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on Computational Economics |
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Issue of 2017‒11‒19
eighteen papers chosen by |
| By: | José Brandão |
| Abstract: | The vehicle routing problem with backhauls and soft time windows contains two disjoint sets of customers: those that receive goods from the depot,who are called linehauls, and those that send goods to the depot, named backhauls. To each customer is associated an interval of time (time window), during which each one should be served. If a time window can be violated it is called soft, but this violation implies an additional cost. In this paper, only the upper limit of the interval can be exceeded. For solving this problem we created deterministic iterated local search algorithm, which was tested using a large set of benchmark problems taken from the literature. These computational tests have proven that this algorithm competes with best known algorithms in terms of the quality of the solutions and computing time. So far as we know, there is no published paper for this problem dealing with soft time windows, and, therefore, this comparison is only with the algorithms that do not allow time windows violation. |
| Keywords: | Backhauls; iterated local search; linehauls; logistics; soft time windows, vehicle routing |
| Date: | 2017–10 |
| URL: | http://d.repec.org/n?u=RePEc:ise:remwps:wp0102017&r=cmp |
| By: | Katrin Heßler (Johannes Gutenberg-University Mainz, Germany); Timo Gschwind (Johannes Gutenberg-University Mainz, Germany); Stefan Irnich (Johannes Gutenberg-University Mainz, Germany) |
| Abstract: | This paper considers packing and cutting problems in which a packing/cutting pattern is constrained independently in two or more dimensions. Examples are restrictions with respect to weight, length, and value. We present branch-and-price algorithms to solve these vector packing problems (VPPs) exactly. The underlying column-generation procedure uses an extended master program that is stabilized by (deep) dualoptimal inequalities. While some inequalities are added to the master program right from the beginning (static version), other violated dual-optimal inequalities are added dynamically. The column-generation subproblem is a multidimensional knapsack problem, either binary, bounded, or unbounded depending on the specific master problem formulation. Its fast resolution is decisive for the overall performance of the branch-and-price algorithm. In order to provide a generic but still efficient solution approach for the subproblem, we formulate it as a shortest path problem with resource constraints (SPPRC), yielding the following advantages: (i) Violated dual-optimal inequalities can be identified as a by-product of the SPPRC labeling approach and thus be added dynamically; (ii) branching decisions can be implemented into the subproblem without deteriorating its resolution process; and (iii) larger instances of higher-dimensional VPPs can be tackled with branch-and-price for the first time. Extensive computational results show that our branch-and-price algorithms are capable of solving VPP benchmark instances effectively. |
| Keywords: | Cutting, Vector packing, Shortest path problem with resource constraints, Dual-optimal inequalities, Stabilization |
| Date: | 2017–08–09 |
| URL: | http://d.repec.org/n?u=RePEc:jgu:wpaper:1713&r=cmp |
| By: | To Minh Thu (Diplomatic Academy of Vietnam, Hanoi, Vietnam); Hiro Lee (Osaka School of International Public Policy, Osaka University) |
| Abstract: | Vietnam is on the way to undertake deeper trade liberalisation, including both tariff reductions and reforms in other trade-related areas. In this paper, the impacts of Vietnam’s trade reform on its economic welfare and sectoral adjustments are assessed using a dynamic computable general equilibrium (CGE) model. We consider the effects of goods and services trade liberalisation, an increase in foreign direct investment inflows, a reduction in administrative and technical barriers to trade, and a reduction in the trade and transport margins. When all effects are combined, Vietnam’s economic welfare is projected to increase by 8.4 per cent in 2020 compared with the baseline. Many manufacturing sectors would expand, whereas agricultural, minerals and fuel sectors would contract. The output expansion is most significant in the textiles and wearing apparel sectors. |
| Keywords: | Trade reform, economic welfare, sectoral adjustments, Vietnam, CGE model |
| JEL: | F13 F15 F17 |
| Date: | 2017–11 |
| URL: | http://d.repec.org/n?u=RePEc:osp:wpaper:17e005&r=cmp |
| By: | Ann-Kathrin Rothenbächer (Johannes Gutenberg-University Mainz, Germany) |
