ORBi Collection: Méthodes quantitatives en économie & gestion
http://hdl.handle.net/2268/71
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A class of valid inequalities for multilinear 0-1 optimization problems
http://hdl.handle.net/2268/198039
Titre: A class of valid inequalities for multilinear 0-1 optimization problems
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<br/>Auteur, co-auteur: Rodriguez Heck, Elisabeth; Crama, YvesModeling in Air Transportation: Cargo Loading and Itinerary Choice
http://hdl.handle.net/2268/198001
Titre: Modeling in Air Transportation: Cargo Loading and Itinerary Choice
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<br/>Auteur, co-auteur: Lurkin, Virginie
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<br/>Résumé: This is a summary of the author's PhD thesis supervised by Michael Schyns and
defended on April 29, 2016 at the University of Li\`ege, Belgium. We examine two
problems as part of this dissertation. The first is a cargo loading problem. The second
problem we examine involves the estimation of itinerary choice models that include
price variables and correct for price endogeneity using a control function that uses
several types of instrumental variables.Accounting for price endogeneity in airline itinerary choice models
http://hdl.handle.net/2268/197441
Titre: Accounting for price endogeneity in airline itinerary choice models
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<br/>Auteur, co-auteur: Lurkin, Virginie
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<br/>Résumé: This study formulates an itinerary choice model that is consistent with those used by industry and corrects for price endogeneity using a control function that uses several types of instrumental variables. We estimate our models using database of more than 3 million tickets provided by the Airlines Reporting Corporation. Results based on Continental U.S. markets for May 2013 departures show that models that fail to account for price endogeneity overestimate customers' value of time and result in biased price estimates and incorrect pricing recommendations. Extensions to advanced discrete choice models show the importance of accounting for inter-alternative substitution for products that share similar departure times.Mathématique pour économistes et gestionnaires
http://hdl.handle.net/2268/197379
Titre: Mathématique pour économistes et gestionnaires
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<br/>Auteur, co-auteur: Esch, LouisMathématique pour économistes et gestionnaires
http://hdl.handle.net/2268/197378
Titre: Mathématique pour économistes et gestionnaires
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<br/>Auteur, co-auteur: Esch, LouisMathématique pour économistes et gestionnaires
http://hdl.handle.net/2268/197377
Titre: Mathématique pour économistes et gestionnaires
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<br/>Auteur, co-auteur: Esch, LouisMathématique pour économistes et gestionnaires
http://hdl.handle.net/2268/197376
Titre: Mathématique pour économistes et gestionnaires
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<br/>Auteur, co-auteur: Esch, LouisAccounting for price endogeneity in airline itinerary choice models
http://hdl.handle.net/2268/197098
Titre: Accounting for price endogeneity in airline itinerary choice models
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<br/>Auteur, co-auteur: Lurkin, Virginie; Garrow, Laurie; Higgins, Matthew; Newman, Jeffrey; Schyns, Michael
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<br/>Résumé: This study formulates an itinerary choice model that is consistent with those used by industry and corrects for price endogeneity using a control function that uses several types of instrumental variables. We estimate our models using database of more than 3 million tickets provided by the Airlines Reporting Corporation. Results based on Continental U.S. markets for May 2013 departures show that models that fail to account for price endogeneity overestimate customers’ value of time and result in biased price estimates and incorrect pricing recommendations. Extensions to advanced discrete choice models show the importance of accounting for inter-alternative substitution for products that share similar departure times.
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<br/>Commentaires: Best presentation - third placeEarly Detection of University Students in Potential Difficulty
http://hdl.handle.net/2268/196946
Titre: Early Detection of University Students in Potential Difficulty
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<br/>Auteur, co-auteur: Hoffait, Anne-Sophie; Schyns, Michael
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<br/>Résumé: Using data mining methods, this paper presents a new means of identifying freshmen's profiles likely to face major difficulties to complete their first academic year. Academic failure is a relevant issue at a time when post-secondary education is ever more critical to economic success. We aim at early detection of potential failure using student data available at registration, i.e. school records and environmental factors, with a view to timely and efficient remediation and/or study reorientation. For the sake of accuracy, we adapt three data mining methods, namely random forest, logistic regression and artificial neural network algorithms. Real data pertaining to undergraduates at the University of Liège (Belgium), illustrates our methodology.A class of valid inequalities for multilinear 0-1 optimization problems
http://hdl.handle.net/2268/196789
Titre: A class of valid inequalities for multilinear 0-1 optimization problems
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<br/>Auteur, co-auteur: Crama, Yves; Rodriguez Heck, Elisabeth
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<br/>Résumé: This paper investigates the polytope associated with the classical standard
linearization technique for the unconstrained optimization of multilinear
polynomials in 0-1 variables. A new class of valid inequalities, called
2-links, is introduced to strengthen the LP relaxation of the standard linearization.
