t) λ(t)e[s]). MOL/IS - assuming no constraints on number of servers, calculate the time-varying offered-load. For example, in a single service system: R(t) = E[ t t S λ(u)du] = E[λ(t S e)]e[s].

11 Motivation Results Model Definition Staffing Time-Varying Erlang-R Queue Staffing: Determine s t, t 0 Based on the QED-staffing formula: s = R + β R, where R = λe[s] In time-varying environments: s(t) = R(t) + β R(t), where β is chosen according to the steady-state QED. Two approaches to calculate the time-varying offered load (R(t)): PSA / SIPP (lag-sipp) - divide the time-horizon to planning intervals, calculate average arrival rate and steady-state offered-load for each interval, then staff according to steady-state recommendation (i.e., R(t) λ(t)e[s]). MOL/IS - assuming no constraints on number of servers, calculate the time-varying offered-load. For example, in a single service system: R(t) = E[ t t S λ(u)du] = E[λ(t S e)]e[s].

12 Motivation Results Model Definition Staffing Time-Varying Erlang-R Queue The Offered-Load Offered-Load in Erlang-R = The number of busy servers (or the number of customers) in a corresponding (M t /M/ ) 2 network. Theorem: (Massey and Whitt 1993) R(t) = (R 1 (t), R 2 (t)) is determined by the following expression: where, Theorem: R i (t) = E[λ + i (t S i,e )]E[S i ] λ + 1 (t) = λ(t) + E[λ + 2 (t S 2 )] λ + 2 (t) = pe[λ + 1 (t S 1 )] If service times are exponential, R(t) is the solution of the following Fluid ODE: d dt R 1(t) = λ t + δr 2 (t) µr 1 (t), d dt R 2(t) = pµr 1 (t) δr 2 (t).

13 Motivation Results Case Study Analyzing of the offered load function Case Study: Sinusoidal Arrival Rate + λκsin(ωt). Periodic arrival rate: λt = λ λ is the average arrival rate, κ is the relative amplitude, and ω is the frequency. External / Internal arrivals rate, Offered-load, and Staffing 120 Staffingg level λ(t) λ+(t) 20 R1(t) s(t) Time 4.5 5

14 Motivation Results Case Study Analyzing of the offered load function Case Study: Sinusoidal Arrival Rate P(W>0) Simulation of P(Wait) for various β (0.1 β 1.5) Time [Hour] beta=0.1 beta=0.3 beta=0.5 beta=0.7 beta=1 beta=1.5 Performance measure is stable! (0.15 P(Wait) 0.85)

15 Motivation Results Case Study Analyzing of the offered load function Case Study: Sinusoidal Arrival Rate P(W>0) 1 Halfin-Whitt 0.9 Empirical β Relation between P(wait) and β fits steady-state theory!

16 Motivation Results Case Study Analyzing of the offered load function Case Study: Sinusoidal Arrival Rate Simulation results of servers utilization for various β Utilizatio on Time beta 0.1 beta 0.3 beta 0.5 beta 0.7 beta 1.0 beta 1.5 Performance measure is stable! (0.85 Util 0.98)

17 Motivation Results Case Study Analyzing of the offered load function Can We Use Erlang-C? Simulation results of P(wait): Erlang-R vs. Erlang-C and PSA P(W>0) Time Erlang R Erlang C PSA Using Erlang-C s R(t), does not stabilize systems performance.

18 Motivation Results Case Study Analyzing of the offered load function Why Erlang-C Does Not Fit Re-entrant Systems? Compare R(t) of Erlang-C and Erlang-R: Erlang-C offered-load (with concatenated services) : [ ( R(t) = E λ t 1 )] [ ] 1 1 p S 1,e E 1 p S 1 Erlang-R offered-load: [ ( R 1 (t) = E p i λ t S1 i S i 2 1,e) ] S E[S 1 ] Arrivals i=1 Needy 1 1-p p Patient discharge Content 2

19 Motivation Results Case Study Analyzing of the offered load function Comparison between Erlang-C and Erlang-R Erlang-C under- or over-estimates the Erlang-R offered-load d red Load Offer Erlang C Erlang R 65 λ(t) Time Arrival Rate

20 Motivation Results Case Study Analyzing of the offered load function Comparison between Erlang-C and Erlang-R Theorem: The ratio of amplitudes between Erlang-R and Erlang-C is given by (δ 2 + ω 2 )(((1 p)µ) 2 + ω 2 ) ((µ iω)(δ iω) pµδ)((µ + iω)(δ + iω) pµδ) Plot of amplitudes ratio as a function of ω io ude Rati Amplitu Omega

21 Motivation Results Case Study Analyzing of the offered load function Comparison between Erlang-C and Erlang-R Plot of amplitudes ratio as a function of ω io ude Rati Amplitu Omega Erlang-C over-estimate the amplitude of the offered-load. The re-entrant patients stabilize the system. Minimum ratio achieved when: ω = δµ(1 p) (for example ED).

22 Motivation Results Case Study Analyzing of the offered load function Comparison between Erlang-C and Erlang-R Plot of the ratio of phases as a function of ω Phase Ratio Omega Erlang-C under- or over-estimates the time-lag.

