Resumo em Inglês:

This article presents a practical case in which two of the most efficient numerical procedures developed for derivative analysis are applied to evaluate the POP (Investment Protection with Participation), a structured operation created by São Paulo Stock Exchange - BM&FBOVESPA. The first procedure solves the differential equation through the use of implicit finite differences method. Due to its characteristics, the approach makes it possible to run sensitivity analysis as well as price estimation. In the second, the problem is solved by Monte Carlo simulation, which facilitates the identification of the probability related to the exercise of the embedded options.

Resumo em Inglês:

This paper addresses the change point detection problem in time series. A methodology based on the Metropolis-Hastings algorithm applied to time series modeled as a process with Beta distribution is discussed. In order to make this methodology useful in practice, a fuzzy cluster technique is applied to the initial time series at first, generating a new data set with Beta distribution. Bayesian procedures are considered for inference and the Metropolis-Hastings algorithm is used to sample from the posteriors. In the clustering process, a Kohonen neural network is used having as objective to find the best centers of the time series to be used in the fuzzyfication process. Finally, it will be presented a simulation results in the series of the electric energy consumption in Brazil, between January of 1976 and December of 2000, five months before the blackout occurred in 2001. Such result illustrates the efficiency of the proposed methodology for change point detection in time series.

Resumo em Inglês:

This article presents a case study of the evaluation of the various types of access to the Broadband Internet available to a small company, located in Volta Redonda, in the state of Rio de Janeiro. This small company needs to implement Broadband Internet in its establishment and sought an evaluation of the companies which work providing this type of service. With the aim of carrying out a technical evaluation of the provision of the Broadband Internet service and, considering the diverse points of view and needs of this small company, a Multicriteria Decision Aiding Method, the TODIM method, was used. By means of this research, the power of this Operational Research tool was verified in the search for the solution to the problem of ranking the services offered in the city, according to the criteria chosen by this small company.

Resumo em Inglês:

The ZAPROS method belongs to the Verbal Decision Analysis framework, and it aims at solving decision-making problems in a more realistic way from the decision maker's point of view. Quantitative methods can lead to loss of information when attempting to assign accurate measurements to verbal values. However, the feature exposed can cause a decrease in the comparison power of the method, making the incomparability cases between the alternatives unavoidable and leading to an unsatisfactory result of the problem, thus leading to an unsatisfactory outcome of the problem. Considering the limitation exposed, this work presents a methodological approach structured on the ZAPROS method to assist in decision-making in the Verbal Decision Analysis. The aim is to produce a complete result which is satisfactory to the decision maker, through the reduction of the cases of incomparability between alternatives. The modifications were mainly applied to the comparison of alternatives process and did not change the computational complexity of the method.

Resumo em Inglês:

This paper presents some extensions and applications of hypercube queueing models todescribe server-to-customer type Emergency Service Systems. The classical hypercube is a well-known spatially distributed queueing model effective in analyzing these systems, based on Markovian analysis approximations. Experience has shown that each real life Emergency Service System may have its own unique characteristics so that each system may require a particular hypercube queueing model incorporating those characteristics. Some of these distinctive characteristics are considered in the extensions presented in this tutorial such as dispatch policy based on random selection of the server to take an incoming call; partial cooperation among servers whereby depending on where the call is coming from, some servers cannot take the call; servers with additional workload coming from walk-in nonemergency customers such as in customer-to-server systems; existence of calls requiring the dispatch of more than one server; existence of more than one type of servers in the system, for instance paramedical and medical units in emergency medical systems. In this study, we present a set of these models based on the smallest non-trivial service systems. For each model, the construction of the system of equations for equilibrium hypercube state probabilities and the evaluation of particular operational characteristics are described.

Resumo em Inglês:

Project Portfolio Selection (PPS) is a kind of problem found in a variety of practical situations, such as research and development planning. Several different approaches have been proposed to deal with Project Portfolio Selection (PPS). However, the consideration on benefits synergies between projects is little addressed in the literature. The main focus of this paper is on synergy between projects, which is related to the interactions between the benefits of the projects. In this paper, a method has been developed to meet some of the major limitations of existing models: the inadequacy of the treatment of multiple criteria and inter-relationships between projects and the absence of the recognition and incorporation of managers' experience and knowledge, concerning to synergy between projects. The decision model is formulated as a non-linear 0-1 optimization problem, which considers the evaluations of projects and the benefit synergies of theses projects.

Resumo em Inglês:

In this work, a mixed integer nonlinear programming model combining direct service links, demand uncertainty and congestion effects is proposed. This model is efficiently solved by Generalized Benders Decomposition, for instances of moderate sizes and reasonable number of scenarios. The deployed algorithms are further used for re-designing the Brazilian air transportation network, enabling the analysis of future demand scenarios and providing decision support about the optimal investment policy for Brazil.

Resumo em Inglês:

This paper presents a proposal for strategic planning for the replacement of products in stores of a supermarket network. A quantitative method for forecasting time series is used for this, the Artificial Radial Basis Neural Networks (RBFs), and also a qualitative method to interpret the forecasting results and establish limits for each product stock for each store in the network. The purpose with this strategic planning is to reduce the levels of out-of-stock products (lack of products on the shelves), as well as not to produce overstocking, in addition to increase the level of logistics service to customers. The results were highly satisfactory reducing the Distribution Center (DC) to shop out-of-stock levels, in average, from 12% to about 0.7% in hypermarkets and from 15% to about 1.7% in supermarkets, thereby generating numerous competitive advantages for the company. The use of RBFs for forecasting proved to be efficient when used in conjunction with the replacement strategy proposed in this work, making effective the operational processes.

Resumo em Inglês:

It has long been recognised that the structure of social networks plays an important role in the dynamics of disease propagation. The spread of HIV usually results from a complex network of social interactions and other factors related to culture, sexual behaviour, demography, geography and disease characteristics, as well as the availability, accessibility and delivery of healthcare. The small world phenomenon has been used for representing social network interactions. It states that, given some random connections, the degrees of separation between any two individuals within a population can be very small. In this paper we present a discrete event simulation model which uses a variant of the small world network model to represent social interactions and the sexual transmission of HIV within a population. We use the model to demonstrate the importance of the choice of topology and initial distribution of infection, and capture the direct and non-linear relationship between the probability of a casual partnership (small world randomness parameter) and the spread of HIV.

Resumo em Português:

Nos últimos anos, muitos trabalhos acadêmicos vêm sendo desenvolvidos para se verificar a existência de vantagem em disputar competições esportivas em domínios próprios (Home Advantage). Um grande número destes trabalhos utiliza ferramentas estatísticas para verificar a ocorrência do Home Advantage e suas causas. Este artigo propõe a aplicação de uma metodologia multicritério para verificar a ocorrência de Home Advantage nos Jogos Pan Americanos. O trabalho foca em especial o desempenho da delegação da República Dominicana e da Argentina ao longo da história dos jogos Pan Americanos, analisando as vantagens e desvantagens de utilização deste método em relação aos usualmente utilizados. Os resultados indicam a vantagem dos países analisados em sediar as competições.

Resumo em Inglês:

In recent years, many academic papers have been developed to verify the advantage in sports competitions play in their own fields (Home Advantage). Many of these works use statistical tools to assess the occurrence of Home Advantage and its causes. This article proposes the application of a multicriteria methodology to assess the occurrence of Home Advantage in the Pan American Games, analyzing the advantages and disadvantages of this method compared to commonly used. The work focuses in particular the Dominican Republic and Argentina delegations performance along the Pan American Games history. The results indicate the advantage of the countries analyzed in hosting competitions.