Annals of Operations Research最新文献_第10页

Moderate exponential-time algorithms for scheduling problems 调度问题的中等指数时间算法

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-30 DOI: 10.1007/s10479-024-06289-7

Vincent T’kindt, Federico Della Croce, Mathieu Liedloff

引用次数: 0

Strategic investment in power generation and transmission under a feed-in premium scheme: a game theoretic real options analysis 上网电价补贴下的发电和输电战略投资：一个博弈论的实物期权分析

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-27 DOI: 10.1007/s10479-024-06274-0

Kazuya Ito, Makoto Tanaka, Ryuta Takashima

{"title":"Strategic investment in power generation and transmission under a feed-in premium scheme: a game theoretic real options analysis","authors":"Kazuya Ito, Makoto Tanaka, Ryuta Takashima","doi":"10.1007/s10479-024-06274-0","DOIUrl":"10.1007/s10479-024-06274-0","url":null,"abstract":"<div><p>The spread of renewable energy has been accelerated by investment in power generation and transmission systems under environmental policy support such as a feed-in premium (FIP) scheme. This study examines the decision-making of the transmission system operator (TSO) and the power generation company (GENCO), where the TSO maximizes social surplus by investing in transmission lines, and the GENCO maximizes its profit by investing in power generation facilities. Specifically, the TSO decides the investment timing, while the GENCO decides the capacity. We develop a real options model to analyze the equilibrium investment timing and capacity under uncertainties in a framework of game between TSO and GENCO. We consider several scenarios in which the GENCO invests in non-renewable energy (NRE); invests in renewable energy (RE) with FIP; and invests in RE with its installation cost reduction. Our results indicate that FIP and the installation cost reduction of RE affect the equilibrium decision in a different manner. We find that FIP tends to be more welfare-enhancing than the reduction of RE installation cost when the degree of uncertainty is larger. We also demonstrate that social surplus can be increased without FIP if the installation cost of RE is reduced sufficiently in the future.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"349 - 372"},"PeriodicalIF":4.4,"publicationDate":"2024-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06274-0.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789344","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Dynamic asset allocation with asset-specific regime forecasts

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-26 DOI: 10.1007/s10479-024-06266-0

Yizhan Shu, Chenyu Yu, John M. Mulvey

{"title":"Dynamic asset allocation with asset-specific regime forecasts","authors":"Yizhan Shu, Chenyu Yu, John M. Mulvey","doi":"10.1007/s10479-024-06266-0","DOIUrl":"10.1007/s10479-024-06266-0","url":null,"abstract":"<div><p>This article introduces a novel hybrid regime identification-forecasting framework designed to enhance multi-asset portfolio construction by integrating asset-specific regime forecasts. Unlike traditional approaches that focus on broad economic regimes affecting the entire asset universe, our framework leverages both unsupervised and supervised learning to generate tailored regime forecasts for individual assets. Initially, we use the <i>statistical jump model</i>, a robust unsupervised regime identification model, to derive regime labels for historical periods, classifying them into bullish or bearish states based on features extracted from an asset return series. Following this, a supervised gradient-boosted decision tree classifier is trained to predict these regimes using a combination of asset-specific return features and cross-asset macro-features. We apply this framework individually to each asset in our universe. Subsequently, return and risk forecasts which incorporate these regime predictions are input into Markowitz mean-variance optimization to determine optimal asset allocation weights. We demonstrate the efficacy of our approach through an empirical study on a multi-asset portfolio comprising twelve risky assets, including global equity, bond, real estate, and commodity indexes spanning from 1991 to 2023. The results consistently show outperformance across various portfolio models, including minimum-variance, mean-variance, and naive-diversified portfolios, highlighting the advantages of integrating asset-specific regime forecasts into dynamic asset allocation.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"285 - 318"},"PeriodicalIF":4.4,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638474","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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 the economic dispatch of weakly-connected mini-grids under uncertainty using joint chance constraints 不确定条件下基于联合机会约束的弱连接微电网经济调度优化

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-25 DOI: 10.1007/s10479-024-06287-9