23 Motivation Results Case Study Analyzing of the offered load function Comparison between Erlang-C and Erlang-R Erlang-C under- or over-estimates this time-lag depending on the period s length. 105 λ=30, µ=1, δ=0.5, p=2/3, cycles per day= λ=30, µ=1, δ=0.5, p=2/3, cycles per day= d Load Offered Arriva al Rate d Load Offered Arriva al Rate 80 Erlang C Erlang R 26 λ(t) Time 86 Erlang C 26 Erlang R λ(t) Time

24 Motivation Results Case Study Analyzing of the offered load function Small systems - Hospitals Small systems: No of doctors range from 1 to 5 Constrains: Staffing resolution: 1 hour Minimal staffing: 1 doctor per type Integer values: s(t) = [R 1 (t) + β R 1 (t)] Example: R = 2.75 β range s P(W > 0) [0, 0.474] % (0.474, 1.055] % (1.055, 1.658] % (1.658, 2.261] 6 3.0% and up 7 0% => Can not achieve all performance levels!

25 Motivation Results Case Study Analyzing of the offered load function Small systems - Hospitals P(W>0) Time Beta=0.1 Beta=0.5 Beta=1 Beta=1.5 P(Wait) is stable and separable!

26 Motivation Results Case Study Analyzing of the offered load function Conclusions In time-varying systems where patients return for multiple services: 1 Using the MOL (IS) algorithm for staffing stabilizes performance. 2 Re-entrant patients stabilize the system. 3 Using single-service models, such as Erlang-C, is problematic in the re-entrant ED environment: Time-varying arrivals Transient behavior even with constant parameters

27 Motivation Results Case Study Analyzing of the offered load function What next? Fluid and diffusion approximations for mass-casualty events QED - MOL approximations for the processes: Number of customers in system Virtual waiting time Extension: upper limit on the number of customers within the system

28 What next? Motivation Results Content Case Study Analyzing of the offered load function (Delay) The semi-open Closed Erlang-R: queue 2 N beds Arrivals Patient is Needy 1 1-p p Patient is Content Blocked patients 2 Does MOL approximation works? yes, stabilizing performance IW model closed network: is achieved. Is it close to M/M/s/n model? no. Arrivals: exp( λ ),1 Needy: exp( μ ), S

29 Motivation Results Case Study Analyzing of the offered load function Thank You

Service Engineering. Class 14 (7/2/2007) QED (QD, ED) Queues : Extensions Skills-Based-Routing (SBR)

Service Engineering. Class 14 (7/2/2007) QED (QD, ED) Queues : Extensions Skills-Based-Routing (SBR) Service Engineering Class 14 (7/2/2007) QED (QD, ED) Queues : Extensions Skills-Based-Routing (SBR) Predictable-Variability: Staffing Queues with a Time-Varying Arrival Rate. Parameter Uncertainty (Future

More information

STAFFING TO STABILIZE BLOCKING IN LOSS MODELS WITH TIME-VARYING ARRIVAL RATES

STAFFING TO STABILIZE BLOCKING IN LOSS MODELS WITH TIME-VARYING ARRIVAL RATES STAFFING TO STABILIZE BLOCKING IN LOSS MODELS WITH TIME-VARYING ARRIVAL RATES Andrew Li, Ward Whitt and Jingtong Zhao Operations Research Center, M.I.T. 77 Mass Ave, Bldg E4-13, Cambridge, MA 2139-437;

More information

Heuristics in Rostering for Call Centres

Heuristics in Rostering for Call Centres Heuristics in Rostering for Call Centres Shane G. Henderson, Andrew J. Mason Department of Engineering Science University of Auckland Auckland, New Zealand sg.henderson@auckland.ac.nz, a.mason@auckland.ac.nz

More information

Modeling and Optimization Problems in Contact Centers (a biased overview)

Modeling and Optimization Problems in Contact Centers (a biased overview) Modeling and Optimization Problems in Contact Centers (a biased overview) 1 Pierre L Ecuyer Canada Research Chair in Stochastic Simulation and Optimization, U. Montréal Sponsored by Bell Canada Modeling

More information

Appendix A: Introduction to Queueing Theory

Appendix A: Introduction to Queueing Theory Appendix A: Introduction to Queueing Theory Queueing theory is an advanced mathematical modeling technique that can estimate waiting times. Imagine customers who wait in a checkout line at a grocery store.

More information

Algorithmic Trading under the Effects of Volume Order Imbalance

Algorithmic Trading under the Effects of Volume Order Imbalance Algorithmic Trading under the Effects of Volume Order Imbalance 7 th General Advanced Mathematical Methods in Finance and Swissquote Conference 2015 Lausanne, Switzerland Ryan Donnelly ryan.donnelly@epfl.ch

More information

1. For two independent lives now age 30 and 34, you are given:

1. For two independent lives now age 30 and 34, you are given: Society of Actuaries Course 3 Exam Fall 2003 **BEGINNING OF EXAMINATION** 1. For two independent lives now age 30 and 34, you are given: x q x 30 0.1 31 0.2 32 0.3 33 0.4 34 0.5 35 0.6 36 0.7 37 0.8 Calculate

More information

2. Retiree Medical Plan Options

2. Retiree Medical Plan Options 2. Retiree Medical Plan Options Overview The 2018 Electric Boat Retiree Medical Plan underwritten by Hartford Life and Accident Insurance Company* offers three (3) Retiree Medical plan options for Electric

More information

High-Frequency Trading in a Limit Order Book

High-Frequency Trading in a Limit Order Book High-Frequency Trading in a Limit Order Book Sasha Stoikov (with M. Avellaneda) Cornell University February 9, 2009 The limit order book Motivation Two main categories of traders 1 Liquidity taker: buys

More information

Chapter 3 Statistical Quality Control, 7th Edition by Douglas C. Montgomery. Copyright (c) 2013 John Wiley & Sons, Inc.

