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Vol. 9, No. 5, May 2011
Computing the Efficiency of a DMU with
Stochastic Inputs and Outputs Using Basic DEA
Models
M. Nabahat
Sama technical and vocational
training school, Islamic Azad
university, Urmia branch,Urmia,Iran
mehrdad_nabahat@yahoo.com
F.Esmaeeli sangari
Sama technical and vocational
training school, Islamic Azad
university, Urmia branch,Urmia,Iran
fardin_e_s@yahoo.com
S.M.Mansourfar
Sama technical and vocational
training school, Islamic Azad
university, Sahand branch, Sahand,
Iran
mostafa.mansourfar@gmail.com
Abstract This paper tries to introduce essential models of
stochastic and deterministic models (DEA) using the Chance
Constrained Programming model to measure the DMU, that
enter the system simultaneously with the stochastic inputs and
outputs. Considering the fact that by adding a Decision Making
Unit to the series of DMUs the efficiency frontier may change, the
main goal is to change the available essential stochastic models of
DEA and compute the amount of efficiency of the DMU and its
position in respect to the old frontier.
Finally an Example is shown to highlight the procedure of
changing the stochastic model to deterministic model.
KeywordsDEA; Stochastic Programming; Efficiency; frontier
1. Introduction
Stochastic programming is a framework of modeling
optimization problems that involve uncertainty. Whereas
deterministic optimization problems are formulated with
known parameters, real world problems almost invariably
include some unknown parameters. Stochastic programming
models are similar in style but take advantage of the fact that
probability distributions governing the data are known or can
be estimated.
This branch of science has been used since the late 1950s for
decision models where input data (coefficients in Lp problem)
have been given probability distribution. Without any attempt
at completeness, we might mention from the early
contributions to this field. The pioneer works were done by
Dantzing[12], Beale[34], Tintner[5], Simon, Charnes,Cooper
[67], Avriel and Williams [8] and Since then ,a number of
Stochastic programming models have been formulated in
inventory theory, system maintenance ,microeconomics
,banking and finance.
Among various stochastic models, we would like to introduce
the chance constrained programming, and we will use it in one
of the essential models.
In this paper new DMU with stochastic inputs and outputs is
added to the set of observed DMUs then information about
efficiency of this DMU and changes in frontier of production
possibility set of observed DMUs are interested.
2. Preliminaries
Consider a set of homogenous DMUs as
( ) n j DMU
j
, , 2 , 1 = .Each DMU Consumes m
inputs to produce S outputs. Suppose that
( )
T
mj j j
x x X ,
1
= and ( )
T
sj j j
y y Y ,
, 1
= are the
vectors of inputs and outputs values for
j
DMU .
Respectively let 0 & 0 = >
j j
X X and
0 & 0 = >
j j
Y Y .
By using 01 parameters
2 1
,o o and
3
o , the production
possibility sets can be written into its generalized form [9],
¦
¦
¦
)
¦
¦
¦
`
¹
¦
¦
¦
¹
¦
¦
¦
´
¦
+ = > = ÷ +
> > s
=
+
=
= =
¯
¯ ¯
1 ,..., 1 , 0 , ) ) 1 ( (
, 0 ,
) . (
1 1
3
2
1
1
1 1
n j
y y x x
y x T
j n
n
j
j
n
j
j j
n
j
j j
ì o ì o ì o
ì ì
o
The following four different production possibility sets are
obtained by assigning different values to ) , , (
3 2 1
o o o :
(i) If { } { } 1 , 0 & 1 , 0 & 0
3 2 1
e e = o o o , then
T becomes the production possibility set for the CCR
model.
¯ ¯
= =
= > > > > =
n
j
n
j
j j j j j CCR
n j y y x x y x T
1 1
} ,..., 1 , 0 , 0 ,  ) , {( ì ì ì
(ii) If & 0 & 1
2 1
= = o o , { } 1 , 0
3
e o then
T becomes the production possibility set for the BCC
model.
¯ ¯ ¯
= = =
= > = > > > =
n
j
n
j
j
n
j
j j j j j BCC
n j y y x x y x T
1 1 1
} ,... 1 , 0 , 1 , 0 ,  ) , {( ì ì ì ì
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ISSN 19475500
(IJCSIS) International Journal of Computer Science and Information Security,
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Theorem 1. (Bon ferroni inequality):
If the set of arbitrary events
n
A A A , ,
2 1
constitutes a
partition of the sample space S and
c
n
c c
A A A , , ,
2 1
are
complements of events
n
A A A , ,
2 1
the following rule
apply:
) 1 ( ) ( 1 ) (
1 1
¯
= =
÷ >
n
i
i
c
i
n
i
A P A P
3. Adding Competitive DMU to the Basic DEA Models
In this section, we will introduce two basic models of DEA
with special condition, new DMU with stochastic inputs and
outputs is added to the set of observed DMUs then
information about efficiency of this DMU and changes in
frontier of production possibility set of observed DMUs are
interested. Suppose
1 + n
DMU with Stochastic inputs and
outputs enter the previous comparative DMU system .We
want to achieve results regarding the efficiency of
1 + n
DMU and impact of the amount of deterministic inputs
and outputs on the old PPS frontier.
A Chance Constrained Programming model for CCR model
with the assumption that
o
DMU with a stochastic inputs
and outputs enters the system is defined as the following:
Where
o o
Y X and are all random variables and
r
P
degree of probability and follow from each constraint being
realized with a minimum probability of
1 0 1 < < ÷ o o .
For illustrative purpose, let us assume
o o
Y X and are
normally distributed with known means and variances. Thus
we have the following chance constrained programming
problem
n j
s r m i y y x x P t s
Min
j
ro
n
j
rj j io
n
j
ij j r
, , 2 , 1 , 0
, , 1 , , 1 1 , .
1 1
= >
= = ÷ >


