Journal of the Operations Research Society of Japan最新文献_第5页

AN EFFICIENT BRANCH-AND-CUT ALGORITHM FOR SUBMODULAR FUNCTION MAXIMIZATION 一种有效的子模函数最大化的分支割算法

Journal of the Operations Research Society of Japan Pub Date : 2020-04-30 DOI: 10.15807/jorsj.63.41

Naoya Uematsu, S. Umetani, Y. Kawahara

引用次数: 1

MONTE CARLO ALGORITHM FOR CALCULATING THE SHAPLEY VALUES OF MINIMUM COST SPANNING TREE GAMES 最小代价生成树对策SHAPLEY值的蒙特卡罗算法

Journal of the Operations Research Society of Japan Pub Date : 2020-01-31 DOI: 10.15807/jorsj.63.31

Kazutoshi Ando, K. Takase

引用次数: 3

ONE-WAY TRADING PROBLEMS VIA LINEAR OPTIMIZATION 基于线性优化的单向交易问题

Journal of the Operations Research Society of Japan Pub Date : 2020-01-31 DOI: 10.15807/jorsj.63.1

H. Fujiwara, Naohiro Araki, Hiroaki Yamamoto

引用次数: 0

ON DYNAMIC PATROLLING SECURITY GAMES 关于动态巡逻安全游戏

Journal of the Operations Research Society of Japan Pub Date : 2019-10-31 DOI: 10.15807/jorsj.62.152

Akifumi Kira, Naoyuki Kamiyama, H. Anai, H. Iwashita, Kotaro Ohori

{"title":"ON DYNAMIC PATROLLING SECURITY GAMES","authors":"Akifumi Kira, Naoyuki Kamiyama, H. Anai, H. Iwashita, Kotaro Ohori","doi":"10.15807/jorsj.62.152","DOIUrl":"https://doi.org/10.15807/jorsj.62.152","url":null,"abstract":"We consider Stackelberg patrolling security games in which a security guard and an intruder walk around a facility. In these games, at each timepoint, the guard earns a reward (intruder incurs a cost) depending on their locations at that time. The objective of the guard (resp., the intruder) is to patrol (intrude) the facility so that the total sum of rewards is maximized (minimized). We study three cases: In Case 1, the guard chooses a scheduled route first and then the intruder chooses a scheduled route after perfectly observing the guard’s choice. In Case 2, the guard randomizes her scheduled routes and then intruder observes its probability distribution and also randomize his scheduled routes. In Case 3, the guard randomizes her scheduled routes as well, but the intruder sequentially observes the location of the guard and reroutes to reach one of his targets. We show that the intruder’s best response problem in Cases 1 and 2 and Case 3 can be formulated as a shortest path problem and a Markov decision process, respectively. Moreover, the equilibrium problem in each case reduces to a polynomial-sized mixed integer linear programming, linear programming, and bilinear programming problem, respectively.","PeriodicalId":51107,"journal":{"name":"Journal of the Operations Research Society of Japan","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48610628","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

SEPARABLE CONVEX RESOURCE ALLOCATION PROBLEM WITH L1-DISTANCE CONSTRAINT 具有11 -距离约束的可分离凸资源分配问题

Journal of the Operations Research Society of Japan Pub Date : 2019-07-31 DOI: 10.15807/JORSJ.62.109

N. Minamikawa, A. Shioura

引用次数: 0

CORDON AND AREA ROAD PRICING IN RADIAL-ARC NETWORK 放射形圆弧网中警戒线和区域道路收费

Journal of the Operations Research Society of Japan Pub Date : 2019-07-31 DOI: 10.15807/JORSJ.62.121

M. Miyagawa

引用次数: 1

ESTIMATING FORWARD LOOKING DISTRIBUTION WITH THE ROSS RECOVERY THEOREM 用ROSS恢复定理估计前瞻分布

Journal of the Operations Research Society of Japan Pub Date : 2019-04-25 DOI: 10.15807/JORSJ.62.83

