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Responsibility and solidarity principles in sharing the costs of cleaning a polluted river 分担受污染河流清理费用的责任和团结原则
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-10-10 DOI: 10.1016/j.orl.2024.107198
David Lowing
{"title":"Responsibility and solidarity principles in sharing the costs of cleaning a polluted river","authors":"David Lowing","doi":"10.1016/j.orl.2024.107198","DOIUrl":"10.1016/j.orl.2024.107198","url":null,"abstract":"<div><div>To clean a polluted river, some agents must undertake operations that incur costs. The problem is to determine a fair method to share these expenses among agents. We consider the established methods of Local Responsibility Sharing and Upstream Equal Sharing, based on the responsibility principles of Absolute Territorial Sovereignty and Unlimited Territorial Integrity, respectively. We combine these with Total Solidarity, a method based on a solidarity principle. This yields new cost-sharing methods, which we characterize axiomatically.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107198"},"PeriodicalIF":0.8,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142433519","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
Tighter ‘uniform bounds for Black–Scholes implied volatility’ and the applications to root-finding 更严格的 "布莱克-斯科尔斯隐含波动率统一界限 "及其在寻根中的应用
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-09-30 DOI: 10.1016/j.orl.2024.107189
Jaehyuk Choi , Jeonggyu Huh , Nan Su
{"title":"Tighter ‘uniform bounds for Black–Scholes implied volatility’ and the applications to root-finding","authors":"Jaehyuk Choi ,&nbsp;Jeonggyu Huh ,&nbsp;Nan Su","doi":"10.1016/j.orl.2024.107189","DOIUrl":"10.1016/j.orl.2024.107189","url":null,"abstract":"<div><div>Using the option delta systematically, we derive tighter lower and upper bounds of the Black–Scholes implied volatility than those in Tehranchi (2016) <span><span>[11]</span></span>. As an application, we propose a Newton–Raphson algorithm on the log price that converges rapidly for all price ranges when using a new lower bound as an initial guess. Our new algorithm is a better alternative to the widely used naive Newton–Raphson algorithm, whose convergence is slow for extreme option prices.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107189"},"PeriodicalIF":0.8,"publicationDate":"2024-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142419780","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
Optimality of DSatur algorithm on chordal graphs 弦图上 DSatur 算法的最优性
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-09-30 DOI: 10.1016/j.orl.2024.107185
N. Yekezare , M. Zohrehbandian , M. Maghasedi , F. Bonomo-Braberman
{"title":"Optimality of DSatur algorithm on chordal graphs","authors":"N. Yekezare ,&nbsp;M. Zohrehbandian ,&nbsp;M. Maghasedi ,&nbsp;F. Bonomo-Braberman","doi":"10.1016/j.orl.2024.107185","DOIUrl":"10.1016/j.orl.2024.107185","url":null,"abstract":"<div><div>DSatur is a widely-used heuristic algorithm for graph coloring, proposed by Daniel Brélaz in 1979. It is based on the greedy coloring approach, but selecting the next vertex to be colored from those that maximize the number of colors already used by their neighbors. Though not always optimal, this algorithm is known to be optimal on certain families, like cycles or bipartite graphs. In this paper, we prove the optimality of DSatur on chordal graphs, a superclass of interval graphs.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107185"},"PeriodicalIF":0.8,"publicationDate":"2024-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142419647","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
Complexity analysis and numerical implementation of a new interior-point algorithm for semidefinite optimization 一种新的半有限优化内部点算法的复杂性分析与数值实现
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-09-27 DOI: 10.1016/j.orl.2024.107192
Billel Zaoui, Djamel Benterki, Samia Khelladi