| Abstract: | This paper addresses the periodic vehicle routing problem with time windows (PVRPTW). Therein, customers require one or several visits during a planning horizon of several periods. The possible visiting patterns (schedules) per customer are limited. In the classical PVRPTW, it is common to assume that each customer requires a specific visit frequency and offers all corresponding schedules with regular intervals between the visits. In this paper, we permit all kinds of schedule structures and the choice of the service frequency. We present an exact branch-and-price-and-cut algorithm for the classical PVRPTW and its variant with flexible schedules. The pricing problems are elementary shortest path problems with resource constraints. They can be based on one of two new types of networks and solved with a labeling algorithm, which uses several known acceleration techniques such as the ng-path relaxation and dynamic half-way points within bidirectional labeling. For instances whose schedule sets fulfill a certain symmetry condition, we present specialized improvements of the algorithm such as constraint aggregation and symmetry breaking. Computational tests on benchmark instances for the PVRPTW show the effectiveness of our algorithm. Furthermore, we analyze the impact of different schedule structures on run times and objective function values. |
| Keywords: | Vehicle Routing, Multi Period, Branch-and-Price-and-Cut, Service Choice, Flexible Schedules |
| Date: | 2017–08–10 |
| URL: | http://d.repec.org/n?u=RePEc:jgu:wpaper:1714&r=cmp |
| By: | Hiro Lee (Osaka School of International Public Policy, Osaka University); Ken Itakura (Graduate School of Economics, Nagoya City University) |
| Abstract: | The U.S. withdrawal from the Trans-Pacific Partnership (TPP) has had an influence on the prospects of mega-regional trade agreements (MRTAs). In the Asian Pacific, negotiations for the Regional Comprehensive Economic Partnership (RCEP) might accelerate. In addition, ministers from the 11 other TPP signatories have confirmed their intention to proceed with the TPP without U.S. participation. Using a dynamic computable general equilibrium (CGE) model, we estimate welfare and sectoral output adjustment effects of alternative sequencings of MRTAs on ASEAN countries. Welfare gains for ASEAN countries under the scenario led by the RCEP, followed by RCEP + Taiwan and a Free Trade Area of the Asia-Pacific (FTAAP), are greater than or equal to those under the scenario led by TPP sans US, followed by an enlarged TPP and an FTAAP. When the two scenarios are assumed to develop at the same time, welfare gains of the RCEP and TPP-11 countries are found to be less than the sum of the gains under the first two scenarios. For a number of ASEAN countries, output expansion of textiles and apparel and/or electronic equipment is significant. in the trade and transport margins. When all effects are combined, Vietnam’s economic welfare is projected to increase by 8.4 per cent in 2020 compared with the baseline. Many manufacturing sectors would expand, whereas agricultural, minerals and fuel sectors would contract. The output expansion is most significant in the textiles and wearing apparel sectors. |
| Keywords: | MRTA, RCEP, TPP, FTAAP, CGE model, ASEAN |
| JEL: | F13 F14 F15 F17 |
| Date: | 2017–11 |
| URL: | http://d.repec.org/n?u=RePEc:osp:wpaper:17e006&r=cmp |
| By: | Cheng-Der Fuh; Chuan-Ju Wang |
| Abstract: | This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default. One such performance measure of interest is the probability that the portfolio incurs large losses over a fixed time horizon. To capture the extremal dependence among obligors, we study a multi-factor model with a normal mixture copula that allows the multivariate defaults to have an asymmetric distribution. Due to the amount of the portfolio, the heterogeneous effect of obligors, and the phenomena that default events are rare and mutually dependent, it is difficult to calculate portfolio credit risk either by means of direct analysis or crude Monte Carlo simulation. That motivates this study on efficient simulation. To this end, we first propose a general account of an importance sampling algorithm based on a two-parameter exponential embedding. Note that this innovative tilting device is more suitable for the multivariate normal mixture model and is of independent interest. Next, by utilizing a fast computational method for how the rare event occurs and the proposed importance sampling method, we provide an efficient simulation algorithm to estimate the probability that the portfolio incurs large losses under the normal mixture copula. Here our proposed simulation device is based on importance sampling for a joint probability other than the conditional probability used in previous studies. Theoretical investigations and simulation studies are given to illustrate the method. |
| Date: | 2017–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1711.03744&r=cmp |
| By: | Bargain, Olivier |