Takuya Kiriu, Norio Hibiki

{"title":"ESTIMATING FORWARD LOOKING DISTRIBUTION WITH THE ROSS RECOVERY THEOREM","authors":"Takuya Kiriu, Norio Hibiki","doi":"10.15807/JORSJ.62.83","DOIUrl":"https://doi.org/10.15807/JORSJ.62.83","url":null,"abstract":"The payoff of option is determined by the future price of underlying asset and therefore the option prices contain the forward looking information. Implied distribution is a forward looking distribution of the underlying asset derived from option prices. There are a lot of studies estimating implied distribution in the risk neutral probability framework. However, a risk neutral probability generally differs from a real world probability, which represents actual investors view about asset return. Recently, Ross (2015) has showed remarkable theorem, named “Recovery Theorem”. It enables us to estimate the real world probability distribution from option prices under a particular assumption about representative investor's risk preferences. However, it is not easy to derive the appropriate estimators because it is necessary to solve an ill-posed problem in estimation process. This paper discusses about the method to estimate a real world distribution accurately with the Recovery Theorem. The previous studies propose the methods to estimate the real world distribution, whereas they do not investigate on the estimation accuracy. Hence, we test the effectiveness of the Tikhonov method used by Audrino et al. (2015) in the numerical analysis with hypothetical data. We propose a new method to derive the more accurate solution by configuring the regularization term considering prior information and compare it with the Tikhonov method. Moreover, we discuss regularization parameter selection to get the accurate real world distribution. We find the following three points through the numerical analysis. (1) To stabilize the solution by introducing regularization term is an effective method in terms of estimating a real world distribution with the Recovery Theorem. (2) Proposed method can estimate a real world distribution more accurately than the Tikhonov method. (3) We can offer the appropriate solutions even if the number of maturities is less than that of states.","PeriodicalId":51107,"journal":{"name":"Journal of the Operations Research Society of Japan","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44486401","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: 6

A DYNAMIC PROGRAMMING ALGORITHM FOR OPTIMIZING BASEBALL STRATEGIES 棒球策略优化的动态规划算法

Journal of the Operations Research Society of Japan Pub Date : 2019-04-25 DOI: 10.15807/JORSJ.62.64

Akifumi Kira, Keisuke Inakawa, Toshiharu Fujita

引用次数: 3

DP-BASED ALGORITHM AND FPTAS FOR THE KNAPSACK SHARING AND RELATED PROBLEMS 基于dp的背包共享算法与fptas及相关问题

Journal of the Operations Research Society of Japan Pub Date : 2019-01-31 DOI: 10.15807/JORSJ.62.1

S. Kataoka, Takeo Yamada

引用次数: 1

CHOICE-BASED SEATING POSITION MODEL WITH UNDISTINGUISHED MULTI-LINES IN REVENUE MANAGEMENT 基于选择的座位位置模型与未区分的多线收入管理

Journal of the Operations Research Society of Japan Pub Date : 2019-01-31 DOI: 10.15807/JORSJ.62.37

Yu Ogasawara, Masamichi Kon

{"title":"CHOICE-BASED SEATING POSITION MODEL WITH UNDISTINGUISHED MULTI-LINES IN REVENUE MANAGEMENT","authors":"Yu Ogasawara, Masamichi Kon","doi":"10.15807/JORSJ.62.37","DOIUrl":"https://doi.org/10.15807/JORSJ.62.37","url":null,"abstract":"In revenue management, there are models which aim to maximize revenue by controlling policy for uncertain demands throughout a booking horizon. The models are called dynamic models. One of the applications of the dynamic models is reservation system which offers available seats for customers’ requests. Recently, the system has allowed us to choose our booking seat position. However, the dynamic models in revenue management have not been included customers’ selection behavior for seating position. This paper proposes choice-based seating position model with undistinguished multi-lines that is a dynamic model considered with the customers’ selection behavior for seating positions. Approximate solutions for this model are calculated by Choice-based Deterministic Linear Programming (CDLP) and decomposition approximation which are used in choice-based network revenue management models. This paper suggests that CDLP is more effective than decomposition approximation for the choice-based seating position model, even through some reports in revenue management suggested that decomposition approximation could derive higher revenue than CDLP in their models.","PeriodicalId":51107,"journal":{"name":"Journal of the Operations Research Society of Japan","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44413760","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