Nesrine Ouanes, Tatiana González Grandón, Holger Heitsch, René Henrion

{"title":"Optimizing the economic dispatch of weakly-connected mini-grids under uncertainty using joint chance constraints","authors":"Nesrine Ouanes, Tatiana González Grandón, Holger Heitsch, René Henrion","doi":"10.1007/s10479-024-06287-9","DOIUrl":"10.1007/s10479-024-06287-9","url":null,"abstract":"<div><p>In this paper, we deal with a renewable-powered mini-grid, connected to an unreliable main grid, in a Joint Chance Constrained (JCC) programming setting. In several rural areas in Africa with low energy access rates, grid-connected mini-grid system operators contend with four different types of uncertainties: forecasting errors of solar power and load; frequency and outages duration from the main-grid. These uncertainties pose new challenges to the classical power system’s operation tasks. Three alternatives to the JCC problem are presented. In particular, we present an Individual Chance Constraint (ICC), Expected-Value Model (EVM) and a so called regular model that ignores outages and forecasting uncertainties. The JCC model has the capability to guarantee a high probability of meeting the local demand throughout an outage event by keeping appropriate reserves for Diesel generation and battery discharge. In contrast, the easier to handle ICC model guarantees such probability only individually for different time steps, resulting in a much less robust dispatch. The even simpler EVM focuses solely on average values of random variables. We illustrate the four models through a comparison of outcomes attained from a real mini-grid in Lake Victoria, Tanzania. The results show the dispatch modifications for battery and Diesel reserve planning, with the JCC model providing the most robust results, albeit with a small increase in costs.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"499 - 531"},"PeriodicalIF":4.4,"publicationDate":"2024-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06287-9.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142912936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

An axiomatization of the Shapley mapping using strong monotonicity in interval games

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-25 DOI: 10.1007/s10479-024-06271-3

Shinichi Ishihara, Junnosuke Shino

引用次数: 0

A generalized ASIP with arrivals to all sites and particle movements in all directions 具有到达所有地点和粒子在所有方向上运动的广义ASIP

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-23 DOI: 10.1007/s10479-024-06263-3

Yaron Yeger, Uri Yechiali

{"title":"A generalized ASIP with arrivals to all sites and particle movements in all directions","authors":"Yaron Yeger, Uri Yechiali","doi":"10.1007/s10479-024-06263-3","DOIUrl":"10.1007/s10479-024-06263-3","url":null,"abstract":"<div><p>A generalized <i>n</i>-site Asymmetric Simple Inclusion Process (ASIP) network is studied, where gate-opening instants are determined by a renewal process and arrivals occur to all sites. Various types of batch particle movements between sites are analyzed: (i) unidirectional probabilistic forward movements; (ii) probabilistic forward movements combined with feedback to the first site; and (iii) general probabilistic multidirectional movements. In contrast to the tedious successive substitution method used in previous ASIP studies, an efficient matrix approach is applied to derive the multidimensional probability generating function (PGF) of site occupancies right after gate opening instants. The complexity of the ASIP processes allows us to obtain explicit PGF results for small-size networks only, while for larger networks, a formula to calculate the mean site occupancies is derived for all types of movements. In movement case (i) the means are directly and explicitly calculated. For movement case (ii), where the network is homogeneous with equal probabilities of forward movements from site <i>i</i> to downstream sites <span>(j ge i)</span>, we show that the ratio between the mean occupancies of consecutive sites approaches a constant when the network becomes large, and calculate this ratio. Finally, we investigate an <i>n</i>-site network where at gate opening instants all gates open simultaneously, and particles move in all directions. Numerical examples are presented.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"515 - 542"},"PeriodicalIF":4.4,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06263-3.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789231","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Moore interval subtraction and interval solutions for TU-games tu -对策的摩尔区间减法和区间解

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-23 DOI: 10.1007/s10479-024-06265-1

S. Zeynep Alparslan Gök, René van den Brink, Osman Palancı

{"title":"Moore interval subtraction and interval solutions for TU-games","authors":"S. Zeynep Alparslan Gök, René van den Brink, Osman Palancı","doi":"10.1007/s10479-024-06265-1","DOIUrl":"10.1007/s10479-024-06265-1","url":null,"abstract":"<div><p>Standard solutions for cooperative transferable utility (TU-) games assign to every player in a TU-game a real number representing the player’s payoff. In this paper, we introduce interval solutions for TU-games which assign to every player in a game a <i>payoff interval</i>. Even when the worths of coalitions are known, it might be that the individual payoff of a player is not known. According to an interval solution, every player knows at least a lower- and upper bound for its individual payoff. Therefore, interval solutions are useful when there is uncertainty about the payoff allocation even when the worths that can be earned by coalitions are known. Specifically, we consider two interval generalizations of the famous Shapley value that are based on marginal contributions in terms of intervals. To determine these marginal interval contributions, we apply the subtraction operator of Moore. We provide axiomatizations for the class of totally positive TU-games. We also show how these axiomatizations can be used to extend any linear TU-game solution to an interval solution. Finally, we illustrate these interval solutions by applying them to sequencing games.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"293 - 311"},"PeriodicalIF":4.4,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06265-1.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789232","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Mean-variance optimization with inferred regimes 利用推断机制进行均方差优化

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-23 DOI: 10.1007/s10479-024-06267-z