The addition of the 2-links to the standard linearization inequalities
provides a complete description of the convex hull of integer solutions
for the case of functions consisting of at most two nonlinear monomials.
For the general case, various computational experiments show that the 2-
links improve both the standard linearization bound and the computational
performance of exact branch & cut methods. The improvements are especially
significant for a class of instances inspired from the image restoration
problem in computer vision. The magnitude of this effect is rather surprising
in that the 2-links are in relatively small number (quadratic in the number of
terms of the objective function).Modeling in Air Transportation: Cargo Loading and Itinerary Choice
http://hdl.handle.net/2268/196615
Titre: Modeling in Air Transportation: Cargo Loading and Itinerary Choice
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<br/>Auteur, co-auteur: Lurkin, Virginie
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<br/>Résumé: We examine two problems as part of this dissertation. The first is a cargo loading problem. The aim is to load a set of containers and pallets into a cargo aircraft that serves multiple airports. Our work is the first to model cargo transport as a series of trips consisting of several legs at the end of which pickup and delivery operations might occur. This problem is crucial for airlines because in an attempt to reduce their costs, most airlines prefer to load as many containers as possible, even if all the loaded containers do not have the same final destination. Our results demonstrate that it is possible to quickly find near optimal or excellent feasible loading plans, and that our approach leads to substantial savings with respect to typical manual approaches currently used in practice.
The second problem we examine involves the estimation of itinerary choice models that include price variables and correct for price endogeneity using a control function that uses several types of instrumental variables. The motivation for developing these models is to demonstrate the importance of accounting for price endogeneity and to estimate different price sensitivities as a function of advance purchase periods. This is important as the airline industry can use our results to incorporate different customer segments as revealed through high-yield and low-yield booking curves when evaluating the profitability of airline schedules.
Results based on Continental U.S. markets for May 2013 departures showed that models that fail to account for price endogeneity overestimate customers' value of time and result in biased price estimates and incorrect pricing recommendations. The advanced models estimated (nested logit and ordered generalized extreme value (OGEV) models) are shown to outperform the baseline multinomial logit model with regard to statistical tests and behavioral interpretations. Additionally, results show that price sensitivities vary as a function of advance purchase periods, with those purchasing high-yield products being less price sensitive than those purchasing low-yield products (across any advance purchase periods) and those purchasing closer to departure being less price sensitive. Results also indicate that inter-alternative competition is strong for itineraries that share similar departure times.
Finally, as part of the itinerary choice model developed in this dissertation, we estimate highly refined departure time of day preferences. Results are intuitive and show that departure time of day preferences vary across many dimensions including the length of haul, direction of travel, number of time zones crossed, departure day of week, and itinerary type (i.e., outbound, inbound, and one-way itineraries). To the best of our knowledge, these curves represent the most refined publicly-available estimates of airline passengers' time of day preferences.Nonparametric estimation and bootstrap inference on recent trends in atmospheric ethane
http://hdl.handle.net/2268/195899
Titre: Nonparametric estimation and bootstrap inference on recent trends in atmospheric ethane
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<br/>Auteur, co-auteur: Friedrich, Marina; Reuvers, H.; Smeekes, S.; Urbain, J.-P.; Bader, Whitney; Franco, Bruno; Lejeune, Bernard; Mahieu, Emmanuel
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<br/>Résumé: Ethane is the most abundant non-methane hydrocarbon in the Earth's atmosphere and an important precursor of tropospheric ozone. Its monitoring is therefore crucial for the characterization of air quality and of the transport of tropospheric pollution. Ethane is also an indirect greenhouse gas, influencing the atmospheric lifetime of methane. The main sources of ethane are located in the northern hemisphere, and the dominating emissions are associated to production and transport of natural gas. A preliminary trend analysis was conducted using measurements performed in the Swiss Alps. Over the last two decades, the trend of ethane showed a decline of around 1% per year, thanks to a reduction of fugitive emissions of fossil fuel sources. However, a recent upturn potentially attributed to the massive exploitation of shale gas and tight oil reservoirs in North America was found. The goal is to investigate the presence and form of changes in trend functions using nonparametric techniques. The possible location of such changes is investigated. In addition, nonparametric estimation techniques are used to allow for nonlinear trend functions. Given the nonstandard nature of the measurements we rely on dependent wild bootstrap techniques to conduct inference on possible breaks in linear trends and on nonparametric trend functions.Valeurs de l'information et performances algorithmiques pour des problèmes multi-périodes et stochastiques
http://hdl.handle.net/2268/195832
Titre: Valeurs de l'information et performances algorithmiques pour des problèmes multi-périodes et stochastiques
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<br/>Auteur, co-auteur: Pironet, Thierry
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<br/>Résumé: voir documentCombining acceleration techniques for pricing in a VRP with time windows
http://hdl.handle.net/2268/195584
Titre: Combining acceleration techniques for pricing in a VRP with time windows
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<br/>Auteur, co-auteur: Michelini, Stefano; Arda, Yasemin; Küçükaydin, Hande
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<br/>Résumé: In this study, we investigate a solution methodology for a variant of the VRP with time windows. The cost of each route depends on its overall duration (including waiting times), while the departure time of a vehicle is a decision variable. Furthermore, each route has a maximum permitted duration.