| Abstract: | Applied welfare analyses of redistributive systems nowadays benefit from powerful tax benefit microsimulation programs combined with administrative data. Arguably, most of the distributional studies of that kind focus on social welfare defined as a function – typically inequality or poverty indices – of household equivalized income. In parallel, economic research has made considerable progress in the measurement of welfare along several dimensions. Distinct but related branches of the literature have attempted (i) to model different behaviour (in a way that matter for incidence and redistribution of tax benefit policies), (ii) to go beyond income, (iii) to better define and estimate equivalence scales, (iv) to open the household black box and measure welfare at the individual level. I suggest a general framework to critically review these streams of literatures and to discuss whether recent advances in each of these fields have been or could be readily operationalized in welfare analyses and policy simulations. |
| Date: | 2017–10–30 |
| URL: | http://d.repec.org/n?u=RePEc:ese:emodwp:em16-17&r=cmp |
| By: | Ayala, Luis; Paniagua, Milagros |
| Abstract: | In-work benefits (IWBs) have become very common transfer programs that seek to meet both efficiency and equity targets. An expanding literature has assessed the effects of these policies on income distribution and labor supply showing important implications for female labor participation. In this paper, we estimate the distributional and behavioral impacts of a simulated IWB in Spain based on the replacement of the existing working mother tax credit (WMTC) using as a reference the US Earned Income Tax Credit (EITC). We simulate the effects of the proposed scheme using EUROMOD and a discrete choice model of labor supply. Our results show that the enhancement of the proposed IWB would have significant and positive effects both in terms of female labor participation and inequality and poverty reduction. The introduction of this IWB would generate a substantial increase in labor participation at the extensive margin and a non-negligible reduction at the intensive margin. |
| Date: | 2017–10–30 |
| URL: | http://d.repec.org/n?u=RePEc:ese:emodwp:em17-17&r=cmp |
| By: | Philipp Renner; Simon Scheidegger |
| Abstract: | We propose a generic method for solving infinite-horizon, discrete-time dynamic incentive problems with hidden states. We first combine set-valued dynamic programming techniques with Bayesian Gaussian mixture models to determine irregularly shaped equilibrium value correspondences. Second, we generate training data from those pre-computed feasible sets to recursively solve the dynamic incentive problem by a massively parallelized Gaussian process machine learning algorithm. This combination enables us to analyze models of a complexity that was previously considered to be intractable. To demonstrate the broad applicability of our framework, we compute solutions for models of repeated agency with history dependence, many types, and varying preferences. |
| Keywords: | Dynamic Contracts, Principal-Agent Model, Dynamic Programming, Machine Learning, Gaussian Processes, High-performance Computing |
| JEL: | C61 C73 D82 D86 E61 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:lan:wpaper:203620397&r=cmp |
| By: | Stübinger, Johannes; Walter, Dominik; Knoll, Julian |
| Abstract: | This paper develops a statistical arbitrage strategy based on overnight social media data and applies it to high-frequency data of the S&P 500 constituents from January 2014 to December 2015. The established trading framework predicts future financial markets using Factorization Machines, which represent a state-of-the-art algorithm coping with high-dimensional data in very sparse settings. Essentially, we implement and analyze the effectiveness of support vector machines (SVM), second-order Factorization Machines (SFM), third-order Factorization Machines (TFM), and adaptive-order FactorizationMachines (AFM). In the back-testing study, we prove the efficiency of Factorization Machines in general and show that increasing complexity of Factorization Machines provokes higher profitability - annualized returns after transaction costs vary between 5.96 percent for SVM and 13.52 percent for AFM, compared to 5.63 percent of a naive buy-and-hold strategy of the S&P 500 index. The corresponding Sharpe ratios range between 1.00 for SVM and 2.15 for AFM. Varying profitability during the opening minutes can be explained by the effects of market efficiency and trading turmoils. Additionally, the AFM approach achieves the highest accuracy rate and generates statistically and economically remarkable returns after transaction costs without loading on any systematic risk exposure. |
| Keywords: | finance,social media data,Factorization Machine,overnight information,statistical arbitrage,high-frequency trading |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:iwqwdp:192017&r=cmp |
| By: | Rainald Borck |
