Operations Research Letters最新文献

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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
Guessing a random function and repeated games in continuous time 猜测随机函数和连续时间中的重复博弈
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-01 DOI: 10.1016/j.orl.2024.107120
Catherine Rainer , Eilon Solan
{"title":"Guessing a random function and repeated games in continuous time","authors":"Catherine Rainer ,&nbsp;Eilon Solan","doi":"10.1016/j.orl.2024.107120","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107120","url":null,"abstract":"<div><p>We study a game where one player selects a random function and the other guesses that function, and show that with high probability the second player can correctly guess most of the random function. We apply this analysis to continuous-time repeated games played with mixed strategies with delay, identify good responses of a player to any strategy profile of her opponents, and show that each player's minmax value coincides with her minmax value in pure strategies of the one-shot game.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107120"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141072942","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
Reducing the Chvátal rank through binarization 通过二值化降低 Chvátal 等级
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-01 DOI: 10.1016/j.orl.2024.107119
Gérard Cornuéjols, Vrishabh Patil
{"title":"Reducing the Chvátal rank through binarization","authors":"Gérard Cornuéjols,&nbsp;Vrishabh Patil","doi":"10.1016/j.orl.2024.107119","DOIUrl":"10.1016/j.orl.2024.107119","url":null,"abstract":"<div><p>In a classical paper, Chvátal introduced a rounding procedure for strengthening the polyhedral relaxation <em>P</em> of an integer program; applied recursively, the number of iterations needed to obtain the convex hull of the integer solutions in <em>P</em> is known as the Chvátal rank. Chvátal showed that this rank can be exponential in the input size <em>L</em> needed to describe <em>P</em>. We give a compact extended formulation of <em>P</em>, described by introducing binary variables, whose rank is polynomial in <em>L</em>.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107119"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000555/pdfft?md5=31547e69830dd0795992e92a3c7a822a&pid=1-s2.0-S0167637724000555-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141052446","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
Some asymptotic properties of the Erlang-C formula in many-server limiting regimes Erlang-C 公式在多服务器极限状态下的一些渐近特性
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-05-01 DOI: 10.1016/j.orl.2024.107116
Ragavendran Gopalakrishnan , Yueyang Zhong
{"title":"Some asymptotic properties of the Erlang-C formula in many-server limiting regimes","authors":"Ragavendran Gopalakrishnan ,&nbsp;Yueyang Zhong","doi":"10.1016/j.orl.2024.107116","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107116","url":null,"abstract":"<div><p>This paper presents asymptotic properties of the Erlang-C formula in a spectrum of many-server limiting regimes. Specifically, we address an important gap in the literature regarding its limiting value in critically loaded regimes by studying extensions of the well-known square-root safety staffing rule used in the Quality-and-Efficiency-Driven (QED) regime.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107116"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S016763772400052X/pdfft?md5=4eebe7acf63a930d3a0551a1b0e70e7c&pid=1-s2.0-S016763772400052X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140948488","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
Convergence and complexity guarantees for a wide class of descent algorithms in nonconvex multi-objective optimization 非凸多目标优化中一大类下降算法的收敛性和复杂性保证
IF 1.1 4区 管理学
Operations Research Letters Pub Date : 2024-04-22 DOI: 10.1016/j.orl.2024.107115
Matteo Lapucci
{"title":"Convergence and complexity guarantees for a wide class of descent algorithms in nonconvex multi-objective optimization","authors":"Matteo Lapucci","doi":"10.1016/j.orl.2024.107115","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107115","url":null,"abstract":"<div><p>We address conditions for global convergence and worst-case complexity bounds of descent algorithms in nonconvex multi-objective optimization. Specifically, we define the concept of steepest-descent-related directions. We consider iterative algorithms taking steps along such directions, selecting the stepsize according to a standard Armijo-type rule. We prove that methods fitting this framework automatically enjoy global convergence properties. Moreover, we show that a slightly stricter property, satisfied by most known algorithms, guarantees the same complexity bound of <span><math><mi>O</mi><mo>(</mo><msup><mrow><mi>ϵ</mi></mrow><mrow><mo>−</mo><mn>2</mn></mrow></msup><mo>)</mo></math></span> as the steepest descent method.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107115"},"PeriodicalIF":1.1,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140643913","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
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":"54 ","pages":"Article 107114"},"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":"54 ","pages":"Article 107113"},"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
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