Wayne L. Winston

Bio: Wayne L. Winston is an academic researcher. The author has contributed to research in topics: Markov decision process & Nonlinear programming. The author has an hindex of 2, co-authored 2 publications receiving 2200 citations.

Operations Research: Applications and Algorithms

Abstract: 1. INTRODUCTION TO MODEL BUILDING. An Introduction to Modeling. The Seven-Step Model-Building Process. Examples. 2. BASIC LINEAR ALGEBRA. Matrices and Vectors. Matrices and Systems of Linear Equations. The Gauss-Jordan Method for Solving Systems of Linear Equations. Linear Independence and Linear Dependence. The Inverse of a Matrix. Determinants. 3. INTRODUCTION TO LINEAR PROGRAMMING. What is a Linear Programming Problem? The Graphical Solution of Two-Variable Linear Programming Problems. Special Cases. A Diet Problem. A Work-Scheduling Problem. A Capital Budgeting Problem. Short-term Financial Planning. Blending Problems. Production Process Models. Using Linear Programming to Solve Multiperiod Decision Problems: An Inventory Model. Multiperiod Financial Models. Multiperiod Work Scheduling. 4. THE SIMPLEX ALGORITHM AND GOAL PROGRAMMING. How to Convert an LP to Standard Form. Preview of the Simplex Algorithm. The Simplex Algorithm. Using the Simplex Algorithm to Solve Minimization Problems. Alternative Optimal Solutions. Unbounded LPs. The LINDO Computer Package. Matrix Generators, LINGO, and Scaling of LPs. Degeneracy and the Convergence of the Simplex Algorithm. The Big M Method. The Two-Phase Simplex Method. Unrestricted-in-Sign Variables. Karmarkar"s Method for Solving LPs. Multiattribute Decision-Making in the Absence of Uncertainty: Goal Programming. Solving LPs with Spreadsheets. 5. SENSITIVITY ANALYSIS: AN APPLIED APPROACH. A Graphical Introduction to Sensitivity Analysis. The Computer and Sensitivity Analysis. Managerial Use of Shadow Prices. What Happens to the Optimal z-value if the Current Basis is No Longer Optimal? 6. SENSITIVITY ANALYSIS AND DUALITY. A Graphical Introduction to Sensitivity Analysis. Some Important Formulas. Sensitivity Analysis. Sensitivity Analysis When More Than One Parameter is Changed: The 100% Rule. Finding the Dual of an LP. Economic Interpretation of the Dual Problem. The Dual Theorem and Its Consequences. Shadow Prices. Duality and Sensitivity Analysis. 7. TRANSPORTATION, ASSIGNMENT, AND TRANSSHIPMENT PROBLEMS. Formulating Transportation Problems. Finding Basic Feasible Solutions for Transportation Problems. The Transportation Simplex Method. Sensitivity Analysis for Transportation Problems. Assignment Problems. Transshipment Problems. 8. NETWORK MODELS. Basic Definitions. Shortest Path Problems. Maximum Flow Problems. CPM and PERT. Minimum Cost Network Flow Problems. Minimum Spanning Tree Problems. The Network Simplex Method. 9. INTEGER PROGRAMMING. Introduction to Integer Programming. Formulation Integer Programming Problems. The Branch-and-Bound Method for Solving Pure Integer Programming Problems. The Branch-and-Bound Method for Solving Mixed Integer Programming Problems. Solving Knapsack Problems by the Branch-and-Bound Method. Solving Combinatorial Optimization Problems by the Branch-and-Bound Method. Implicit Enumeration. The Cutting Plane Algorithm. 10. ADVANCED TOPICS IN LINEAR PROGRAMMING. The Revised Simplex Algorithm. The Product Form of the Inverse. Using Column Generation to Solve Large-Scale LPs. The Dantzig-Wolfe Decomposition Algorithm. The Simplex Methods for Upper-Bounded Variables. Karmarkar"s Method for Solving LPs. 11. NONLINEAR PROGRAMMING. Review of Differential Calculus. Introductory Concepts. Convex and Concave Functions. Solving NLPs with One Variable. Golden Section Search. Unconstrained Maximization and Minimization with Several Variables. The Method of Steepest Ascent. Lagrange Multiples. The Kuhn-Tucker Conditions. Quadratic Programming. Separable Programming. The Method of Feasible Directions. Pareto Optimality and Tradeoff Curves. 12. REVIEW OF CALCULUS AND PROBABILITY. Review of Integral Calculus. Differentiation of Integrals. Basic Rules of Probability. Bayes" Rule. Random Variables. Mean Variance and Covariance. The Normal Distribution. Z-Transforms. Review Problems. 