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A framework for treating model uncertainty in the asset liability management problem 资产负债管理问题中模型不确定性的处理框架
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-10-18 DOI: 10.3934/jimo.2023021
G. Papayiannis
{"title":"A framework for treating model uncertainty in the asset liability management problem","authors":"G. Papayiannis","doi":"10.3934/jimo.2023021","DOIUrl":"https://doi.org/10.3934/jimo.2023021","url":null,"abstract":"The problem of asset liability management (ALM) is a classic problem of the financial mathematics and of great interest for the banking institutions and insurance companies. Several formulations of this problem under various model settings have been studied under the Mean-Variance (MV) principle perspective. In this paper, the ALM problem is revisited under the context of model uncertainty in the one-stage framework. In practice, uncertainty issues appear to several aspects of the problem, e.g. liability process characteristics, market conditions, inflation rates, inside information effects, etc. A framework relying on the notion of the Wasserstein barycenter is presented which is able to treat robustly this type of ambiguities by appropriate handling the various information sources (models) and appropriately reformulating the relevant decision making problem. The proposed framework can be applied to a number of different model settings leading to the selection of investment portfolios that remain robust to the various uncertainties appearing in the market. The paper is concluded with a numerical experiment for a static version of the ALM problem, employing standard modelling approaches, illustrating the capabilities of the proposed method with very satisfactory results in retrieving the true optimal strategy even in high noise cases.","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70078607","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Hyperspectral super-resolution via low rank tensor triple decomposition 基于低秩张量三重分解的高光谱超分辨率
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-06-18 DOI: 10.3934/jimo.2023110
Xiaofei Cui, Jingya Chang
{"title":"Hyperspectral super-resolution via low rank tensor triple decomposition","authors":"Xiaofei Cui, Jingya Chang","doi":"10.3934/jimo.2023110","DOIUrl":"https://doi.org/10.3934/jimo.2023110","url":null,"abstract":"Hyperspectral image (HSI) and multispectral image (MSI) fusion aims at producing a super-resolution image (SRI). In this paper, we establish a nonconvex optimization model for image fusion problems through low-rank tensor triple decomposition. Using the L-BFGS approach, we develop a first-order optimization algorithm for obtaining the desired super-resolution image (TTDSR). Furthermore, two detailed methods are provided for calculating the gradient of the objective function. With the aid of the Kurdyka-Lojasiewicz property, the iterative sequence is proved to converge to a stationary point. Finally, experimental results on different datasets show the effectiveness of our proposed approach.","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44564463","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Motion control of photovoltaic module dust cleaning robotic arm based on model predictive control 基于模型预测控制的光伏组件除尘机械臂运动控制
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-01-01 DOI: 10.3934/jimo.2023002
Minan Tang, Yaguang Yan, Yaqi Zhang, Wenjuan Wang, Bo An
{"title":"Motion control of photovoltaic module dust cleaning robotic arm based on model predictive control","authors":"Minan Tang, Yaguang Yan, Yaqi Zhang, Wenjuan Wang, Bo An","doi":"10.3934/jimo.2023002","DOIUrl":"https://doi.org/10.3934/jimo.2023002","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70078124","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A dual active set method for $ ell $1-regularized problem 正则化问题的对偶活动集方法
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-01-01 DOI: 10.3934/jimo.2023022
Yuya Hikima, N. Yamashita
{"title":"A dual active set method for $ ell $1-regularized problem","authors":"Yuya Hikima, N. Yamashita","doi":"10.3934/jimo.2023022","DOIUrl":"https://doi.org/10.3934/jimo.2023022","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70078664","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A dynamic model to solve weighted linear complementarity problems 求解加权线性互补问题的动态模型
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-01-01 DOI: 10.3934/jimo.2023015
D. Yu, Cairong Chen, Deren Han
{"title":"A dynamic model to solve weighted linear complementarity problems","authors":"D. Yu, Cairong Chen, Deren Han","doi":"10.3934/jimo.2023015","DOIUrl":"https://doi.org/10.3934/jimo.2023015","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70078896","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Solution algorithms for single-machine scheduling with learning effects and exponential past-sequence-dependent delivery times 具有学习效应和指数过去序列依赖交付时间的单机调度的解算法
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-01-01 DOI: 10.3934/jimo.2023045
Na Ren, Dan-Yang Lv, Ji-Bo Wang, Xiao-Yuan Wang
{"title":"Solution algorithms for single-machine scheduling with learning effects and exponential past-sequence-dependent delivery times","authors":"Na Ren, Dan-Yang Lv, Ji-Bo Wang, Xiao-Yuan Wang","doi":"10.3934/jimo.2023045","DOIUrl":"https://doi.org/10.3934/jimo.2023045","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70079262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Optimization of a linear function over an integer efficient set 线性函数在整数有效集上的最优化
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-01-01 DOI: 10.3934/jimo.2023055
Prerna, Vikas Sharma
{"title":"Optimization of a linear function over an integer efficient set","authors":"Prerna, Vikas Sharma","doi":"10.3934/jimo.2023055","DOIUrl":"https://doi.org/10.3934/jimo.2023055","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70079758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fresh food supply chain coordination with competition and differentiated freshness preservation methods 生鲜供应链竞争协调与差异化保鲜方法
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-01-01 DOI: 10.3934/jimo.2023062
Wei Gao, Shih-Tao Huang, Ruzhen Yan, Xueping Du, Dandan Wang
{"title":"Fresh food supply chain coordination with competition and differentiated freshness preservation methods","authors":"Wei Gao, Shih-Tao Huang, Ruzhen Yan, Xueping Du, Dandan Wang","doi":"10.3934/jimo.2023062","DOIUrl":"https://doi.org/10.3934/jimo.2023062","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70080023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The retailer's freebies promotion strategy with manufacturer encroachment 零售商的赠品促销策略与制造商的蚕食
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-01-01 DOI: 10.3934/jimo.2023101
Yan Yan, Fujun Hou
{"title":"The retailer's freebies promotion strategy with manufacturer encroachment","authors":"Yan Yan, Fujun Hou","doi":"10.3934/jimo.2023101","DOIUrl":"https://doi.org/10.3934/jimo.2023101","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70081131","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal software free trial strategy with network effects in a platform supply chain 平台供应链中具有网络效应的最优软件免费试用策略
IF 1.3 4区 工程技术
Journal of Industrial and Management Optimization Pub Date : 2023-01-01 DOI: 10.3934/jimo.2023105
Jie Min, J. Ou, Zong-Hong Cao, Qianqian Zhang, Xiaoyu Xu
{"title":"Optimal software free trial strategy with network effects in a platform supply chain","authors":"Jie Min, J. Ou, Zong-Hong Cao, Qianqian Zhang, Xiaoyu Xu","doi":"10.3934/jimo.2023105","DOIUrl":"https://doi.org/10.3934/jimo.2023105","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70081315","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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