Sharif Digital Repository

The purpose of this thesis is to develop an e-Business B2B system for a company. We review e-Business concepts, its requirements as well as the obstacles to implement it. Then, the various kinds of e-Business, their advantages and disadvantages are discussed. We study the outcome of e-Business system implemented in two Iranian companies. Then, we design an information system for one company. Indeed, this system presents the process of purchasing and sale representing the transactions between the company and its sale representatives. This information system is designed within Microsoft Access environment. This system can make this company capable of entering international markets by... 

The problem of developing optimal pricing and inventory allocation strategies has been extensively studied over the past two decades. However, most of the literature in this area assumes that customers are myopic price-takers, and do not respond to firm pricing strategically. In this study, we present review on a class of problems that consider a firm selling a finite number of items over a finite time horizon facing stochastic demand and a group of customers who act strategically by timing their purchases. We first review the optimal purchasing policy for the customers, and pricing policy for the firm that is the best response policy to the customer’s strategic behavior. Then we present a... 

Data envelopment Analysis is a non parametric technique which estimates the efficiency of a decision making unit in compare with others. In correspondent literature this unit’s Inputs and outputs are often assumed to be deterministic, but in recent years different approaches which viewing the data as non deterministic are presented. In this study we propose an algorithm for determining the stability region of a DMU while we assume other DMUs’ data are fixed. This algorithm is based on changing the reference set of the under investigation DMU. In fact applying these changes make the DMU move toward other DMUs’ efficient frontiers and by using this fact it is possible to determine the... 

Despite of existing advanced routines and concepts of Maintenance, which are imported along with Metro System hardware, and valuable experience of maintenance personnel, which has been gathered during years of operation, there are some undeniable shortages in current Maintenance Policy of Tehran Metro. These shortages can be classified in two major groups: first, lake of reasonability in performing maintenance tasks and second, general reluctancy about runnig scientific works. Treating those two deficiencies, can improve the performance of Tehran Metro Maintenance System dramatically. Above mentioned shortages can be seen in whole Maintenance System of Tehran Metro, for the reason of having... 

In this thesis, we apply robust optimization to analyze the uncertainty of model parameters of a portfolio optimization which contains stock options. We also develop two robust counterpart models for single period and multiperiod problems. By assuming that the probability distribution of parameters is not known, their uncertainty is considered to lie within known linear intervals. Due to the existence of nonlinear relations (piecewise linear) between uncertain data (stock and option price), we present an over-conservative robust model to make the solution feasible for all parameters. However in the second model by adopting a different approach we develop a robust counterpart model with... 

In this investigation, two pricing models are extended with continuous and periodic price settings through dynamic programming approach. In this problem, we intend to sell a perishable product in a finite horizon with no salvage value through an advance-sale system. The objective function in these models is maximizing expected value of firms’ revenue by setting optimal prices in pricing periods. Demand is assumed to be stochastic time and price-dependent and also customers might cancel their reservations by paying a penalty before delivery. Structural properties of the optimal policy are investigated for both models and the concavity and inventory monotonicity properties are proved for both.... 

In this study, four pricing models in a supply chain are developed. The first model includes a retailer. The second model also includes a retailer. However in this model we apply the learning technique to update the stochastic demand. In the third model, we consider a supply chain consisting of a retailer and a manufacturer. Finally, in the fourth model we consider a supply chain consisting of a retailer and a manufacturer and like the second model; we apply the learning technique to update the stochastic demand. In all models we assume that a single product is sold in a monopoly market. In this study we seek to simultaneously determine decisions about production, pricing and ordering to... 

In this study, the effect of oil price shocks on stock markets is examined for Iran and Norway as two oil-exporting countries. To do this, an unrestricted Vector Auto-regression model is applied based on monthly data from April 2001 to March 2011. The variables used in the model are Brent oil price shocks, interest rate, consumer price index and stock returns. To find the relationship between oil price shocks and stock markets and determine the effects of oil shocks on stock markets, impulse-response analysis and variance decomposition are employed. To compare the effects of positive and negative oil price shocks, a Chi-square test is used. The proposed model is applied on different types of... 

In this Thesis, a multi period portfolio optimization consisting stocks, gold and risk free asset is considered, in which periodical reinvestment and withdrawing is possible. Maximizing the net present value of investor’s cash flow is the objective. Due to the existence of uncertain parameters, two robust counterpart models are developed. In the first model, a conservative robust model is presented to generate feasible solution in all cases. In the second one, the conservative degree of investor is adjustable to control the risk of the model by investor appropriately. For evaluating the proposed models, the data of 5 well known stocks of Tehran market and gold prices are gathered. By using... 

In this thesis, three popular option pricing models, Black and Scholes Model, Heston Model and Bates Model are compared to each other in economic crises situation. We carry out a comparison between different option pricing models based on S&P500 Index options during 2008. First these data are classified regarding to moneyness and maturity time in nine categories and then the performance of the models, exerting two indexes, In Sample performance and Out Of Sample performance are compared in every category. To reach the prices via In Sample performance index, structural parameters of each model are estimated with the data of each day. Then, daily prices are computed by models and compared with... 