13. DECISION MAKING UNDER UNCERTAINTY. Decision Criteria. Utility Theory. Flaws in Expected Utility Maximization: Prospect Theory and Framing Effects. Decision Trees. Bayes" Rule and Decision Trees. Decision Making with Multiple Objectives. The Analytic Hierarchy Process. Review Problems. 14. GAME THEORY. Two-Person Zero-Sum and Constant-Sum Games: Saddle Points. Two-Person Zero-Sum Games: Randomized Strategies, Domination, and Graphical Solution. Linear Programming and Zero-Sum Games. Two-Person Nonconstant-Sum Games. Introduction to n-Person Game Theory. The Core of an n-Person Game. The Shapley Value. 15. DETERMINISTIC EOQ INVENTORY MODELS. Introduction to Basic Inventory Models. The Basic Economic Order Quantity Model. Computing the Optimal Order Quantity When Quantity Discounts Are Allowed. The Continuous Rate EOQ Model. The EOQ Model with Back Orders Allowed. Multiple Product Economic Order Quantity Models. Review Problems. 16. PROBABILISTIC INVENTORY MODELS. Single Period Decision Models. The Concept of Marginal Analysis. The News Vendor Problem: Discrete Demand. The News Vendor Problem: Continuous Demand. Other One-Period Models. The EOQ with Uncertain Demand: the (r, q) and (s,S models). The EOQ with Uncertain Demand: the Service Level Approach to Determining Safety Stock Level. Periodic Review Policy. The ABC Inventory Classification System. Exchange Curves. Review Problems. 17. MARKOV CHAINS. What is a Stochastic Process. What is a Markov Chain? N-Step Transition Probabilities. Classification of States in a Markov Chain. Steady-State Probabilities and Mean First Passage Times. Absorbing Chains. Work-Force Planning Models. 18.DETERMINISTIC DYNAMIC PROGRAMMING. Two Puzzles. A Network Problem. An Inventory Problem. Resource Allocation Problems. Equipment Replacement Problems. Formulating Dynamic Programming Recursions. The Wagner-Whitin Algorithm and the Silver-Meal Heuristic. Forward Recursions. Using Spreadsheets to Solve Dynamic Programming Problems. Review Problems. 19. PROBABILISTIC DYNAMIC PROGRAMMING. When Current Stage Costs are Uncertain but the Next Period"s State is Certain. A Probabilistic Inventory Model. How to Maximize the Probability of a Favorable Event Occurring. Further Examples of Probabilistic Dynamic Programming Formulations. Markov Decision Processes. Review Problems. 20. QUEUING THEORY. Some Queuing Terminology. Modeling Arrival and Service Processes. Birth-Death Processes. M/M/1/GD/o/o Queuing System and the Queuing Formula L=o W, The M/M/1/GD/o Queuing System. The M/M/S/ GD/o/o Queuing System. The M/G/ o/GD/oo and GI/G/o/GD/o/oModels. The M/ G/1/GD/o/o Queuing System. Finite Source Models: The Machine Repair Model. Exponential Queues in Series and Opening Queuing Networks. How to Tell whether Inter-arrival Times and Service Times Are Exponential. The M/G/S/GD/S/o System (Blocked Customers Cleared). Closed Queuing Networks. An Approximation for the G/G/M Queuing System. Priority Queuing Models. Transient Behavior of Queuing Systems. Review Problems. 21.SIMULATION. Basic Terminology. An Example of a Discrete Event Simulation. Random Numbers and Monte Carlo Simulation. An Example of Monte Carlo Simulation. Simulations with Continuous Random Variables. An Example of a Stochastic Simulation. Statistical Analysis in Simulations. Simulation Languages. The Simulation Process. 22.SIMULATION WITH PROCESS MODEL. Simulating an M/M/1 Queuing System. Simulating an M/M/2 System. A Series System. Simulating Open Queuing Networks. Simulating Erlang Service Times. What Else Can Process Models Do? 23. SPREADSHEET SIMULATION WITH @RISK. Introduction to @RISK: The Newsperson Problem. Modeling Cash Flows From A New Product. Bidding Models. Reliability and Warranty Modeling. Risk General Function. Risk Cumulative Function. Risktrigen Function. Creating a Distribution Based on a Point Forecast. Forecasting Income of a Major Corporation. Using Data to Obtain Inputs For New Product Simulations. Playing Craps with @RISK. Project Management. Simulating the NBA Finals. 24. FORECASTING. Moving Average Forecasting Methods. Simple Exponential Smoothing. Holt"s Method: Exponential Smoothing with Trend. Winter"s Method: Exponential Smoothing with Seasonality. Ad Hoc Forecasting, Simple Linear Regression. Fitting Non-Linear Relationships. Multiple Regression. Answers to Selected Problems. Index.

