European Journal of Operational Research最新文献_第2页

Optimizing sequential decision-making under risk: Strategic allocation with switching penalties 优化风险下的顺序决策：带有转换惩罚的战略分配

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-09-20 DOI: 10.1016/j.ejor.2024.09.023

{"title":"Optimizing sequential decision-making under risk: Strategic allocation with switching penalties","authors":"","doi":"10.1016/j.ejor.2024.09.023","DOIUrl":"10.1016/j.ejor.2024.09.023","url":null,"abstract":"<div><div>This paper considers the multiarmed bandit (MAB) problem augmented with a critical real-world consideration: the cost implications of switching decisions. Our work distinguishes itself by addressing the largely unexplored domain of risk-averse MAB problems compounded by switching penalties. Such scenarios are not just theoretical constructs but are reflective of numerous practical applications. Our contribution is threefold: firstly, we explore how switching costs and risk aversion influence decision-making in MAB problems. Secondly, we present novel theoretical results, including the development of the Risk-Averse Switching Index (RASI), which addresses the dual challenges of risk aversion and switching costs, demonstrating its near-optimal efficacy. This heuristic solution method is grounded in dynamic coherent risk measures, enabling a time-consistent evaluation of risk and reward. Lastly, through rigorous numerical experiments, we validate our algorithm’s effectiveness and practical applicability, providing decision-makers with valuable insights and tools for navigating the multifaceted landscape of risk-averse environments with inherent switching costs.</div></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142325849","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

Fifty years of reliability in operations research 运筹学可靠性五十年

IF 6.4 2区管理学

European Journal of Operational Research Pub Date : 2024-09-20 DOI: 10.1016/j.ejor.2024.09.010

Terje Aven, David Rios Insua, Refik Soyer, Xiaoyan Zhu, Enrico Zio

引用次数: 0

Bank financial sustainability evaluation: Data envelopment analysis with random forest and Shapley additive explanations 银行财务可持续性评估：采用随机森林和沙普利加法解释的数据包络分析法

IF 6.4 2区管理学

European Journal of Operational Research Pub Date : 2024-09-19 DOI: 10.1016/j.ejor.2024.09.030

Yu Shi, Vincent Charles, Joe Zhu

{"title":"Bank financial sustainability evaluation: Data envelopment analysis with random forest and Shapley additive explanations","authors":"Yu Shi, Vincent Charles, Joe Zhu","doi":"10.1016/j.ejor.2024.09.030","DOIUrl":"https://doi.org/10.1016/j.ejor.2024.09.030","url":null,"abstract":"Ensuring financial sustainability is imperative for a financial institution's overall stability. To mitigate the risk of bank failure amid financial crises, effective management of financial sustainability performance becomes paramount. This study introduces a comprehensive framework for the accurate and efficient quantification, indexing, and evaluation of financial sustainability within the American banking industry. Our approach begins by conceptualizing financial sustainability as a multi-stage, multifactor structure. We construct a composite index through a three-stage network data envelopment analysis (DEA) and subsequently develop a random forest classification model to predict financial sustainability outcomes. The classification model attains an average testing recall rate of 84.34 %. Additionally, we employ SHapley Additive exPlanations (SHAP) to scrutinize the impacts of contextual variables on financial sustainability performance across various substages and the overall banking process, as well as to improve the interpretability and transparency of the classification results. SHAP results reveal the significance and effects of contextual variables, and noteworthy differences in contextual impacts emerge among different banking substages. Specifically, loans and leases, interest income, total liabilities, total assets, and market capitalization positively contribute to the deposit stage; revenue to assets positively influences the loan stage; and revenue per share positively affects the profitability stage. This study serves the managerial objective of assisting banks in capturing financial sustainability and identifying potential sources of unsustainability. By unveiling the “black box” of financial sustainability and deciphering its internal dynamics and interactions, banks can enhance their ability to monitor and control financial sustainability performance more effectively.","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.4,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142325852","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

Existence of equilibrium in a dynamic supply chain game with vertical coordination, horizontal competition, and complementary goods 具有纵向协调、横向竞争和互补商品的动态供应链博弈中均衡的存在性

