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Pairwise independent correlation gap 两两独立相关差距
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 具有收益双指数跳跃和波动率GARCH扩散的期权定价模型
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 线性分式规划的逆最优值问题
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 广义拟阵的超稳定公独立集
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 严格竞争游戏：有限、可数和不可数策略
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 CoVaR的蒙特卡罗估计和重要抽样估计
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
Approximation algorithms for the k+-star packing problem k+星布局问题的近似算法
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-01-27 DOI: 10.1016/j.orl.2025.107249
Zhihua Huang, An Zhang, Mingqi Gao, Jiayi Sun, Yong Chen
{"title":"Approximation algorithms for the k+-star packing problem","authors":"Zhihua Huang,&nbsp;An Zhang,&nbsp;Mingqi Gao,&nbsp;Jiayi Sun,&nbsp;Yong Chen","doi":"10.1016/j.orl.2025.107249","DOIUrl":"10.1016/j.orl.2025.107249","url":null,"abstract":"<div><div>Given a target graph <em>G</em> and a set <span><math><mi>G</mi></math></span> of <span><math><msup><mrow><mi>k</mi></mrow><mrow><mo>+</mo></mrow></msup></math></span>-stars, that is, stars with at least <em>k</em> satellites, a <span><math><msup><mrow><mi>k</mi></mrow><mrow><mo>+</mo></mrow></msup></math></span>-star packing of <em>G</em> is a set of vertex-disjoint subgraphs of <em>G</em> with each isomorphic to some element of <span><math><mi>G</mi></math></span>. The <span><math><msup><mrow><mi>k</mi></mrow><mrow><mo>+</mo></mrow></msup></math></span>-star packing problem is to find one such packing that covers as many vertices of <em>G</em> as possible. It is known to be NP-hard for any fixed <span><math><mi>k</mi><mo>≥</mo><mn>2</mn></math></span>, and has a simple 2-approximation algorithm when <span><math><mi>k</mi><mo>=</mo><mn>2</mn></math></span>. In this paper, we present an improved algorithm with a tight approximation ratio of 9/5 for <span><math><mi>k</mi><mo>=</mo><mn>2</mn></math></span>, and a <span><math><mfrac><mrow><mi>k</mi><mo>+</mo><mn>2</mn></mrow><mrow><mn>2</mn></mrow></mfrac></math></span>-approximation algorithm for general <span><math><mi>k</mi><mo>≥</mo><mn>2</mn></math></span> using the local search approach.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"59 ","pages":"Article 107249"},"PeriodicalIF":0.8,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143164399","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 the core of information sharing games 论信息共享游戏的核心
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-01-27 DOI: 10.1016/j.orl.2025.107247
Yasuo Sasaki
{"title":"On the core of information sharing games","authors":"Yasuo Sasaki","doi":"10.1016/j.orl.2025.107247","DOIUrl":"10.1016/j.orl.2025.107247","url":null,"abstract":"<div><div>Information sharing games deal with allocating payoffs created by information sharing among agents in the cooperative-game approach. In this study, we preset several properties of the core of those games, such as a necessary and sufficient condition for the singleton core and simple computation of an agent's maximum payoff in the core.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"59 ","pages":"Article 107247"},"PeriodicalIF":0.8,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143165611","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
Convergence and bound computation for chance constrained distributionally robust models using sample approximation 基于样本逼近的机会约束分布鲁棒模型的收敛与界计算
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-01-27 DOI: 10.1016/j.orl.2025.107246
Jiaqi Lei, Sanjay Mehrotra
{"title":"Convergence and bound computation for chance constrained distributionally robust models using sample approximation","authors":"Jiaqi Lei,&nbsp;Sanjay Mehrotra","doi":"10.1016/j.orl.2025.107246","DOIUrl":"10.1016/j.orl.2025.107246","url":null,"abstract":"<div><div>This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower bounds on the optimal value of the model can be estimated statistically. Specific ambiguity sets are discussed as examples.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"60 ","pages":"Article 107246"},"PeriodicalIF":0.8,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143140226","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 linear threshold policies for continuous-time dynamic yield management 连续动态收益管理的线性阈值策略研究
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-01-21 DOI: 10.1016/j.orl.2025.107245
Dipayan Banerjee , Alan L. Erera , Alejandro Toriello
{"title":"On linear threshold policies for continuous-time dynamic yield management","authors":"Dipayan Banerjee ,&nbsp;Alan L. Erera ,&nbsp;Alejandro Toriello","doi":"10.1016/j.orl.2025.107245","DOIUrl":"10.1016/j.orl.2025.107245","url":null,"abstract":"<div><div>We study the finite-horizon continuous-time dynamic yield management problem with stationary arrival rates and two customer types. We consider a class of linear threshold policies proposed by Hodge (2008) <span><span>[5]</span></span>, in which each less-profitable customer is accepted if and only if the remaining inventory exceeds a threshold that linearly decreases over the horizon. We use a Markov chain representation to show that such policies achieve uniformly bounded regret. We then generalize this result to analogous policies for arbitrarily many customer types.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"59 ","pages":"Article 107245"},"PeriodicalIF":0.8,"publicationDate":"2025-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143164391","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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