Tianjiao Li , Ziwei Guan , Shaofeng Zou , Tengyu Xu , Yingbin Liang , Guanghui Lan
{"title":"Faster algorithm and sharper analysis for constrained Markov decision process","authors":"Tianjiao Li , Ziwei Guan , Shaofeng Zou , Tengyu Xu , Yingbin Liang , Guanghui Lan","doi":"10.1016/j.orl.2024.107107","DOIUrl":"10.1016/j.orl.2024.107107","url":null,"abstract":"<div><p>The problem of constrained Markov decision process <span>(CMDP)</span> is investigated, where an agent aims to maximize the expected accumulated reward subject to constraints on its utilities/costs. We propose a new primal-dual approach with a novel integration of entropy regularization and Nesterov's accelerated gradient method. The proposed approach is shown to converge to the global optimum with a complexity of <span><math><mover><mrow><mi>O</mi></mrow><mrow><mo>˜</mo></mrow></mover><mo>(</mo><mn>1</mn><mo>/</mo><mi>ϵ</mi><mo>)</mo></math></span> in terms of the optimality gap and the constraint violation, which improves the complexity of the existing primal-dual approaches by a factor of <span><math><mi>O</mi><mo>(</mo><mn>1</mn><mo>/</mo><mi>ϵ</mi><mo>)</mo></math></span>.</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":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140107118","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}
{"title":"Redesign policy for a system with uncertain failure rates","authors":"Qianru Ge , Zümbül Atan , Willem van Jaarsveld","doi":"10.1016/j.orl.2024.107093","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107093","url":null,"abstract":"<div><p>Consider a newly developed system sold under a performance based contract (PBC), and subject to failures following various failure modes. Redesign may address certain failure modes. To trade-off redesign costs and costs associated with the PBC, we find the optimal failure modes to redesign based on the current beliefs on the failure rate per failure mode, and the amount of time remaining under the PBC. We develop analytic insights into the structure of the optimal policy.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000294/pdfft?md5=242d541b6e529813eae13d29b5118db1&pid=1-s2.0-S0167637724000294-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140112767","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}
Davin Choo , Yan Hao Ling , Warut Suksompong , Nicholas Teh , Jian Zhang
{"title":"Envy-free house allocation with minimum subsidy","authors":"Davin Choo , Yan Hao Ling , Warut Suksompong , Nicholas Teh , Jian Zhang","doi":"10.1016/j.orl.2024.107103","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107103","url":null,"abstract":"<div><p>House allocation refers to the problem where <em>m</em> houses are to be allocated to <em>n</em> agents so that each agent receives one house. Since an envy-free house allocation does not always exist, we consider finding such an allocation in the presence of subsidy. We show that computing an envy-free allocation with minimum subsidy is NP-hard in general, but can be done efficiently if <em>m</em> differs from <em>n</em> by an additive constant or if the agents have identical utilities.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000397/pdfft?md5=c6c307f86a7510bbca9b7b354ea2e586&pid=1-s2.0-S0167637724000397-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140042048","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}
{"title":"Markov decision process design: A framework for integrating strategic and operational decisions","authors":"Seth Brown, Saumya Sinha, Andrew J. Schaefer","doi":"10.1016/j.orl.2024.107090","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107090","url":null,"abstract":"<div><p>We consider the problem of optimally designing a system for repeated use under uncertainty. We develop a modeling framework that integrates the design and operational phases, which are represented by a mixed-integer program and discounted-cost infinite-horizon Markov decision processes, respectively. We seek to simultaneously minimize the design costs and the subsequent expected operational costs. This problem setting arises naturally in several application areas, as we illustrate through examples. We derive a bilevel mixed-integer linear programming formulation for the problem and perform a computational study to demonstrate that realistic instances can be solved numerically.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140052794","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}
{"title":"On the number of pivots of Dantzig's simplex methods for linear and convex quadratic programs","authors":"Shaoning Han, Xinyao Zhang, Jong-Shi Pang","doi":"10.1016/j.orl.2024.107091","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107091","url":null,"abstract":"<div><p>Refining and extending works by Ye and Kitahara-Mizuno, this paper presents new results on the number of pivots of simplex-type methods for solving linear programs of the Leontief kind, certain linear complementarity problems of the P kind, and nonnegatively constrained convex quadratic programs. Our results contribute to the further understanding of the complexity and efficiency of simplex-type methods for solving these problems. Two applications of the quadratic programming results are presented.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139936376","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}
