Annals of Operations Research最新文献_第8页

Minimum-cardinality global defensive alliances in general graphs 一般图中的最小基数全球防御联盟

IF 4.5 3区管理学

Annals of Operations Research Pub Date : 2025-03-26 DOI: 10.1007/s10479-025-06571-2

André Rossi, Alok Singh

{"title":"Minimum-cardinality global defensive alliances in general graphs","authors":"André Rossi, Alok Singh","doi":"10.1007/s10479-025-06571-2","DOIUrl":"10.1007/s10479-025-06571-2","url":null,"abstract":"<div><p>A subset <i>S</i> of vertices of an undirected graph <i>G</i> is a defensive alliance if at least half of the vertices in the closed neighborhood of each vertex of <i>S</i> are in <i>S</i>. A defensive alliance is a global defensive alliance if it is also a dominating set of <i>G</i>. This paper addresses the problem of finding minimum-cardinality global defensive alliances for general graphs. Two integer linear programming formulations are proposed to address this problem, the second one being an improved version of the first one in which the constraints are attempted for tightening with a cubing-time algorithm. Two new lower bounds on the cardinality of a defensive global alliance are proposed: the first one is based on a linear time algorithm and is shown to be tighter than three of the four lower bounds from the literature, and the second one is derived from the linear programming relaxation of the aforementioned integer linear programming formulations of the problem. An upper bound on the global defensive alliance number is obtained using a greedy peeling algorithm that is shown to be at least as good as an upper bound of the literature, however it is also shown that the proposed algorithm may be unable to find an optimal solution for some graphs. Finally, numerical experiments are carried out on the 78 DIMACS instances and on 75 Erdős-Rényi graphs with up to 10,000 vertices in order to show the effectiveness of the proposed approaches.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"349 3","pages":"1891 - 1931"},"PeriodicalIF":4.5,"publicationDate":"2025-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145170149","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 firm behavior under pollution irreversibility risk, and distance to irreversibility thresholds 污染不可逆性风险下的最优企业行为和到不可逆性阈值的距离

IF 4.5 3区管理学

Annals of Operations Research Pub Date : 2025-03-25 DOI: 10.1007/s10479-025-06566-z

R. Boucekkine, W. Ruan, B. Zou

引用次数: 0

Going faster to see further: graphics processing unit-accelerated value iteration and simulation for perishable inventory control using JAX 以更快的速度看得更远：图形处理单元加速的值迭代和使用JAX的易腐库存控制模拟。

IF 4.5 3区管理学

Annals of Operations Research Pub Date : 2025-03-24 DOI: 10.1007/s10479-025-06551-6

Joseph Farrington, Wai Keong Wong, Kezhi Li, Martin Utley

{"title":"Going faster to see further: graphics processing unit-accelerated value iteration and simulation for perishable inventory control using JAX","authors":"Joseph Farrington, Wai Keong Wong, Kezhi Li, Martin Utley","doi":"10.1007/s10479-025-06551-6","DOIUrl":"10.1007/s10479-025-06551-6","url":null,"abstract":"<div><p>Value iteration can find the optimal replenishment policy for a perishable inventory problem, but is computationally demanding due to the large state spaces that are required to represent the age profile of stock. The parallel processing capabilities of modern graphics processing units (GPUs) can reduce the wall time required to run value iteration by updating many states simultaneously. The adoption of GPU-accelerated approaches has been limited in operational research relative to other fields like machine learning, in which new software frameworks have made GPU programming widely accessible. We used the Python library JAX to implement value iteration and simulators of the underlying Markov decision processes in a high-level interface, and relied on this library’s function transformations and compiler to efficiently utilize GPU hardware. Our method can extend use of value iteration to settings that were previously considered infeasible or impractical. We demonstrate this on example scenarios from three recent studies which include problems with over 16 million states and additional problem features, such as substitution between products, that increase computational complexity. We compare the performance of the optimal replenishment policies to heuristic policies, fitted using simulation optimization in JAX which allowed the parallel evaluation of multiple candidate policy parameters on thousands of simulated years. The heuristic policies gave a maximum optimality gap of 2.49%. Our general approach may be applicable to a wide range of problems in operational research that would benefit from large-scale parallel computation on consumer-grade GPU hardware.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"349 3","pages":"1609 - 1638"},"PeriodicalIF":4.5,"publicationDate":"2025-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC12350524/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144871103","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

