Eur. J. Oper. Res.最新文献

Risk budgeting portfolios from simulations 从模拟中进行风险预算

Eur. J. Oper. Res. Pub Date : 2023-02-02 DOI: 10.2139/ssrn.4038514

Bernardo Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino

引用次数: 3

Dynamic scheduling with uncertain job types 具有不确定作业类型的动态调度

Eur. J. Oper. Res. Pub Date : 2023-02-01 DOI: 10.2139/ssrn.4222017

Zuo‐Jun Max Shen, Jingui Xie, Zhichao Zheng, Hanpu Zhou

引用次数: 0

Demand management for attended home delivery - A literature review 上门送货的需求管理——文献综述

Eur. J. Oper. Res. Pub Date : 2023-02-01 DOI: 10.2139/ssrn.4055952

K. Wassmuth, C. Köhler, Niels A. H. Agatz, M. Fleischmann

引用次数: 7

A choice-based optimization approach for contracting in supply chains 基于选择的供应链承包优化方法

Eur. J. Oper. Res. Pub Date : 2023-01-01 DOI: 10.2139/ssrn.3986160

Nils Roemer, G. Voigt, Sven Müller

引用次数: 5

How to preempt attacks in multi-front conflict with limited resources 如何在资源有限的情况下在多战线冲突中先发制人

Eur. J. Oper. Res. Pub Date : 2023-01-01 DOI: 10.2139/ssrn.4144603

Kai A. Konrad, Florian Morath

引用次数: 0

The transport problem for non-additive measures 非加性测度的运输问题

Eur. J. Oper. Res. Pub Date : 2022-11-22 DOI: 10.48550/arXiv.2211.12150

V. Torra

{"title":"The transport problem for non-additive measures","authors":"V. Torra","doi":"10.48550/arXiv.2211.12150","DOIUrl":"https://doi.org/10.48550/arXiv.2211.12150","url":null,"abstract":"Non-additive measures, also known as fuzzy measures, capacities, and monotonic games, are increasingly used in different fields. Applications have been built within computer science and artificial intelligence related to e.g. decision making, image processing, machine learning for both classification, and regression. Tools for measure identification have been built. In short, as non-additive measures are more general than additive ones (i.e., than probabilities), they have better modeling capabilities allowing to model situations and problems that cannot be modeled by the latter. See e.g. the application of non-additive measures and the Choquet integral to model both Ellsberg paradox and Allais paradox. Because of that, there is an increasing need to analyze non-additive measures. The need for distances and similarities to compare them is no exception. Some work has been done for defining $f$-divergence for them. In this work we tackle the problem of defining the optimal transport problem for non-additive measures. Distances for pairs of probability distributions based on the optimal transport are extremely used in practical applications, and they are being studied extensively for their mathematical properties. We consider that it is necessary to provide appropriate definitions with a similar flavour, and that generalize the standard ones, for non-additive measures. We provide definitions based on the M\"obius transform, but also based on the $(max, +)$-transform that we consider that has some advantages. We will discuss in this paper the problems that arise to define the transport problem for non-additive measures, and discuss ways to solve them. In this paper we provide the definitions of the optimal transport problem, and prove some properties.","PeriodicalId":11868,"journal":{"name":"Eur. J. Oper. Res.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80574225","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Features for the 0-1 knapsack problem based on inclusionwise maximal solutions 基于包含极大解的0-1背包问题的特征

Eur. J. Oper. Res. Pub Date : 2022-11-16 DOI: 10.48550/arXiv.2211.09665

Jorik Jooken, Pieter Leyman, P. D. Causmaecker

{"title":"Features for the 0-1 knapsack problem based on inclusionwise maximal solutions","authors":"Jorik Jooken, Pieter Leyman, P. D. Causmaecker","doi":"10.48550/arXiv.2211.09665","DOIUrl":"https://doi.org/10.48550/arXiv.2211.09665","url":null,"abstract":"Decades of research on the 0-1 knapsack problem led to very efficient algorithms that are able to quickly solve large problem instances to optimality. This prompted researchers to also investigate whether relatively small problem instances exist that are hard for existing solvers and investigate which features characterize their hardness. Previously the authors proposed a new class of hard 0-1 knapsack problem instances and demonstrated that the properties of so-called inclusionwise maximal solutions (IMSs) can be important hardness indicators for this class. In the current paper, we formulate several new computationally challenging problems related to the IMSs of arbitrary 0-1 knapsack problem instances. Based on generalizations of previous work and new structural results about IMSs, we formulate polynomial and pseudopolynomial time algorithms for solving these problems. From this we derive a set of 14 computationally expensive features, which we calculate for two large datasets on a supercomputer in approximately 540 CPU-hours. We show that the proposed features contain important information related to the empirical hardness of a problem instance that was missing in earlier features from the literature by training machine learning models that can accurately predict the empirical hardness of a wide variety of 0-1 knapsack problem instances. Using the instance space analysis methodology, we also show that hard 0-1 knapsack problem instances are clustered together around a relatively dense region of the instance space and several features behave differently in the easy and hard parts of the instance space.","PeriodicalId":11868,"journal":{"name":"Eur. J. Oper. Res.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82513630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Stochastic optimization of trading strategies in sequential electricity markets 序贯电力市场交易策略的随机优化

