nep-cmp New Economics Papers
on Computational Economics
Issue of 2013‒12‒29
sixteen papers chosen by
Stan Miles
Thompson Rivers University

  1. A Neural Network Demand System. By Julien Boelaert
  2. Market Area Analysis of Ports in Japan By Hidekazu Itoh
  3. Solving nonlinear stochastic optimal control problems using evolutionary heuristic optimization By Ivan Savin; Dmitri Blueschke
  4. The k-dissimilar vehicle routing problem By TALARICO, Luca; SÖRENSEN, Kenneth; SPRINGAEL, Johan
  5. Exact algorithms for single-machine scheduling with time windows and precedence constraints. By Davari, Morteza; Demeulemeester, Erik; Leus, Roel; Talla Nobibon, Fabrice
  6. A branch-and-bound algorithm for shift scheduling with nonstationary demand. By Defraeye, Mieke; Van Nieuwenhuyse, Inneke
  7. MyGTAP: A Program for Customizing and Extending the GTAP Database for Multiple Households, Split Factors, Remittances, Foreign Aid and Transfers By Minor, Peter; Terrie Walmsley
  8. MyGTAP Model: A Model for Employing Data from the MyGTAP Data Application-Multiple Households, Split Factors, Remittances, Foreign Aid and Transfers By Walmsley, Terrie; Peter Minor
  9. The added value from a general equilibrium analyses of increased efficiency in household energy use By Patrizio, Lecca; Peter G., McGregor; J. Kim, Swales; Karen, Turner
  10. Assessing gains from parallel computation on supercomputers By Lilia Maliar
  11. Modelling emergence of money from the barter trade: multiscaling edge effects By Stanis{\l}aw Dro\.zd\.z; Robert G\k{e}barowski; Andrzej Z. G\'orski; Jaros{\l}aw Kwapie\'n; Pawe\l{} O\'swi\k{e}cimka
  12. How Much Should an Investor Trust the Startup Entrepreneur? - A Network Model By Anna Klabunde
  13. Estimation of rates of return on social protection: Making the case for non-contributory social transfers in Cambodia By Mideros Mora, Andres; Gassmann, Franziska; Mohnen, Pierre
  14. Reforming Family Taxation in Germany: Labor Supply vs. Insurance Effects By Hans Fehr; Manuel Kallweit; Fabian Kindermann
  15. Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results By Alexander Lipton; Andrey Gal; Andris Lasis
  16. Tail-effect and the Role of Greenhouse Gas Emissions Control By In Chang Hwang; Richard S.J. Tol; Marjan W. Hofkes

  1. By: Julien Boelaert (Centre d'Economie de la Sorbonne)
    Abstract: We introduce a new type of demand system using a feedforward artificial neural network. The neural network demand system is a flexible system that requires few hypotheses, has no roots in consumer theory but may be used to test it. We use the system to estimate demand elasticities on micro data of household consumption in Canada between 2004 and 2008, and compare the results to those of the quadratic almost ideal demand system.
    Keywords: Estimating demand systems, neural networks, flexible forms, Quadratic Almost Ideal Demand System (QUAIDS).
    JEL: C45 D12
    Date: 2013–12
    URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:13081&r=cmp
  2. By: Hidekazu Itoh (Kwansei Gakuin University - Kwansei gakuin University)
    Abstract: This study reviews port cargo flow structure on hinterland/foreland (i.e. shippers' port use propensity) in Japan to examine port policy. Port service areas are analysed by conducting fuzzy clustering for 47 prefectures in Japan. Container cargo flow survey data from 1988 to 2008 at five-year intervals are used. Clusters of shippers' use of ports are discussed; that is, shippers' groups are determined using export/import handling cargo data on the basis of weight, cross section, and time series. The share changes of major Japanese ports for handling international container cargo indicated that only the Kobe port experienced significant volume reduction. However, port market areas have greatly changed in the last 20 years. Major ports lost shares of neighbouring market areas and gained small shares of remote areas (i.e. from regional ports). In contrast, regional ports groups expanded their market area beyond their regional areas. These structural changes to port market area differ between export and import cargo. For example, the Kyushu ports group lost significant market area in the Kyushu region on import cargo, but expanded them on export cargo in some prefectures in the Kyushu region.