| Abstract: | The paper studies the effect of public transport policies on urban pollution. It uses a quantitative equilibrium model with residential choice and mode choice. Pollution comes from commuting and residential energy use. The model parameters are calibrated to replicate key variables for American metropolitan areas. In the counterfactual, I study how free public transport coupled with increasing transit speed affects the equilibrium. In the baseline simulation, total pollution falls by 0.2%, as decreasing emissions from transport are partly offset by rising residential emissions. A second counterfactual compares a city with and without public transit. This large investment decreases pollution by 1.6%. When jobs are decentralized, emissions fall by 0.3% in the first and by 3% in the second counterfactual. |
| Keywords: | public transport, pollution, discrete choice |
| JEL: | Q53 Q54 R48 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_6606&r=cmp |
| By: | DELOGU Marco; DOCQUIER Frédéric; MACHADO Joël |
| Abstract: | We develop a dynamic model of the world economy that jointly endogenizes individual decisions about fertility, education and migration. We then use it to compare the shortand long-term effects of immigration restrictions on the world distribution of income. Our calibration strategy replicates the economic and demographic characteristics of the world, and allows us to proxy bilateral migration costs and visa costs for two classes of workers and for each pair of countries. In our benchmark simulations, the world average level of income per worker increases by 12% in the short term and by approximately 52% after one century. These results are highly robust to our identifying strategy and technological assumptions. Sizable differences are obtained when our baseline (pre-liberalization) trajectory involves a rapid income convergence between countries or when we adjust visa costs for a possible upward bias. Our quantitative analysis reveals that the effects of liberalizing migration on human capital accumulation and income are gradual and cumulative. Whatever is the size of the short-term gain, the long-run impact is 4 to 5 times greater (except under a rapid convergence in income). |
| Keywords: | Migration; Migration policy; Liberalization; Growth; Human Capital; Fertility; Inequality |
| JEL: | F22 |
| Date: | 2017–11 |
| URL: | http://d.repec.org/n?u=RePEc:irs:cepswp:2017-16&r=cmp |
| By: | de Klerk, Etienne (Tilburg University, School of Economics and Management); Laurent, Monique (Tilburg University, School of Economics and Management) |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:tiu:tiutis:78f8f496-dc89-413e-864d-f01908bfbe2e&r=cmp |
| By: | Barrios, Salvador; Dolls, Mathias; Maftei, Anamaria; Peichl, Andreas; Riscado, Sara; Varga, Janos; Wittneben, Christian |
| Abstract: | In this paper, we present the first dynamic scoring exercise linking a multi†country microsimulation and DSGE models for all countries of the European Union. We illustrate our novel methodology analysing a hypothetical tax reform for Belgium. We then evaluate real tax reforms in Italy and Poland. Our approach takes into account the feedback effects resulting from adjustments in the labor market and the economy†wide reaction to the tax policy changes. Our results suggest that accounting for the behavioral reaction and macroeconomic feedback to tax policy changes enriches the tax reforms' analysis, by increasing the accuracy of the direct fiscal and distributional impact assessment provided by the microsimulation model for the tax reforms considered. Our results are in line with previous dynamic scoring exercises, showing that most tax reforms entail relatively smaller feedback effects in terms of the labor tax revenues for tax cuts benefiting workers, compared with the ones granted to firms. |
| Date: | 2017–10–30 |
| URL: | http://d.repec.org/n?u=RePEc:ese:emodwp:em14-17&r=cmp |
| By: | Qinxin Guo (Graduate School of Economics, Kobe University, Japan); Enci Wang (School of Economics, Shanghai University, China); Yongyou Nie (School of Economics, Shanghai University, China); Junyi Shen (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan, and School of Economics, Shanghai University, China) |
| Abstract: | In the past decade, sales of electrical and electronic equipment have undergone explosive growth worldwide, while at the same time, the life cycles of electrical and electronic equipment have been getting shorter. This has resulted in large numbers of waste electrical and electronic equipment (WEEE) being generated, which causes serious environmental problems that each country has to face. In this paper, we use the system dynamic method to analyze how China’s “WEEE processing fund” policy, wherein levies or subsidies are set on appropriate targets, influences the economic and environmental conditions of participants in the WEEE management system. The simulations results suggest that the “WEEE processing fund” policy could improve the economic status of those receiving subsidies without losing the economic revenue from levies and improve the entire system’s ability to recover and process waste equipment. |
