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Divide and conquer: the engineering of delegation 分而治之：委托工程
IF 0.9
Computational Management Science Pub Date : 2022-06-25 DOI: 10.1007/s10287-022-00428-w
S. Settepanella, Gennaro Amendola, L. Marengo, Connor Minto
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引用次数: 0
American options and stochastic interest rates 美式期权与随机利率
IF 0.9
Computational Management Science Pub Date : 2022-05-12 DOI: 10.1007/s10287-022-00427-x
Anna Battauz, Francesco Rotondi
{"title":"American options and stochastic interest rates","authors":"Anna Battauz, Francesco Rotondi","doi":"10.1007/s10287-022-00427-x","DOIUrl":"https://doi.org/10.1007/s10287-022-00427-x","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"19 1","pages":"567 - 604"},"PeriodicalIF":0.9,"publicationDate":"2022-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49287864","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
An L-shaped method with strengthened lift-and-project cuts 一种具有加强升力和突出切口的L形方法
IF 0.9
Computational Management Science Pub Date : 2022-05-05 DOI: 10.1007/s10287-022-00426-y
Pavlo Glushko, Csaba I. Fábián, Achim Koberstein
{"title":"An L-shaped method with strengthened lift-and-project cuts","authors":"Pavlo Glushko, Csaba I. Fábián, Achim Koberstein","doi":"10.1007/s10287-022-00426-y","DOIUrl":"https://doi.org/10.1007/s10287-022-00426-y","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"19 1","pages":"539 - 565"},"PeriodicalIF":0.9,"publicationDate":"2022-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49420110","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
Multi-criteria supplier selection problem with fuzzy demand: a newsvendor model 模糊需求下的多准则供应商选择问题:一个报摊模型
IF 0.9
Computational Management Science Pub Date : 2022-04-13 DOI: 10.1007/s10287-021-00420-w
O. Jadidi, F. Firouzi, John S. Loucks, Y. Park
{"title":"Multi-criteria supplier selection problem with fuzzy demand: a newsvendor model","authors":"O. Jadidi, F. Firouzi, John S. Loucks, Y. Park","doi":"10.1007/s10287-021-00420-w","DOIUrl":"https://doi.org/10.1007/s10287-021-00420-w","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"19 1","pages":"375 - 394"},"PeriodicalIF":0.9,"publicationDate":"2022-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49278613","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: 1
Quantum game approach for capacity allocation decisions under strategic reasoning 策略推理下容量分配决策的量子博弈方法
IF 0.9
Computational Management Science Pub Date : 2022-03-19 DOI: 10.1007/s10287-022-00424-0
M. Fadaki, Babak Abbasi, P. Chhetri
{"title":"Quantum game approach for capacity allocation decisions under strategic reasoning","authors":"M. Fadaki, Babak Abbasi, P. Chhetri","doi":"10.1007/s10287-022-00424-0","DOIUrl":"https://doi.org/10.1007/s10287-022-00424-0","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"19 1","pages":"491 - 512"},"PeriodicalIF":0.9,"publicationDate":"2022-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42403852","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
A tail-revisited Markowitz mean-variance approach and a portfolio network centrality 马科维茨均值-方差方法和投资组合网络中心性
IF 0.9
Computational Management Science Pub Date : 2022-01-20 DOI: 10.1007/s10287-022-00422-2
F. Mariani, Gloria Polinesi, M. C. Recchioni
{"title":"A tail-revisited Markowitz mean-variance approach and a portfolio network centrality","authors":"F. Mariani, Gloria Polinesi, M. C. Recchioni","doi":"10.1007/s10287-022-00422-2","DOIUrl":"https://doi.org/10.1007/s10287-022-00422-2","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"19 1","pages":"425 - 455"},"PeriodicalIF":0.9,"publicationDate":"2022-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52610881","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: 4
Kalman filter approach to real options with active learning. 卡尔曼滤波方法与主动学习的实物期权。
IF 0.9
Computational Management Science Pub Date : 2022-01-01 Epub Date: 2022-01-27 DOI: 10.1007/s10287-022-00423-1
Sebastian Sund, Lars H Sendstad, Jacco J J Thijssen
