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Dynamic capital allocation with reallocation cost 具有重新分配成本的动态资本分配
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-04-12 DOI: 10.1016/j.orl.2024.107114
Ermo Chen, Lan Wu, Jingyi He
{"title":"Dynamic capital allocation with reallocation cost","authors":"Ermo Chen,&nbsp;Lan Wu,&nbsp;Jingyi He","doi":"10.1016/j.orl.2024.107114","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107114","url":null,"abstract":"<div><p>Traditional static capital allocation incurs significant reallocation costs over periods due to drastic fluctuations. We propose a new framework for dynamic capital allocation with time-varying capital constraints that incorporates reallocation costs. We obtain an analytical solution in a recursive form and demonstrate its admirable performance through simulations. The solution compromises between static allocation and expected future risk structure and strikes a balance between addressing current risk profiles and adjustment costs. It successfully provides an effective allocation tool while preserving stability.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140555651","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
Partially observable discrete-time discounted Markov games with general utility 具有一般效用的部分可观测离散时间贴现马尔可夫博弈
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-04-02 DOI: 10.1016/j.orl.2024.107113
Arnab Bhabak , Subhamay Saha
{"title":"Partially observable discrete-time discounted Markov games with general utility","authors":"Arnab Bhabak ,&nbsp;Subhamay Saha","doi":"10.1016/j.orl.2024.107113","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107113","url":null,"abstract":"<div><p>In this paper, we investigate partially observable zero sum games where the state process is a discrete time Markov chain. We consider a general utility function in the optimization criterion. We show the existence of value for both finite and infinite horizon games and also establish the existence of optimal polices. The main step involves converting the partially observable game into a completely observable game which also keeps track of the total discounted accumulated reward/cost.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140350457","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
Maximal workload, minimal workload, maximal workload difference: Optimizing all criteria at once 最大工作量、最小工作量、最大工作量差异：同时优化所有标准
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-03-28 DOI: 10.1016/j.orl.2024.107110
Sébastien Deschamps , Frédéric Meunier
{"title":"Maximal workload, minimal workload, maximal workload difference: Optimizing all criteria at once","authors":"Sébastien Deschamps ,&nbsp;Frédéric Meunier","doi":"10.1016/j.orl.2024.107110","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107110","url":null,"abstract":"<div><p>In a simple model of assigning workers to tasks, every solution that minimizes the load difference between the most loaded worker and the least loaded one actually minimizes the maximal load and maximizes the minimal load. This can be seen as a consequence of standard results of optimization over polymatroids. We show that similar phenomena still occur in close models, simple to state, and that do not enjoy any polymatroid structure.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140341230","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
First passage time interdiction in Markov chains 马尔可夫链中的第一通过时间阻断
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-03-27 DOI: 10.1016/j.orl.2024.107111
Niloufar Daemi, Juan S. Borrero, Balabhaskar Balasundaram
{"title":"First passage time interdiction in Markov chains","authors":"Niloufar Daemi,&nbsp;Juan S. Borrero,&nbsp;Balabhaskar Balasundaram","doi":"10.1016/j.orl.2024.107111","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107111","url":null,"abstract":"<div><p>We introduce a new variant of the network interdiction problem with a Markovian evader that randomly chooses a neighboring vertex in each step to build their path from designated source(s) to terminal(s). The interdictor's goal is to maximize the evader's minimum expected <em>first passage time</em>. We establish sufficient conditions for the interdiction to not be counter-productive, prove that the problem is NP-hard, and demonstrate the model's usefulness by solving a mixed-integer programming formulation on a test bed of social networks.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140350456","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
On finiteness of the solution set of extended horizontal linear complementarity problem 论扩展水平线性互补问题解集的有限性
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-03-27 DOI: 10.1016/j.orl.2024.107112
Punit Kumar Yadav, Palpandi Karuppaiah
{"title":"On finiteness of the solution set of extended horizontal linear complementarity problem","authors":"Punit Kumar Yadav,&nbsp;Palpandi Karuppaiah","doi":"10.1016/j.orl.2024.107112","DOIUrl":"10.1016/j.orl.2024.107112","url":null,"abstract":"<div><p>In this paper, we introduce the concept of column nondegenerate-<em>W</em> property to the set of matrices, and we show that when the involved set of matrices have the column nondegenerate-<em>W</em> property is equivalent to the Extended Horizontal Linear Complementarity Problem have the finiteness property of the solution set.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140403705","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
Cooperative equilibria of strategy-form games with both nontransferable and transferable utilities 具有不可转让和可转让效用的策略形式博弈的合作均衡点
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-03-20 DOI: 10.1016/j.orl.2024.107109
Zhe Yang, Xinyu Yang