In facility location problem with uncertain data, some model parameters such as demand or transportation time are not known in advance and in many cases, no historical information exists to derive their probability distribution functions. In this situation, robust optimization is a prevalent approach. In this study, to apply robust optimization in our model, first we review its concepts and methods. Then, a mathematical model for a new facility location problem, as well as its robust counterpart is developed. Furthermore, we also develop a model for simultaneous decision making regarding facility location problem and sequencing. In this model, it is also assumed the process times are... 

Location-allocation problem is known as one of the classical problems in industrial engineering. The goals of these problems are finding optimal location of facilities and assigning these facilities to service demands from a given set of point. Location-allocation decisions are widespread through all organization in the world concerning private and public businesses. Therefore, in this study, a practical mathematical model is formulated and solved.In this paper we present a new approach for a budgeted constraint capacitated location-allocation problem integrated with cellular layout approach containing cell formation and group scheduling. Main decisions are composed of formation of... 

This dissertation develops a new approach in network revenue management problems, with concentration on hotel industry. Several methods and heuristics are suggested in the literature to obtain an appropriate solution for network problems, however their focus is mostly on the transportation carriers. These heuristics do not seem to have satisfying effectiveness for hotel industry cases, because of significant difference between these two industries including the network structures, demand distributions and competition markets. On the other hand, with the tremendous growth of the internet and online sale channels, customers’ purchase behavior is modifying drastically. However this behavioral... 

This thesis develops a novel metaheuristic algorithm –Root Search algorithm- which is inspired by behavior of tree roots. The Root Search (RS) algorithm is capable of approximating an upperbound for the gap between obtained solution by itself and the optimal solution. In order to evaluating proposed algorithm’s performance, firstly a continuous genetic algorithm is defined, secondly both algorithms are implemented on several unconstrained continuous optimization problems, and finally the results are compared. Additionally this thesis reviews natural-insured metaheuristic algorithms so that the unique aspects of the RS algorithm can be distinguished  

In this research, the determination of inventory management policy is investigated in two-level supply chains. Two scenarios are considered to analyze this problem. In the first one, all parameters are assumed to be deterministic while in the other one, the retailer’s demand is assumed to be uncertain. We extend the previous studies by considering the real world conditions; and introduce a model in which the costs of lost-sale and backorder are considered simultaneously. A genetic algorithm is developed to solve the proposed model. To evaluate the efficiency of the model, the results are compared over five different examples when only complete backorder is considered. In case of uncertain... 

In this study vendor-managed inventory policy in supply chains is investigated and a formulation is developed to optimize replenishments from vendor to retailer and also price for negotiator customers. As a result, we consider a two echelon supply chain containing a vendor and a retailer managed according to VMI policy. The goal is to find the optimal replenishment from vendor to retailer at the beginning of the month and by using dynamic programming approach to maximize the supply chain profit. Demand is nondeterministic and it is supposed Poisson distribution with unknown parameter. We will consider Gamma distribution for this parameter which its parameters are learning in dynamic... 

The Operating Room (OR) is one of the most expensive resources of any hospital. Surgical costs typically account for approximately 40% of the total hospital resource costs, while surgeries typically generate around 67% of hospital revenues. Therefore, it is important to control the surgery costs while maintaining a high quality of care. In this study, all the decisions related to the Operating Theatre are being hierarchically considered in strategic, tactical and operational levels. The Operating Theatre consists of operation rooms, a recovery unit, an intensive care unit (ICU), a critical care unit (CCU), and ward units. In this model there exist many uncertainties, which the robust... 

This thesis studies optimal pricing policy of a firm selling perishable products in a retail store facing stochastic arrival of customers whom may ask for a bargain. With the tremendous growth of the internet and online sale channels, the ability of customers to get detailed information about previous sales creates an expectation for reasonable price of product in customers' opinion called reference price which has great impacts on their willingness to pay. In this work, we address the problem of determining a pricing strategy considering reference price effects in addition to customers' negotiation ability. We use dynamic programming to model retailer's problem, which considering reference... 

Financial and monetary markets are appropriate areas of applying Chaos Theory. Firstly, current theories of financial and monetary economics state that economic and financial variables such as exchange rates and stock prices are stochastic, so forecasting them is almost impossible. Secondly, if we find the hidden ordered and deterministic trends, we can achieve considerable profits. In this piece of research, we evaluate different methods and tests of detecting chaos in financial time series, and choose the most applicable methods to test financial markets’ indices. The main three indices of Tehran Stock Exchange, including Price, Finance and Industry indices, are examined. A sample of the... 

In this research, we consider an assemble-to-order production system which accepts order for multi-products. Demand is stochastic and price-dependent. We also consider a sale index that links demand of each period to the previous periods demand. The variety of products which use common parts makes this revenue management system complicated. Furthermore, since the price of each product can have an effect on other products demand, it causes price dependency among them. We model the problem within the framework of dynamic programming approach to maximize discounted profit of the firm during a finite and multi-period horizon. We develop an integrated system of pricing and production decisions...