.

\

> s
¯ ¯
= =
ì
o ì u ì
u
Suppose:
Following the theorem 1:
¯ ¯
= =
+
=
÷ > > s =
n
j
n
j
ro rj j io ij j r
c
i
s m
i
r
y y x x P A P
1 1 1
1 ) , ( ) ( o ì u ì
(2)
From (1) and (2) we have:
s m i
s m
A P
A P
A P A P
i r
c
i
s m
i
r
s m
i
i
c
i
s m
i
r
+ =
+
s ¬
¦
¦
)
¦
¦
`
¹
÷ >
÷ >
+
=
+
=
+
=
¯
, , 1 ) (
1 ) (
) ( 1 ) (
1
1 1
o
o
We have introduced
o
DMU with normally distributed, it
means:
s r m i
N y N x
r r ro i i io
,... 1 , ,... 1
) , ( ~ , ) , ( ~
2 2
= =
o u o u
Then it can be written:
) 4 ( ,..., 1 ) ( ) (
) 3 ( ,..., 1 ) ( ) (
1
1
s r
s m
y y P A P
m i
s m
x x P A P
ro
n
j
rj j r r m r
io
n
j
ij j r i r
=
+
s < =
=
+
s > =
¯
¯
=
+
=
o
ì
o
u ì
By (3):
) 5 ( ) (
,...., 1
1
1
s m
x x P
m i
s m
x x x P
io o
n
o j
j
ij j r
io io o
n
o j
j
ij j r
+
s

.

\

÷ >
=
+
s

.

\

> +
¯
¯
=
=
=
=
o
ì u ì
o
u ì ì
 
n j
T Y X P t s
Min
j
c o o r
, , 2 , 1 , 0
1 ) , ( .
= >
÷ > e
ì
o u
u
s r y y A
m i x x A
ro
n
j
rj j r m
io
n
j
ij j i
, , 1
, , 1
1
1
= < =
= > =
¯
¯
=
+
=
ì
u ì
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ISSN 19475500
(IJCSIS) International Journal of Computer Science and Information Security,
Vol. 9, No. 5, May 2011
It is known that
) 1 , 0 ( ~ Then ) , ( ~ if
2
N
X
N X
o
u
o u
÷
From (5) we have:
) 6 (
) (
) ( ) (
) (
) (
1
s m
x
x
P
Z
o i
o i o io
z
o i
n
o j
j
o i ij j
r
+
s




.

\

÷
÷ ÷ ÷
>
÷
÷ ÷
¯
=
=
o
ì u o
ì u u ì u
ì u o
ì u u ì
Let o represented the cumulative distribution function (CDF)
of the standard normal distribution and suppose
s m
K
+
o
be the
standard normal value such that
s m
K
s m
+
÷ =
+
o
o
o
1 ) ( then
from (6):
) ( 1
) (
) (
1
s m o i
o i
n
o j
j
ij j
K
s m
x
+
=
=
÷ =
+
s





.