Chapter 3 Statistical Quality Control, 7th Edition by Douglas C. Montgomery. Copyright (c) 2013 John Wiley & Sons, Inc. 1 3.1 Describing Variation Stem-and-Leaf Display Easy to find percentiles of the data; see page 69 2 Plot of Data in Time Order Marginal plot produced by MINITAB Also called a run chart 3 Histograms Useful

More information

arxiv: v1 [math.pr] 27 Dec 2007

arxiv: v1 [math.pr] 27 Dec 2007 arxiv:712.4211v1 [math.pr] 27 Dec 27 Probability Surveys Vol. 4 (27) 193 267 ISSN: 1549-5787 DOI: 1.1214/6-PS91 Martingale proofs of many-server heavy-traffic limits for Markovian queues Guodong Pang,

More information

MAS187/AEF258. University of Newcastle upon Tyne

MAS187/AEF258. University of Newcastle upon Tyne MAS187/AEF258 University of Newcastle upon Tyne 2005-6 Contents 1 Collecting and Presenting Data 5 1.1 Introduction...................................... 5 1.1.1 Examples...................................

More information

A wait time study & sensitivity results for liver transplantation in Canada

A wait time study & sensitivity results for liver transplantation in Canada A wait time study & sensitivity results for liver transplantation in Canada 2000-2004 2004 David Stanford, Elizabeth Renouf, Vivian McAlister*, UWO (*also London Health Sci.. Centre) [With thanks to David

More information

Rough volatility models: When population processes become a new tool for trading and risk management

Rough volatility models: When population processes become a new tool for trading and risk management Rough volatility models: When population processes become a new tool for trading and risk management Omar El Euch and Mathieu Rosenbaum École Polytechnique 4 October 2017 Omar El Euch and Mathieu Rosenbaum

More information

Chapter 15: Jump Processes and Incomplete Markets. 1 Jumps as One Explanation of Incomplete Markets

Chapter 15: Jump Processes and Incomplete Markets. 1 Jumps as One Explanation of Incomplete Markets Chapter 5: Jump Processes and Incomplete Markets Jumps as One Explanation of Incomplete Markets It is easy to argue that Brownian motion paths cannot model actual stock price movements properly in reality,

More information

Modelling Anti-Terrorist Surveillance Systems from a Queueing Perspective

Modelling Anti-Terrorist Surveillance Systems from a Queueing Perspective Systems from a Queueing Perspective September 7, 2012 Problem A surveillance resource must observe several areas, searching for potential adversaries. Problem A surveillance resource must observe several

More information

Dividend Strategies for Insurance risk models

Dividend Strategies for Insurance risk models 1 Introduction Based on different objectives, various insurance risk models with adaptive polices have been proposed, such as dividend model, tax model, model with credibility premium, and so on. In this

More information

Section 3.1: Discrete Event Simulation

Section 3.1: Discrete Event Simulation Section 3.1: Discrete Event Simulation Discrete-Event Simulation: A First Course c 2006 Pearson Ed., Inc. 0-13-142917-5 Discrete-Event Simulation: A First Course Section 3.1: Discrete Event Simulation

More information

MANAGEMENT S DISCUSSION OF FINANCIAL AND OPERATING PERFORMANCE

MANAGEMENT S DISCUSSION OF FINANCIAL AND OPERATING PERFORMANCE MANAGEMENT S DISCUSSION OF FINANCIAL AND OPERATING PERFORMANCE Utilization Trends The Corporation has experienced an increase in utilization from the end of 2015 through fiscal year 2017. Occupancy of

More information

Computing Queueing Model Performance with Loss Model Tools

Computing Queueing Model Performance with Loss Model Tools Computing Queueing Model Performance with Loss Model Tools Philippe Chevalier philippe.chevalier@uclouvain.be Jean-Christophe Van den Schrieck jc.vandenschrieck@uclouvain.be Louvain School of Management

More information

Hedging Under Jump Diffusions with Transaction Costs. Peter Forsyth, Shannon Kennedy, Ken Vetzal University of Waterloo

Hedging Under Jump Diffusions with Transaction Costs. Peter Forsyth, Shannon Kennedy, Ken Vetzal University of Waterloo Hedging Under Jump Diffusions with Transaction Costs Peter Forsyth, Shannon Kennedy, Ken Vetzal University of Waterloo Computational Finance Workshop, Shanghai, July 4, 2008 Overview Overview Single factor

More information

1. For a special whole life insurance on (x), payable at the moment of death:

1. For a special whole life insurance on (x), payable at the moment of death: **BEGINNING OF EXAMINATION** 1. For a special whole life insurance on (x), payable at the moment of death: µ () t = 0.05, t > 0 (ii) δ = 0.08 x (iii) (iv) The death benefit at time t is bt 0.06t = e, t

More information

Assembly systems with non-exponential machines: Throughput and bottlenecks

Assembly systems with non-exponential machines: Throughput and bottlenecks Nonlinear Analysis 69 (2008) 911 917 www.elsevier.com/locate/na Assembly systems with non-exponential machines: Throughput and bottlenecks ShiNung Ching, Semyon M. Meerkov, Liang Zhang Department of Electrical

More information

Introduction to Real-Time Systems. Note: Slides are adopted from Lui Sha and Marco Caccamo

Introduction to Real-Time Systems. Note: Slides are adopted from Lui Sha and Marco Caccamo Introduction to Real-Time Systems Note: Slides are adopted from Lui Sha and Marco Caccamo 1 Recap Schedulability analysis - Determine whether a given real-time taskset is schedulable or not L&L least upper

More information

The Fixed Income Valuation Course. Sanjay K. Nawalkha Gloria M. Soto Natalia A. Beliaeva

