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Annals of operations research
Kluwer Academic Publishers
Annals of operations research

Kluwer Academic Publishers

0254-5330

Annals of operations research/Journal Annals of operations researchSCIISTP
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    Optimal firm behavior under pollution irreversibility risk, and distance to irreversibility thresholds

    R. BoucekkineW. RuanB. Zou
    1471-1500页
    查看更多>>摘要：We study optimal firm behavior under irreversible pollution risk for a general class of models with irreversible local pollution. Irreversibility comes from the decay rate of pollution dropping to zero above a pollution level featuring non-convexity. In addition, the firm can instantaneously move from a reversible to an irreversible pollution mode, following a Pois-son process. First, we prove for the general class of models that for any value of the Poisson probability, the optimal emission policy leads to more pollution with the irreversibility risk than without in a neighborhood of the irreversibility threshold. It's shown that the extent of uncertainty (as captured by the Poisson arrival rate) is second-order in this neighborhood. Next we study the robustness of the latter result at any pollution level in the case of linear-quadratic objective functions. We find that the general local result does not necessarily hold if actual pollution is far enough from the irreversibility threshold.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature

    A generalization to networks of Young's characterization of the Borda rule

    Daniela BubboloniMichele Gori
    1501-1552页
    查看更多>>摘要：We prove that, for any given set of networks satisfying suitable conditions, the net-oudegree network solution, the net-indegree network solution, and the total network solution are the unique network solutions on that set satisfying neutrality, consistency and cancellation. The generality of the result obtained allows to get an analogous result for social choice correspondences: for any given set of preference profiles satisfying suitable conditions, the net-oudegree social choice correspondence, the net-indegree social choice correspondence and the total social choice correspondence are the unique social choice correspondences on that set satisfying neutrality, consistency and cancellation. Using the notable fact that several well-known voting rules coincide with the restriction of the net-outdegree social choice correspondence to appropriate sets of preference profiles, we are able to deduce a variety of new and known characterization theorems for the Borda rule, the Partial Borda rule, the Averaged Borda rule, the Approval Voting, the Plurality rule and the anti-Plurality rule, among which Young's characterization of the Borda rule and Fishburn's characterization of the Approval Voting.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature

    On λ-cent-dians and generalized-center for network design: formulations and algorithms

    Victor BucareyNatividad Gonzalez-BiancoMartine LabbeJuan A. Mesa...
    1553-1573页
    查看更多>>摘要：In this paper, we study the λ-centdian problem in the domain of network design. The focus is on designing a sub-network within a given underlying network while adhering to a budget constraint. This sub-network is intended to efficiently serve a collection of origin/destination demand pairs. We extend the work presented in Bucarey et al. (On λ-cent-dians and generalized-center for network design: definitions and properties, 2024), providing an algorithmic perspective on the generalized λ-centdian problem. In particular, we provide a mathematical formulation for λ ≥ 0 and discuss the bilevel structure of this problem for λ ≥ 1. Furthermore, we describe a procedure to obtain a complete parametrization of the Pareto-optimality set based on solving two mixed integer linear formulations by introducing the concept of maximum λ-cent-dian. We evaluate the quality of the different solution concepts using some inequality measures. Finally, for X e [0, 1], we study the implementation of a Benders decomposition method to solve it at scale.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature

    Characterizations of the u-prenucleolus by dually-u-essential coalitions

    Zsofia DomaiMiklos Pinter
    1575-1607页
    查看更多>>摘要：We extend the theory of TU-games with utility functions, which is a generalization of TU-games with restricted cooperation, to include dual games. By using the theory of dual games, we define dually-u-essential coalitions and show that they characterize the u-prenucleolus of u-balanced games. Additionally, we demonstrate that the intersection of u-essential and dually-u-essential coalitions also forms a characterization set for the u-prenucleolus, provided that the u-least-core is a proper subset of the u-core.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature

    Going faster to see further: graphics processing unit-accelerated value iteration and simulation for perishable inventory control using JAX

    Joseph FarringtonWai Keong WongKezhi LiMartin Utley...
    1609-1638页
    查看更多>>摘要：Value iteration can find the optimal replenishment policy for a perishable inventory problem, but is computationally demanding due to the large state spaces that are required to represent the age profile of stock. The parallel processing capabilities of modern graphics processing units (GPUs) can reduce the wall time required to run value iteration by updating many states simultaneously. The adoption of GPU-accelerated approaches has been limited in operational research relative to other fields like machine learning, in which new software frameworks have made GPU programming widely accessible. We used the Python library JAX to implement value iteration and simulators of the underlying Markov decision processes in a high-level interface, and relied on this library's function transformations and compiler to efficiently utilize GPU hardware. Our method can extend use of value iteration to settings that were previously considered infeasible or impractical. We demonstrate this on example scenarios from three recent studies which include problems with over 16 million states and additional problem features, such as substitution between products, that increase computational complexity. We compare the performance of the optimal replenishment policies to heuristic policies, fitted using simulation optimization in JAX which allowed the parallel evaluation of multiple candidate policy parameters on thousands of simulated years. The heuristic policies gave a maximum optimality gap of 2.49%. Our general approach may be applicable to a wide range of problems in operational research that would benefit from large-scale parallel computation on consumer-grade GPU hardware.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature

    Optimal selling price and replenishment time with a limited-time free trial

    Lin FengKonstantina SkouriYa-Lan Chan
    1639-1661页
    查看更多>>摘要：Nowadays, online stores have become the choice markets for consumers. However, a main disadvantage of this choice is that consumers hardly have opportunities to inspect the product. So, a free trial period could be used as a marketing tool giving prospective customers the ability to evaluate and inspect the products before making their orders. Hence, the disadvantage of lack of product experience diminishes, contributing to sales increase. In addition, pricing is a well-known powerful and effective marketing tool towards increasing sales. As a result, pricing and free trials are two of the most powerful and effective marketing tools to increase sales and profitability. Nevertheless, in inventory management literature, the studies on the joint impact of free trial and selling price are rarely seen. Within the EOQ framework, we propose a model, in which the seller has the ability to determine whether to offer free trials or not, and then to decide the optimal selling price and replenishment cycle so that the total profit is maximized. Furthermore, we establish several theoretical results and try to answer the following important and relevant questions: (1) the conditions under which the seller should offer a free trial to prospective customers, (2) the impact of a free trial offer on the replenishment cycle and selling price, and (3) the influence of price elasticity on the selling price and order quantity. Finally, through sensitivity analysis we study the effect of several parameters on the optimal solution.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature

    N-player and mean field games among fund managers considering excess logarithmic returns

    Guohui GuanJiaqi HuZongxia Liang
    1663-1691页
    查看更多>>摘要：This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expected utility or mean-variance criteria for excess logarithmic return. Each fund manager possesses a unique risky asset, and all fund managers can also invest in a public risk-free asset and a public risk asset. We construct both an rc-player game and a mean field game (MFG) to address the competition problem under these two criteria. We explicitly define and rigorously solve the equilibrium and mean field equilibrium (MFE) for each criteria. In the four models, the excess logarithmic return as the evaluation criterion of the fund leads to the allocation fractions being constant. The introduction of the public risky asset yields different outcomes, with competition primarily affecting the investment in public assets, particularly evident in the MFG. We demonstrate that the MFE of the MFG represents the limit of the n-player game's equilibrium as the competitive scale n approaches infinity. Finally, the sensitivity analyses of the equilibrium are given.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature

    Black-Litterman portfolio optimization based on GARCH-EVT-Copula and LSTM models

    Vu HuynhBao Quoc Ta
    1693-1715页
    查看更多>>摘要：In constructing diversified portfolios, the investors might be interested in incorporating some quantifiable views or opinions. The Black-Litterman model is a useful approach to integrate investors' views into the Markowitz allocation model. In this paper we utilize a deep learning model to estimate the investors's views and use GARCH-EVT-Copula to model the dependence structure between stock market returns in a large portfolio. The findings show that the Black-Litterman model for portfolio optimization based on GARCH-EVT-Copula and LSTM (Long Short Term Memory) models gives better performances as compared with the traditional max-Sharpe and the original Black-Litterman portfolio problems.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature

    Column-and-constraint generation approach to partition-based risk-averse two-stage stochastic programs

    Jongheon LeeKyungsik Lee
    1717-1747页
    查看更多>>摘要：Typically, two-stage stochastic programs have been modeled and solved based on the finite support assumption, but the large number of scenarios makes it hard to solve, and there also are potential risks of inaccurate estimation of underlying distribution. In this paper, to mitigate the drawbacks, we present a novel risk-averse two-stage stochastic program with finite support, which we call partition-based risk-averse two-stage stochastic program. In the program, a set of scenarios is partitioned into several groups, and the second-stage cost is defined as the expectation of risk levels for all of the groups. In particular, the conditional value-at-risk is considered as a risk measure for each group, and so the risk level of the model is affected by a quantile parameter or a partition of a given set of scenarios. In order to solve the model exactly for a given partition, a column-and-constraint generation algorithm is proposed. In addition, a scenario partitioning algorithm to enable the risk level of the model to be close to a given target is devised, and partitioning schemes for combining it with the proposed column-and-constraint generation algorithm are proposed. Extensive numerical experiments were performed that demonstrated the effectiveness of the proposed partitioning schemes and the efficiency of the proposed solution approach.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature

    Biased random-key genetic algorithms for the weighted minimum broadcast time problem

    Alfredo LimaLuiz Satoru OchiBruno NogueiraRian G. S. Pinheiro...
    1749-1783页
    查看更多>>摘要：Broadcasting is an essential operation in distributed systems, with a wide range of applications. This study is focused on solving the Weighted Minimum Broadcast Time (WMBT), a problem that extends the classical Minimum Broadcast Time problem (MBT) by incorporating costs associated with each communication operation. We propose five contributions to the WMBT: (i) an integer linear programming model, (ii) two greedy algorithms, (iii) two Biased Random-Key Genetic Algorithms (BRKGAs), (iv) a lower bound algorithm, (v) a reduction rule to decrease an instance size, and (vi) a method to create instances with known optimal solutions. Our novel approaches are compared with state-of-the-art methods using large-scale synthetic instances. The experimental results demonstrate the effectiveness of our proposals. The greedy algorithms attains the best known solutions in a significant number of instances, while the two BRKGAs further enhance this performance, surpassing the greedy algorithms in many of the tested instances.
      原文链接:
    • NETL
    • NSTL
    • Springer Nature