Operations research : applications and algorithms

Abstract: 1. INTRODUCTION TO MODEL BUILDING. An Introduction to Modeling. The Seven-Step Model-Building Process. Examples. 2. BASIC LINEAR ALGEBRA. Matrices and Vectors. Matrices and Systems of Linear Equations. The Gauss-Jordan Method for Solving Systems of Linear Equations. Linear Independence and Linear Dependence. The Inverse of a Matrix. Determinants. 3. INTRODUCTION TO LINEAR PROGRAMMING. What is a Linear Programming Problem? The Graphical Solution of Two-Variable Linear Programming Problems. Special Cases. A Diet Problem. A Work-Scheduling Problem. A Capital Budgeting Problem. Short-term Financial Planning. Blending Problems. Production Process Models. Using Linear Programming to Solve Multiperiod Decision Problems: An Inventory Model. Multiperiod Financial Models. Multiperiod Work Scheduling. 4. THE SIMPLEX ALGORITHM AND GOAL PROGRAMMING. How to Convert an LP to Standard Form. Preview of the Simplex Algorithm. The Simplex Algorithm. Using the Simplex Algorithm to Solve Minimization Problems. Alternative Optimal Solutions. Unbounded LPs. The LINDO Computer Package. Matrix Generators, LINGO, and Scaling of LPs. Degeneracy and the Convergence of the Simplex Algorithm. The Big M Method. The Two-Phase Simplex Method. Unrestricted-in-Sign Variables. Karmarkar"s Method for Solving LPs. Multiattribute Decision-Making in the Absence of Uncertainty: Goal Programming. Solving LPs with Spreadsheets. 5. SENSITIVITY ANALYSIS: AN APPLIED APPROACH. A Graphical Introduction to Sensitivity Analysis. The Computer and Sensitivity Analysis. Managerial Use of Shadow Prices. What Happens to the Optimal z-value if the Current Basis is No Longer Optimal? 6. SENSITIVITY ANALYSIS AND DUALITY. A Graphical Introduction to Sensitivity Analysis. Some Important Formulas. Sensitivity Analysis. Sensitivity Analysis When More Than One Parameter is Changed: The 100% Rule. Finding the Dual of an LP. Economic Interpretation of the Dual Problem. The Dual Theorem and Its Consequences. Shadow Prices. Duality and Sensitivity Analysis. 7. TRANSPORTATION, ASSIGNMENT, AND TRANSSHIPMENT PROBLEMS. Formulating Transportation Problems. Finding Basic Feasible Solutions for Transportation Problems. The Transportation Simplex Method. Sensitivity Analysis for Transportation Problems. Assignment Problems. Transshipment Problems. 8. NETWORK MODELS. Basic Definitions. Shortest Path Problems. Maximum Flow Problems. CPM and PERT. Minimum Cost Network Flow Problems. Minimum Spanning Tree Problems. The Network Simplex Method. 9. INTEGER PROGRAMMING. Introduction to Integer Programming. Formulation Integer Programming Problems. The Branch-and-Bound Method for Solving Pure Integer Programming Problems. The Branch-and-Bound Method for Solving Mixed Integer Programming Problems. Solving Knapsack Problems by the Branch-and-Bound Method. Solving Combinatorial Optimization Problems by the Branch-and-Bound Method. Implicit Enumeration. The Cutting Plane Algorithm. 10. ADVANCED TOPICS IN LINEAR PROGRAMMING. The Revised Simplex Algorithm. The Product Form of the Inverse. Using Column Generation to Solve Large-Scale LPs. The Dantzig-Wolfe Decomposition Algorithm. The Simplex Methods for Upper-Bounded Variables. Karmarkar"s Method for Solving LPs. 11. NONLINEAR PROGRAMMING. Review of Differential Calculus. Introductory Concepts. Convex and Concave Functions. Solving NLPs with One Variable. Golden Section Search. Unconstrained Maximization and Minimization with Several Variables. The Method of Steepest Ascent. Lagrange Multiples. The Kuhn-Tucker Conditions. Quadratic Programming. Separable Programming. The Method of Feasible Directions. Pareto Optimality and Tradeoff Curves. 12. REVIEW OF CALCULUS AND PROBABILITY. Review of Integral Calculus. Differentiation of Integrals. Basic Rules of Probability. Bayes" Rule. Random Variables. Mean Variance and Covariance. The Normal Distribution. Z-Transforms. Review Problems. 13. DECISION MAKING UNDER UNCERTAINTY. Decision Criteria. Utility Theory. Flaws in Expected Utility Maximization: Prospect Theory and Framing Effects. Decision Trees. Bayes" Rule and Decision Trees. Decision Making with Multiple Objectives. The Analytic Hierarchy Process. Review Problems. 