The Fixed Income Valuation Course. Sanjay K. Nawalkha Gloria M. Soto Natalia A. Beliaeva Interest Rate Risk Modeling The Fixed Income Valuation Course Sanjay K. Nawalkha Gloria M. Soto Natalia A. Beliaeva Interest t Rate Risk Modeling : The Fixed Income Valuation Course. Sanjay K. Nawalkha,

More information

Output Analysis for Simulations

Output Analysis for Simulations Output Analysis for Simulations Yu Wang Dept of Industrial Engineering University of Pittsburgh Feb 16, 2009 Why output analysis is needed Simulation includes randomness >> random output Statistical techniques

More information

S = 1,2,3, 4,5,6 occurs

S = 1,2,3, 4,5,6 occurs Chapter 5 Discrete Probability Distributions The observations generated by different statistical experiments have the same general type of behavior. Discrete random variables associated with these experiments

More information

Betting Against Beta: A State-Space Approach

Betting Against Beta: A State-Space Approach Betting Against Beta: A State-Space Approach An Alternative to Frazzini and Pederson (2014) David Puelz and Long Zhao UT McCombs April 20, 2015 Overview Background Frazzini and Pederson (2014) A State-Space

More information

BEHAVIOUR OF PASSAGE TIME FOR A QUEUEING NETWORK MODEL WITH FEEDBACK: A SIMULATION STUDY

BEHAVIOUR OF PASSAGE TIME FOR A QUEUEING NETWORK MODEL WITH FEEDBACK: A SIMULATION STUDY IJMMS 24:24, 1267 1278 PII. S1611712426287 http://ijmms.hindawi.com Hindawi Publishing Corp. BEHAVIOUR OF PASSAGE TIME FOR A QUEUEING NETWORK MODEL WITH FEEDBACK: A SIMULATION STUDY BIDYUT K. MEDYA Received

More information

The Normal Distribution

The Normal Distribution The Normal Distribution The normal distribution plays a central role in probability theory and in statistics. It is often used as a model for the distribution of continuous random variables. Like all models,

More information

Continuous random variables

Continuous random variables Continuous random variables probability density function (f(x)) the probability distribution function of a continuous random variable (analogous to the probability mass function for a discrete random variable),

More information

Exam M Fall 2005 PRELIMINARY ANSWER KEY

Exam M Fall 2005 PRELIMINARY ANSWER KEY Exam M Fall 005 PRELIMINARY ANSWER KEY Question # Answer Question # Answer 1 C 1 E C B 3 C 3 E 4 D 4 E 5 C 5 C 6 B 6 E 7 A 7 E 8 D 8 D 9 B 9 A 10 A 30 D 11 A 31 A 1 A 3 A 13 D 33 B 14 C 34 C 15 A 35 A

More information

Probability Theory and Simulation Methods. April 9th, Lecture 20: Special distributions

Probability Theory and Simulation Methods. April 9th, Lecture 20: Special distributions April 9th, 2018 Lecture 20: Special distributions Week 1 Chapter 1: Axioms of probability Week 2 Chapter 3: Conditional probability and independence Week 4 Chapters 4, 6: Random variables Week 9 Chapter

More information

Final exam solutions

Final exam solutions EE365 Stochastic Control / MS&E251 Stochastic Decision Models Profs. S. Lall, S. Boyd June 5 6 or June 6 7, 2013 Final exam solutions This is a 24 hour take-home final. Please turn it in to one of the

More information

Mgr. Jakub Petrásek 1. May 4, 2009

Mgr. Jakub Petrásek 1. May 4, 2009 Dissertation Report - First Steps Petrásek 1 2 1 Department of Probability and Mathematical Statistics, Charles University email:petrasek@karlin.mff.cuni.cz 2 RSJ Invest a.s., Department of Probability

More information

Publications J. Michael Harrison February 2015 BOOKS. [1] Brownian Motion and Stochastic Flow Systems (1985), John Wiley and Sons, New York.

Publications J. Michael Harrison February 2015 BOOKS. [1] Brownian Motion and Stochastic Flow Systems (1985), John Wiley and Sons, New York. Publications J. Michael Harrison February 2015 BOOKS [1] Brownian Motion and Stochastic Flow Systems (1985), John Wiley and Sons, New York. [2] Brownian Models of Performance and Control (2013), Cambridge

More information

IEOR 130 Review. Methods for Manufacturing Improvement. Prof. Robert C. Leachman University of California at Berkeley.

IEOR 130 Review. Methods for Manufacturing Improvement. Prof. Robert C. Leachman University of California at Berkeley. IEOR 130 Review Methods for Manufacturing Improvement Prof. Robert C. Leachman University of California at Berkeley November, 2017 IEOR 130 Purpose of course: instill cross-disciplinary, industrial engineering

More information

Preferred Customer Service at U.S. Airways ASSIGNMENT QUESTIONS Exhibit 5 From Frequency From Frequency

Preferred Customer Service at U.S. Airways ASSIGNMENT QUESTIONS Exhibit 5 From Frequency From Frequency Preferred Customer Service at U.S. Airways ASSIGNMENT QUESTIONS Given the range of issues that the case includes, the instructor can slant the discussion in a variety of directions by appropriately constructing

More information

Commonly Used Distributions

Commonly Used Distributions Chapter 4: Commonly Used Distributions 1 Introduction Statistical inference involves drawing a sample from a population and analyzing the sample data to learn about the population. We often have some knowledge

