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Erratum to “Cooperative equilibria of strategy-form games with both nontransferable and transferable utilities” [Oper. Res. Lett. 54 (2024) 107109]
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-03-01 DOI: 10.1016/j.orl.2025.107254
Zhe Yang , Xinyu Yang
{"title":"Erratum to “Cooperative equilibria of strategy-form games with both nontransferable and transferable utilities” [Oper. Res. Lett. 54 (2024) 107109]","authors":"Zhe Yang ,&nbsp;Xinyu Yang","doi":"10.1016/j.orl.2025.107254","DOIUrl":"10.1016/j.orl.2025.107254","url":null,"abstract":"<div><div>We correct an error in the statement of Theorem 3.2. Moreover, we correct some typos.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"59 ","pages":"Article 107254"},"PeriodicalIF":0.8,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143508642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Single sample prophet inequality for uniform matroids of rank 2
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-02-27 DOI: 10.1016/j.orl.2025.107257
Kanstantsin Pashkovich, Alice Sayutina
{"title":"Single sample prophet inequality for uniform matroids of rank 2","authors":"Kanstantsin Pashkovich,&nbsp;Alice Sayutina","doi":"10.1016/j.orl.2025.107257","DOIUrl":"10.1016/j.orl.2025.107257","url":null,"abstract":"<div><div>We study the prophet inequality when the gambler has an access only to a single sample from each distribution. Rubinstein, Wang and Weinberg showed that an optimal guarantee of 1/2 can be achieved when the underlying matroid has rank 1, i.e. in the single choice case. We show that this guarantee can be achieved also for a uniform matroid of rank 2, and we show that this is best possible guarantee among deterministic mechanisms.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"60 ","pages":"Article 107257"},"PeriodicalIF":0.8,"publicationDate":"2025-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143512326","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal retail pricing, interest rate, and interest allocation ratio decisions in an online platform-assisted financing system
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-02-25 DOI: 10.1016/j.orl.2025.107268
Dianyao Kang , Mingming Leng
{"title":"Optimal retail pricing, interest rate, and interest allocation ratio decisions in an online platform-assisted financing system","authors":"Dianyao Kang ,&nbsp;Mingming Leng","doi":"10.1016/j.orl.2025.107268","DOIUrl":"10.1016/j.orl.2025.107268","url":null,"abstract":"<div><div>We examine an online financing system involving a platform, a bank, and a retailer, in which the bank makes the optimal interest rate decision before the bank-platform negotiation for the interest allocation ratio (scenario 1) or after the interest allocation ratio negotiation (scenario 2). We find that the retailer's sales and profits in scenario 1 are higher than those in scenario 2. Moreover, if the referral fee rate increases, the system-wide profit and the system efficiency for scenario 1 increase but those for scenario 2 decrease.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"60 ","pages":"Article 107268"},"PeriodicalIF":0.8,"publicationDate":"2025-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143510793","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Strategyproof and budget-balanced mechanisms for assembly
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-02-24 DOI: 10.1016/j.orl.2025.107256
Soumendu Sarkar
{"title":"Strategyproof and budget-balanced mechanisms for assembly","authors":"Soumendu Sarkar","doi":"10.1016/j.orl.2025.107256","DOIUrl":"10.1016/j.orl.2025.107256","url":null,"abstract":"<div><div>Assembly problems involve exchange among a buyer and multiple sellers. The buyer wants to purchase possibly multiple items and sellers own one item each. We characterize the class of strategyproof, individually rational and budget balanced mechanisms for this problem when agents have private valuations.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"60 ","pages":"Article 107256"},"PeriodicalIF":0.8,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143477991","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pairwise independent correlation gap
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-02-20 DOI: 10.1016/j.orl.2025.107255
Arjun Ramachandra , Karthik Natarajan
{"title":"Pairwise independent correlation gap","authors":"Arjun Ramachandra ,&nbsp;Karthik Natarajan","doi":"10.1016/j.orl.2025.107255","DOIUrl":"10.1016/j.orl.2025.107255","url":null,"abstract":"<div><div>In this paper, we introduce the notion of a “pairwise independent correlation gap” for set functions with random elements. The pairwise independent correlation gap is defined as the ratio of the maximum expected value of a set function with arbitrary dependence among the elements with fixed marginal probabilities to the maximum expected value with pairwise independent elements with the same marginal probabilities. We show that for any nonnegative monotone submodular set function defined on <em>n</em> elements, this ratio is upper bounded by 4/3 in the following two cases: (a) <span><math><mi>n</mi><mo>=</mo><mn>3</mn></math></span> for all marginal probabilities and (b) all <em>n</em> for small marginal probabilities (and similarly large marginal probabilities). This differs from the bound on the “correlation gap” which holds with mutual independence and showcases the fundamental difference between pairwise independence and mutual independence. We discuss the implication of the results with two examples and end the paper with a conjecture.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"60 ","pages":"Article 107255"},"PeriodicalIF":0.8,"publicationDate":"2025-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143488666","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-02-05 DOI: 10.1016/j.orl.2025.107253
