PHNG PHP NH LNG

Lp C09 Hc k 1 Nm hc 2010-2011

Ging vin
Name: TRN PHC HUY Email: phuochuytran@ymail.com Tel: 0903 715335 Add: Vn phng Khoa QTKD

Gii thiu mn hc
Tn: Phng php nh lng Tn ch: 3(2,1,6) Mn hc trc:
+ Xc sut thng k + Qun tr hc

Mc tiu
Kin thc: Cc phng php tm li gii cho bi ton trong qun l K nng: T duy, phn tch, ra quyt nh, pht hin & gii quyt vn , tm kim & la chn kin thc vo mc ch ring bit Yu thch ngnh hc
4

Tm tt
Cung cp 1 s phng php c bn quy hoch tuyn tnh, bi ton ra quyt nh, lp lch trnh d n Trang b cc m hnh ton c ng dng vo nhng tnh hung kinh doanh, sn xut, ti chnh, tip th Vn dng my tnh gii quyt vn

Ni dung chi tit

Chng 1: Gii thiu v PPL Chng 2: C s ca l thuyt ra quyt nh Chng 3: Cy quyt nh v l thuyt li ch Chng 4: Quy hoch tuyn tnh Chng 5: Cc bi ton c bit lin quan n QHTT Chng 6: Bi ton s mng trong qun l d n
6

Ti liu
Bt buc:
Hunh Trung Lng & Trng Tn Hin c PP nh lng trong qun l & vn hnh NXB Khoa hc & K thut 2003

Tham kho:
ng Hn Quy hoch tuyn tnh Trng HKT TP H Ch Minh - 1995

T chc dy hc
Lch trnh chung
Ni dung Chng 1 LT 3

Chng 2 Chng 3 Chng 4 Chng 5 Chng 6 Tng

6 6 6 3 6

Hnh thc t chc BT TL TH T hc 0.5 07 2.0 0.5 0.5 18 1.5 0.5 1.0 19 2.0 1.0 0.5 19 1.0 0.5 09 2.0 1.0 0.5 19 9.0 3.0 3.0 90

Tng 10.5

27.0 27.0 28.5 13.5 28.5 135.0

8

T chc dy hc
Lch trnh c th Yu cu t chc
+ Hc l thuyt tp trung phng c my chiu, micro + Bi tp, tho lun, thc hnh t chc thnh nhm khng qu 30 sinh vin

Yu cu sinh vin
+ + + + Tham d y theo quy nh ca Trng c trc ti liu Tch cc tham gia hc tp Lm bi tp & np bi ng hn
9

nh gi
Ni dung Hot ng trn lp Bi tp nh Kim tra gia k Thi cui k T l im 15% 15% 20% 50% Thi gian Ton b thi gian Theo yu cu ca GV Tun 8 Theo lch ca Trng 60-90 90 pht Thi lng (pht)

10

PP nh lng Cc khi nim

Cuc cch mng qun tr c tnh khoa hc u nm 1900, khi xng bi Frederic W.Taylor. Nhng nghin cu khoa hc qun tr hin i bt u trong thi k th chin th 2 Nhng thnh tu nh hng n phng php nh lng:
+ Phng php n hnh gii cc bi ton Quy hoch tuyn tnh ca George Dantzig - nm 1947 + S bng n ca my tnh

11

PP nh lng Cc khi nim

Cch tip cn nh lng ra quyt nh c nhiu tn gi: Khoa hc qun tr, Vn tr hc v Khoa hc quyt nh Ti liu c thm:
+ Khi nim chung & ngun gc - Gio trnh (tr.2) + S lc v cc PPL trong nghin cu th trng www.viet-studies.info/kinhte/ quantitative_%20methods%20_ttphuong.pdf

12

PP nh lng
Cc bc chnh trong phn tch nh lng
Gii quyt vn l qu trnh nhn dng s khc nhau gia trng thi thc t vi trng thi mong mun ca cc cng vic v thc hin gii quyt s khc nhau Cc bc chnh
+ + + + + + + Xc nh vn Pht trin m hnh Thu thp d liu u vo Tm kim gii php (Gii m hnh) Kim nghim gii php Phn tch kt qu & phn tch nhy ng dng kt qu nhn c
13