More information

On Using Shadow Prices in Portfolio optimization with Transaction Costs

On Using Shadow Prices in Portfolio optimization with Transaction Costs On Using Shadow Prices in Portfolio optimization with Transaction Costs Johannes Muhle-Karbe Universität Wien Joint work with Jan Kallsen Universidad de Murcia 12.03.2010 Outline The Merton problem The

More information

CS 174: Combinatorics and Discrete Probability Fall Homework 5. Due: Thursday, October 4, 2012 by 9:30am

CS 174: Combinatorics and Discrete Probability Fall Homework 5. Due: Thursday, October 4, 2012 by 9:30am CS 74: Combinatorics and Discrete Probability Fall 0 Homework 5 Due: Thursday, October 4, 0 by 9:30am Instructions: You should upload your homework solutions on bspace. You are strongly encouraged to type

More information

Fiscal Multipliers in Recessions. M. Canzoneri, F. Collard, H. Dellas and B. Diba

Fiscal Multipliers in Recessions. M. Canzoneri, F. Collard, H. Dellas and B. Diba 1 / 52 Fiscal Multipliers in Recessions M. Canzoneri, F. Collard, H. Dellas and B. Diba 2 / 52 Policy Practice Motivation Standard policy practice: Fiscal expansions during recessions as a means of stimulating

More information

Modeling dynamic diurnal patterns in high frequency financial data

Modeling dynamic diurnal patterns in high frequency financial data Modeling dynamic diurnal patterns in high frequency financial data Ryoko Ito 1 Faculty of Economics, Cambridge University Email: ri239@cam.ac.uk Website: www.itoryoko.com This paper: Cambridge Working

More information

Some Discrete Distribution Families

Some Discrete Distribution Families Some Discrete Distribution Families ST 370 Many families of discrete distributions have been studied; we shall discuss the ones that are most commonly found in applications. In each family, we need a formula

More information

Homework Problems Stat 479

Homework Problems Stat 479 Chapter 2 1. Model 1 is a uniform distribution from 0 to 100. Determine the table entries for a generalized uniform distribution covering the range from a to b where a < b. 2. Let X be a discrete random

More information

Designing Price Contracts for Boundedly Rational Customers: Does the Number of Block Matter?

Designing Price Contracts for Boundedly Rational Customers: Does the Number of Block Matter? Designing Price Contracts for Boundedly ational Customers: Does the Number of Block Matter? Teck H. Ho University of California, Berkeley Forthcoming, Marketing Science Coauthor: Noah Lim, University of

More information

Heterogeneous Firm, Financial Market Integration and International Risk Sharing

Heterogeneous Firm, Financial Market Integration and International Risk Sharing Heterogeneous Firm, Financial Market Integration and International Risk Sharing Ming-Jen Chang, Shikuan Chen and Yen-Chen Wu National DongHwa University Thursday 22 nd November 2018 Department of Economics,

More information

Scheduling arrivals to queues: a model with no-shows

Scheduling arrivals to queues: a model with no-shows TEL-AVIV UNIVERSITY RAYMOND AND BEVERLY SACKLER FACULTY OF EXACT SCIENCES SCHOOL OF MATHEMATICAL SCIENCES, DEPARTMENT OF STATISTICS AND OPERATIONS RESEARCH Scheduling arrivals to queues: a model with no-shows

More information

Extended Libor Models and Their Calibration

Extended Libor Models and Their Calibration Extended Libor Models and Their Calibration Denis Belomestny Weierstraß Institute Berlin Vienna, 16 November 2007 Denis Belomestny (WIAS) Extended Libor Models and Their Calibration Vienna, 16 November

More information

Intelligent Systems (AI-2)

Intelligent Systems (AI-2) Intelligent Systems (AI-2) Computer Science cpsc422, Lecture 9 Sep, 28, 2016 Slide 1 CPSC 422, Lecture 9 An MDP Approach to Multi-Category Patient Scheduling in a Diagnostic Facility Adapted from: Matthew

More information

Lesson Plan for Simulation with Spreadsheets (8/31/11 & 9/7/11)

Lesson Plan for Simulation with Spreadsheets (8/31/11 & 9/7/11) Jeremy Tejada ISE 441 - Introduction to Simulation Learning Outcomes: Lesson Plan for Simulation with Spreadsheets (8/31/11 & 9/7/11) 1. Students will be able to list and define the different components

More information

Chapter 8. Markowitz Portfolio Theory. 8.1 Expected Returns and Covariance

Chapter 8. Markowitz Portfolio Theory. 8.1 Expected Returns and Covariance Chapter 8 Markowitz Portfolio Theory 8.1 Expected Returns and Covariance The main question in portfolio theory is the following: Given an initial capital V (0), and opportunities (buy or sell) in N securities

More information

Recovering portfolio default intensities implied by CDO quotes. Rama CONT & Andreea MINCA. March 1, Premia 14

Recovering portfolio default intensities implied by CDO quotes. Rama CONT & Andreea MINCA. March 1, Premia 14 Recovering portfolio default intensities implied by CDO quotes Rama CONT & Andreea MINCA March 1, 2012 1 Introduction Premia 14 Top-down" models for portfolio credit derivatives have been introduced as

More information

Optimal Credit Market Policy. CEF 2018, Milan

Optimal Credit Market Policy. CEF 2018, Milan Optimal Credit Market Policy Matteo Iacoviello 1 Ricardo Nunes 2 Andrea Prestipino 1 1 Federal Reserve Board 2 University of Surrey CEF 218, Milan June 2, 218 Disclaimer: The views expressed are solely

More information

Equity correlations implied by index options: estimation and model uncertainty analysis

