Decision & Control in Management Science: Essays in Honor of Alain Haurie

419 Pages·2002·11.89 MB·English

by  Alain Haurie (auth.)

DECISION & CONTROL IN MANAGEMENT SCIENCE
Essays in Honor of Alain Haurie
Advances in Computational Management Science
VOLUME4
SERIES EDITORS
Hans Amman, Eindhoven University oj Technology, The Netherlands
Bere Rustern, Imperial College, London, United Kingdom
EDITORIAL BOARD
Christopher Deissenberg, University 0/ Nantes, France
Arthur Farley, University o/Oregon, USA
Manfred Gilli, University 0/ Geneva, Switzerland
David Kendrick, University 0/ Texas at Austin, USA
David Luenberger, Stan/ord University, USA
Rik Maes, University 0/ Amsterdam, The Netherlands
Istvan Maros, Imperial College, UK
lohn Mulvey, Princeton University, USA
Anna Nagumey, University 0/ Massachusetts at Amherst, USA
Soren Nielsen, University 0/ Texas at Austin, USA
Louis Pau, Ericsson, Alvsjo, Sweden
Edison Tse, Stan/ord University, USA
Andrew Whinston, University 0/ Texas at Austin, USA
The titles published in this series are listed at the end oj this volume.
Decision & ControI
in Management Science
Essays In Honor of Alain Haurie
Edited by
Georges Zaccour
GERAD and HEC-Montreal, Canada
Springer Science+Business Media, LLC
ISBN 978-1-4419-4995-0 ISBN 978-1-4757-3561-1 (eBook)
DOI 10.1007/978-1-4757-3561-1
Library of Congress Cataloging-in-Publication Data
Decision & control in management science: essays in honor of Alain [sie] Haurie/edited
by Georges Zaccour.
p.cm -(Advances in computational management science;v.4)
1. Management science. 2. Operations research. I. Title: Decision and control in
management science. II. Haurie, A. (Alain), 19 40-III. Zaccour, Georges. IV.Series.
T56.25.D432oo2
658.4--dc21 2001053968
Copyright 2002 by Springer Science+Business Media New York
<1:>
Origina11y published by Kluwer Academic Publishers in 2002.
Softcover reprint ofthe hardcover 1st edition 2002
All rights reserved. No part of this publication may be reproduced, stored in a retrieval
system or transmitted in any form or by any means, mechanical, photo-copying, recording,
or otherwise, without the prior written permission of the publisher,
Springer Science+Business Media, LLC
Printed on acid-free paper.
Contents
Preface ix
Contributing Authors xv
Part I Dynamical Systems and Optimization
1
Time, Risk and Confiicts 3
A. Haurie
2
Jump Linear System with Time-Delay: Stability, Stabilization, Hoo 31
Control and Their Robustness
E.K. Boukas and Z.K. Liu
3
On Impulsive Ordinary and Delay Differential Equations 53
F. Dubeau, J. Karrakchou, A. Ouansafi, and A. Sakat
4
On Direct Extremization of a Class of Integrals 67
G. Leitmann
5
On Optimal Policies of Multichain Finite State Compact Action 79
Markov Decision Processes
A. Leizarowitz
6
A Bilevel Programming Approach to Optimal Price Setting 97
P. Marcotte and G. Savard
Part II Energy and Environmental Modeling
7
Swiss Policy Options to Curb C02 Emissions 121
O. Bahn
8
Hydro-Quebec Reservoir Management with Wind Energy - The 137
Modelling Approach
G. Lafrance, L. Lafond, and C. Jacques
9
Using Advanced Technology::Rich Models for Regional and Global 153
Economic Analysis of GHG Mitigation
R. Loulou and A . Kanudia
vi DECISION f3 CONTROL IN MANAGEMENT SCIENCE
Part III Finance and Economics
10
Partial Hedging for Options Based on Extreme Values and Passage 179
Times
H. Ben Ameur, M. Breton, and P. L'Ecuyer
11
A Continuous Minimax Problem and its Application to Inflation 201
Targeting
B. Rustem, V. Wieland and S. Zakovic
12
Equilibrium Asset Price Dynamics with Holding-term Switching 221
D. W.K. Yeung
Part IV Production and Industrial Systems
13
Average-Cost Optimality of a Base-Stock Policy for a Multi-Product 241
Inventory Model with Limited Storage
D. Beyer, S.P. Sethi, and R. Sridhar
14
Industrial Applications of the Variable Neighborhood Search Meta- 261
heuristic
P. Hansen and N. Mladenovic
15
Two Approximations as a Basis for the Optimization of Production 275
in Unreliable Markovian Long Transfer Lines
J. Mbihi, R.P. Malhame, and J. Sadr
16
An Industrial Cutting Stock Problem 299
L. Muller Nicoletti, G. Stauffer, and J.-P. Vial
17
Lotstreaming Single Product in 3-Machine No-Wait Flow-Shops 315
E. Wagneur
Part V Game Theory
18
Uniqueness of Normalized Nash Equilibrium for a Class of Games 333
with Strategies in Banach Spaces
D.A. Carlson
19
Time Consistency in Cooperative Differential Games 349
S. Jfiirgensen and G. Zaccour
Contents Vll
20
Approximate Solutions and a-Well-Posedness for Variational 1n- 367
equalities and N ash Equilibria
M.B. Lignola and J. Morgan
21
Government and Opposition Weighted Majority Games: An Anal- 379
ysis of the 1talian Politieal Situation
G. Ricci, S. Greco, and R. Vinci
22
Horizontal Strategie Interactions in Franchising 393
S.P. Sigue
List of publications of Professor Alain Haurie 411
Preface
On behalf of a large community of colleagues, friends, co-authors,
