European Journal of Operational Research最新文献_第10页

Optimal day-ahead offering strategy for large producers based on market price response learning 基于市场价格反应学习的大型生产商最优日前发售策略

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-27 DOI: 10.1016/j.ejor.2024.06.038

{"title":"Optimal day-ahead offering strategy for large producers based on market price response learning","authors":"","doi":"10.1016/j.ejor.2024.06.038","DOIUrl":"10.1016/j.ejor.2024.06.038","url":null,"abstract":"<div><p>In day-ahead electricity markets based on uniform marginal pricing, small variations in the offering and bidding curves may substantially modify the resulting market outcomes. In this work, we deal with the problem of finding the optimal offering curve for a risk-averse profit-maximizing generating company (GENCO) in a data-driven context. In particular, a large GENCO’s market share may imply that its offering strategy can alter the marginal price formation, which can be used to increase profit. We tackle this problem from a novel perspective. First, we propose an optimization-based methodology to summarize each GENCO’s step-wise supply curves into a subset of representative price-energy blocks. Then, the relationship between the resulting market price and the energy block offering prices is modeled through a probabilistic forecasting tool: a Distributional Neural Network, which also allows us to generate stochastic scenarios for the sensibility of the market towards the GENCO strategy via a set of linear constraints. Finally, this predictive model is embedded in the stochastic optimization model employing a constraint learning approach. Results show how allowing the GENCO to deviate from its true marginal costs renders significant changes in its profits and the marginal price of the market. Additionally, these results have also been tested in an out-of-sample validation setting, showing how this optimal offering strategy can effective in a real-world market context.</p></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0377221724005186/pdfft?md5=c5e77c8bd1ff73bc8c07a82ed72298fd&pid=1-s2.0-S0377221724005186-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141597861","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Strategic flood impact mitigation in developing countries’ urban road networks: Application to Hanoi 发展中国家城市公路网的洪水影响战略缓解：河内的应用

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-26 DOI: 10.1016/j.ejor.2024.06.035

{"title":"Strategic flood impact mitigation in developing countries’ urban road networks: Application to Hanoi","authors":"","doi":"10.1016/j.ejor.2024.06.035","DOIUrl":"10.1016/j.ejor.2024.06.035","url":null,"abstract":"<div><p>Due to climate change, the frequency and scale of flood events worldwide are increasing dramatically. Flood impacts are especially acute in developing countries, where they often revert years of progress in sustainable development and poverty reduction. This paper introduces an optimization-based decision support tool for selecting cost-efficient flood mitigation investments in developing countries’ urban areas. The core of the tool is a scenario-based, multi-period, bi-objective Mixed Integer Linear Programming model which minimizes infrastructure damage and traffic congestion in urban road networks. The tool was developed in collaboration with Vietnamese stakeholders (e.g., local communities and government authorities), and integrates data and inputs from other disciplines, including social science, transport economics, climatology and hydrology. A metaheuristic, combining a Greedy Randomized Adaptive Search Procedure with a Variable Neighborhood Descent algorithm, is developed to solve large scale problem instances. An extensive computational campaign on randomly generated instances demonstrates the efficiency of the metaheuristic in solving realistic problems with hundreds of interdependent flood mitigation interventions. Finally, the applicability of the interdisciplinary approach is demonstrated on a real case study to generate a 20-year plan of mitigation investments for the urban area of Hanoi. Policy implications and impacts of the study are also discussed.</p></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0377221724005150/pdfft?md5=dfe1f2302f9ab0fd29131f841a948d0e&pid=1-s2.0-S0377221724005150-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141597846","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Stable set reformulations for the degree preserving spanning tree problem 度保全生成树问题的稳定集重构

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-26 DOI: 10.1016/j.ejor.2024.06.031

{"title":"Stable set reformulations for the degree preserving spanning tree problem","authors":"","doi":"10.1016/j.ejor.2024.06.031","DOIUrl":"10.1016/j.ejor.2024.06.031","url":null,"abstract":"<div><p>Let <span><math><mrow><mi>G</mi><mo>=</mo><mrow><mo>(</mo><mi>V</mi><mo>,</mo><mi>E</mi><mo>)</mo></mrow></mrow></math></span> be a connected undirected graph and assume that a spanning tree is available for it. Any vertex in this tree is called <em>degree preserving</em> if it has the same degree in the graph and in the tree. Building upon this concept, the Degree Preserving Spanning Tree Problem (DPSTP) asks for a spanning tree of <span><math><mi>G</mi></math></span> with as many degree preserving vertices as possible. DPSTP is very much intertwined with the most important application for it, so far, i.e., the online monitoring of arc flows in a water distribution network, what serves us as an additional motivation for our investigation. We show that degree preserving vertices correspond to a stable set of a properly defined DPSTP conflict graph. This, in turn, allows us to use valid inequalities for the Stable Set Polytope (SSP) and thus strengthen the DPSTP formulations previously suggested in the literature. In doing so, the Branch-and-cut and Benders Decomposition algorithms suggested for these formulations are greatly enhanced. Additionally, as a further contribution, we also introduce a new and very challenging set of DPSTP test instances, given by graphs that closely resemble water distribution networks. For these instances, the new algorithms very clearly outperform all previous DPSTP algorithms. They not only run faster than their competitors but are also less dependent on good initial DPSTP primal bounds. For previous DPSTP test sets, the new algorithms lag behind the best existing algorithm for them, which is based on Lagrangian relaxation. However, as compared to additional DPSTP previous algorithms that do not benefit from SSP inequalities, the new ones come much closer to the Lagrangian relaxation one.</p></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141545837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Interactive preference analysis: A reinforcement learning framework 交互式偏好分析：强化学习框架