In order to solve this problem with a branch-and-price methodology, we study also the associated pricing problem, an elementary shortest path problem with resource constraints (ESPPRC). Compared to the classical ESPPRC, this variant admits an infinite number of Pareto-optimal states. In order to tackle this, it was shown in [1] that it is possible to represent the total travelling time as a piecewise linear function of the service start time at the depot. Together with this representation, an appropriate label structure and domi- nance rules are proposed and integrated into an exact bidirectional dynamic programming algorithm [2].
It is possible to implement certain acceleration techniques in the dynamic program- ming algorithm used to solve the pricing problem. We focus on two of these techniques: decremental state space relaxation (DSSR), introduced in [3], and ng-route relaxation, in- troduced in [4] and [5]. DSSR aims to enforce gradually the constraints on the elementarity of the path, which adversely affect the number of generated and dominated labels. A set of critical nodes is iteratively populated, and elementarity is enforced only on these critical nodes. When using ng-route relaxation, a neighbourhood is defined for each vertex. Then, the labels are extended such that, thanks to this neighbourhood structure, it is possible to allow only cycles that are relatively expensive and therefore less likely to appear in the optimal solution.
In this study, we explore several different strategies used to apply these techniques, for example initialization strategies for the critical vertex set in DSSR, or the size of the neighbourhoods for ng-route relaxation. We also analyze two ways of combining DSSR and ng-route relaxation. The different algorithmic choices are represented as categorical parameters. The categorical parameters, together with the numerical ones, can be tuned with tools for automatic algorithm configuration such as the irace package [6].
We discuss how this column generation procedure can be included as a component in the development of a matheuristic based on the idea in [7], which consists in a collaboration scheme between a branch-and-price algorithm, an exact MIP solver, and a metaheuristic.A robust statistical approach to select adequate error distributions for financial returns
http://hdl.handle.net/2268/194534
Titre: A robust statistical approach to select adequate error distributions for financial returns
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<br/>Auteur, co-auteur: Hambuckers, julien; Heuchenne, Cédric
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<br/>Résumé: In this article, we propose a robust statistical approach to select an appropriate error distribution, in a classical multiplicative heteroscedastic model. In a first step, unlike to the traditional approach, we don't use any GARCH-type estimation of the conditional variance. Instead, we propose to use a recently developed nonparametric procedure (Mercurio and Spokoiny, 2004): the Local Adaptive Volatility Estimation (LAVE). The motivation for using this method is to avoid a possible model misspecification for the conditional variance. In a second step, we suggest a set of estimation and model selection procedures (Berk-Jones tests, kernel density-based selection, censored likelihood score, coverage probability) based on the so-obtained residuals. These methods enable to assess the global fit of a set of distributions as well as to focus on their behavior in the tails, giving us the capacity to map the strengths and weaknesses of the candidate distributions. A bootstrap procedure is provided to compute the rejection regions in this semiparametric context. Finally, we illustrate our methodology throughout a small simulation study and an application on three time series of daily returns (UBS stock returns, BOVESPA returns and EUR/USD exchange rates)Modeling operational losses: a conditional Generalized Pareto regression based on a single-index assumption
http://hdl.handle.net/2268/194533
Titre: Modeling operational losses: a conditional Generalized Pareto regression based on a single-index assumption
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<br/>Auteur, co-auteur: Hambuckers, julien; Heuchenne, Cédric; Lopez, Olivier
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<br/>Résumé: In this paper, we consider a regression model in which the tail of the conditional distribution of the response can be approximated by a Generalized Pareto distribution. Our model is based on a semiparametric single-index assumption on the conditional tail index while no further assumption on the conditional scale parameter is made. The underlying dimension reduction assumption allows the procedure to be of prime interest in the case where the dimension of the covariates is high, in which case the purely nonparametric techniques fail while the purely parametric one are too rough to correctly fit to the data. We propose an iterative algorithm in order to perform their practical implementation. Our results are supported by some simulations. To illustrate the proposed approach, the method is applied to a novel database of operational losses from the bank UniCreditModeling operational losses: a conditional Generalized Pareto regression based on a single-index assumption