    Keywords: port market area, port use propensity, hinterland/foreland, fuzzy clustering, Japan
    Date: 2013–07–04
    URL: http://d.repec.org/n?u=RePEc:hal:journl:hal-00918672&r=cmp
  3. By: Ivan Savin (Faculty of Economics and Business Administration, Friedrich Schiller University Jena, and Chair for Econometrics and Statistics, Graduate School of Economics and Management, Ural Federal University); Dmitri Blueschke (University of Klagenfurt)
    Abstract: Policy makers constantly face optimal control problems: what controls allow to achieve certain targets in, e.g., GDP growth or inflation? Conventionally this is done by applying certain linear-quadratic optimization algorithms to dynamic econometric models. Several algorithms extend this baseline framework to nonlinear stochastic problems. However, those algorithms are limited in a variety of ways including, most importantly, restriction to local best solutions only and the symmetry of objective function. In Blueschke et al. (2013a) a new flexible optimization method based on Differential Evolution is suggested. It allows to lift these limitations and achieve better approximations of the policy targets, but is designed to deterministic problems only. This study extends the methodology by dealing with stochastic problems in two different ways: applying extreme event analysis and by minimizing the median objective value. Thus, this research is aimed to broaden the range of decision support information used by policy makers in choosing optimal strategy under much more realistic conditions.
    Keywords: Differential evolution, stochasticoptimization, optimal control
    JEL: C54 C61 E27 E61 E63
    Date: 2013–12–20
    URL: http://d.repec.org/n?u=RePEc:jrp:jrpwrp:2013-051&r=cmp
  4. By: TALARICO, Luca; SÖRENSEN, Kenneth; SPRINGAEL, Johan
    Abstract: In this paper we defi?ne a new problem, the aim of which is to fi?nd a set of k dissimilar alternative solutions for a vehicle routing problem (VRP) on a single instance. ?This problem has several practical applications in the cash-in-transit sector and in the transportation of hazardous materials. A min-max mathematical formulation is developed that minimizes the objective function value of the worst solution. A distance measure is de?fined based on the edges shared between pairs of alternative solutions. An iterative heuristic algorithm to generate k dissimilar alternative solutions is also presented. ?The solution approach is tested using large and medium size benchmark instances for the capacitated vehicle routing problem.
    Keywords: Vehicle Routing Problem (VRP), Metaheuristic, Security, Similarity
    Date: 2013–12
    URL: http://d.repec.org/n?u=RePEc:ant:wpaper:2013029&r=cmp
  5. By: Davari, Morteza; Demeulemeester, Erik; Leus, Roel; Talla Nobibon, Fabrice
    Abstract: We study a single-machine scheduling problem that is a generalization of a number of problems for which computational procedures have already been published. Each job has a processing time, a release date, a due date, a deadline and a weight representing the penalty per unit-time delay beyond the due date. The goal is to schedule all jobs such that the total weighted tardiness penalty is minimized and both the precedence constraints as well as the time windows (implied by the release dates and the deadlines) are respected. We develop a branch-and-bound algorithm that solves the problem to optimality. Computational results show that our approach is eective in solving medium-sized instances, and that it compares favorably with existing methods for special cases of the problem.