and former students, it is my privilege to dedicate this book to Pro
fessor Alain Raurie. With this volume, we wish to honor his academic
achievements.
The contributions of a scientist can be appreciated in many ways, e.g.,
the number of published articles (Professor Raurie's last count shows
140), the quality of the journals in which articles were published (his
papers appeared in the leading ones), the number of graduated Ph.D.
students (by now, more than 20), individual and joint grants (amounting
to millions of dollars), editorial activities (he is on the editorial board of
seven journals), dedication to the scientific community (past president of
the International Society of Dynamic Games, chair, member of a large
number of conference organizing and program committees), scientific
honors (among many, he is member of the Royal Society of Canada).
Although this "scientometric" appreciation clearly shows the importance
of his contribution, it does not obviously tell the full story. I would like
to mention four other things.
First, one of the fascinating facets in the academic career of Professor
Raurie is the large spectrum of paradigms, methodologies, tools and
applications that he has covered. Re is far from being the archetype of
a proliferate academic who tends to be interested in only a few, narrow
topics. Ris publications, the list is found at the end of the volume,
have been grouped below under four headings but one could have easily
doubled this number, still having the feeling that each category is not
sufficiently homogeneous:
• Optimization and deterministic optimal control in industrial and
economic planning
• Dynamic game theory
• Stochastic control of service, maintenance and manufacturing
system
• Energy and environmental management modeling.
An admirable constant in the career of Professor Raurie is his dedi
cation to his students. I am sure to represent all of them when saying
that we owe him a huge intellectual debt. We do also owe him our intro
duction to the international scientific community. In fact, the dominant
strategy to introduce oneself during one's first conferences was simply
to say: "I am a student of Alain" .
x DECISION f3 CONTROL IN MANAGEMENT SCIENCE
A third wonderful achievement, with an infinite horizon lasting ef
fect, of Professor Raurie and a small group of colleagues is the creation
of GERAD in 1979. By any standard, it is by now one of the top
research centers in operations research and management science in the
world. This entrepreneurial contribution has allowed students and scien
tists to work in a very agreeable and stimulating research environment.
Recently, Professor Raurie recidivated in Geneva where, with few col
leagues, he started LOGILAB.
Finally, behind all this there is the man and his character. Professor
Raurie is of the "bon vivant" type. Probably every co-author still re
members on which restaurant's napkin a model, algorithm or a sketch
of proof originated!
Content of the book
The book contains 22 chapters reviewed according to international
journals standard. Some of these papers were presented at the Interna
tional Workshop on Decision & Control in Management Science, held
in honor of Professor Alain Raurie at REC-Montreal on October 19-
20, 2000. The volume is divided into five parts. Part I is dedicated to
Dynamical Systems and Optimization. In Chapter 1, A. Haurie
surveys a dass of competitive models in economic theory and manage
ment science that deal with decision making under uncertainty in a dy
namic environment. These models use the paradigms of optimal control,
stochastic dynamic programming and dynamic games and share the con
sideration of an infinite time horizon and the possibility to exploit an
asymptotic stability property called the "turnpike" . In Chapter 2, E.K.
Boukas and Z.K. Liu study the dass of uncertain jump linear systems
with random time-delay. LMI-based sufficient conditions for the robust
stability, state feedback stabilization and H control are developed. In
oo
Chapter 3, F. Dubeau, J. Karrakchou, A. Ouansafi and A. Sakat
study the existence and uniqueness of the solution to ordinary and de
lay differential equations with infinitely many state-dependent impulses.
They show that by a simple transformation these problems are equiva
lent to ones without impulse. In Chapter 4, G. Leitmann proposes a
coordinate transformation which allows the direct global extremization
of a dass of integrals without the use of comparison methods such as
variational or field techniques. The author provides a motivation for
the proposed method as weIl as some applications. In Chapter 5, A.
Leizarowitz considers finite state multichain MDPs with compact ac
tion set where the optimality criterion is the long-run average cost. Us
ing simple examples, he shows that optimal stationary Markov policies
do not always exist. The author establishes the existence of €-optimal