PP nh lng
Tin ch ca vic m hnh ha Phn loi m hnh
+ Xc nh + Xc sut

Cc kh khn thng gp trong vic p dng phng php phn tch nh lng
Gio trnh (tr.6-7)

14

L thuyt ra Q Cc khi nim

L thuyt nh lng trong qun l da trn quan im: Qun tr l quyt nh v mun vic qun tr c hiu qu th cc quyt nh phi ng n" L thuyt v ra quyt nh l phng php tip cn gii tch v c h thng

15

L thuyt ra Q Cc bc
Xc nh vn cn phi ra quyt nh Tm tt c cc phng n Xc nh cc tnh hung kt qu xy ra Tnh ton li ch/thit hi ng vi tng tnh hung kt qu (nh gi cc PA) Xc nh mi trng ra quyt nh & la chn 1 m hnh ra quyt nh ph hp p dng m hnh & ra quyt nh sau cng
16

L thuyt ra Q V d 1
Bi ton Thompson B1. Vn : c nn sn xut mt sn phm mi kinh doanh B2. C tt c 3 phng n thc hin:
+ Xy nh my ln sn xut + Xy nh my nh sn xut + Khng sn xut

B3. Cc tnh hung c th c:

+ Th trng thun li (ha hn) + Th trng bt li (khng ha hn)
17

L thuyt ra Q V d 1
Bi ton Thompson
B4. c tnh cc li ch (chi ph) pht sinh khi chn cc phng n ng vi mi tnh hung Bng ra quyt nh:

Phng n
Nh my ln Nh my nh Khng SX

Cc trang thi t nhin Th trng tt 200,000 100,000 0 Th trng xu -180,000 -20,000 0

B5 v B6: Xc nh m hnh ton gii, tm li gii, RQ

18

L thuyt ra Q V d 2
Bi ton v c hi vic lm B1. Gi s c ngi ang tht nghip v mong mun c vic lm va B2. C 4 phng n v ni lm vic
+ H Ni + Nng + TP H Ch Minh + Cn Th

19

L thuyt ra Q V d 2
Bi ton v c hi vic lm
B3. Cc tnh hung c th c:
+ Ch c mt tiu chun: tin lng, th phng n la chn tt nht s l lng khi im cao nht. + 3 tiu chun: lng khi im, tim nng thng C tin v v th ngh nghip.
Nhng vn m vic tm li gii tt nht ch lu n mt tiu chun gi l nhng vn ra quyt nh mt tiu chun (single-criterion decision problems).

Nhng vn gm nhiu hn mt tiu chun la chn gi l vn ra quyt nh nhiu tiu chun (multicriteria decision problem).
20

L thuyt ra Q V d 2
Bi ton v c hi vic lm
B4. nh gi cc phng n
Cc trng thi t nhin Phng n Lng khi im (1000ng) H Ni Nng Si Gn Cn Th Tim nng thng tin V th ngh nghip Trung bnh Tt Tt Tt
21

1200 Kh 800 Rt tt 1000 Trung bnh 700 Rt tt

L thuyt ra Q V d 2
Bi ton v c hi vic lm B5. Chn phng n:
+ Kh khn trong la chn chnh l tm quan trng ca cc phng n khng nh nhau v khng c phng n l no tt nht vi mi tiu chun. + nh gi cn thn d liu Bng trn, chng ta quyt nh chn phng n 3. Phng n 3 c gi l mt quyt nh

22

L thuyt ra Q Cc bc
Xc nh vn Tm tt c cc phng n Xc nh cc tnh hung kt qu nh gi cc phng n Chn phng n (Quyt nh) Thc hin phng n & nh gi kt qu

Gii quyt vn

Ra quyt nh

23

L thuyt ra Q Cc giai on
Cu trc vn v (bc 1, 2, 3)
+ Xc nh vn + Tm tt c cc phng n + Xc nh cc tnh hung kt qu

Phn tch vn (bc 4, 5)

+ nh gi cc phng n Phn tch nh tnh Phn tch nh lng Tm lt + Chn phng n
24

L thuyt ra Q
Nghin cu nh lng v nh tnh

Ra quyt nh l nhim v quan trng ca nh qun tr. Kinh nghim, kh nng xt on, c sng to cha th m bo c c nhng quyt nh ph hp & ti u nu thiu kh nng nh lng. 25