Chunhui Qiao , Xiangwei Wan , Nian Yang
{"title":"An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities","authors":"Chunhui Qiao ,&nbsp;Xiangwei Wan ,&nbsp;Nian Yang","doi":"10.1016/j.orl.2025.107253","DOIUrl":"10.1016/j.orl.2025.107253","url":null,"abstract":"<div><div>This paper proposes a new stochastic volatility model with double-exponential jumps in returns and GARCH-type volatility diffusion for option pricing. Previously unexplored due to the lack of analytical option pricing formulas, we obtain closed-form expansions for European option prices under various volatility specifications and jump types, making model calibration feasible. Empirical studies show that this model outperforms alternatives.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"59 ","pages":"Article 107253"},"PeriodicalIF":0.8,"publicationDate":"2025-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143319382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The inverse optimal value problem for linear fractional programming
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-01-31 DOI: 10.1016/j.orl.2025.107251
Sina Nadi , Taewoo Lee , Oleg A. Prokopyev
{"title":"The inverse optimal value problem for linear fractional programming","authors":"Sina Nadi ,&nbsp;Taewoo Lee ,&nbsp;Oleg A. Prokopyev","doi":"10.1016/j.orl.2025.107251","DOIUrl":"10.1016/j.orl.2025.107251","url":null,"abstract":"<div><div>We study the inverse optimal value problem for linear fractional programming, where the goal is to find the coefficients of the fractional objective function such that the resulting optimal objective function value is as close as possible to some given target value. We show that this problem is <em>NP</em>-hard. Then, we provide some structural results, which are exploited to derive several reformulations and two solution algorithms. The proposed approaches are based on the Charnes-Cooper and parametric transformations.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"59 ","pages":"Article 107251"},"PeriodicalIF":0.8,"publicationDate":"2025-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143164398","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Super-stable common independent sets of generalized matroids
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-01-31 DOI: 10.1016/j.orl.2025.107248
Naoyuki Kamiyama
{"title":"Super-stable common independent sets of generalized matroids","authors":"Naoyuki Kamiyama","doi":"10.1016/j.orl.2025.107248","DOIUrl":"10.1016/j.orl.2025.107248","url":null,"abstract":"<div><div>In this paper, we consider the problem of checking the existence of a super-stable common independent set of generalized matroids. We prove that this problem can be solved by slightly modifying the algorithm proposed by Yokoi for the problem of checking the existence of a stable common independent set of generalized matroids.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"60 ","pages":"Article 107248"},"PeriodicalIF":0.8,"publicationDate":"2025-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143172546","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Strictly competitive games: Finite, countable and uncountable strategies
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-01-30 DOI: 10.1016/j.orl.2025.107252
Roberto Raimondo
{"title":"Strictly competitive games: Finite, countable and uncountable strategies","authors":"Roberto Raimondo","doi":"10.1016/j.orl.2025.107252","DOIUrl":"10.1016/j.orl.2025.107252","url":null,"abstract":"<div><div>Strictly competitive games are characterized by the fact that every pair of strategies is Pareto optimal in two-player games. We provide a characterization of strictly competitive games when the sets of strategies are not finite. The finite strategy case was settled by Adler, Daskalakis and Papadimitriou who fully proved a conjecture of Aumann.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"60 ","pages":"Article 107252"},"PeriodicalIF":0.8,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143172547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Monte Carlo and importance sampling estimators of CoVaR
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-01-30 DOI: 10.1016/j.orl.2025.107250
Guangxin Jiang, Jianshu Hao, Tong Sun
{"title":"Monte Carlo and importance sampling estimators of CoVaR","authors":"Guangxin Jiang,&nbsp;Jianshu Hao,&nbsp;Tong Sun","doi":"10.1016/j.orl.2025.107250","DOIUrl":"10.1016/j.orl.2025.107250","url":null,"abstract":"<div><div>In this paper, we introduce a Monte Carlo (MC) simulation approach to estimate CoVaR, which is one of the commonly used systemic risk measures and captures the tail dependency of losses between network systems and nodes. Given that CoVaR may involve rare events, we propose an importance sampling (IS) approach to enhance the efficiency of estimation. We also establish consistency and asymptotic normality for both MC and IS estimators. Finally, we illustrate the effectiveness of our approach through numerical experiments.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"60 ","pages":"Article 107250"},"PeriodicalIF":0.8,"publicationDate":"2025-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143172538","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","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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