{"title":"Complexity analysis and numerical implementation of a new interior-point algorithm for semidefinite optimization","authors":"Billel Zaoui,&nbsp;Djamel Benterki,&nbsp;Samia Khelladi","doi":"10.1016/j.orl.2024.107192","DOIUrl":"10.1016/j.orl.2024.107192","url":null,"abstract":"<div><div>We generalize Zhang and Xu's (2011) <span><span>[22]</span></span> interior point algorithm for linear optimization to semidefinite optimization problems in order to define a new search direction. The symmetrization of the search direction is based on the full Nesterov-Todd scaling scheme. Moreover, we show that the obtained algorithm solves the studied problem in polynomial time and that the short-step algorithm has the best-known iteration bound, namely <span><math><mi>O</mi><mo>(</mo><msqrt><mrow><mi>n</mi></mrow></msqrt><mi>log</mi><mo>⁡</mo><mfrac><mrow><mi>n</mi></mrow><mrow><mi>ε</mi></mrow></mfrac><mo>)</mo></math></span>-iterations. Finally, we report a comparative numerical study to show the efficiency of our proposed algorithm.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107192"},"PeriodicalIF":0.8,"publicationDate":"2024-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142419648","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
Finite horizon partially observable semi-Markov decision processes under risk probability criteria 风险概率标准下的有限视界部分可观测半马尔可夫决策过程
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-09-27 DOI: 10.1016/j.orl.2024.107187
Xin Wen , Xianping Guo , Li Xia
{"title":"Finite horizon partially observable semi-Markov decision processes under risk probability criteria","authors":"Xin Wen ,&nbsp;Xianping Guo ,&nbsp;Li Xia","doi":"10.1016/j.orl.2024.107187","DOIUrl":"10.1016/j.orl.2024.107187","url":null,"abstract":"<div><div>This paper deals with a risk probability minimization problem for finite horizon partially observable semi-Markov decision processes, which are the fairly most general models for stochastic dynamic systems. In contrast to the expected discounted and average criteria, the optimality investigated in this paper is to minimize the probability that the accumulated rewards do not reach a prescribed profit level at the finite terminal stage. First, the state space is augmented as the joint conditional distribution of the current unobserved state and the remaining profit goal. We introduce a class of policies depending on observable histories and a class of Markov policies including observable process with the joint conditional distribution. Then under mild assumptions, we prove that the value function is the unique solution to the optimality equation for the probability criterion by using iteration techniques. The existence of (<em>ϵ</em>-)optimal Markov policy for this problem is established. Finally, we use a bandit problem with the probability criterion to demonstrate our main results in which an effective algorithm and the corresponding numerical calculation are given for the semi-Markov model. Moreover, for the case of reduction to the discrete-time Markov model, we derive a concise solution.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107187"},"PeriodicalIF":0.8,"publicationDate":"2024-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142359041","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
A note on the stability of monotone Markov chains 关于单调马尔可夫链稳定性的说明
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-09-27 DOI: 10.1016/j.orl.2024.107188
Bar Light
{"title":"A note on the stability of monotone Markov chains","authors":"Bar Light","doi":"10.1016/j.orl.2024.107188","DOIUrl":"10.1016/j.orl.2024.107188","url":null,"abstract":"<div><div>This note studies monotone Markov chains, a subclass of Markov chains with extensive applications in operations research and economics. While the properties that ensure the global stability of these chains are well studied, their establishment often relies on the fulfillment of a certain splitting condition. We address the challenges of verifying the splitting condition by introducing simple, applicable conditions that ensure global stability. The simplicity of these conditions is demonstrated through various examples including autoregressive processes, portfolio allocation problems and resource allocation dynamics.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107188"},"PeriodicalIF":0.8,"publicationDate":"2024-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142359040","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 explicit three-term Polak–Ribière–Polyak conjugate gradient method for bicriteria optimization 用于双标准优化的显式三期 Polak-Ribière-Polyak 共轭梯度法
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-09-27 DOI: 10.1016/j.orl.2024.107195
Y. Elboulqe , M. El Maghri
