Sharif Digital Repository

today's financial markets such as stock market are more attractive and important position and wealth are considered income and therefore attracts many people have. But the other hand, activity in these markets requires a high risk of admission. The point that is important is that the risk of investing in these markets can be predicted to some extent with the trend of stocks and securities can be controlled. Time series trend of stock prices and non-static characters is excited. But analysis of such behavior is impossible, i.e., reliance on sophisticated tools and of course accept the possibility of an error can be predicted price to pay. Synthetic models of artificial intelligence today, due... 

In this thesis departure programming are studied in general state and takeoff programming studied in special state. Departure programming consists of several parts that decisions for each part may influence in the other parts. Because of unforeseen delays this problem is a dynamic problem. Holding area is a part that overtaking operations performance before takeoff. An initial sequence obtained from ground controller. A heuristic algorithm that used in this thesis is a hybrid of constraint satisfaction and dynamic programming for minimizing sum of the total delays. The performance of the heuristic algorithm is compared with tabu search algorithm. The result shows that the proposed algorithm... 

Simulation optimization has been one of the most important topics in recent years. It is especially useful when the objective function cannot be computed directly or some of the parameters are stochastic. Buffer allocation problem is one of the important problems related to production lines. In this problem the objective is to determine the buffers between workstations so that the throughput is maximized. Non-linear and combinatorial nature of the problem, stochastic factors like machine breakdown or processing times and most importantly lack of a distinct relation for the objective function are the reasons of using simulation ... 

Due date assignment for customer orders has been studied in various production environments. In this thesis a production system is considered in which the orders of several customers are produced in a single lot because of the economy of scale. If a lot is completed before receiving customer orders, inventory carrying cost is incurred. On shortages, a due date is quoted to customers and lead time quotation cost is incurred. The due date may not be met because of (lead-time) uncertainty in production system. Hence if the order is delivered after its due date, tardiness cost is charged. The literature reviews show that such a model is not considered by other researchers. Two different problems... 

Portfolio optimization is an most important field of study, affecting companies’ non-operating income, so companies try to achieve this beneficiary by incorporating it in market transactions. In this thesis, we propose some methods extending the Markowitz theory. We used the lagrangian method and other appropriate operations research techniques such as convex optimization in order to handle optimization process. Using these methods, we established portfolio optimization model for different corporation, i.e., banking industries and others, with different interest rate exposure for short and long conditions of risk free assets. We describe three risk criteria as possible alternatives to... 

In Computer-Aided Process Planning, there are two ways of manufacturing called Variant Manufacturing and Generative Manufacturing. Variant Manufacturing is based on a data base from a part family for a project. The part family is made in a series of root sheets regarding the final form of the intended part. The data base is updated after the manufacturing of each part. In order to make the system intelligent, one can use the OPITZ coding system that specifies the geometrical form, geometrical details and part manufacturing operations in a 13-digit number. The aim of this research is to choose the best machining parameters according to time and cost, that, based on the basic principles of... 

Supply chain problems consist of a large number of issues. One of the key problem in this area is supplier selection in supply chain. Several criteria must be considered in the supplier selection. So, multi criteria decision making approach, neural network, mathematical programming and etc. are used for solving this problems. In most of these problems, supplier selection is done according to the buyer’s objectives.
So far, several methods are provided for supplier selection problem. In majority of them, supplier selection problem is surveyed from buyer’s viewpoint and in those have only been considered the buyer’s benefit maximization that will not necessarily lead to optimal condition... 

Due to the significance of exchange rates in economic policy making, different patterns have been proposed so as to explain the behavior, provide ways to model and deliver tools to forecast different exchange rates. Using a novel approach, this thesis tries to investigate the behavior of exchange rates by identifying time series nature of exchange rates, and performing nonlinear test for daily data between years 2003 to2006. In this study, we try to model and forecast the daily exchange rates by the use of Artificial Neural Networks (ANN). We also compare the results with ARIMA model outputs based on measures for forecasting accuracy. 80 percent of the daily data, that is, 1160 days from... 

In this research a monopolist is considered which its object is maximization of profit during a predetermined period. Optimal control theory is used as a tool for determining of optimal trend for control variables. Price, warranty length and production rate are considered as control variables and cumulative demand and production are considered as state variables. Learning effect in production side and demand side are entered in the model too. In the demand side, learning effect shows its influences with movement of market from diffusion phase to saturation phase. In diffusion phase the demanded quantity of productions increases by increase of cumulative demand, on the contrary in the... 

This study frames optimal policies for determining price , warranty length and Advertisement rate when free replacement of defective items is the business policy and the demand is dependent on price, warranty, advertisement and cumulative sales for high-tech products which have functional aspects. We apply optimal control theory to a profit-maximization model that takes into consideration the expected warranty cost per item. The maximization of market values is based upon a pre-determined life cycle and spans across both expansion and saturation phases of the market. We further investigate the optimal policies for an exponential lifetime distribution, when the demand function is set by... 