L thuyt ra Q
Nghin cu nh lng & nh tnh
NCT khng s dng cng c o lng, tnh ton. NCT tm bit nhng c im, tnh cht ca i tng nghin cu (TNC) cng nh nhng yu t nh hng n suy ngh, hnh vi ca TNC. NCL s dng nhng cng c o lng, tnh ton vi nhng con s c th. NCL i tm tr li cho cu hi bao nhiu, mc no (how many, how much) NCT i tm tr li cho cu hi Ci g (what), nh th no (how), ti sao (why).
26

L thuyt ra Q
So snh gia NCL & NCT
Nghin cu nh tnh Nghin cu nh lng
Dng m t, khm ph, thm d Dng khng nh,suy rng& d bo Ch tiu, i tng NC, mc nghin Ch tiu, i tng NC, mc nghin cu c th cha r rng cu r rng Linh ng trong hng nghin cu, Yu cu phi o lng khm ph hng nghin cu cha bit Ngi nghin cu l cng c thu thp thng tin Ngi nghin cu bit s b nhng iu m h mun nghin cu Ch quan: kin ca c nhn l quan trng, vd: quan st, phng vn su Quy np gi thuyt Ngi nghin cu s dng cc cng c (bn cu hi) thu thp thng tin Ngi nghin cu bit r rng nhng iu m h mun nghin cu Khch quan: o lng v phn tch qua iu tra Kim tra gi thuyt

Kh khi qut ha
T ng, hnh nh

Khi qut ha
Con s, thng k
27

L thuyt ra Q
Ti sao phi phn tch nh lng?
Vn phc tp n quan trng c bit m nh qun tr V mun phn tch trc khi a ra quyt nh; n mi m nh qun tr khng c kinh V nghim hng vn c c trng lp i lp li, nh N qun tr mun tit kim thi gian v ngun lc bng vic da vo th tc nh lng quyt nh hng ngy
28

L thuyt ra Q
Mc tiu ca nghin cu nh lng Khng nh, suy rng v d bo nhn dng vn Kim nh mt l thuyt hay mt gi thit, o lng cc con s, v phn tch bng cc k thut thng k Lp k hoch sn xut tnh ton la chn phng n ti u (Quyt nh u t, la chn cc phng n qui hoch)
29

L thuyt ra Q
Mi trng ra Quyt nh
Xc nh
+ Bit chc chn kt qu tng ng vi tng PA + Thng tin thu thp c xem l hon ho

Ri ro
+ Khng bit chc chn kt qu, bit xc sut xy ra ca tnh hung + Thng tin thu thp c xem l khng y

Khng xc nh
+ Khng bit bt c thng tin no + Thng tin thu thp c xem l khng hon ho
30

L thuyt ra Q
M hnh ra Quyt nh
+ i - phng n hng i trong bng RQ + j - trng thi ct j trong bng RQ + PO(i,j) - li ch c c nu chn phng n i v trng thi j xy ra

31

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ M hnh Max EMV:
Tiu chun ra quyt nh da trn gi tr k vng ti a n EMV(i) = PO (i, j ) * P ( j )
j 1

EMV(i) gi tr k vng ca phng n th i n s lng cc trng thi PO(i,j) li ch c c phng n i & trng thi th j P(j) xc sut xy ra ca trng thi t nhin j

Phng n c chn tng ng phng n c EMV(i) = maxi {EMV(i)}

32

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ M hnh Max EMV:
V d1: Bi ton Thompson
Gi s mi trng thi c xc sut xy ra 0.5 {th trng tt, th trng xu} Gi tr k vng > EMV(1) = 0.5*200000 + 0.5*(-180000) = 10000 > EMV(2) = 0.5*100000 + 0.5*(- 20000) = 40000 > EMV(3) = 0.5*0 + 0.5*0 = 0 Phng n 2 l phng n tt nht c chn