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-25 DOI: 10.1016/j.ejor.2024.06.033

{"title":"Interactive preference analysis: A reinforcement learning framework","authors":"","doi":"10.1016/j.ejor.2024.06.033","DOIUrl":"10.1016/j.ejor.2024.06.033","url":null,"abstract":"<div><p>Automated investment managers are increasingly popular in personal wealth management due to their cost effectiveness, objectivity, and accessibility. However, it still suffers from several dilemmas, e.g., cold start, over-specialization, and black boxes. To solve these issues, we develop an online reinforcement learning framework based on the multi-armed bandit algorithm to offer personalized investment advice. We provide a comprehensive theoretical procedure for developing this framework. This framework not only enables us to capture the evolving preferences of investors effectively but also has a strong explainability power to provide more implications regarding why one financial product is preferred. We further evaluate our basic model through a large-scale, real-world data set from a leading wealth management platform. The results show a stronger effectiveness of the proposed framework compared to other well-recognized benchmark models. Furthermore, we extend our basic model to address the potential agency problem between the robo-advisor and the investors. Another extension is also provided through an optimization scheme to account for the investors’ demands for diversification in multiple aspects.</p></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141545838","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 bi-objective combinatorial optimization with heterogeneous objectives 关于具有异质目标的双目标组合优化

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-24 DOI: 10.1016/j.ejor.2024.06.029

{"title":"On bi-objective combinatorial optimization with heterogeneous objectives","authors":"","doi":"10.1016/j.ejor.2024.06.029","DOIUrl":"10.1016/j.ejor.2024.06.029","url":null,"abstract":"<div><p>The heterogeneity among objectives in multi-objective optimization can be viewed from several perspectives. In this paper, we are interested in the heterogeneity arising in the underlying landscape of the objective functions, in terms of multi-modality and search difficulty. Building on recent efforts leveraging the so-called single-objective NK-landscapes to model such a setting, we conduct a three-fold empirical analysis on the impact of objective heterogeneity on the landscape properties and search difficulty of bi-objective optimization problems. Firstly, for small problems, we propose two techniques based on studying the distribution of the solutions in the objective space. Secondly, for large problems, we investigate the ability of existing landscape features to capture the degree of heterogeneity among the two objectives. Thirdly, we study the behavior of two state-of-the-art multi-objective evolutionary algorithms, namely MOEA/D and NSGA-II, when faced with a range of problems with different degrees of heterogeneity. Although one algorithm is found to consistently outperform the other, the dynamics of both algorithms vary similarly with respect to objective heterogeneity. Our analysis suggests that novel approaches are needed to understand the fundamental properties of heterogeneous bi-objective optimization problems and to tackle them more effectively.</p></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141597847","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 bilateral deliberation mechanism for conflict resolving with multi-actor and multi-criteria 多因素、多标准的双边冲突解决审议机制

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-24 DOI: 10.1016/j.ejor.2024.06.028

{"title":"A bilateral deliberation mechanism for conflict resolving with multi-actor and multi-criteria","authors":"","doi":"10.1016/j.ejor.2024.06.028","DOIUrl":"10.1016/j.ejor.2024.06.028","url":null,"abstract":"<div><p>Multi-actor multi-criteria analysis (MAMCA) is widely used to support group decision-making processes that involve various stakeholders. These stakeholders usually have divergent attributes and heterogeneous preferences, which leads to conflicting views on certain pre-set criteria. To deal with this issue, we propose a four-step conflict resolution approach to diagnose and mitigate such conflicts. This approach integrates a correlation-based technique with a search function to identify the criteria that cause the conflict between stakeholders and measure to what extent each criterion contributes to such a conflict. On this basis, we design a bilateral deliberation mechanism to resolve group conflict by resolving conflict between pairs of stakeholders. The experimental results indicate that, from the perspectives of effectiveness and fairness, the bilateral deliberation mechanism outperforms the traditional conflict mitigation approach that requires all stakeholders to participate in a conversation together. Moreover, the bilateral deliberation mechanism is adequate for important decision-making events where any concessions made will be very costly for participants.</p></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141545839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Collusion by mistake: Does algorithmic sophistication drive supra-competitive profits? 错误的合谋：算法的复杂性会带来超竞争利润吗？

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-22 DOI: 10.1016/j.ejor.2024.06.006