\

÷
÷ ÷
¯
o
o
o
ì u o
ì u u ì
o
Finally:
¬ ÷ s ÷ s
÷
÷ ÷
+ +
=
=
¯
s m s m o i
o i
n
o j
j
ij j
K K
x
o o
ì u o
ì u u ì
1
) (
) (
1
) 7 ( ) 1 ( ) 1 (
1
÷ + s
÷ + +
+ +
=
=
¯
s m
i i
s m
i i o
n
o j
j
ij j
K K x
o o
o u u o u ì ì
Same process can be considered for (4)
Then the deterministic form of this model is:
n j
K K y
K K x t s
Min
j
s m
r r
s m
r r o
n
o j
j
rj j
s m
i i
s m
i i o
n
o j
j
ij j
, , 2 , 1 , 0
) 8 ( )] 1 ( [ )] 1 ( [
)] 1 ( [ )] 1 ( [ .
1
1
= >
÷ + > ÷ + +
÷ + s ÷ + +
+ +
=
=
+ +
=
=
¯
¯
ì
o u o u ì ì
o u u o u ì ì
u
o o
o o
Deterministic form of BCC model for measuring the
efficiency of
o
DMU is:
n j
K K y
K K x t s
Min
j
n
j
j
s m
r r
s m
r r o
n
o j
j
rj j
s m
i i
s m
i i o
n
o j
j
ij j
, , 2 , 1 , 0 , 1
) 9 ( )] 1 ( [ )] 1 ( [
)] 1 ( [ )] 1 ( [ .
1
1
1
= > =
÷ + > ÷ + +
÷ + s ÷ + +
¯
¯
¯
=
+ +
=
=
+ +
=
=
ì ì
o u o u ì ì
o u u o u ì ì
u
o o
o o
The determination of the interval where
s m
K
+
o
is
changeable.
By n j x X y Y
j j
,..., 1 0 , 0 , 0 , 0 = > > > > , we
have:
) . 10 ( 1 0 ) ( 0 ) 1 (
) . 10 ( 1 ) ( 0 ) 1 (
b K K K
a K K K
r
r
s m s m
r r r
s m
r r
i
i
s m s m
i i i
s m
i i
o
u
o o u o u
o
u
o o u o u
o o o
o o o
÷ > ¬ > + ÷ ¬ > ÷ +
+ s ¬ > + ¬ > ÷ +
+ + +
+ + +
And by 1 1 0 1 0 < ÷ < ¬ < < o o :
) . 10 ( )
1
1 (
1
1 ) (
1
1 1
1
1 0 1
1
c
s m
K
s m
K
s m s m s m s m
s m s m
+
÷ > ¬
+
÷ > ¬
+
÷ >
+
÷ ¬
+
<
+
¬ < ¬ > ÷
÷
+ +
o o
o o
o o
o o
By (10.a), (10, b), (10.c),
s m
K
+
o
is obtained.
4. Numerical example
In this section ,we work out a numerical example to illustrate
the efficiency of competing DMU with stochastic inputs and
outputs that enter our system and suppose the inputs and
outputs are normally distributed with known means and
variances(given by Decisionmaker) deterministic model and
its efficiency are interested .
Example: Consider the four DMUs with single inputs and
single outputs as defined in Table 1:
Table 1
Data set for the numerical example
DMU A B C D E
Input 2 5 2 7 ) 4 , 2 ( ~ N x
E
Output 4 8 2 8 ) 9 , 8 ( ~ N y
E
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(IJCSIS) International Journal of Computer Science and Information Security,
Vol. 9, No. 5, May 2011
By adding
E
DMU with stochastic inputs and outputs and
using (2) for CCR model, we have:
0 , , ,
) 11 ( 1
8 2 8 4
0 7 2 5 2
.
5 2 1
15 5 15 4 3 2 1
15 5 15 4 3 2 1
>
÷ >
> + + + +
> + ÷ ÷ ÷ ÷ ÷
ì ì ì
o
ì ì ì ì ì
u ì ì ì ì ì
u
y y
x x
P t s
Min
r
The deterministic form of (11) is:
0 , , ,
)] 1 ( 3 8 [ )] 1 ( 3 8 [ 8 2 8 4
)] 1 ( 2 2 [ )] 1 ( 2 2 [ 7 2 5 2 .
5 2 1
2 2
5 4 3 2 1
2 2
5 4 3 2 1
>
÷ + > ÷ + + + + +
÷ + s ÷ + + + + +
ì ì ì
ì ì ì ì ì
u ì ì ì ì ì
u
o o
o o
K K
K K t s
Min
The deterministic form of BCC model for measuring the
efficiency of
E
DMU is:
0 , , ,
1
)] 1 ( 3 8 [ )] 1 ( 3 8 [ 8 2 8 4
)] 1 ( 2 2 [ )] 1 ( 2 2 [ 7 2 5 2 .
5 2 1
5 4 3 2 1
2 2
5 4 3 2 1
2 2
5 4 3 2 1
>
= + + + +
÷ + > ÷ + + + + +
÷ + s ÷ + + + + +
ì ì ì
ì ì ì ì ì
ì ì ì ì ì
u ì ì ì ì ì
u
o o
o o
K K
K K t s
Min
So from the intersection of (10.a), (10.b),
(10.c), 2 0
2
s <
o
K . By Supposing 1 . 0 ) ( Range
2
=
o
K
Now, we apply our method to the data set. The results are
provided in Table 2. As we can see in Table 2, for
E
DMU
The Deterministic Inputs and Outputs of
E
DMU and
Objective Function that is measured with CCR and BCC
Model. The last column shows that in which condition (value
of o )
E
DMU is MPSS.
Fig. 1.Old and New Efficient Frontiers for the Example
The old and new efficient frontiers to this data set are depicted
Fig. 1.As the figure shows,
E
DMU after 4 stage with special
value of o will be Most Product Scale Size( MPSS).
5. Conclusion
Randomness in problem data poses a serious challenge for
solving many linear programming problems especially in
DEA. .The goal is to compute the least amount of o in which
the discussed DMU is efficient for the first time.
Table 2
The Deterministic Inputs and Outputs of DMUE and Objective Function that is
measured with CCR and BCC Model.
.
.
Fig. 1.Old Efficient and New Efficient Frontiers for the Example
Two cases might happen either the DMU locates on the
frontier that the other DMU's had made before the use of
comparative DMU. In this case the efficiency of other DMU's
is preserved. There may be just a ranking order of the DMUs
(in the CCR model).or as in the second case this DMU might
not be located on the old frontier. In this case the PPS frontier
changes and gains new shape. We can 'not say any thing about
the DMU's that were efficient before adding the competitive
DMU and their efficiency must be measured again.
MPSS or
Non MPSS
CCR