33

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ M hnh Max EMV:
V d 2: Bi ton bo tr my
Cc my ging nhau cn phi phc hi sau khong thi gian (nm) vn hnh. Trong khong thi gian , my c th c sa cha nu h hng. Sau bao nhiu nm th phc hi my chi ph bo tr l thp nht. Bit rng xc sut h hng mi nm ca tng my: Nm (t) Xc sut P(t) 1 2 3 4 5 6

5%

7%

10% 13% 18%

34

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ M hnh Max EMV:
V d 2: Bi ton bo tr my
Gi s > C 50 my (n) > Thi gian tt nht phc hi my l T > Chi ph sa cha trung bnh ca mi my $100 (c1) > Chi ph phc hi trung bnh ca mi my $200 (c2) Gi tr k vng ca chi ph bo tr trung bnh hng nm EC(t)

35

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ M hnh Max EMV:
V d 2: Bi ton bo tr my Chi ph phc hi sau T nm: c2* n
Chi ph sa cha .cho ton b n my: c1* n Chi ph sa cha .cho n my nm th t: c1* n* P(t) T 1 Chi ph sa cha .trong T nm:

c1* n * P(t )
t 1
t 1

Gi tr k vng ca chi ph bo tr T 1 ( c1* n * P(t )) c 2 * n trung bnh trong T nm (EC):

36

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ M hnh Max EMV:
V d 2: Bi ton bo tr my
Gi tr k vng ca chi ph bo tr trong T nm (EC):

t
1 2 3 4 5

P(t)
5% 7% 10% 13% 18%

EC(t)
500 375 367 400 450
37

Phng n phc hi theo chu k 3 nm l tt nht

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ Gi tr ca thng tin hon ho:
Bit chnh xc v s p ng ca th trng Gi tr k vng ca thng tin hon ho c ngha quyt nh J Gi tr k vng vi thng tin hon ho: EV WPI = BO ( j ) * P ( j )
j 1

BO(j) = maxi {PO(i,j)} gi tr kt qu tt nht ca trng thi j P(j) xc sut xy ra ca trng thi j

Gi tr k vng ca thng tin hon ho: EVPI = EV WPI maxi {EMV(i)}

38

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ Gi tr ca thng tin hon ho:
V d bi ton Thompson
Gi tr kt qu tt nht ca tng trang thi: > Th trng tt: BO(1) = 200000 > Th trng xu: BO(2) = 0 EV WPI = 200000*0.5 + 0*0.5 = 100000 EVPI = 100000 40000 = 60000 y cng chnh l gi ti a chp nhn cho chi ph thng tin hon ho

39

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ M hnh EOL: Gi tr ca s mt mt c hi
Tiu chun ra quyt nh da trn gi tr k vng ti thiu Cc bc:
Lp bng mt mt c hi: PO(i,j) = BO(j) PO(i,j) Xc nh gi tr k vng (EOL) Phng n c chn tng ng phng n c EOL(i)= mini {EOL(i)}

40

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ M hnh EOL: Gi tr ca s mt mt c hi
V d bi ton Thompson
Bng mt mt c hi: PO(i,j) = BO(j) PO(i,j) BO(1) = maxi {PO(i,j)} = 200000 BO(2) = maxi {PO(i,j)} = 0 Phng n Nh my ln Nh my nh Khng SX Cc trang thi t nhin Th trng tt 0 100,000 200,000 Th trng xu 180,000 20,000 0
41

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ M hnh EOL: Gi tr ca s mt mt c hi
V d bi ton Thompson
Gi tr k vng > EOL(1) = 0*0.5 + 180000*0.5 = 90000 > EOL(2) = 100000*0.5 + 20000*0.5 = 60000 > EOL(3) = 200000*0.5 + 0*0.5 = 100000 Phng n 2 c chn

Nhn xt:
EVWPI = EMV(i) + EOL(i) EVPI = Mini {EOL(i)} i vi bi ton chi ph, cc ch Max s thnh Min
42

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ Phn tch nhy
Mt yu t thay i trong 1 phm vi kh rng m khng lm thay i phng n la chn th bi ton c xem l khng nhy vi yu t . V d bi ton Thompson
Gi s xc sut ca mi trng tt l P th mi trng xu la 1-P Ta c: EMV(1) = 380000*P - 180000 EMV(2) = 120000*P - 20000 EMV(3) = 0
43

