Masamitsu Ohnishi
Osaka University
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Featured researches published by Masamitsu Ohnishi.
Journal of Applied Probability | 1986
Masamitsu Ohnishi; Hajime Kawai; Hisashi Mine
This paper investigates a system whose deterioration is expressed as a continuous-time Markov process. It is assumed that the state of the system cannot be identified without inspection. This paper derives an optimal policy minimizing the expected total long-run average cost per unit time. It gives the optimal time interval between successive inspections and determines the states at which the system is to be replaced. Furthermore, under some reasonable assumptions reflecting the practical meaning of the deterioration, it is shown that the optimal policy has monotonic properties. A control limit rule holds for replacement, and the time interval between successive inspections decreases as the degree of deterioration increases.
Mathematical Methods of Operations Research | 1999
Masaaki Kijima; Masamitsu Ohnishi
Abstract. Stochastic orders and inequalities are very useful tools in various areas of economics and finance. The purpose of this paper is to describe main results obtained so far by using the idea of stochastic orders in financial optimization. Especially, the emphasis is placed on the demand and shift effect problems in portfolio selection. Some other examples, which are not related directly to optimization problems, are also given to demonstrate the wide spectrum of application areas of stochastic orders in finance.
European Journal of Operational Research | 1986
Masamitsu Ohnishi; Hajime Kawai; Hisashi Mine
Abstract This paper investigates an optimal inspection and replacement problem for a discrete-time Markovian deterioration system. It is assumed that the system is monitored incompletely by a certain mechanism which gives the decision maker some information about the exact state of the system. The problem is to obtain an optimal inspection and replacement policy minimizing the expected total discounted cost over an infinite horizon and formulated as a partially observable Markov decision process. Furthermore, under some reasonable conditions reflecting the practical meaning of the deterioration, it is shown that there exists an optimal inspection and replacement policy in the class of monotonic four-region policies.
European Journal of Operational Research | 2006
Masamitsu Ohnishi; Motoh Tsujimura
We examine an optimal impulse control problem of a stochastic system whose state follows a geometric Brownian motion. We suppose that, when an agent intervenes in the system, it requires costs consisting of a quadratic form of the system state. Besides the intervention costs, running costs are continuously incurred to the system, and they are also of a quadratic form. Our objective is to find an optimal impulse control of minimizing the expected total discounted sum of the intervention costs and running costs incurred over the infinite time horizon. In order to solve this problem, we formulate it as a stochastic impulse control problem, which is approached via quasi-variational inequalities (QVI). Under a suitable set of sufficient conditions on the given problem parameters, we prove the existence of an optimal impulse control such that, whenever the system state reaches a certain level, the agent intervenes in the system. Consequently it instantaneously reduces to another level.
Computers & Mathematics With Applications | 1992
Yoshiyuki Segawa; Masamitsu Ohnishi; Toshihide Ibaraki
Abstract The optimal minimal-repair and replacement problem of a reliability system under the average cost criterion is formulated as a semi-Markov decision process. It is assumed that the cost structure of the system depends on its age. Under some weak assumptions, it is shown that, among all allowable policies, an optimal policy is a t -policy. That is, failures before age t are minimally repaired, but the system is replaced when a failure after age t occurs.
Archive | 1984
Masamitsu Ohnishi; Hisashi Mine; Hajime Kawai
An optimal Inspection and replacement problem for a discrete-time Markovian deterioration system is investigated. It is assumed that the system is monitored incompletely by a certain mechanism which gives the decision-maker some Information about the exact state of the system. The problem is to obtain an optimal inspection and replacement policy minimizing the expected average cost per unit time over the infinite horizon and formulated as a partially observable Markov decision process. Under some reasonable conditions reflecting the practical meaning of the deterioration, it is shown that there exists an optimal Inspection and replacement policy in the class of monotonic four region-policies.
Archive | 2002
Hajime Kawai; Junji Koyanagi; Masamitsu Ohnishi
This chapter deals with optimal maintenance problems for Markovian deteriorating systems. The function of the system deteriorates with time, and the grade of deterioration is classified as one of s+2 discrete states, 0, 1,..., s,s+1, in the order of increasing deterioration. State 0 is a good state, i.e., the system is like new, the states 1,..., s are deterioration states and the state s+ 1 is a failure state. In a normal operation, these states are assumed to constitute a discrete or continuous time Markovian process with an absorbing state s+ 1. In Section 8.1, we first introduce a basic replacement problem for a discrete time Markovian deteriorating system. In Section 8.2, we discuss an optimal inspection and replacement problem for the system in Section 8.1. In Section 8.3, we consider an optimal inspection and replacement problem under incomplete system observation. In Section 8.4, we treat a continuous time Markovian deteriorating system and discuss an optimal inspection and replacement problem. In Section 8.5, we deal with a maintenance problem in queueing system and discuss an optimal maintenance policy based on both the queue length and the server state.
European Journal of Operational Research | 2006
Masamitsu Ohnishi; Yusuke Osaki
For single-period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood-ratio-dominance relation between probability prospects of state occurrence and the Arrow-Pratt ordering of risk aversion in expected utility settings. By analyzing the comparative statics for bull market effects on equilibrium asset prices, we derive some monotone properties of the risk-free rate and discounted prices of dividend-monotone assets.
Mathematical and Computer Modelling | 2000
Y Segawa; Masamitsu Ohnishi
We consider a minimal-repair and replacement problem of a reliability system whose state at a failure is described by a pair of two attributes, i.e., the total number of its past failures and the current failure level. It is assumed that the system is bothered by more frequent and more costly failures as time passes. Our problem is to find and/or characterize a minimal-repair and replacement policy of minimizing the long-run average expected maintenance cost per unit time over the infinite time horizon. Formulating the problem as a semi-Markov decision process, we show that a repairlimit replacement policy is average optimal. That is, for each total number of past system failures, there exists a threshold, called a repair limit, such that it is optimal to repair minimally if the current failure level is lower than the repair limit, and to replace otherwise. Furthermore, the repair limit is decreasing in the total number of past system failures.
Discrete Applied Mathematics | 1992
Naoki Katoh; Junji Koyanagi; Masamitsu Ohnishi; Toshihide Ibaraki
Abstract Consider a game teams A and B, consisting of a sequence of matches, where each match takes place between one player i from A and one player j from B. Given the probability that player i wins over player j, we investigate optimal strategies on how to choose a player for the next match, for the following two types of team games. The first type assumes that after each match, the loser is eliminated from the list of remaining players, while the winner remains in the list. The team from which all players are eliminated loses the game. Assuming the Bradley-Terry model as the probability model, we first show that the winning probability does not depend on the strategy chosen. It is also shown that the Bradley-Terry model is essentially the only model for which this strategy independence holds. The second type of game assumes that both players are eliminated after each match. In this case, it is shown that choosing a player with equal probability is an optimal strategy in the sense of maximizing the expected number of wins of matches, provided that information about the order of players in the other teams is not available. The case in which a team knows the ordering of the other team is also studied.