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-09-19 DOI: 10.1016/j.ejor.2024.09.027

{"title":"Existence of equilibrium in a dynamic supply chain game with vertical coordination, horizontal competition, and complementary goods","authors":"","doi":"10.1016/j.ejor.2024.09.027","DOIUrl":"10.1016/j.ejor.2024.09.027","url":null,"abstract":"<div><div>We consider supply chain competition and vertical coordination in a linear–quadratic differential game setting. In this setting, supply chains produce complementary goods and each of them includes a single manufacturer and a single retailer who coordinate their decisions through a revenue-sharing contract with a wholesale price and a fixed sales revenue share. We study a multiple leader-follower Stackelberg game where the manufacturers are the leaders and the retailers are the followers. Competition occurs at both levels of the supply chains. Retailers play Nash and compete in price; manufacturers also play Nash but they compete in choosing their production capacities by exploiting the equilibrium price decisions made by the retailers. We show that open-loop Nash equilibria exist when the manufacturers only receive a wholesale price (there are no longer exploiting the equilibrium price decision made by the retailers, however). When the manufacturers receive both a wholesale-price and a share of the retailers’ sales revenues, equilibria generally no longer exist. The non-existence of an equilibrium stems from the fact that the manufacturers’ instant profits are discontinuous functions of their production capacities. This discontinuity leads to a major technical difficulty in that one cannot apply standard optimal control approaches to study the equilibria of the dynamic game. Our results illustrate the possibility that competition between supply chains might not be sustainable when they sell complementary products and rely on a revenue-sharing agreement.</div></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142325869","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

Simple fixes that accommodate switching costs in multi-armed bandits 适应多臂匪徒中转换成本的简单修复方法

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-09-19 DOI: 10.1016/j.ejor.2024.09.017

{"title":"Simple fixes that accommodate switching costs in multi-armed bandits","authors":"","doi":"10.1016/j.ejor.2024.09.017","DOIUrl":"10.1016/j.ejor.2024.09.017","url":null,"abstract":"<div><div>When switching costs are added to the multi-armed bandit (MAB) problem where the arms’ random reward distributions are previously unknown, usually quite different techniques than those for pure MAB are required. We find that two simple fixes on the existing upper-confidence-bound (UCB) policy can work well for MAB with switching costs (MAB-SC). Two cases should be distinguished. One is with <em>positive-gap</em> ambiguity where the performance gap between the leading and lagging arms is known to be at least some <span><math><mrow><mi>δ</mi><mo>></mo><mn>0</mn></mrow></math></span>. For this, our fix is to erect barriers that discourage frivolous arm switchings. The other is with <em>zero-gap</em> ambiguity where absolutely nothing is known. We remedy this by forcing the same arms to be pulled in increasingly prolonged intervals. As usual, the effectivenesses of our fixes are measured by the worst average regrets over long time horizons <span><math><mi>T</mi></math></span>. When the barriers are fixed at <span><math><mrow><mi>δ</mi><mo>/</mo><mn>2</mn></mrow></math></span>, we can accomplish a <span><math><mrow><mo>ln</mo><mrow><mo>(</mo><mi>T</mi><mo>)</mo></mrow></mrow></math></span>-sized regret bound for the positive-gap case. When intervals are such that <span><math><mi>n</mi></math></span> of them occupy <span><math><msup><mrow><mi>n</mi></mrow><mrow><mn>2</mn></mrow></msup></math></span> periods, we can achieve the best possible <span><math><msup><mrow><mi>T</mi></mrow><mrow><mn>1</mn><mo>/</mo><mn>2</mn></mrow></msup></math></span>-sized regret bound for the zero-gap case. Other than UCB, these fixes can be applied to a learning while doing (LWD) heuristic to reach satisfactory results as well. While not yet with the best theoretical guarantees, the LWD-based policies have empirically outperformed those based on UCB and other known alternatives. Numerically competitive policies still include ones resulting from interval-based fixes on Thompson sampling (TS).</div></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142275778","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

The set team orienteering problem 集队定向越野问题

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-09-18 DOI: 10.1016/j.ejor.2024.09.021