Equity correlations implied by index options: estimation and model uncertainty analysis 1/18 : estimation and model analysis, EDHEC Business School (joint work with Rama COT) Modeling and managing financial risks Paris, 10 13 January 2011 2/18 Outline 1 2 of multi-asset models Solution to

More information

Limit Theorems for the Empirical Distribution Function of Scaled Increments of Itô Semimartingales at high frequencies

Limit Theorems for the Empirical Distribution Function of Scaled Increments of Itô Semimartingales at high frequencies Limit Theorems for the Empirical Distribution Function of Scaled Increments of Itô Semimartingales at high frequencies George Tauchen Duke University Viktor Todorov Northwestern University 2013 Motivation

More information

1.010 Uncertainty in Engineering Fall 2008

1.010 Uncertainty in Engineering Fall 2008 MIT OpenCourseWare http://ocw.mit.edu 1.010 Uncertainty in Engineering Fall 2008 For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms. Application Example 18

More information

Portability, salary and asset price risk: a continuous-time expected utility comparison of DB and DC pension plans

Portability, salary and asset price risk: a continuous-time expected utility comparison of DB and DC pension plans Portability, salary and asset price risk: a continuous-time expected utility comparison of DB and DC pension plans An Chen University of Ulm joint with Filip Uzelac (University of Bonn) Seminar at SWUFE,

More information

UTILIZATION AND PAYOR MIX

UTILIZATION AND PAYOR MIX UTILIZATION AND PAYOR MIX Quarter Ended September 30 Year Ended September 30 2010 2011 2010 2011 Hospital Licensed Beds Average Staffed Beds Average Daily Census Average % Occupancy 284 70% 257 63% 285

More information

Appendix A. Selecting and Using Probability Distributions. In this appendix

Appendix A. Selecting and Using Probability Distributions. In this appendix Appendix A Selecting and Using Probability Distributions In this appendix Understanding probability distributions Selecting a probability distribution Using basic distributions Using continuous distributions

More information

1. The force of mortality at age x is given by 10 µ(x) = 103 x, 0 x < 103. Compute E(T(81) 2 ]. a. 7. b. 22. c. 23. d. 20

1. The force of mortality at age x is given by 10 µ(x) = 103 x, 0 x < 103. Compute E(T(81) 2 ]. a. 7. b. 22. c. 23. d. 20 1 of 17 1/4/2008 12:01 PM 1. The force of mortality at age x is given by 10 µ(x) = 103 x, 0 x < 103. Compute E(T(81) 2 ]. a. 7 b. 22 3 c. 23 3 d. 20 3 e. 8 2. Suppose 1 for 0 x 1 s(x) = 1 ex 100 for 1

More information

DYNAMIC PRICING TO CONTROL LOSS SYSTEMS WITH QUALITY OF SERVICE TARGETS

DYNAMIC PRICING TO CONTROL LOSS SYSTEMS WITH QUALITY OF SERVICE TARGETS Probability in the Engineering and Informational Sciences, 23, 29, 357 383. Printed in the U.S.A. doi:1.117/s2699648925 DYNAMIC PRICING TO CONTROL LOSS SYSTEMS WITH QUALITY OF SERVICE TARGETS ROBERT C.

More information

Stochastic Call Center Staffing with Uncertain Arrival, Service and Abandonment Rates: A Bayesian Perspective

Stochastic Call Center Staffing with Uncertain Arrival, Service and Abandonment Rates: A Bayesian Perspective Stochastic Call Center Staffing with Uncertain Arrival, Service and Abandonment Rates: A Bayesian Perspective Tevfik Aktekin Department of Decision Sciences Peter T. Paul College of Business and Economics,

More information

Lecture Note 8 of Bus 41202, Spring 2017: Stochastic Diffusion Equation & Option Pricing

Lecture Note 8 of Bus 41202, Spring 2017: Stochastic Diffusion Equation & Option Pricing Lecture Note 8 of Bus 41202, Spring 2017: Stochastic Diffusion Equation & Option Pricing We shall go over this note quickly due to time constraints. Key concept: Ito s lemma Stock Options: A contract giving

More information

Gamma Distribution Fitting

Gamma Distribution Fitting Chapter 552 Gamma Distribution Fitting Introduction This module fits the gamma probability distributions to a complete or censored set of individual or grouped data values. It outputs various statistics

More information

DRAFT. 1 exercise in state (S, t), π(s, t) = 0 do not exercise in state (S, t) Review of the Risk Neutral Stock Dynamics

DRAFT. 1 exercise in state (S, t), π(s, t) = 0 do not exercise in state (S, t) Review of the Risk Neutral Stock Dynamics Chapter 12 American Put Option Recall that the American option has strike K and maturity T and gives the holder the right to exercise at any time in [0, T ]. The American option is not straightforward

More information

Unified Credit-Equity Modeling

Unified Credit-Equity Modeling Unified Credit-Equity Modeling Rafael Mendoza-Arriaga Based on joint research with: Vadim Linetsky and Peter Carr The University of Texas at Austin McCombs School of Business (IROM) Recent Advancements

More information

QI SHANG: General Equilibrium Analysis of Portfolio Benchmarking

QI SHANG: General Equilibrium Analysis of Portfolio Benchmarking General Equilibrium Analysis of Portfolio Benchmarking QI SHANG 23/10/2008 Introduction The Model Equilibrium Discussion of Results Conclusion Introduction This paper studies the equilibrium effect of

More information

Basic notions of probability theory: continuous probability distributions. Piero Baraldi

Basic notions of probability theory: continuous probability distributions. Piero Baraldi Basic notions of probability theory: continuous probability distributions Piero Baraldi Probability distributions for reliability, safety and risk analysis: discrete probability distributions continuous