14. GAME THEORY. Two-Person Zero-Sum and Constant-Sum Games: Saddle Points. Two-Person Zero-Sum Games: Randomized Strategies, Domination, and Graphical Solution. Linear Programming and Zero-Sum Games. Two-Person Nonconstant-Sum Games. Introduction to n-Person Game Theory. The Core of an n-Person Game. The Shapley Value. 15. DETERMINISTIC EOQ INVENTORY MODELS. Introduction to Basic Inventory Models. The Basic Economic Order Quantity Model. Computing the Optimal Order Quantity When Quantity Discounts Are Allowed. The Continuous Rate EOQ Model. The EOQ Model with Back Orders Allowed. Multiple Product Economic Order Quantity Models. Review Problems. 16. PROBABILISTIC INVENTORY MODELS. Single Period Decision Models. The Concept of Marginal Analysis. The News Vendor Problem: Discrete Demand. The News Vendor Problem: Continuous Demand. Other One-Period Models. The EOQ with Uncertain Demand: the (r, q) and (s,S models). The EOQ with Uncertain Demand: the Service Level Approach to Determining Safety Stock Level. Periodic Review Policy. The ABC Inventory Classification System. Exchange Curves. Review Problems. 17. MARKOV CHAINS. What is a Stochastic Process. What is a Markov Chain? N-Step Transition Probabilities. Classification of States in a Markov Chain. Steady-State Probabilities and Mean First Passage Times. Absorbing Chains. Work-Force Planning Models. 18.DETERMINISTIC DYNAMIC PROGRAMMING. Two Puzzles. A Network Problem. An Inventory Problem. Resource Allocation Problems. Equipment Replacement Problems. Formulating Dynamic Programming Recursions. The Wagner-Whitin Algorithm and the Silver-Meal Heuristic. Forward Recursions. Using Spreadsheets to Solve Dynamic Programming Problems. Review Problems. 19. PROBABILISTIC DYNAMIC PROGRAMMING. When Current Stage Costs are Uncertain but the Next Period"s State is Certain. A Probabilistic Inventory Model. How to Maximize the Probability of a Favorable Event Occurring. Further Examples of Probabilistic Dynamic Programming Formulations. Markov Decision Processes. Review Problems. 20. QUEUING THEORY. Some Queuing Terminology. Modeling Arrival and Service Processes. Birth-Death Processes. M/M/1/GD/o/o Queuing System and the Queuing Formula L=o W, The M/M/1/GD/o Queuing System. The M/M/S/ GD/o/o Queuing System. The M/G/ o/GD/oo and GI/G/o/GD/o/oModels. The M/ G/1/GD/o/o Queuing System. Finite Source Models: The Machine Repair Model. Exponential Queues in Series and Opening Queuing Networks. How to Tell whether Inter-arrival Times and Service Times Are Exponential. The M/G/S/GD/S/o System (Blocked Customers Cleared). Closed Queuing Networks. An Approximation for the G/G/M Queuing System. Priority Queuing Models. Transient Behavior of Queuing Systems. Review Problems. 21.SIMULATION. Basic Terminology. An Example of a Discrete Event Simulation. Random Numbers and Monte Carlo Simulation. An Example of Monte Carlo Simulation. Simulations with Continuous Random Variables. An Example of a Stochastic Simulation. Statistical Analysis in Simulations. Simulation Languages. The Simulation Process. 22.SIMULATION WITH PROCESS MODEL. Simulating an M/M/1 Queuing System. Simulating an M/M/2 System. A Series System. Simulating Open Queuing Networks. Simulating Erlang Service Times. What Else Can Process Models Do? 23. SPREADSHEET SIMULATION WITH @RISK. Introduction to @RISK: The Newsperson Problem. Modeling Cash Flows From A New Product. Bidding Models. Reliability and Warranty Modeling. Risk General Function. Risk Cumulative Function. Risktrigen Function. Creating a Distribution Based on a Point Forecast. Forecasting Income of a Major Corporation. Using Data to Obtain Inputs For New Product Simulations. Playing Craps with @RISK. Project Management. Simulating the NBA Finals. 24. FORECASTING. Moving Average Forecasting Methods. Simple Exponential Smoothing. Holt"s Method: Exponential Smoothing with Trend. Winter"s Method: Exponential Smoothing with Seasonality. Ad Hoc Forecasting, Simple Linear Regression. Fitting Non-Linear Relationships. Multiple Regression. Answers to Selected Problems. Index.

