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CABRA: Clustering algorithm based on regular arrangement CABRA：基于规则排列的聚类算法
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-06-12 DOI: 10.1016/j.orl.2024.107137
Jorge C-Rella
{"title":"CABRA: Clustering algorithm based on regular arrangement","authors":"Jorge C-Rella","doi":"10.1016/j.orl.2024.107137","DOIUrl":"10.1016/j.orl.2024.107137","url":null,"abstract":"<div><p>Clustering is an unsupervised learning technique for organizing complex datasets into coherent groups. A novel clustering algorithm is presented, with a simple grouping concept depending on only one hyperparameter, which makes it suitable for further extensions to any topology and space. It is compared to state-of-the-art algorithms, overall achieving a better performance independently on the structure and complexity of the data, making the proposed algorithm a valuable tool for real applications such as market segmentation, sentiment analysis and anomaly detection.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107137"},"PeriodicalIF":1.1,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000737/pdfft?md5=b65e1ded4697916bc6af8d82b5777240&pid=1-s2.0-S0167637724000737-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141402919","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
Implied volatility slopes and jumps in bitcoin options market 比特币期权市场隐含波动率的倾斜和跳跃
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-06-06 DOI: 10.1016/j.orl.2024.107135
Tian Chen, Jun Deng, Jing Nie
{"title":"Implied volatility slopes and jumps in bitcoin options market","authors":"Tian Chen,&nbsp;Jun Deng,&nbsp;Jing Nie","doi":"10.1016/j.orl.2024.107135","DOIUrl":"10.1016/j.orl.2024.107135","url":null,"abstract":"<div><p>This paper derives a theoretical relation between the left and right slopes of the implied volatility curve with negative and positive price jumps. Empirical analysis using bitcoin options tick-by-tick data from Deribit exchange supported the theoretical findings that negative and positive jumps have reversal impacts on bitcoin options' implied volatility slopes even after the control of net-buying-pressure and realized positive and negative skewness measures.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107135"},"PeriodicalIF":1.1,"publicationDate":"2024-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141411081","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
Computing a common prior 计算共同先验
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-31 DOI: 10.1016/j.orl.2024.107134
Marianna E.-Nagy , Miklós Pintér
{"title":"Computing a common prior","authors":"Marianna E.-Nagy ,&nbsp;Miklós Pintér","doi":"10.1016/j.orl.2024.107134","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107134","url":null,"abstract":"<div><p>Morris (1994) and Feinberg (2000) showed that a finite type space admits a common prior if and only if there is no agreeable bet in it.</p><p>We also consider finite type spaces and observe that the problem of computing a common prior is equivalent to considering the intersection of affine spaces spanned by the types of a player. Therefore, we can apply the Fredholm alternative and conclude that the computational complexity of computing a common prior is strongly polynomial.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107134"},"PeriodicalIF":1.1,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141264135","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
Circulant TSP special cases: Easily-solvable cases and improved approximations 循环 TSP 特殊情况：易于解决的案例和改进的近似值
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-31 DOI: 10.1016/j.orl.2024.107133
Austin Beal, Yacine Bouabida, Samuel C. Gutekunst, Asta Rustad
{"title":"Circulant TSP special cases: Easily-solvable cases and improved approximations","authors":"Austin Beal,&nbsp;Yacine Bouabida,&nbsp;Samuel C. Gutekunst,&nbsp;Asta Rustad","doi":"10.1016/j.orl.2024.107133","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107133","url":null,"abstract":"<div><p>Circulant TSP is an intriguing special case of the Traveling Salesman Problem, whose complexity remains an often-cited open problem. In this note, we present three results: We show that circulant TSP can be efficiently solved whenever the input number of vertices is a prime-squared; we show that the <span><math><mo>{</mo><mn>1</mn><mo>,</mo><mn>2</mn><mo>}</mo></math></span>-TSP can be easily and efficiently solved when specialized to circulant instances; and we present a substantially-improved approximation factor for finding a minimum-cost Eulerian connected sub-(multi)graph on two-stripe circulant instances.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107133"},"PeriodicalIF":1.1,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141314968","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
Exact evaluation and optimization of integer-ratio policies for stochastic one-warehouse multiple-retailer inventory systems 随机一仓库多零售商库存系统整数比率政策的精确评估与优化
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-28 DOI: 10.1016/j.orl.2024.107132
Qinan Wang , Zihan Zhou , Guangyu Wan
{"title":"Exact evaluation and optimization of integer-ratio policies for stochastic one-warehouse multiple-retailer inventory systems","authors":"Qinan Wang ,&nbsp;Zihan Zhou ,&nbsp;Guangyu Wan","doi":"10.1016/j.orl.2024.107132","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107132","url":null,"abstract":"<div><p>This paper considers one-warehouse multiple-retailer inventory systems. The retailers are non-identical and face Poisson demand processes. We consider an integer-ratio policy in which each retailer orders in a fixed interval that is either an integer or integer-ratio multiple of the warehouse's reorder interval. Base-stock policy and virtual allocation are assumed. We show that cost evaluations at the retailers are completely separable, leading to a simple approach to develop an optimal integer-ratio policy for a two-level distribution system with heterogeneous retailers.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107132"},"PeriodicalIF":1.1,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141298327","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 bipartite travelling salesman problem: A pyramidally solvable case 二方旅行推销员问题：金字塔式可解案例