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ Phn tch nhy V d bi ton Thompson
th phn tch nhy
300,000 200,000 100,000 0 0 -100,000 -200,000 P 0.2 0.4 0.6 0.8 1 EMV(1) EMV(2) EMV(3)

EMV

44

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng ri ro
+ Phn tch nhy V d bi ton Thompson
Giao im ca th EMV(1) v EMV(2) ti P = 0.6154

EMV(2) v EMV(3) ti P = 0.1667 EMV(1) v EMV(3) ti P = 0.4737

Nu P [0,0.1667]: Phng n 3

Nu P [0.1667,0.6154]: Nu P [0.6154,1]:

Phng n 1 Phng n 2
45

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng khng xc nh
+ Tiu chun Maximax (lc quan)
Phng n c gi tr kt qu tt nht tng ng vi trng thi t nhin tt nht: Maxi {Maxj PO(i,j)} V d bi ton Thompson: Chn phng n xy nh my ln
Phng n Nh my ln Cc trang thi t nhin Th trng tt 200,000 Th trng xu -180,000

Nh my nh
Khng SX

100,000
0

-20,000
0
46

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng khng xc nh
+ Tiu chun Maximin (bi quan)
Phng n c gi tr kt qu xu nht tng ng vi trng thi t nhin tt nht: Maxi {Minj {PO(i,j)} V d bi ton Thompson: Chn phng n khng sn xut
Phng n Nh my ln Nh my nh Khng SX Cc trang thi t nhin Th trng tt 200,000 100,000 0 Th trng xu -180,000 -20,000 0
47

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng khng xc nh
+ Tiu chun Laplace (c hi xy ra nh nhau)
Phng n c gi tr li nhun trung bnh cao nht N (chi ph trung binh thp nht): V d bi ton Thompson: Phng n xy nh my nh
Phng n Nh my ln Nh my nh Khng SX Cc trang thi t nhin Th trng tt Th trng xu 200,000 100,000 0 -180,000 -20,000 0

PO (i, j )
j 1

Maxi

Gi tr li nhun trung binh 10,000 40,000 0

48

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng khng xc nh
+ Tiu chun Hurwicz (hin thc/trung bnh c trng s)
Kt hp gia tiu chun lc quan & bi quan ph thuc vo h s [0,1]: Maxi {*Maxj {PO(i,j)} + (1)*Minj {PO(i,j)}} V d bi ton Thompson vi = 80%
CH(1) = 0.8*200000 + (1-0.8)*(-180000) = CH(2) = 0.8*100000 + (1-0.8)*(-20000) = CH(3) = 0 Chn phng n xy nh my ln 124000 76000

49

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng khng xc nh
+ Tiu chun Minimax
Ti tiu ha tn tht vn c d tnh c th l ti a: Minj {Maxi {BO(i,j)}} V d bi ton Thompson Chn phng n xy nh my nh
Bng ra mt mt c hi: Phng n Nh my ln Nh my nh Khng SX Cc trang thi t nhin Th trng tt 0 100,000 200,000 Th trng xu 180,000 20,000 0
50

L thuyt ra Q
M hnh ra Quyt nh RQ trong mi trng khng xc nh
+ Tiu chun Minimax
V d 2.9 tr.56
Bng ra quyt nh (dng chi ph) Phng n 1 2 Cc trang thi t nhin Maximin

S1
11,000 10,000

S2
90 10,000

51

Cy quyt nh Khi nim

Bi ton ra quyt nh c th c nhiu cp. Cc quyt nh sau ph thuc vo cc quyt nh trc. Vic thit lp bng ra quyt nh rt phc tp cho nn vic thit lp cy quyt nh thng c s dng

52

Cy quyt nh Khi nim

Cy Q c thit lp theo trnh t thi gian v logic ca cc cp. K hiu trn biu ca cy Q:
+ vung - nt quyt nh
x + trn - nt trng thi

53

Cy quyt nh Cc bc
Xc nh vn V cy Q Xc nh xc sut xy ra ca tng trng thi Xc nh gi tr kt qu Gii bi ton da vo EMV cho tng nt trng thi (t phi sang tri)
54