Multiclass Discriminant Analysis using Ensemble Technique: Case Illustration from the Banking Industry

Abstract: Linear discriminant analysis (LDA) has found extensive application in predicting bankruptcy. In this article, we elucidate a novel modelling approach for LDA that can also aid in gaining useful insights regarding the relative importance and ranking of factors in the banking industry. The model steers away from the traditional computation of the variance/covariance matrix and employs an ensemble technique to assign records to classes. The efficacy of our model is tested using two datasets. Specifically, a large dataset from the banking industry was partitioned into the testing and training datasets, and an accuracy of 87.9% was achieved JEL Codes: C38, G33

Simulation: The Practice of Model Development and Use

Abstract: Simulation modelling involves the development of models that imitate realworld operations, and statistical analysis of their performance with a view to improving efficiency and effectiveness This nontechnical textbook is focused towards the needs of business, engineering and computer science students

On the evidential reasoning algorithm for multiple attribute decision analysis under uncertainty

Abstract: In multiple attribute decision analysis (MADA), one often needs to deal with both numerical data and qualitative information with uncertainty. It is essential to properly represent and use uncertain information to conduct rational decision analysis. Based on a multilevel evaluation framework, an evidential reasoning (ER) approach has been developed for supporting such decision analysis, the kernel of which is an ER algorithm developed on the basis of the framework and the evidence combination rule of the Dempster-Shafer (D-S) theory. The approach has been applied to engineering design selection, organizational self-assessment, safety and risk assessment, and supplier assessment. In this paper, the fundamental features of the ER approach are investigated. New schemes for weight normalization and basic probability assignments are proposed. The original ER approach is further developed to enhance the process of aggregating attributes with uncertainty. Utility intervals are proposed to describe the impact of ignorance on decision analysis. Several properties of the new ER approach are explored, which lay the theoretical foundation of the ER approach. A numerical example of a motorcycle evaluation problem is examined using the ER approach. Computation steps and analysis results are provided in order to demonstrate its implementation process.