    Keywords: Single-machine scheduling; Branch and bound; Mixed-integer programming;
    Date: 2013–12
    URL: http://d.repec.org/n?u=RePEc:ner:leuven:urn:hdl:123456789/427727&r=cmp
  6. By: Defraeye, Mieke; Van Nieuwenhuyse, Inneke
    Abstract: Many shift scheduling algorithms presume that the staffing levels, required to ensure a target customer service, are known in advance. Determining these staffing requirements is often not straightforward, particularly in systems where the arrival rate fluctuates over the day. We present a branch-and-bound approach to estimate optimal shift schedules in systems with nonstationary demand and (stochastic) service level constraints. The algorithm is intended for personnel planning in small-scale service systems with limited opening hours (such as smallscale call centers, banks, and retail stores). Our computational experiments show that the algorithm efficiently explores the solution space and quickly finds an optimum (even if an inferior starting solution is used).
    Keywords: Time-varying arrival process; Staffing and scheduling; Personnel planning; Capacity analysis; Optimization;
    Date: 2013–12
    URL: http://d.repec.org/n?u=RePEc:ner:leuven:urn:hdl:123456789/429574&r=cmp
  7. By: Minor, Peter; Terrie Walmsley
    Abstract: The GTAP standard model has proved a useful analysis tool and data source for over 20 years. The GTAP model has been updated overtime, but it maintains the structure of a single regional household, with income distributed into three components: government, private and savings-investment expenditures. There has been a need for a more detailed accounting system, especially as it relates to estimating the potential impacts of policies and global shocks on poverty, sustainable and inclusive growth. This paper (and its companion paper) present a method for splitting the GTAP regional household and linking these households to factor incomes and taxes. It introduces a user friendly GEMPACK based application, MyGTAP, for splitting the GTAP regional household based on basic data and splitting shares which may be obtained from a Social Accounting Matrix (SAM); this greatly reduces the development requirements for introducing multiple households into the GTAP model. The introduction of a split regional household (which does not require splitting data for every region) supports economic analysis based on detailed households, government, factor income, remittances, foreign aid and income transfers. The splitting method is based on the normalized GTAP database found in SplitCom, however, it is shown in the paper that this approach is easily reconciled and is consistent within a SAM framework. The code can be modified to include multiple split regions with unique household structures. This paper is a guide to employing the data tools and programs for splitting the regional household and factors of production in the GTAP database. It is intended to be used in tandem with a complimentary paper detailing the theory, accounting and model code "MyGTAP Model: A Model for Employing Data from the MyGTAP Data Program: Multiple Households, Split Factors, Remittances, Foreign Aid, and Transfers", GTAP Working Paper No. 78, by Walmsley and Minor 2013.
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:gta:workpp:4321&r=cmp
  8. By: Walmsley, Terrie; Peter Minor
    Abstract: The GTAP standard model has proved a useful analysis tool and data source for over 20 years. The GTAP model has been updated overtime, but it maintains the structure of a single regional household, with income distributed into three components: government, private and savings-investment expenditures. There has been a need for a more detailed accounting system, especially as it relates to estimating the potential impacts of policies and global shocks on poverty, sustainable and inclusive growth. This paper presents an extension to the GTAP model and its accounting framework to implement distinct and multiple households, split factors of production, foreign aid and remittances, government and household transfer. The model and associated accounting links a household’s expenditure to factor incomes (through ownership shares) and taxes. Government expenditure is linked to taxes and foreign aid. The MyGTAP model provides the user more flexibility in: the treatment of government and household savings and spending; the selection of a linear expenditure systems (LES) or a constant difference of elasticities (CDE) demand function\s. The model is incorporated into a RunGTAP application which supports many of RunGTAP’s popular programs such as alter-tax, GTAPview and others. The introduction of a split regional household (which does not require splitting data for every region) supports economic analysis based on detailed households, government, factor income, remittances, foreign aid and income transfers. The code can be modified to include multiple regions with unique household structures. This paper documents the model and accounting framework for the use of data output from the MyGTAP data splitting program. It is intended to be used in tandem with a complimentary paper and programs found in:"MyGTAP Data Program: A Program for Customizing and Extending the GTAP Database", GTAP Working Paper No. 79, by Minor, Peter and Terrie Wamsley 2013.