{"title":"Characterizing the nonemptiness and compactness of weakly efficient solution sets for non-convex multiobjective optimization problems","authors":"Gang Wang, Yihan Fu","doi":"10.1016/j.orl.2024.107092","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107092","url":null,"abstract":"<div><p>In this paper, we demonstrate that non-convex multiobjective optimization problems have nonempty and compact weakly efficient solution sets if and only if finite scalar optimization problems have nonempty and compact solution sets under mild conditions, which partially reduces the gap between non-convex and convex multiobjective problems in characterizing the nonemptiness and compactness of weakly efficient solution sets. Two examples are provided to support the findings.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139915149","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}
{"title":"Efficient data-driven optimization with noisy data","authors":"Bart P.G. Van Parys","doi":"10.1016/j.orl.2024.107089","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107089","url":null,"abstract":"<div><p>The classical Kullback-Leibler distance is known to enjoy desirable statistical properties in the context of decision-making with noiseless data. However, in most practical situations data is subject to a certain amount of measurement noise. We hence study here data-driven prescription problems in which the data is corrupted by a known noise source. We derive efficient data-driven formulations in this noisy regime and indicate that they enjoy an entropic optimal transport interpretation.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139999974","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}
Yinlian Zeng , Siyi Wang , Xiaoqiang Cai , Lianmin Zhang
{"title":"Incentive-compatible cost allocations for inventory games with private information","authors":"Yinlian Zeng , Siyi Wang , Xiaoqiang Cai , Lianmin Zhang","doi":"10.1016/j.orl.2024.107073","DOIUrl":"10.1016/j.orl.2024.107073","url":null,"abstract":"<div><p><span>In this paper we design cost allocation rules for inventory games with private information. First, we design incentive-compatible cost allocation rules for inventory games with private information via Vickrey-Clarke-Groves (VCG) rules. Then, we propose incentive-compatible and approximate budget-balanced cost allocations via </span>polynomial approximations such as the Chebyshev approximation and the Taylor approximation. In addition, we propose an incentive-compatible cost allocation with individual rationality. Finally, we conduct numerical experiments to compare the performance of the proposed cost allocations.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139639796","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}
{"title":"Scalar representations and Hausdorff continuity of solution mappings to parametric set optimization problems via set less order relations","authors":"Lam Quoc Anh , Pham Thanh Duoc , Ha Manh Linh","doi":"10.1016/j.orl.2024.107071","DOIUrl":"10.1016/j.orl.2024.107071","url":null,"abstract":"<div><p>This paper aims to formulate scalar representations and stability conditions for parametric set<span> optimization problems involving set less order relations. We first introduce new nonlinear scalarization functions for sets and discuss their properties, and then they are utilized to establish scalar representations for solutions to such problems. Finally, we study sufficient conditions for the Hausdorff continuity of approximate solution mappings to the reference problems.</span></p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139633073","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}
{"title":"A combined variable aggregation presolving technique for mixed integer programming","authors":"Houshan Zhang , Jianhua Yuan","doi":"10.1016/j.orl.2024.107074","DOIUrl":"10.1016/j.orl.2024.107074","url":null,"abstract":"<div><p>Presolving is a critical component in modern mixed integer programming<span> (MIP ) solvers. In this paper, we propose a new and effective presolving method named inequation-based variable aggregation and develop a combined variable aggregation (VA ) technique with the advantage of significantly reducing the scales of MIP problems. This technique is particularly effective for problems involving semi-continuous variables, such as unit commitment problems. Extensive numerical experiments demonstrate that the combined VA technique can substantially accelerate the solution process of MIP problems.</span></p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139632019","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}