Ibrahim Abada , Xavier Lambin , Nikolay Tchakarov

{"title":"Collusion by mistake: Does algorithmic sophistication drive supra-competitive profits?","authors":"Ibrahim Abada , Xavier Lambin , Nikolay Tchakarov","doi":"10.1016/j.ejor.2024.06.006","DOIUrl":"10.1016/j.ejor.2024.06.006","url":null,"abstract":"<div><p>A burgeoning literature shows that self-learning algorithms may, under some conditions, reach seemingly-collusive outcomes: after repeated interaction, competing algorithms earn supra-competitive profits, at the expense of efficiency and consumer welfare. This paper offers evidence that such behavior can stem from insufficient exploration during the learning process and that algorithmic sophistication might increase competition. In particular, we show that allowing for more thorough exploration does lead otherwise seemingly-collusive Q-learning algorithms to play more competitively. We first provide a theoretical illustration of this phenomenon by analyzing the competition between two stylized Q-learning algorithms in a Prisoner’s Dilemma framework. Second, via simulations, we show that some more sophisticated algorithms exploit the seemingly-collusive ones. Following these results, we argue that the advancement of algorithms in sophistication and computational capabilities may, in some situations, provide a solution to the challenge of algorithmic seeming collusion, rather than exacerbate it.</p></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S037722172400434X/pdfft?md5=0fb95bee4a81d402345a670c935e33c5&pid=1-s2.0-S037722172400434X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141545842","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Scheduling maintenance activities subject to stochastic job-dependent machine deterioration 根据随机工作的机器损坏情况安排维护活动

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-22 DOI: 10.1016/j.ejor.2024.06.030

引用次数: 0

A bilevel programming approach to price decoupling in Pay-as-Clear markets, with application to day-ahead electricity markets 在 "即清即付 "市场中实现价格脱钩的双层编程方法，并应用于日前电力市场

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-22 DOI: 10.1016/j.ejor.2024.06.018

{"title":"A bilevel programming approach to price decoupling in Pay-as-Clear markets, with application to day-ahead electricity markets","authors":"","doi":"10.1016/j.ejor.2024.06.018","DOIUrl":"10.1016/j.ejor.2024.06.018","url":null,"abstract":"<div><p>Motivated by the recent crisis of the European electricity markets, we propose the concept of <em>Segmented Pay-as-Clear</em> (SPaC) market, introducing a new family of market clearing problems that achieve a degree of decoupling between groups of participants. This requires a relatively straightforward modification of the standard PaC model and retains its crucial features by providing both long- and short-term sound price signals. The approach is based on dynamically partitioning demand across the segmented markets, where the partitioning is endogenous, i.e., controlled by the model variables, and is chosen to minimise the total system cost. The thusly modified model leads to solving Bilevel Programming problems, or more generally Mathematical Programs with Complementarity Constraints; these have a higher computational complexity than those corresponding to the standard PaC, but in the same ballpark as the models routinely used in real-world Day Ahead Markets (DAMs) to represent “nonstandard” requirements, e.g., the unique buying price in the Italian DAM. Thus, SPaC models should still be solvable in a time compatible with market operation with appropriate algorithmic tools. Like all market models, SPaC is not immune to <em>strategic bidding</em> techniques, but some theoretical results indicate that, under the right conditions, the effect of these could be limited. An initial experimental analysis of the proposed models, carried out through Agent Based simulations, seems to indicate a good potential for significant system cost reductions and an effective decoupling of the two markets.</p></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0377221724004661/pdfft?md5=2175bc24df39225388e95205e195ddef&pid=1-s2.0-S0377221724004661-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141463469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

The many Shapley values for explainable artificial intelligence: A sensitivity analysis perspective 可解释人工智能的众多夏普利值：敏感性分析视角

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-06-22 DOI: 10.1016/j.ejor.2024.06.023

Emanuele Borgonovo , Elmar Plischke , Giovanni Rabitti

{"title":"The many Shapley values for explainable artificial intelligence: A sensitivity analysis perspective","authors":"Emanuele Borgonovo , Elmar Plischke , Giovanni Rabitti","doi":"10.1016/j.ejor.2024.06.023","DOIUrl":"10.1016/j.ejor.2024.06.023","url":null,"abstract":"<div><p>Predictive models are increasingly used for managerial and operational decision-making. The use of complex machine learning algorithms, the growth in computing power, and the increase in data acquisitions have amplified the black-box effects in data science. Consequently, a growing body of literature is investigating methods for interpretability and explainability. We focus on methods based on Shapley values, which are gaining attention as measures of feature importance for explaining black-box predictions. Our analysis follows a hierarchy of value functions, and proves several theoretical properties that connect the indices at the alternative levels. We bridge the notions of totally monotone games and Shapley values, and introduce new interaction indices based on the Shapley-Owen values. The hierarchy evidences synergies that emerge when combining Shapley effects computed at different levels. We then propose a novel sensitivity analysis setting that combines the benefits of both local and global Shapley explanations, which we refer to as the “glocal” approach. We illustrate our integrated approach and discuss the managerial insights it provides in the context of a data-science problem related to health insurance policy-making.</p></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0377221724004715/pdfft?md5=9e0452d284fdc06e6ffd43cf5cd218d1&pid=1-s2.0-S0377221724004715-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141597848","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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