| Keywords: | Waste electrical and electronic equipment management, Waste electrical and electronic equipment processing fund, System dynamic model, Economic and environmental effects, China |
| Date: | 2017–11 |
| URL: | http://d.repec.org/n?u=RePEc:kob:dpaper:dp2017-30&r=cmp |
| By: | Tromp, Alexander |
| Abstract: | This paper aims to propose a social protection system that "decommodifies" labour and fulfills the properties of a Social Protection Floor satisfying revenue-neutrality. To this end, firstly, a Universal Basic Income (UBI) scheme is explored. Secondly, the UBI is transformed into a Negative Income Tax (NIT) scheme, providing universal protection instead of universal benefits. Finally, the NIT is modified into a Hybrid NIT (HNIT), being a mixture of NIT and a classic social assistance scheme. It features a 100% withdrawal rate, consequently allowing for a higher guaranteed minimum income level than would be possible with either an NIT or UBI. A static microsimulation, using the EUROMOD model, is conducted on the HNIT scheme, implementing two scenarios. One scenario establishes what the maximum levels of entitlements could be, assuming revenue-neutrality and current marginal tax levels. The other scenario assumes more generous entitlements and computes which tax rates would be necessary to pay for such a scheme. The models are applied to both Italy and the United Kingdom. The results are interpreted in terms of poverty and inequality statistics while closely looking into the assumptions of the microsimulation models. In the first scenario a modest level of guaranteed minimum income is feasible, decreasing both poverty and inequality decidedly compared to current levels. This effect is even stronger in the second scenario, however, it results in unrealistically high tax rates, especially for Italy. The impact on poverty and inequality of the HNIT scheme is markedly higher for Italy in both scenarios suggesting that the United Kingdom has currently a social protection system in place that redistributes more efficiently than Italy. |
| Date: | 2017–10–30 |
| URL: | http://d.repec.org/n?u=RePEc:ese:emodwp:em15-17&r=cmp |
| By: | Alejandro Tirachini; Andres Gomez-Lobo |
| Abstract: | Many authors have pointed out the importance of determining the impact of ridesourcing on vehicle kilometers traveled (VKT), and thus on transport externalities like congestion. However, to date there is scant evidence on this subject. In this paper we use survey results on Uber use by residents of Santiago, Chile, and information from other studies to parameterize a model to determine whether the advent of ridesourcing applications increases or decreases the number of VKT. Given the intrinsic uncertainty on the value of some model parameters, we use a Monte Carlo simulation for a range of possible parameter values. Our results indicate that unless ridesourcing applications substantially increase verage occupancy rate of trips and become ridesharing, the impact is an increase in VKT. We discuss these results in light of current empirical research in this area. |
| Date: | 2017–11 |
| URL: | http://d.repec.org/n?u=RePEc:udc:wpaper:wp457&r=cmp |
| By: | Islam, Nizamul; Colombino, Ugo |
| Abstract: | The case for NIT+FT in Europe. An empirical optimal tWe present an exercise in empirical optimal taxation for European countries from three areas: Southern, Central and Northern Europe. For each country, we estimate a microeconometric model of labour supply for both couples and singles. A procedure that simulates the households’ choices under given tax-transfer rules is then embedded in a constrained optimization program in order to identify optimal rules under the public budget constraint. The optimality criterion is the class of Kolm’s social welfare function. The tax-transfer rules considered as candidates are members of a class that includes as special cases various versions of the Negative Income Tax: Conditional Basis Income, Unconditional Basic Income, In-Work Benefits and General Negative Income Tax, combined with a Flat Tax above the exemption level. The analysis show that the General Negative Income Tax strictly dominates the other rules, including the current ones. In most cases the Unconditional Basic Income policy is better than the Conditional Basic Income policy. Conditional Basic Income policy may lead to a significant reduction in labour supply and poverty-trap effects. In-Work-Benefit policy in most cases is strictly dominated by the General Negative Income Tax and Unconditional Basic Income. |
| Keywords: | Basic Income,Negative Income Tax,Optimal tax,Micro-simulation,Welfare |
| JEL: | H21 C18 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:glodps:140&r=cmp |