Leonard MacLean, Yonggan Zhao, Oufan Zhang

{"title":"Mean-variance optimization with inferred regimes","authors":"Leonard MacLean, Yonggan Zhao, Oufan Zhang","doi":"10.1007/s10479-024-06267-z","DOIUrl":"10.1007/s10479-024-06267-z","url":null,"abstract":"<div><p>The dynamics of financial time series display a cyclical behavior, and the performance of portfolio decisions based on the anticipated distribution of asset returns are sensitive to the alignment of the anticipated distribution and subsequently observed returns in cyclical markets. We consider that the financial market is characterized by factors, and we present a regime-switching auto-regressive model for macro-economic factors to reflect financial cycles. We then define a factor model for the distribution of asset returns, with returns depending on regimes through the factors. The dependence is on the regime sequence in successive periods, or the regime transition. The factor model structure is embedded in the asset expected returns and their corresponding covariance matrix. These regime-dependent parameters serve as the inputs to mean-variance optimization, thereby constructing portfolios adapted to the current market environment. A contrast between investment decisions based on the expectation over regimes or the selection of a single most likely (inferred) regime is provided. The improvements in portfolio performance are calibrated with market data on macroeconomic factors and exchange traded funds as investment instruments.\u0000</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"341 - 368"},"PeriodicalIF":4.4,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638256","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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 modified scenario bundling method for shortest path network interdiction under endogenous uncertainty 内源不确定性下最短路径网络拦截的改进场景捆绑方法

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-23 DOI: 10.1007/s10479-024-06157-4

Somayeh Sadeghi, Abbas Seifi

{"title":"A modified scenario bundling method for shortest path network interdiction under endogenous uncertainty","authors":"Somayeh Sadeghi, Abbas Seifi","doi":"10.1007/s10479-024-06157-4","DOIUrl":"10.1007/s10479-024-06157-4","url":null,"abstract":"<div><p>We consider a shortest-path network interdiction problem under endogenous uncertainty on successful detection. Endogenous uncertainty arises from the fact that the interdictor may decide to enforce surveillance on some critical arcs, which would affect the prior probability of success on those arcs. The evader decision is formulated as a two-stage stochastic programming problem. In a “here and now situation”, he has to choose the shortest path in the network before realizing detection scenarios. Then, in the second stage, the evader tries to minimize the expected cost of being detected over all possible scenarios. We consider binary scenarios to represent whether or not the evader is detected on each path and apply a linearization method to deal with the non-linearity in the decision-dependent probability measure. A decomposition method is used to solve the proposed model for a case study of a worldwide drug trafficking network. The case study is concerned with finding the most critical arcs for interdicting drug trafficking. Numerical results show that a tiny increase in the probability of opium seizures leads to a significant change in the expected cost when the critical arcs are interdicted. Due to the exponential number of scenarios, the model could not be solved in a reasonable time. Common scenario reduction methods are designed for exogenous uncertainty. We apply an improved bundling method to reduce the number of scenarios in case of endogenous uncertainty. Computational results show that our method reduces the model size and solution time tremendously without significantly affecting the objective value.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"429 - 457"},"PeriodicalIF":4.4,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789233","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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

Optimal scheduling on unrelated parallel machines with combinatorial auction 组合竞价下不相关并行机的最优调度

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-09-23 DOI: 10.1007/s10479-024-06283-z

Xue Yan, Ting Wang, Xuefei Shi

{"title":"Optimal scheduling on unrelated parallel machines with combinatorial auction","authors":"Xue Yan, Ting Wang, Xuefei Shi","doi":"10.1007/s10479-024-06283-z","DOIUrl":"10.1007/s10479-024-06283-z","url":null,"abstract":"<div><p>Outsourcing operations have become an essential factor in enhancing the competitive advantage of software development enterprises. In this work, we examine the application of combinatorial auction in technician assignment and outsourcing service procurement, which is conducted by software enterprises to minimize the total cost of developing all the software. It gives rise to an unrelated parallel machine scheduling problem incorporating combinatorial auction (<span>UPMSCA</span>). Here, the jobs represent the software to be developed, and they consume the perishable time resources of the development technicians, which can be translated into monetary costs. The objective is to schedule the jobs on parallel machines or select the bid with the lowest cost. To solve the problem, we propose an arc-flow model and a set-partitioning formulation with column-based constraints. A branch-and-price algorithm with four branching rules is proposed and utilizes an effective dynamic programming algorithm to solve the pricing subproblem in the pattern-based formulation. To speed up computation, a bidirectional search method and a dominance rule are applied. Results from extensive computational tests on 100 sets of randomly generated instances demonstrate the performance of our algorithm.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 2-3","pages":"937 - 963"},"PeriodicalIF":4.4,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142995684","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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