Cy quyt nh
V d bi ton Thompson
Payoff
EMV(1)=$10,000 1 Xy nh my ln $40,000 EMV(2)=$40,000 Xy nh my nh Khng sn xut 2 Th trng ha hn (50%) Th trng khng ha hn (50%) Th trng ha hn (50%) $200,000 ($180,000)

$100,000
($20,000)

Th trng khng ha hn (50%)

EMV(3)=$0 3

$0

55

Cy quyt nh
V d bi ton Thompson (m rng)
Gi s c s xem xt t vic thm d kho st th trng.
+ Chi ph c tnh l $10,000 + Xc sut ca kt qu thm d th trng

Th trng ha hn
45% Thc s 78% Khng thc s 22%

Th trng khng ha hn
55% Thc s 27% Khng thc s 73%
56

Cy quyt nh
V d bi ton Thompson
Kho st th trng ha hn
EMV(1)=$106,400 1 Xy nh my ln Thc s ha hn (78%) Khng thc s ha hn (22%)

Payoff
$190,000 ($190,000) $90,000 ($30,000)

$106,400

EMV(2)=$63,600
Xy nh my nh Khng sn xut 2

Thc s ha hn (78%)
Khng thc s ha hn (22%)

EMV(3)=($10,000) 3

($10,000)

57

Cy quyt nh
V d bi ton Thompson
Kho st th trng khng ha hn
EMV(4)=($87,400) 1 Xy nh my ln Thc s ha hn (27%) Khng thc s ha hn (73%)

Payoff
$190,000 ($190,000) $90,000 ($30,000)

$2,400

EMV(5)=$2,400
Xy nh my nh Khng sn xut 2

Thc s ha hn (27%)
Khng thc s ha hn (73%)

EMV(6)=($10,000) 3

($10,000)

58

Cy quyt nh
V d bi ton Thompson
Khng kho st th trng
EMV(7)=$10,000 1 Xy nh my ln Th trng ha hn (50%) Th trng khng ha hn (50%) Th trng ha hn (50%) Th trng khng ha hn (50%)

Payoff
$200,000 ($180,000) $100,000 ($20,000)

$40,000

EMV(8)=$40,000 Xy nh my nh Khng sn xut 2

EMV(9)=$0 3

$0

59

Cy quyt nh
V d bi ton Thompson (m rng)
EMV(0)=$49,200 0 Thm d ha hn (45%) Thm d khng ha hn (55%) $106,400 $2,400

Thm d
$49,200

Khng

thm d
$40,000

60

Cy quyt nh
Gi tr ca thng tin ly mu Gi tr k vng ca thng tin ly mu (EVSI) l Chi ph ti a cho vic kho st th trng (trc khi ra Q) EVSI = Gi tr k vng ca Q tt nht khi c thng tin (khng tnh chi ph thu thp thng tin)

Gi tr k ca Q tt nht khi khng c thng tin

61

Cy quyt nh
Gi tr ca thng tin ly mu V d

Theo v d k trn:
+ Gi tr k vng ca Q tt nht khi c thng tin: $49,200 + $10,000

+ Gi tr k vng ca Q tt nht khi khng c thng tin: $40,000

EVSI = $59,200 - $40,000 = $19,200

62

Cy quyt nh
Xc nh XS trong cy Q bng cng thc Bayes

63

Cy quyt nh
L thuyt v v li M u
V d:
EMV(1)=$2,500,000
1

Payoff
Kh nng 1 (50%) Kh nng 2 (50%) $5,000,000 $0

PA 1
$2,500,000

PA 2

EMV(2)=$2,000,000 2 $2,000,000

Dng EMV trong ra Q khng xt n mc chp nhn ri ro Kt hp mc chp nhn ri ro vo bi ton l vic s dng khi nim V LI
64

Cy quyt nh
Xc nh v li Gn v li
+ 0 kh nng xu nht + 1 kh nng tt nht

Xc nh v li ca cc trng hp trung gian Gi s:

+ (p) Xc sut xy ra kt qu tt nht (1-p) Xc sut xy ra kt qu xu nht + ng vi mi gi tr trung gian, thay i dn gi tr ca p sao cho khng th Q nn chn PA no + Gi tr p xc nh c chnh l VL ca gi tr kt qu trung gian ang xt
65