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-27 DOI: 10.1016/j.orl.2024.107130
Vladimir G. Deineko , Bettina Klinz , Gerhard J. Woeginger
{"title":"The bipartite travelling salesman problem: A pyramidally solvable case","authors":"Vladimir G. Deineko ,&nbsp;Bettina Klinz ,&nbsp;Gerhard J. Woeginger","doi":"10.1016/j.orl.2024.107130","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107130","url":null,"abstract":"<div><p>Given <em>k</em> blue cities, <em>k</em> red cities and a <span><math><mn>2</mn><mi>k</mi><mo>×</mo><mn>2</mn><mi>k</mi></math></span> distance matrix, the task in the bipartite travelling salesman problem is to find a shortest tour which alternately visits blue and red cities. We consider the special case of Van der Veen distance matrices and show that it remains NP-hard in general but can be solved in <span><math><mi>O</mi><mo>(</mo><msup><mrow><mi>k</mi></mrow><mrow><mn>2</mn></mrow></msup><mo>)</mo></math></span> time when all vertices with odd indices are blue and all with even indices are red.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107130"},"PeriodicalIF":1.1,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S016763772400066X/pdfft?md5=c5ebab7f8ed20ec28056efd78f98f6f7&pid=1-s2.0-S016763772400066X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141243572","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
Cascading failures in the global financial system: A dynamical model 全球金融体系的连锁失败：动态模型
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-22 DOI: 10.1016/j.orl.2024.107122
Leonardo Stella , Dario Bauso , Franco Blanchini , Patrizio Colaneri
{"title":"Cascading failures in the global financial system: A dynamical model","authors":"Leonardo Stella ,&nbsp;Dario Bauso ,&nbsp;Franco Blanchini ,&nbsp;Patrizio Colaneri","doi":"10.1016/j.orl.2024.107122","DOIUrl":"10.1016/j.orl.2024.107122","url":null,"abstract":"<div><p>In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system and develop a framework to investigate under which conditions organizations remain healthy. The contribution of this paper is threefold: i) we develop a dynamical model that describes the time evolution of the organizations' equity values given nonequilibrium initial conditions; ii) we characterize the equilibria for this model; and iii) we provide a computational method to anticipate potential propagation of failures.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107122"},"PeriodicalIF":1.1,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000580/pdfft?md5=53790818d995d2d7ca3c575cb65776fc&pid=1-s2.0-S0167637724000580-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141165832","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
Risk aversion in first-price security-bid auctions 第一出价担保竞拍中的风险规避
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-16 DOI: 10.1016/j.orl.2024.107121
Elnaz Bajoori , Lisa Maria Kreusser , Ronald Peeters , Leonard Wolk
{"title":"Risk aversion in first-price security-bid auctions","authors":"Elnaz Bajoori ,&nbsp;Lisa Maria Kreusser ,&nbsp;Ronald Peeters ,&nbsp;Leonard Wolk","doi":"10.1016/j.orl.2024.107121","DOIUrl":"10.1016/j.orl.2024.107121","url":null,"abstract":"<div><p>We study how risk aversion affects equilibrium bidding strategies in a first-price security-bid auction. We show that if the bidder's expected utility is concave and their marginal expected utility decreases as the degree of risk aversion increases – conditions that are shown to be satisfied under some conditions for four prominent securities (cash, equity, debt, and call option) –, the increase in the degree of risk aversion leads to lower bids in equilibrium.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107121"},"PeriodicalIF":1.1,"publicationDate":"2024-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000579/pdfft?md5=dbecec91db5f1c7bfdc6d3a7f193263b&pid=1-s2.0-S0167637724000579-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141052048","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
On the complexity of a maintenance problem for hierarchical systems 论分层系统维护问题的复杂性
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-01 DOI: 10.1016/j.orl.2024.107117
Andreas S. Schulz , Claudio Telha
{"title":"On the complexity of a maintenance problem for hierarchical systems","authors":"Andreas S. Schulz ,&nbsp;Claudio Telha","doi":"10.1016/j.orl.2024.107117","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107117","url":null,"abstract":"<div><p>We prove that a maintenance problem on frequency-constrained maintenance jobs with a hierarchical structure is integer-factorization hard. This result holds even on simple systems with just two components to maintain. As a corollary, we provide a first hardness result for Levi et al.'s modular maintenance scheduling problem (Levi et al. 2014).</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107117"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140918028","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
Generalization of weighted-egalitarian Shapley values 加权平均沙普利值的一般化
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-01 DOI: 10.1016/j.orl.2024.107118
Hyungkyu Cheon, Dong Gu Choi
{"title":"Generalization of weighted-egalitarian Shapley values","authors":"Hyungkyu Cheon,&nbsp;Dong Gu Choi","doi":"10.1016/j.orl.2024.107118","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107118","url":null,"abstract":"<div><p>In this study, we provide a new class of solutions that generalize the weighted-egalitarian Shapley values by permitting heterogeneity of players in both the Shapley value and equal division value. To derive the proposed value, we present axioms of weak monotonicity, weak differential null player out, efficiency, null game, ratio invariance for null players, and weak superweak differential marginality.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107118"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140948489","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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