Blood is a perishable product and can only be stored for a limited time. Reducing the level of wastage and shortage in supply chain of blood products is the main challenge of supply chain management. Wastage occurs whenever hospitals and blood banks order excessive blood while ordering insufficient amount results in shortage. Wastage can increase the costs in supply chain while shortage can cause important operation to be cancelled.This thesis presents an integer programming model for improving blood related operations in hospitals and blood banks. The presented model determines optimal order levels for each period which minimize total cost, shortage and wastage levels. The model is... 

One of the most important issues in every country is electric power planning in all aspects like production and distribution. Electric power distribution planning is a way to control and optimize the usage of energy. According to shortage of resources and high value of them, it is important to have a plan in the amount of energy sending from supplier to consumer. Based on the nature of the problem that decision makers face different criteria from internal and external environment, using multi-criteria decision making methods is an appropriate way. By finding parameters, constraints and capacity of the system, we can choose the best method.On the other hand, in real world most of the... 

Decision Tree is used to analyze situations with sequential decisions. Applying Decision tree method in such situations leads to identifying the best sequence of decisions. On the other hand, System Dynamics is a powerful method to gain useful insight into situations of complexity, interconnections, feedback loops nonlinearities and time delays. System Dynamics is able to model complexities and interconnections of situations and provide precise understanding about it. Therefore, combination of these two methods could be very effective in analysis of problems that firstly, comprise of sequential decisions with multiple uncertainty and secondly, illustrate complex behavior. Supply chain is one... 

Scheduling has been an active area of research for decades. A substantial amount of work has been done to define, classify, and solve scheduling problems. Most of these problems are computationally difficult to solve, and incorporating other decisions into them increases the complexity of these problems. This thesis focuses on order acceptance and scheduling (OAS) problems, and proposes time-indexed mixed integer and linear programming (MILP) models for the first time. An OAS problem can be defined with parameters of processing time, release date, due date, and deadline for each order. There are also a maximum revenue that will be brought by each order and an importance weight of each order.... 

Market share of some private insurance companies in Iran has demonstrated upward and then downward trends over the years . Due to the similarity of conditions among all companies, the internal structure of companies is the main reason for the creation such trends. The operation of insurance companies has a lot of feedback mechanisms and delay relationships. In this research for purpose of modeling a holistic and comprehensive view and understanding the structure of private insurance companies in Iran, feedbacks and delay relations System dynamics approach is used. The developed model structure consists of five interconnected modules, each representing a relatively detached sphere of... 

Most of the researches on project planning and scheduling have supposed that there is a complete and fixed information about the activities duration and amount of resources needed for project, but in reality we face lots of uncertainty in activities duration and required resources. In previous researches there are some cases which lead to more than one schedule for project, but in most of them they offer no solution for choosing between the schedules. In this project we are trying to make a nonlinear model of project environment by using Weibull distribution as activities duration and then we determine the input information by using the methods of probability encoding in decision analysis.... 

In this thesis we investigated a two level seller-buyer supply chain by game theoretical approach. We formulated interaction between seller and buyer as stackelberg game. In seller-stackelberg game , seller role as leader and buyer as follower. likewise in buyer-stackelberg buyer is leader and seller is follower. In our model the demand is an equation in which the dependent variable is a linear function of three independent variables and a disturbance term. The three independent value in demand function are marketing cost , wholesale price , retailing price. The disturbance term in demand function has normal distribution by constant variance and zero expected value. Sale amount considered as... 

Crude oil is a key element in world economy and the most widely traded form of energy. Therefore, a clear and effective understanding of crude oil price behavior is of great importance for businesses, governments and policy makers. Taking into account the exhaustible nature of crude oil and impact of monetary policy along with other major drivers of crude oil prices, this paper investigates predictability of oil prices using artificial neural networks. A Multilayer Perceptron (MLP) neural network is developed and trained with historical data from 1980 to 2014 and using mean square error (MSE) for testing data, optimal number of hidden layer neurons is determined. Meanwhile, an economic model... 

Optimal investment strategies are often derived in continuous time models, but have to be implemented in discrete time. It has been shown that in models with stochastic volatility or jumps; this could lead to significant utility loss, for an investor who utilizes ‘Derivatives’ in his/her portfolio. In this study, we determine the optimal investment strategies with discrete trading explicitly taken into account, through ‘Stochastic Dynamic Programming’. These strategies are in the form of optimal factor exposures for portfolio. The investor, then, needs to use sufficient non-redundant Derivatives in addition to the ‘Stock’ to gain the desired exposures in each point of state space he meet.... 

In recent years, environmental issues has been gaining a great deal of attention in the field of Supply Chain and Supplier Selection. In this research, we first review the current literature and then we try to find the research gap in this area. According to the studies done in this area, no research on supplier selection and optimal order allocation to the suppliers have simultaneously investigated environmental issues, the possibility of storage, green routing of vehicles, purchasing discount, multi-product, and multi-period state in a green supply chain. Therefore, in this study, a multi-objective mathematical model is proposed for supplier selection and optimal order allocation in a...