More information

Experimental Evidence of Bank Runs as Pure Coordination Failures

Experimental Evidence of Bank Runs as Pure Coordination Failures Experimental Evidence of Bank Runs as Pure Coordination Failures Jasmina Arifovic (Simon Fraser) Janet Hua Jiang (Bank of Canada and U of Manitoba) Yiping Xu (U of International Business and Economics)

More information

Chapter Fourteen: Simulation

Chapter Fourteen: Simulation TaylCh14ff.qxd 4/21/06 8:39 PM Page 213 Chapter Fourteen: Simulation PROBLEM SUMMARY 1. Rescue squad emergency calls PROBLEM SOLUTIONS 1. 2. Car arrivals at a service station 3. Machine breakdowns 4. Income

More information

Adaptive Threshold Method for Monitoring Rates in Public Health. Surveillance

Adaptive Threshold Method for Monitoring Rates in Public Health. Surveillance Adaptive Threshold Method for Monitoring Rates in Public Health Surveillance Linmin Gan Dissertation submitted to the Faculty of the Virginia Polytechnic Institute and State University in partial fulfillment

More information

Optimal Price and Delay Differentiation in Large-Scale Queueing Systems

Optimal Price and Delay Differentiation in Large-Scale Queueing Systems Submitted to Management Science manuscript MS-13-00926.R3 Authors are encouraged to submit new papers to INFORMS journals by means of a style file template, which includes the journal title. However, use

More information

MA 490. Senior Project

MA 490. Senior Project MA 490 Senior Project Project: Prove that the cumulative binomial distributions and the Poisson distributions can be approximated by the Normal distribution and that that approximation gets better as the

More information

Log-Robust Portfolio Management

Log-Robust Portfolio Management Log-Robust Portfolio Management Dr. Aurélie Thiele Lehigh University Joint work with Elcin Cetinkaya and Ban Kawas Research partially supported by the National Science Foundation Grant CMMI-0757983 Dr.

More information

Dynamic Pricing in Ridesharing Platforms

Dynamic Pricing in Ridesharing Platforms Dynamic Pricing in Ridesharing Platforms A Queueing Approach Sid Banerjee Ramesh Johari Carlos Riquelme Cornell Stanford Stanford rjohari@stanford.edu With thanks to Chris Pouliot, Chris Sholley, and Lyft

More information

The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2011, Mr. Ruey S. Tsay. Solutions to Final Exam.

The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2011, Mr. Ruey S. Tsay. Solutions to Final Exam. The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2011, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (32 pts) Answer briefly the following questions. 1. Suppose

More information

The Irrevocable Multi-Armed Bandit Problem

The Irrevocable Multi-Armed Bandit Problem The Irrevocable Multi-Armed Bandit Problem Ritesh Madan Qualcomm-Flarion Technologies May 27, 2009 Joint work with Vivek Farias (MIT) 2 Multi-Armed Bandit Problem n arms, where each arm i is a Markov Decision

More information

Self-Exciting Corporate Defaults: Contagion or Frailty?

Self-Exciting Corporate Defaults: Contagion or Frailty? 1 Self-Exciting Corporate Defaults: Contagion or Frailty? Kay Giesecke CreditLab Stanford University giesecke@stanford.edu www.stanford.edu/ giesecke Joint work with Shahriar Azizpour, Credit Suisse Self-Exciting

More information

yuimagui: A graphical user interface for the yuima package. User Guide yuimagui v1.0

yuimagui: A graphical user interface for the yuima package. User Guide yuimagui v1.0 yuimagui: A graphical user interface for the yuima package. User Guide yuimagui v1.0 Emanuele Guidotti, Stefano M. Iacus and Lorenzo Mercuri February 21, 2017 Contents 1 yuimagui: Home 3 2 yuimagui: Data

More information

Two hours UNIVERSITY OF MANCHESTER. 23 May :00 16:00. Answer ALL SIX questions The total number of marks in the paper is 90.

Two hours UNIVERSITY OF MANCHESTER. 23 May :00 16:00. Answer ALL SIX questions The total number of marks in the paper is 90. Two hours MATH39542 UNIVERSITY OF MANCHESTER RISK THEORY 23 May 2016 14:00 16:00 Answer ALL SIX questions The total number of marks in the paper is 90. University approved calculators may be used 1 of

More information

Continous time models and realized variance: Simulations

Continous time models and realized variance: Simulations Continous time models and realized variance: Simulations Asger Lunde Professor Department of Economics and Business Aarhus University September 26, 2016 Continuous-time Stochastic Process: SDEs Building

More information

Robust Portfolio Decisions for Financial Institutions

Robust Portfolio Decisions for Financial Institutions Robust Portfolio Decisions for Financial Institutions Ioannis Baltas 1,3, Athanasios N. Yannacopoulos 2,3 & Anastasios Xepapadeas 4 1 Department of Financial and Management Engineering University of the

More information

Babu Banarasi Das National Institute of Technology and Management

Babu Banarasi Das National Institute of Technology and Management Babu Banarasi Das National Institute of Technology and Management Department of Computer Applications Question Bank Masters of Computer Applications (MCA) NEW Syllabus (Affiliated to U. P. Technical University,

More information

Predicting Defaults with Regime Switching Intensity: Model and Empirical Evidence

Predicting Defaults with Regime Switching Intensity: Model and Empirical Evidence Predicting Defaults with Regime Switching Intensity: Model and Empirical Evidence Hui-Ching Chuang Chung-Ming Kuan Department of Finance National Taiwan University 7th International Symposium on Econometric