{"title":"Cooperative equilibria of strategy-form games with both nontransferable and transferable utilities","authors":"Zhe Yang,&nbsp;Xinyu Yang","doi":"10.1016/j.orl.2024.107109","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107109","url":null,"abstract":"<div><p>In this paper, we consider a class of strategy-form games with both nontransferable and transferable utilities. Inspired by NTU and TU <em>α</em>-core concepts, we first introduce the notion of cooperative equilibria, and prove the existence theorem in this model with finite dimensional strategy spaces. Furthermore, we extend the cooperative equilibrium existence theorem to strategy-form games with infinite dimensional strategy spaces.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140209425","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 posteriori error bounds for truncated Markov chain linear systems arising from first transition analysis 第一次过渡分析产生的截断马尔可夫链线性系统的后验误差边界
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-03-12 DOI: 10.1016/j.orl.2024.107106
Alex Infanger , Peter W. Glynn
{"title":"A posteriori error bounds for truncated Markov chain linear systems arising from first transition analysis","authors":"Alex Infanger ,&nbsp;Peter W. Glynn","doi":"10.1016/j.orl.2024.107106","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107106","url":null,"abstract":"<div><p>Many Markov chain expectations and probabilities can be computed as solutions to systems of linear equations, by applying “first transition analysis” (FTA). When the state space is infinite or very large, these linear systems become too large for exact computation. In such settings, one must truncate the FTA linear system. This paper is the first to discuss such FTA truncation issues, and to provide computable a posteriori error bounds.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140180059","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
On semidefinite descriptions for convex hulls of quadratic programs 关于二次方程程凸壳的半无限描述
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-03-07 DOI: 10.1016/j.orl.2024.107108
Alex L. Wang , Fatma Kılınç-Karzan
{"title":"On semidefinite descriptions for convex hulls of quadratic programs","authors":"Alex L. Wang ,&nbsp;Fatma Kılınç-Karzan","doi":"10.1016/j.orl.2024.107108","DOIUrl":"10.1016/j.orl.2024.107108","url":null,"abstract":"<div><p>Quadratically constrained quadratic programs (QCQPs) are a highly expressive class of nonconvex optimization problems. While QCQPs are NP-hard in general, they admit a natural convex relaxation via the standard semidefinite program (SDP) relaxation. In this paper we study when the convex hull of the epigraph of a QCQP coincides with the projected epigraph of the SDP relaxation. We present a sufficient condition for convex hull exactness and show that this condition is further necessary under an additional geometric assumption. The sufficient condition is based on geometric properties of Γ, the cone of convex Lagrange multipliers, and its relatives <span><math><msub><mrow><mi>Γ</mi></mrow><mrow><mn>1</mn></mrow></msub></math></span> and <span><math><msup><mrow><mi>Γ</mi></mrow><mrow><mo>∘</mo></mrow></msup></math></span>.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140091876","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
How many clues to give? A bilevel formulation for the minimum Sudoku clue problem 给出多少条线索？最小数独线索问题的双层表述
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-03-07 DOI: 10.1016/j.orl.2024.107105
Gennesaret Tjusila , Mathieu Besançon , Mark Turner , Thorsten Koch
{"title":"How many clues to give? A bilevel formulation for the minimum Sudoku clue problem","authors":"Gennesaret Tjusila ,&nbsp;Mathieu Besançon ,&nbsp;Mark Turner ,&nbsp;Thorsten Koch","doi":"10.1016/j.orl.2024.107105","DOIUrl":"10.1016/j.orl.2024.107105","url":null,"abstract":"<div><p>It has been shown that any 9 by 9 Sudoku puzzle must contain at least 17 clues to have a unique solution. This paper investigates the more specific question: given a particular completed Sudoku grid, what is the minimum number of clues in any puzzle whose unique solution is the given grid? We call this problem the Minimum Sudoku Clue Problem (MSCP). We formulate MSCP as a binary bilevel linear program, present a class of globally valid inequalities, and provide a computational study on 50 MSCP instances of 9 by 9 Sudoku grids. Using a general bilevel solver, we solve 95% of instances to optimality, and show that the solution process benefits from the addition of a moderate amount of inequalities. Finally, we extend the proposed model to other combinatorial problems in which uniqueness of the solution is of interest.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000415/pdfft?md5=a5f0dd1602511f160c2a05654f329856&pid=1-s2.0-S0167637724000415-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140107134","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 upper bounds for the multiple knapsack assignment problem 论多重可纳包分配问题的上界
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-03-06 DOI: 10.1016/j.orl.2024.107104
Laura Galli , Adam N. Letchford
{"title":"On upper bounds for the multiple knapsack assignment problem","authors":"Laura Galli ,&nbsp;Adam N. Letchford","doi":"10.1016/j.orl.2024.107104","DOIUrl":"10.1016/j.orl.2024.107104","url":null,"abstract":"<div><p>The <em>Multiple Knapsack Assignment Problem</em> is a strongly <span><math><mi>NP</mi></math></span>-hard combinatorial optimisation problem, with several applications. We show that an <em>upper bound</em> for the problem, due to Kataoka and Yamada, can be computed in linear time. We then show that some bounds due to Martello and Monaci dominate the Kataoka-Yamada bound. Finally, we define an even stronger bound, which turns out to be particularly effective when the number of knapsacks is not a multiple of the number of item classes.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000403/pdfft?md5=8b202ac03ed56140ad2cbd151c395934&pid=1-s2.0-S0167637724000403-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140085983","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
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