http://hdl.handle.net/2268/194459
Titre: Modeling operational losses: a conditional Generalized Pareto regression based on a single-index assumption
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<br/>Auteur, co-auteur: Hambuckers, julien; Heuchenne, Cédric; Lopez, Olivier
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<br/>Résumé: In this paper, we consider a regression model in which the tail of the conditional distribution of the response can be approximated
by a Generalized Pareto distribution. Our model is based on a semiparametric single-index assumption on the conditional tail index while no further assumption on the conditional scale parameter is made. The underlying dimension reduction assumption allows the procedure to be of prime interest in the case where the dimension of the covariates is high, in which case the purely nonparametric techniques fail while the purely parametric one are too rough to correctly fit to the data. We propose an iterative algorithm in order to perform their practical implementation. Our results are supported by some simulations. To illustrate the proposed approach, the method is applied to a novel database of operational losses from the bank UniCreditPatterns of administrative integration in the European Union: a cross-country empirical analysis of political intentions to reform national public administrations (1997-2011)
http://hdl.handle.net/2268/194456
Titre: Patterns of administrative integration in the European Union: a cross-country empirical analysis of political intentions to reform national public administrations (1997-2011)
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<br/>Auteur, co-auteur: Esposito, Giovanni; Gaeta, Giuseppe Lucio; Trasciani, Giorgia
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<br/>Résumé: In the aftermath of the worst financial and economic crisis in generations, the modernization of public administrations of the EU’s Member States (MSs) is among the structural reforms recommended by the European Commission to relaunch growth in the European economy. This type of reforms has a longstanding tradition in the MSs as they sharply intensified during the 1990s following the paradigm of New Public Management (NPM). Indeed, by backing NPM-style reforms, the European Commission has fostered convergence between the administrative systems of the MSs based on a soft strategy of integration where, instead of establishing binding pan-European rules enforced directly in all the MSs, it has set a number of regulatory standards implemented in the MSs with the support of national legislators and political parties. This paper empirically addresses the above-mentioned process of soft integration by unveiling the domestic determinants that have led MSs’ political parties to call for NPM-style reforms in their national contexts between 1997 and 2011. The hypothesis tested in this study is that MSs’ political parties have called for NPM-style reforms in order to respond to specific challenges issuing from the macro-economic, institutional and political configuration of their domestic contexts. The contribution of this paper is twofold. On the one hand, it contributes to a better understanding of the process of European administrative integration by providing robust empirical evidence about the patterns of diffusion NPM-style reforms across the MSs of the EU. On the other hand, the empirical evidence provided by this paper for the comprehension of NPM-style reforms in the context of the EU also contributes to a better understanding of some traditional theories addressing the reasons of the worldwide striking international trend of the NPM paradigm.Nonparametric control charts: economic statistical design
http://hdl.handle.net/2268/194207
Titre: Nonparametric control charts: economic statistical design
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<br/>Auteur, co-auteur: Marcos Alvarez, Alejandro; Heuchenne, Cédric; Faraz, Alireza
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<br/>Résumé: This paper studies economic statistical designs (ESD) for nonparametric control charts based on the sign and Wilcoxon tests. The main advantage of the procedures is that, except for the tested location parameter, they do not use either any parametric distribution for the quality characteristic or any information about the possible involved parameters, neither in the in-control nor in the out-of-control state. This is made possible by minimizing a cost function specified independently of these quantities. Unlike the ESD for the $\overline{x}$ chart, the resulting charts designs are robust to changes of the distributions of the observations (in control or out of control), provide reliable statistical guarantees when the $\overline{x}$ chart ESD does not and stay competitive even when the strong assumptions of the $\overline{x}$ chart ESD are fully satisfied. These new techniques can therefore be applied to a definitely wider class of problems and their designs may stay constant over time without losing performance.Tightening linearizations of non-linear binary optimization problems
http://hdl.handle.net/2268/192705
Titre: Tightening linearizations of non-linear binary optimization problems
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<br/>Auteur, co-auteur: Rodriguez Heck, Elisabeth; Crama, Yves