Operations Research eJournal最新文献_第10页

Real Options and Merchant Operations of Energy and Other Commodities 能源和其他商品的实物期权和商业运营

Operations Research eJournal Pub Date : 2014-06-12 DOI: 10.1561/0200000024

N. Secomandi, Duane J. Seppi

{"title":"Real Options and Merchant Operations of Energy and Other Commodities","authors":"N. Secomandi, Duane J. Seppi","doi":"10.1561/0200000024","DOIUrl":"https://doi.org/10.1561/0200000024","url":null,"abstract":"The value chain for energy and other commodities entails physical conversions through refineries, power plants, storage facilities, and transportation and other capital-intensive infrastructure. When the operation of such commodity conversion assets occurs alongside liquid markets for the input and output commodities, the operating flexibility of conversion assets can be managed as real options on the underlying commodity prices. Merchant operations is an integrated trading and operations approach that (i) buys and sells commodities to support market-value maximizing operating policies and (ii) values conversion assets, for capital budgeting and trading purposes, based on the cash flows such policies produce. This monograph provides a unique integrated finance and operations perspective on the topic of merchant operations. In particular, this monograph introduces the concept of merchant operations; presents the basic principles of option valuation; surveys foundational models of commodity and energy price evolution; analyzes the structure of optimal operating policies for commodity conversions, focusing specifically on inventory and other intertemporal linkages in storage, inventory acquisition and disposal, and swing assets; considers a variety of heuristic storage operating policies; and discusses future trends in this multidisciplinary area of research and business applications.","PeriodicalId":275253,"journal":{"name":"Operations Research eJournal","volume":"160 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122471933","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: 35

Game of Singular Stochastic Control and Strategic Exit 奇异随机控制与策略退出博弈

Operations Research eJournal Pub Date : 2014-06-04 DOI: 10.2139/ssrn.2446209

H. D. Kwon, Hongzhong Zhang

引用次数: 21

Optimal Exploration-Exploitation in a Multi-Armed-Bandit Problem with Non-Stationary Rewards 具有非平稳奖励的多武装盗匪问题的最优勘探开发

Operations Research eJournal Pub Date : 2014-05-13 DOI: 10.2139/ssrn.2436629

Omar Besbes, Y. Gur, A. Zeevi

{"title":"Optimal Exploration-Exploitation in a Multi-Armed-Bandit Problem with Non-Stationary Rewards","authors":"Omar Besbes, Y. Gur, A. Zeevi","doi":"10.2139/ssrn.2436629","DOIUrl":"https://doi.org/10.2139/ssrn.2436629","url":null,"abstract":"In a multi-armed bandit (MAB) problem a gambler needs to choose at each round of play one of K arms, each characterized by an unknown reward distribution. Reward realizations are only observed when an arm is selected, and the gambler's objective is to maximize his cumulative expected earnings over some given horizon of play T. To do this, the gambler needs to acquire information about arms (exploration) while simultaneously optimizing immediate rewards (exploitation); the price paid due to this trade off is often referred to as the regret, and the main question is how small can this price be as a function of the horizon length T. This problem has been studied extensively when the reward distributions do not change over time; an assumption that supports a sharp characterization of the regret, yet is often violated in practical settings. In this paper, we focus on a MAB formulation which allows for a broad range of temporal uncertainties in the rewards, while still maintaining mathematical tractability. We fully characterize the (regret) complexity of this class of MAB problems by establishing a direct link between the extent of allowable reward \"variation\" and the minimal achievable regret. Our analysis draws some connections between two rather disparate strands of literature: the adversarial and the stochastic MAB frameworks.","PeriodicalId":275253,"journal":{"name":"Operations Research eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126335739","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: 111

Applying Kaizen Methods to Improve Voltage Regulator Subassembly Area 应用改进方法改进稳压器组件面积

Operations Research eJournal Pub Date : 2014-04-19 DOI: 10.1007/978-3-319-04573-3_83

Jun-Ing Ker, Yichuan Wang, Hung-Yu Lee

引用次数: 3

Common Mistakes in Computing the Nucleolus 核仁计算中的常见错误

Operations Research eJournal Pub Date : 2014-04-14 DOI: 10.2139/ssrn.2425596

M. Guajardo, K. Jörnsten

引用次数: 62

Goods Production, Learning by Doing, and Growth in a Region with Creative and Physical Capital 商品生产，边做边学，以及具有创造性和物质资本的地区的增长

Operations Research eJournal Pub Date : 2014-03-17 DOI: 10.2139/ssrn.2410493

Umer Usman, A. Batabyal

引用次数: 14

An Improved SPFA Algorithm for Single-Source Shortest Path Problem Using Forward Star Data Structure 基于前向星型数据结构的单源最短路径问题改进SPFA算法

Operations Research eJournal Pub Date : 2014-02-28 DOI: 10.5121/IJMIT.2014.6402

Xin Zhou

引用次数: 0

Auctioning and Selling Positions: A Non-Cooperative Approach to Queuing Conflicts 拍卖和销售职位:排队冲突的非合作方法

Operations Research eJournal Pub Date : 2014-01-13 DOI: 10.2139/ssrn.2388060

Yuan Ju, Y. Chun, R. Brink

{"title":"Auctioning and Selling Positions: A Non-Cooperative Approach to Queuing Conflicts","authors":"Yuan Ju, Y. Chun, R. Brink","doi":"10.2139/ssrn.2388060","DOIUrl":"https://doi.org/10.2139/ssrn.2388060","url":null,"abstract":"Complementary to the axiomatic and mechanism design studies on queueing problems, this paper proposes a strategic bargaining approach to resolve queueing conflicts. Given a situation where players with different waiting costs have to form a queue in order to be served, they firstly compete with each other for a specific position in the queue. Then, the winner can decide to take up the position or sell it to the others. In the former case, the rest of the players will proceed to compete for the remaining positions in the same manner; whereas for the latter case the seller can propose a queue with corresponding payments to the others which can be accepted or rejected. In this paper we show that, when the players are competing for the first position in the queue, then the subgame perfect equilibrium outcome of the corresponding mechanism coincides with the well-known maximal transfer rule, while an efficient queue is always formed in equilibrium. We also argue that changing the mechanism so that the players compete for the last position implements the minimal transfer rule. The analysis discovers a striking relationship between pessimism and optimism in this type of decision making.","PeriodicalId":275253,"journal":{"name":"Operations Research eJournal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126977542","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: 15

Strategy-Proof Package Assignment 防策略包分配

Operations Research eJournal Pub Date : 2014-01-07 DOI: 10.2139/ssrn.2406879

Albin Erlanson, Karol Szwagrzak

引用次数: 2

GPCEMA.GMS: A General Purpose Cross-Entropy Matrix Adjustment Program (Quick User Guide) GPCEMA。GMS:通用交叉熵矩阵调整程序(快速用户指南)

Operations Research eJournal Pub Date : 2013-12-11 DOI: 10.2139/ssrn.2439905

A. Lemelin

引用次数: 0