Cy quyt nh
Xc nh v li
(p)
1

Kt qu tt nht
Kt qu xu nht

PA 1

(1-p)

PA 2
2

Kt qu trung gian

Thc hin xc nh VL vi nhiu gi tr khc nhau, ta v c ng biu din ca VL

66

Cy quyt nh
L thuyt v v li V d: Biu din VL cho 1 c hi kinh doanh C 2 PA:
+ u t vn vo a c: li nhun $10,000 vi xc sut p hoc khng c g + Gi tin vo ngn hng

Vi 1 gi tr li nhun trung gian, cn tm p sao cho c 2 PA l nh nhau Gi s ti gi tr $5,000, 2 PA l nh nhau trong 80% trng hp; K hiu U($5,000) = 80% Tip tc nh trn, ta c VL ca mi gi tr trung gian
67

Cy quyt nh
L thuyt v v li Biu din v li
U
Trnh ri ro

Cn bng ri ro

a thch ri ro

C 3 dng ng cong biu din v li

68

Cy quyt nh
L thuyt v v li

Lu : Ngi ra Q c th c nhng ng cong biu din VL khc nhau cho nhng tnh hung khc nhau Vic ra Q c th c thc hin da trn tiu chun v k vng ca VL

69

Cy quyt nh
L thuyt v v li V d bi ton tung ng xu
Theo tiu chun EMV
EMV(1)=($1,000) Chp nhn cc $0 c (45%) Mt (55%) $10,000

($10,000)

Khng chp nhn cc

EMV(2)=0 2

$0

70

Cy quyt nh
L thuyt v v li V d bi ton tung ng xu
Phn tch VL
U(1)=$0.1625 Chp nhn cc $0,1625 c (45%) Mt (55%) $10,000 U=0.30 ($10,000) U=0.05

Khng chp nhn cc

U(2)=0.15

$0 U=0.15
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72

73

L thuyt ra Q
M hnh ra Quyt nh
RQ trong iu kin khng xc nh
+ M hnh Maximax: Maxi (Max Pij) + M hnh Maximin: Maxi (Min Pij) + M hnh ng u ngu nhin: Maxi Pij + M hnh Hurwiez trung bnh c trng s:
l mt trng s (0<<1) Maxi [ Maxj Pij + (1) Minj Pij ]

+ M hnh Minimax: Mini [Maxj OLij ]

Trong OLij = Maxi Pij Pij
74

75

PP nh lng Cc phng php ton ng dng

Thng k k ton: L mt b phn ca ton hc ng dng dnh cho cc phng php x l v phn tch s liu thng k. Cc ng dng ch yu ca n trong qun l l cc phng php x l kim tra v d on (d on, iu tra chn mu,) M hnh ton: L s phn nh nhng thuc tnh c bn nht nh ca cc i tng nghin cu kinh t, l cng c trng cho vic tru tng ho mt cch khoa hc cc qu trnh v hin tng kinh t. Khoa hc kinh t t lu bit s dng cc m hnh kinh t lng nh m hnh hm sn sut Cobb Douglas, m hnh cung cu, gi c v.v...
76

PP nh lng Cc phng php ton ng dng

Vn tr hc: L khoa hc c mc ch nghin cu cc phng php phn tch nhm chun b cn c chnh xc cho cc quyt nh, i tng ca n l h thng, tc l tp hp cc phn t v h thng cn c tc ng qua li vi nhau nhm t ti mt mc tiu nht nh. Vn tr hc bao gm nhiu nhnh khoa hc ng dng gp li: (1) L thuyt ti u (bao gm: quy hoch tuyn tnh, quy hoch ng, quy hoch ngu nhin, quy hoch nguyn, quy hoch 0 - 1, quy hoch a mc tiu, l thuyt tr chi...); (2) L thuyt th v s mng li; (3) L thuyt d tr bo qun; (4) L thuyt tm kim;...
77

PP nh lng
Cc phng php & m hnh c bn
Thng k m t Phng php Phn tch hi qui Cc phng php D bo M hnh ton (qui hoch tuyn tnh, qui hoch nguyn, qui hoch phi tuyn) M hnh mng Phn tch Markov,
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