More information

STATS 242: Final Project High-Frequency Trading and Algorithmic Trading in Dynamic Limit Order

STATS 242: Final Project High-Frequency Trading and Algorithmic Trading in Dynamic Limit Order STATS 242: Final Project High-Frequency Trading and Algorithmic Trading in Dynamic Limit Order Note : R Code and data files have been submitted to the Drop Box folder on Coursework Yifan Wang wangyf@stanford.edu

More information

3.4 Copula approach for modeling default dependency. Two aspects of modeling the default times of several obligors

3.4 Copula approach for modeling default dependency. Two aspects of modeling the default times of several obligors 3.4 Copula approach for modeling default dependency Two aspects of modeling the default times of several obligors 1. Default dynamics of a single obligor. 2. Model the dependence structure of defaults

More information

Optimal Policies for Distributed Data Aggregation in Wireless Sensor Networks

Optimal Policies for Distributed Data Aggregation in Wireless Sensor Networks Optimal Policies for Distributed Data Aggregation in Wireless Sensor Networks Hussein Abouzeid Department of Electrical Computer and Systems Engineering Rensselaer Polytechnic Institute abouzeid@ecse.rpi.edu

More information

Modelling Credit Spread Behaviour. FIRST Credit, Insurance and Risk. Angelo Arvanitis, Jon Gregory, Jean-Paul Laurent

Modelling Credit Spread Behaviour. FIRST Credit, Insurance and Risk. Angelo Arvanitis, Jon Gregory, Jean-Paul Laurent Modelling Credit Spread Behaviour Insurance and Angelo Arvanitis, Jon Gregory, Jean-Paul Laurent ICBI Counterparty & Default Forum 29 September 1999, Paris Overview Part I Need for Credit Models Part II

More information

Algorithmic and High-Frequency Trading

Algorithmic and High-Frequency Trading LOBSTER June 2 nd 2016 Algorithmic and High-Frequency Trading Julia Schmidt Overview Introduction Market Making Grossman-Miller Market Making Model Trading Costs Measuring Liquidity Market Making using

More information

UQ, STAT2201, 2017, Lectures 3 and 4 Unit 3 Probability Distributions.

UQ, STAT2201, 2017, Lectures 3 and 4 Unit 3 Probability Distributions. UQ, STAT2201, 2017, Lectures 3 and 4 Unit 3 Probability Distributions. Random Variables 2 A random variable X is a numerical (integer, real, complex, vector etc.) summary of the outcome of the random experiment.

More information

Hedging with Life and General Insurance Products

Hedging with Life and General Insurance Products Hedging with Life and General Insurance Products June 2016 2 Hedging with Life and General Insurance Products Jungmin Choi Department of Mathematics East Carolina University Abstract In this study, a hybrid

More information

LECTURE NOTES 10 ARIEL M. VIALE

LECTURE NOTES 10 ARIEL M. VIALE LECTURE NOTES 10 ARIEL M VIALE 1 Behavioral Asset Pricing 11 Prospect theory based asset pricing model Barberis, Huang, and Santos (2001) assume a Lucas pure-exchange economy with three types of assets:

More information

Computational Finance. Computational Finance p. 1

Computational Finance. Computational Finance p. 1 Computational Finance Computational Finance p. 1 Outline Binomial model: option pricing and optimal investment Monte Carlo techniques for pricing of options pricing of non-standard options improving accuracy

More information

Supplementary material of: The nosocomial transmission rate of animal-associated ST398 methicillin-resistant Staphylococcus aureus

Supplementary material of: The nosocomial transmission rate of animal-associated ST398 methicillin-resistant Staphylococcus aureus Supplementary material of: The nosocomial transmission rate of animal-associated ST398 methicillin-resistant Staphylococcus aureus Martin C.J. Bootsma, Marjan W.M. Wassenberg, Pieter Trapman, Marc J.M.

More information

Option pricing in the stochastic volatility model of Barndorff-Nielsen and Shephard

Option pricing in the stochastic volatility model of Barndorff-Nielsen and Shephard Option pricing in the stochastic volatility model of Barndorff-Nielsen and Shephard Indifference pricing and the minimal entropy martingale measure Fred Espen Benth Centre of Mathematics for Applications

More information

Rough Heston models: Pricing, hedging and microstructural foundations

Rough Heston models: Pricing, hedging and microstructural foundations Rough Heston models: Pricing, hedging and microstructural foundations Omar El Euch 1, Jim Gatheral 2 and Mathieu Rosenbaum 1 1 École Polytechnique, 2 City University of New York 7 November 2017 O. El Euch,

More information

Credit Risk and Underlying Asset Risk *

Credit Risk and Underlying Asset Risk * Seoul Journal of Business Volume 4, Number (December 018) Credit Risk and Underlying Asset Risk * JONG-RYONG LEE **1) Kangwon National University Gangwondo, Korea Abstract This paper develops the credit

More information

Option Pricing Modeling Overview

Option Pricing Modeling Overview Option Pricing Modeling Overview Liuren Wu Zicklin School of Business, Baruch College Options Markets Liuren Wu (Baruch) Stochastic time changes Options Markets 1 / 11 What is the purpose of building a

More information

Chapter 4: Commonly Used Distributions. Statistics for Engineers and Scientists Fourth Edition William Navidi

Chapter 4: Commonly Used Distributions. Statistics for Engineers and Scientists Fourth Edition William Navidi Chapter 4: Commonly Used Distributions Statistics for Engineers and Scientists Fourth Edition William Navidi 2014 by Education. This is proprietary material solely for authorized instructor use. Not authorized

More information