{"title":"The set team orienteering problem","authors":"","doi":"10.1016/j.ejor.2024.09.021","DOIUrl":"10.1016/j.ejor.2024.09.021","url":null,"abstract":"<div><div>We introduce the Set Team Orienteering Problem (STOP), a generalised variant of the Set Orienteering Problem (SOP), in which customer locations are split into multiple clusters (or groups). Each cluster is associated with a profit that can be gained only if at least one customer from the cluster is visited. There is a fleet of homogeneous vehicles at a depot, and each vehicle has a limited travel time. The goal of the STOP is to find a set of feasible vehicle routes to collect the maximum profit. We first formulate the problem as a Mixed Integer Linear Programming (MILP) to mathematically describe it. A branch-and-price (B&P) algorithm is then developed to solve the problem to optimality. To deal with large instances, we propose a Large Neighbourhood Search (LNS), which relies on problem-tailored solution representation, removal, and insertion operators. Multiple experiments on newly generated instances confirm the performance of our approaches. Remarkably, when tested on the SOP using benchmarks available in the literature, our B&P method achieves optimality in 61.9% of these instances. This is the first time such a large number of SOP instances are solved to optimality. Our LNS outperforms existing algorithms proposed to solve the SOP in terms of solution quality. Out of 612 considered instances, it improves 40 best-known solutions.</div></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142325851","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

Probabilistic branch and bound considering stochastic constraints 考虑随机约束的概率分支与约束

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-09-17 DOI: 10.1016/j.ejor.2024.09.016

{"title":"Probabilistic branch and bound considering stochastic constraints","authors":"","doi":"10.1016/j.ejor.2024.09.016","DOIUrl":"10.1016/j.ejor.2024.09.016","url":null,"abstract":"<div><div>In this paper, we investigate a simulation optimization problem that poses challenges due to (i) the inability to evaluate the objective and multiple constraint functions analytically; instead, we rely on stochastic simulation to estimate them, and (ii) a discrete and potentially vast solution space. Rather than providing a single optimal solution, our aim is to identify a set of near-optimal solutions within a specific quantile, such as the top 10%. Our investigation covers two different problem settings or frameworks. The first framework is focused solely on a stochastic objective function, disregarding any stochastic constraints. In this context, we propose employing a probabilistic branch-and-bound algorithm to discover a level set of solutions. Alternatively, the second framework involves stochastic constraints. To address such stochastically constrained problems, we utilize a penalty function methodology in conjunction with a probabilistic branch-and-bound algorithm. Furthermore, we establish a convergence analysis of both algorithms to demonstrate their asymptotic validity and highlight their theoretical properties and behavior. Our experimental results provide evidence of the efficiency of our proposed algorithms, showing that they outperform existing approaches in the field of simulation optimization.</div></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142275773","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

Optimizing extended warranty options with preventive maintenance service under multinomial logit model 在多项式对数模型下优化预防性维护服务的延保方案

IF 6.4 2区管理学

European Journal of Operational Research Pub Date : 2024-09-16 DOI: 10.1016/j.ejor.2024.09.024

Anshu Dai, Xi Yang, Duo Yang, Ting Li, Xin Wang, Shuguang He

{"title":"Optimizing extended warranty options with preventive maintenance service under multinomial logit model","authors":"Anshu Dai, Xi Yang, Duo Yang, Ting Li, Xin Wang, Shuguang He","doi":"10.1016/j.ejor.2024.09.024","DOIUrl":"https://doi.org/10.1016/j.ejor.2024.09.024","url":null,"abstract":"Extended warranty (EW) services have become the primary source of profit for manufacturers. How to design the appropriate EW service to balance customer user experience with the manufacturer’s profit issues has received great attention. Implementing preventive maintenance (PM) actions can not only reduce the customer’s lifecycle cost but also enhance the manufacturer’s brand image. Therefore, EW bundled with PM service has emerged in the after-sales market today. To enrich customers’ choice, we investigate the design of EW menus bundled with PM service options, and then we jointly determine EW prices and the frequency of PM actions for the provided menus. In the proposed model, we combine the multinomial logit model with prospect theory to characterize customer choice behavior when presented with different EW menu options. Based on that, with the aim of maximizing the manufacturer’s profit, we can derive sets of offers, the corresponding EW service prices, and the number of included PM actions. We also introduce two additional models that account for different customer purchase scenarios. Numerical results reveal that when the manufacturer chooses to offer a unified EW menu to all customers, it is consistently more profitable to present the menu at the point of product sales. Another interesting finding is that customized EW menus designed for various customer segments do not always outperform unified ones. Overall, this study will provide a foundation for manufacturers to make informed decisions regarding the selection and design of EW menus in various scenarios.","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.4,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142325853","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