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:gta:workpp:4320&r=cmp
  9. By: Patrizio, Lecca; Peter G., McGregor; J. Kim, Swales; Karen, Turner
    Abstract: The aim of the paper is to identify the added value from using general equilibrium techniques to consider the economy-wide impacts of increased efficiency in household energy use. We take as an illustrative case study the effect of a 5% improvement in household energy efficiency on the UK economy. This impact is measured through simulations that use models that have increasing degrees of endogeneity but are calibrated on a common data set. That is to say, we calculate rebound effects for models that progress from the most basic partial equilibrium approach to a fully specified general equilibrium treatment. The size of the rebound effect on total energy use depends upon: the elasticity of substitution of energy in household consumption; the energy intensity of the different elements of household consumption demand; and the impact of changes in income, economic activity and relative prices. A general equilibrium model is required to capture these final three impacts.
    Keywords: Energy efficiency, indirect rebound effects, economy-wide rebound effects, household energy consumption, CGE models,
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:edn:sirdps:454&r=cmp
  10. By: Lilia Maliar (Universidad de Alicante)
    Abstract: We assess gains from parallel computation on Backlight supercomputer. We find that information transfers are expensive. To make parallel computation efficient, a task per core must be sufficiently large, ranging from few seconds to one minute depending on the number of cores employed. For small problems, the shared memory programming (OpenMP) leads to a higher efficiency of parallelization than the distributive memory programming (MPI).
    Keywords: Parallel Computation; Information transfers; Speedup; Supercomputers; OpenMP; MPI; Blacklight
    JEL: C63 C68
    Date: 2013–12
    URL: http://d.repec.org/n?u=RePEc:ivi:wpasad:2013-10&r=cmp
  11. By: Stanis{\l}aw Dro\.zd\.z; Robert G\k{e}barowski; Andrzej Z. G\'orski; Jaros{\l}aw Kwapie\'n; Pawe\l{} O\'swi\k{e}cimka
    Abstract: The agent-based computational economical model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The model considered, while manageable, is sufficiently complex, however. It already is able to reveal phenomena that can be interpreted as emergence and collapse of money as well as the related competition effects. In particular, it is shown that - as an extra emerging effect - the money lifetimes near the critical threshold value develop multiscaling, which allow one to set parallels to critical phenomena and, thus, to the real financial markets.
    Date: 2013–12
    URL: http://d.repec.org/n?u=RePEc:arx:papers:1312.4803&r=cmp
  12. By: Anna Klabunde
    Abstract: Trust is an important determinant of start-up fi nancing. In a simple agentbased model it is determined what the best trusting strategy is for a collective of investors and whether it is rational for an individual investor to deviate from this collective optimum. Trust depends on a measure of social distance and is the precondition for investment. Trust increases and decreases based on whether an investor is satisfied with the interest payments received from an entrepreneur. If an investor is dissatisfi ed, he terminates the relation with the entrepreneur. For assessing the quality of their own investments, investors communicate with other investors in a network-like structure. I find that, as a collective, it is best for investors to compare their returns critically in order to identify unproductive entrepreneurs, but to be tolerant regarding existing links to entrepreneurs in order not to terminate profitable relations because of minor productivity drops. However, it is optimal for an individual investor to deviate from this strategy and to be less easily disappointed, but to decrease trust in larger steps. In a sense, an individual investor can freeride on the others’ critical assessment. If all investors behave according to this latter strategy, too many unproductive firms remain in the market and the average investor’s return is lower than in the collective optimum.