Eur. J. Oper. Res. Pub Date : 2022-11-01 DOI: 10.5445/IR/1000134346

Emil Kraft, M. Russo, D. Keles, V. Bertsch

{"title":"Stochastic optimization of trading strategies in sequential electricity markets","authors":"Emil Kraft, M. Russo, D. Keles, V. Bertsch","doi":"10.5445/IR/1000134346","DOIUrl":"https://doi.org/10.5445/IR/1000134346","url":null,"abstract":"Quantity and price risks determine key uncertainties market participants face in electricity markets with increased volatility, for instance due to high shares of renewables. In the time from day-ahead until real-time, there lies a large variation in best available information, such as between forecasts and realizations of uncertain parameters like renewable feed-in and electricity prices. This uncertainty reflects on both the market outcomes and the quantity of renewable generation, making the determination of sound trading strategies across different market segments a complex task. The scope of the paper is to optimize day-ahead and intraday trading decisions jointly for a portfolio with controllable and volatile renewable generation under consideration of risk. We include a reserve market, a day-ahead market and an intraday market in stochastic modeling and develop a multi-stage stochastic Mixed Integer Linear Program. We assess the profitability as well as the risk exposure, quantified by the conditional value at risk metric, of trading strategies following different risk preferences. We conclude that a risk-neutral trader mainly relies on the opportunity of higher expected profits in intraday trading, whereas risk can be hedged effectively by trading on the day-ahead. Finally, we show that reserve market participation implies various rationales, including the relation of expected reserve prices among each other, the relation of expected reserve prices to spot market prices, as well as the relation of the spot market prices among each other.","PeriodicalId":11868,"journal":{"name":"Eur. J. Oper. Res.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82111485","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

Balanced externalities and the proportional allocation of nonseparable contributions 平衡的外部性和不可分贡献的比例分配

Eur. J. Oper. Res. Pub Date : 2022-10-01 DOI: 10.2139/ssrn.3807467

R. Brink, Y. Chun, Yukihiko Funaki, Zhengxing Zou

{"title":"Balanced externalities and the proportional allocation of nonseparable contributions","authors":"R. Brink, Y. Chun, Yukihiko Funaki, Zhengxing Zou","doi":"10.2139/ssrn.3807467","DOIUrl":"https://doi.org/10.2139/ssrn.3807467","url":null,"abstract":"In this paper, we study the implications of extending the balanced cost reduction property from queueing problems to general games. As a direct translation of the balanced cost reduction property, the axiom of balanced externalities for solutions of games, requires that the payoff of any player is equal to the total externality she inflicts on the other players with her presence. We show that this axiom and efficiency together characterize the Shapley value for 2-additive games. However, extending this axiom in a straightfoward way to general games is incompatible with efficiency. Keeping as close as possible to the idea behind balanced externalities, we weaken this axiom by requiring that every player’s payoff is the same fraction of its total externality inflicted on the other players. This weakening, which we call weak balanced externalities , turns out to be compatible with efficiency. More specifically, the unique efficient solution that satisfies this weaker property is the proportional allocation of nonseparable contribution (PANSC) value, which allocates the total worth proportional to the separable costs of the players. We also provide characterizations of the PANSC value using a reduced game consistency axiom.","PeriodicalId":11868,"journal":{"name":"Eur. J. Oper. Res.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87797422","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Building up Cyber Resilience by Better Grasping Cyber Risk Via a New Algorithm for Modelling Heavy-Tailed Data 通过重尾数据建模新算法更好地把握网络风险，构建网络弹性

Eur. J. Oper. Res. Pub Date : 2022-09-06 DOI: 10.48550/arXiv.2209.02845

M. Dacorogna, Nehla Debbabi, M. Kratz

引用次数: 5