Mathematical models based on decision hypergraphs for designing a storage cabinet 基于决策超图的数学模型用于设计储藏柜

IF 6 2区管理学

European Journal of Operational Research Pub Date : 2024-09-16 DOI: 10.1016/j.ejor.2024.09.022

{"title":"Mathematical models based on decision hypergraphs for designing a storage cabinet","authors":"","doi":"10.1016/j.ejor.2024.09.022","DOIUrl":"10.1016/j.ejor.2024.09.022","url":null,"abstract":"<div><div>We study the problem of designing a cabinet made up of a set of shelves that contain compartments whose contents slide forward on opening. Considering a set of items candidate to be stored in the cabinet over a given time horizon, the problem is to design a set of shelves and a set of compartments on each shelf, and select the items to insert into the compartments. The objective is to maximize the sum of the profits of the selected items. We call our problem the <em>Storage Cabinet Physical Design</em> (SCPD) problem. The SCPD problem combines a two-staged two-dimensional knapsack problem for designing the shelves and compartments with a set of temporal knapsack problems for selecting and assigning items to compartments. We formalize the SCPD problem and formulate it as a maximum cost flow problem in a decision hypergraph with additional linear constraints. To reduce the size of this model, we break symmetries, generalize graph compression techniques and exploit dominance rules for precomputing subproblem solutions. We also present a set of valid inequalities to improve the linear relaxation of the model. We empirically show that solving the arc-flow model with our enhancements outperforms solving a compact mixed integer linear programming formulation of the SCPD problem.</div></div>","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.0,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142275774","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

Attention-based dynamic multilayer graph neural networks for loan default prediction 基于注意力的动态多层图神经网络用于贷款违约预测

IF 6.4 2区管理学

European Journal of Operational Research Pub Date : 2024-09-14 DOI: 10.1016/j.ejor.2024.09.025

Sahab Zandi, Kamesh Korangi, María Óskarsdóttir, Christophe Mues, Cristián Bravo

{"title":"Attention-based dynamic multilayer graph neural networks for loan default prediction","authors":"Sahab Zandi, Kamesh Korangi, María Óskarsdóttir, Christophe Mues, Cristián Bravo","doi":"10.1016/j.ejor.2024.09.025","DOIUrl":"https://doi.org/10.1016/j.ejor.2024.09.025","url":null,"abstract":"Whereas traditional credit scoring tends to employ only individual borrower- or loan-level predictors, it has been acknowledged for some time that connections between borrowers may result in default risk propagating over a network. In this paper, we present a model for credit risk assessment leveraging a dynamic multilayer network built from a Graph Neural Network and a Recurrent Neural Network, each layer reflecting a different source of network connection. We test our methodology in a behavioural credit scoring context using a dataset provided by U.S. mortgage financier Freddie Mac, in which different types of connections arise from the geographical location of the borrower and their choice of mortgage provider. The proposed model considers both types of connections and the evolution of these connections over time. We enhance the model by using a custom attention mechanism that weights the different time snapshots according to their importance. After testing multiple configurations, a model with GAT, LSTM, and the attention mechanism provides the best results. Empirical results demonstrate that, when it comes to predicting probability of default for the borrowers, our proposed model brings both better results and novel insights for the analysis of the importance of connections and timestamps, compared to traditional methods.","PeriodicalId":55161,"journal":{"name":"European Journal of Operational Research","volume":null,"pages":null},"PeriodicalIF":6.4,"publicationDate":"2024-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142275775","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