    Keywords: Business angel investment; trust; entrepreneurship; agent-based simulation
    JEL: C63 G02 G24 L26
    Date: 2013–11
    URL: http://d.repec.org/n?u=RePEc:rwi:repape:0450&r=cmp
  13. By: Mideros Mora, Andres (UNU-MERIT / MGSoG); Gassmann, Franziska (UNU-MERIT / MGSoG); Mohnen, Pierre (UNU-MERIT / MGSoG)
    Abstract: This study estimates the rates of return (RoR) of non-contributory social transfer programmes in Cambodia using household data and going beyond standard cost efficiency analyses by developing a dynamic micro simulation. It shows that social protection promotes equitable economic growth by enhancing human development and fostering economic performance at the micro level. A positive RoR is achieved after 12 periods and can reach between 12 per cent and 15 per cent after 20 periods. This study shows that micro simulation models can be extended in order to analyse the economic returns on social protection.
    Keywords: social protection, non-contributory social transfers, microsimulation, rate of return
    JEL: C15 H00 I38 O15
    Date: 2013–11–20
    URL: http://d.repec.org/n?u=RePEc:unm:unumer:2013063&r=cmp
  14. By: Hans Fehr; Manuel Kallweit; Fabian Kindermann
    Abstract: The present paper quantifies the economic consequences of eliminating the system of income splitting in Germany. We apply a dynamic simulation model with overlapping generations where single and married agents have to decide on labor supply and homework facing income and lifespan risk. The numerical exercise computes the resulting welfare changes across households and isolates aggregate efficiency effects of a move towards either individual taxation or family splitting. Our results indicate strongly that a switch towards individual taxation performs best in terms of economic efficiency due to reduced labor market distortions and improved insurance provision. In our benchmark calibration the efficiency gain amounts to roughly 0.4 percent of aggregate resources. Excluding home production significantly reduces aggregate efficiency gains while including marital risk slightly improves the efficiency of individual taxation.
    Keywords: Stochastic general equilibrium, home production, female labor supply, tax unit choice, insurance provision
    JEL: H21 H24 J12 J22
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:diw:diwsop:diw_sp613&r=cmp
  15. By: Alexander Lipton; Andrey Gal; Andris Lasis
    Abstract: Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes. Many issues remain, though, including the efficacy of the standard alternating direction implicit (ADI) numerical methods for solving SV and LSV pricing problems. In general, the amount of required computations for these methods is very substantial. In this paper we address some of these issues and propose a viable alternative to the standard ADI methods based on Galerkin-Ritz ideas. We also discuss various approaches to solving the corresponding pricing problems in a semi-analytical fashion. We use the fact that in the zero correlation case some of the pricing problems can be solved analytically, and develop a closed-form series expansion in powers of correlation. We perform a thorough benchmarking of various numerical solutions by using analytical and semi-analytical solutions derived in the paper.
    Date: 2013–12
    URL: http://d.repec.org/n?u=RePEc:arx:papers:1312.5693&r=cmp
  16. By: In Chang Hwang (Institute for Environmental Studies, Vrije Universiteit, Amsterdam, The Netherlands); Richard S.J. Tol (Department of Economics, University of Sussex, Falmer, United Kingdom; Institute for Environmental Studies, Vrije Universiteit, Amsterdam, The Netherlands; Faculty of Economics and Business Administration, Vrije Universiteit, Amsterdam, The Netherlands; Tinbergen Institute, Amsterdam, The Netherlands; CESifo, Munich, Germany); Marjan W. Hofkes (Faculty of Economics and Business Administration, Vrije Universiteit, Amsterdam, The Netherlands; Institute for Environmental Studies, Vrije Universiteit, Amsterdam, The Netherlands)
    Abstract: This paper investigates the role of emissions control on reducing the tail-effect of the fat-tailed distribution of the climate sensitivity. Through a simple analysis on temperature distributions and some numerical simulations using the well-known DICE model, we find that the option for emissions control effectively prevents the tail-effect. Climate policy based on HARA utility is less sensitive to fat tails than climate policy based on CRRA utility.
    JEL: Q54 Q58 H23
    Date: 2013–12
    URL: http://d.repec.org/n?u=RePEc:sus:susewp:6613&r=cmp

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