{"title":"An explicit three-term Polak–Ribière–Polyak conjugate gradient method for bicriteria optimization","authors":"Y. Elboulqe ,&nbsp;M. El Maghri","doi":"10.1016/j.orl.2024.107195","DOIUrl":"10.1016/j.orl.2024.107195","url":null,"abstract":"<div><div>A three-term Polak–Ribière–Polyak conjugate gradient-like method for bicriteria optimization without scalarization is proposed in this paper. Three advantages are to be noted. First, the descent directions are given explicitly and can then be directly computed. Second, the descent property turns out to be sufficient and independent of the line search. Third, without Lipschitzian hypotheses, global convergence towards Pareto stationary points is proved under an Armijo type condition. Numerical experiments including comparisons with other methods are also reported.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107195"},"PeriodicalIF":0.8,"publicationDate":"2024-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142419779","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
Traveling salesman problem with backend information processing 带有后台信息处理功能的旅行推销员问题
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-09-26 DOI: 10.1016/j.orl.2024.107193
Merve Doganbas, Hayong Shin
{"title":"Traveling salesman problem with backend information processing","authors":"Merve Doganbas,&nbsp;Hayong Shin","doi":"10.1016/j.orl.2024.107193","DOIUrl":"10.1016/j.orl.2024.107193","url":null,"abstract":"<div><div>This paper introduces the Traveling Salesman Problem (TSP) with Backend Information Processing (bTSP), which integrates backend processing times into path planning to minimize the makespan. The study develops a mixed integer linear programming formulation and conducts a theoretical analysis to understand the relationship between the TSP and the bTSP. The results show that an optimal solution for the bTSP can be efficiently derived by leveraging the connection to the standard TSP.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107193"},"PeriodicalIF":0.8,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142359035","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
Further remarks on absorbing Markov decision processes 关于吸收马尔可夫决策过程的进一步评论
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-09-24 DOI: 10.1016/j.orl.2024.107191
Yi Zhang, Xinran Zheng
{"title":"Further remarks on absorbing Markov decision processes","authors":"Yi Zhang,&nbsp;Xinran Zheng","doi":"10.1016/j.orl.2024.107191","DOIUrl":"10.1016/j.orl.2024.107191","url":null,"abstract":"<div><div>In this note, based on the recent remarkable results of Dufour and Prieto-Rumeau, we deduce that for an absorbing Markov decision process with a given initial state, under a standard compactness-continuity condition, the space of occupation measures has the same convergent sequences, when it is endowed with the weak topology and with the weak-strong topology. We provided two examples demonstrating that imposed condition cannot be replaced with its popular alternative, and the above assertion does not hold for the space of marginals of occupation measures on the state space. Moreover, the examples also clarify some results in the previous literature.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107191"},"PeriodicalIF":0.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142326581","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
Shannon differential entropy properties of consecutive k-out-of-n:G systems 连续 k-out-of-n:G 系统的香农差分熵特性
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2024-09-24 DOI: 10.1016/j.orl.2024.107190
Mohamed Kayid , Mashael A. Alshehri
{"title":"Shannon differential entropy properties of consecutive k-out-of-n:G systems","authors":"Mohamed Kayid ,&nbsp;Mashael A. Alshehri","doi":"10.1016/j.orl.2024.107190","DOIUrl":"10.1016/j.orl.2024.107190","url":null,"abstract":"<div><div>This research delves into the Shannon differential entropy properties of consecutive <span><math><mi>k</mi></math></span>-out-of-<span><math><mi>n</mi></math></span>:G. Initially, an expression for the entropy of the lifetime of a consecutive <span><math><mi>k</mi></math></span>-out-of-<span><math><mi>n</mi></math></span>:G system is formulated, providing a comprehensive understanding of its entropy characteristics. A characterization outcome is also derived. Furthermore, useful bounds are provided for the entropy of the lifetime of these systems. A nonparametric estimator for the new entropy metric is developed to assist in practical application. The effectiveness of this estimator is demonstrated through the use of simulated datasets, followed by a numerical illustration using a real-world dataset.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"57 ","pages":"Article 107190"},"PeriodicalIF":0.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142359039","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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