u BCC

u
1
O
1
I
α 1÷
2
o
K
Non MPSS 0.697 0.783 5.3 3.8 0.0796 0.1
Non MPSS 0.778 0.889 5.6 3.6 0.1586 0.2
Non MPSS 0.868 1 5.9 3.4 0.2358 0.3
Non MPSS 0.969 1 6.2 3.2 0.3108 0.4
MPSS 1 1 6.5 3.0 0.3830 0.5
MPSS 1 1 6.8 2.8 0.4514 0.6
MPSS 1 1 7.1 2.6 0.5160 0.7
MPSS 1 1 7.4 2.4 0.5762 0.8
MPSS 1 1 7.7 2.2 0.6318 0.9
MPSS 1 1 8.0 2.0 0.6826 1.0
MPSS 1 1 8.3 1.8 0.7286 1.1
MPSS 1 1 8.6 1.6 0.7698 1.2
MPSS 1 1 8.9 1.4 0.8064 1.3
MPSS 1 1 9.2 1.2 0.8384 1.4
MPSS 1 1 9.5 1.0 0.8664 1.5
MPSS 1 1 9.8 0.8 0.8904 1.6
MPSS 1 1 10.1 0.6 0.9108 1.7
MPSS 1 1 10.4 0.4 0.9282 1.8
MPSS 1 1 10.7 0.2 0.9426 1.9
A
Input
Output
Old CCR frontier
Old BCC frontier
direction
C
B D
E
203 http://sites.google.com/site/ijcsis/
ISSN 19475500
(IJCSIS) International Journal of Computer Science and Information Security,
Vol. 9, No. 5, May 2011
Probability of either two cases is dependent upon the amount
of mean and variance of the DMU's available for us by the
DM.
6.Acknowledgment
Authors sincerely thank Dr. F. Hosseinzadeh Lotfi, for his
most valuable comment and encouragement, which stimulated
a significant revision on the description of research
motivation, explanation and conclusion of the paper.
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