{"title":"Kalman filter approach to real options with active learning.","authors":"Sebastian Sund,&nbsp;Lars H Sendstad,&nbsp;Jacco J J Thijssen","doi":"10.1007/s10287-022-00423-1","DOIUrl":"10.1007/s10287-022-00423-1","url":null,"abstract":"<p><p>Technological innovations often create new markets and this gives incentives to learn about their associated profitabilities. However, this decision depends not only on the underlying uncertain profitability, but also on attitudes towards risk. We develop a decision-support tool that accounts for the impact of learning for a potentially risk-averse decision maker. The Kalman filter is applied to derive a time-varying estimate of the process, and the option is valued as dependent on this estimation. We focus on linear stochastic processes with normally distributed noise. Through a numerical example, we find that the marginal benefit of learning decreases rapidly over time, and that the majority of investment times occur early in the option holding period, after the holder has realized the main benefits of learning, and that risk aversion leads to earlier adoption. We find that risk-aversion reduces the value of learning and thus reduces the additional value of waiting and observing noisy signals through time.</p>","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"19 3","pages":"457-490"},"PeriodicalIF":0.9,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8792460/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10294644","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling and mitigating supply chain disruptions as a bilevel network flow problem. 将供应链中断建模和缓解为双层网络流问题。
IF 0.9
Computational Management Science Pub Date : 2022-01-01 Epub Date: 2022-02-28 DOI: 10.1007/s10287-022-00421-3
René Y Glogg, Anna Timonina-Farkas, Ralf W Seifert
{"title":"Modeling and mitigating supply chain disruptions as a bilevel network flow problem.","authors":"René Y Glogg,&nbsp;Anna Timonina-Farkas,&nbsp;Ralf W Seifert","doi":"10.1007/s10287-022-00421-3","DOIUrl":"10.1007/s10287-022-00421-3","url":null,"abstract":"<p><p>Years of globalization, outsourcing and cost cutting have increased supply chain vulnerability calling for more effective risk mitigation strategies. In our research, we analyze supply chain disruptions in a production setting. Using a bilevel optimization framework, we minimize the total production cost for a manufacturer interested in finding optimal disruption mitigation strategies. The problem constitutes a convex network flow program under a chance constraint bounding the manufacturer's regrets in disrupted scenarios. Thus, in contrast to standard bilevel optimization schemes with two decision-makers, a leader and a follower, our model searches for the optimal production plan of a manufacturer in view of a reduction in the sequence of his own scenario-specific regrets. Defined as the difference in costs of a <i>reactive plan</i>, which considers the disruption as unknown until it occurs, and a benchmark <i>anticipative plan</i>, which predicts the disruption in the beginning of the planning horizon, the regrets allow measurement of the impact of scenario-specific production strategies on the manufacturer's total cost. For an efficient solution of the problem, we employ generalized Benders decomposition and develop customized feasibility cuts. In the managerial section, we discuss the implications for the risk-adjusted production and observe that the regrets of long disruptions are reduced in our mitigation strategy at the cost of shorter disruptions, whose regrets typically stay far below the risk threshold. This allows a decrease of the production cost under rare but high-impact disruption scenarios.</p>","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"19 3","pages":"395-423"},"PeriodicalIF":0.9,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8882721/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9895055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A fast Monte Carlo scheme for additive processes and option pricing 一个快速蒙特卡罗方案的附加过程和期权定价
IF 0.9
Computational Management Science Pub Date : 2021-12-15 DOI: 10.1007/s10287-023-00463-1
Michele Azzone, R. Baviera
{"title":"A fast Monte Carlo scheme for additive processes and option pricing","authors":"Michele Azzone, R. Baviera","doi":"10.1007/s10287-023-00463-1","DOIUrl":"https://doi.org/10.1007/s10287-023-00463-1","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"20 1","pages":"1-34"},"PeriodicalIF":0.9,"publicationDate":"2021-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42254980","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
Correction to: Parallel and distributed computing for stochastic dual dynamic programming 修正:随机对偶动态规划的并行和分布式计算
IF 0.9
Computational Management Science Pub Date : 2021-11-15 DOI: 10.1007/s10287-021-00417-5
D. Ávila, A. Papavasiliou, N. Löhndorf
{"title":"Correction to: Parallel and distributed computing for stochastic dual dynamic programming","authors":"D. Ávila, A. Papavasiliou, N. Löhndorf","doi":"10.1007/s10287-021-00417-5","DOIUrl":"https://doi.org/10.1007/s10287-021-00417-5","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"19 1","pages":"227 - 228"},"PeriodicalIF":0.9,"publicationDate":"2021-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43691204","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
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