N-player and mean field games among fund managers considering excess logarithmic returns 考虑超额对数收益的基金经理之间的n玩家和平均场博弈

IF 4.5 3区管理学

Annals of Operations Research Pub Date : 2025-03-22 DOI: 10.1007/s10479-025-06576-x

Guohui Guan, Jiaqi Hu, Zongxia Liang

{"title":"N-player and mean field games among fund managers considering excess logarithmic returns","authors":"Guohui Guan, Jiaqi Hu, Zongxia Liang","doi":"10.1007/s10479-025-06576-x","DOIUrl":"10.1007/s10479-025-06576-x","url":null,"abstract":"<div><p>This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expected utility or mean-variance criteria for excess logarithmic return. Each fund manager possesses a unique risky asset, and all fund managers can also invest in a public risk-free asset and a public risk asset. We construct both an <i>n</i>-player game and a mean field game (MFG) to address the competition problem under these two criteria. We explicitly define and rigorously solve the equilibrium and mean field equilibrium (MFE) for each criteria. In the four models, the excess logarithmic return as the evaluation criterion of the fund leads to the allocation fractions being constant. The introduction of the public risky asset yields different outcomes, with competition primarily affecting the investment in public assets, particularly evident in the MFG. We demonstrate that the MFE of the MFG represents the limit of the <i>n</i>-player game’s equilibrium as the competitive scale <i>n</i> approaches infinity. Finally, the sensitivity analyses of the equilibrium are given.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"349 3","pages":"1663 - 1691"},"PeriodicalIF":4.5,"publicationDate":"2025-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145168331","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

Sampling methods for multi-stage robust optimization problems 多阶段鲁棒优化问题的抽样方法

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2025-03-19 DOI: 10.1007/s10479-025-06545-4

Francesca Maggioni, Fabrizio Dabbene, Georg Ch. Pflug

{"title":"Sampling methods for multi-stage robust optimization problems","authors":"Francesca Maggioni, Fabrizio Dabbene, Georg Ch. Pflug","doi":"10.1007/s10479-025-06545-4","DOIUrl":"10.1007/s10479-025-06545-4","url":null,"abstract":"<div><p>In this paper, we consider multi-stage robust optimization problems of the minimax type. We assume that the total uncertainty set is the cartesian product of stagewise compact uncertainty sets and approximate the given problem by a sampled subproblem. Instead of looking for the worst case among the infinite and typically uncountable set of uncertain parameters, we consider only the worst case among a randomly selected subset of parameters. By adopting such a strategy, two main questions arise: (1) Can we quantify the error committed by the random approximation, especially as a function of the sample size? (2) If the sample size tends to infinity, does the optimal value converge to the “true” optimal value? Both questions will be answered in this paper. An explicit bound on the probability of violation is given and chain of lower bounds on the original multi-stage robust optimization problem provided. Numerical results dealing with a multi-stage inventory management problem show that the proposed approach works well for problems with two or three time periods while for larger ones the number of required samples is prohibitively large for computational tractability. Despite this, we believe that our results can be useful for problems with such small number of time periods, and it sheds some light on the challenge for problems with more time periods.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"347 3","pages":"1385 - 1423"},"PeriodicalIF":4.4,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-025-06545-4.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143925682","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

Markov decision process and approximate dynamic programming for a patient assignment scheduling problem 一类病人分配调度问题的马尔可夫决策过程与近似动态规划

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2025-03-11 DOI: 10.1007/s10479-025-06553-4

Małgorzata M. O’Reilly, Sebastian Krasnicki, James Montgomery, Mojtaba Heydar, Richard Turner, Pieter Van Dam, Peter Maree

{"title":"Markov decision process and approximate dynamic programming for a patient assignment scheduling problem","authors":"Małgorzata M. O’Reilly, Sebastian Krasnicki, James Montgomery, Mojtaba Heydar, Richard Turner, Pieter Van Dam, Peter Maree","doi":"10.1007/s10479-025-06553-4","DOIUrl":"10.1007/s10479-025-06553-4","url":null,"abstract":"<div><p>We study the patient assignment scheduling (PAS) problem in a random environment that arises in the management of patient flow in hospital systems, due to the stochastic nature of the arrivals as well as the length of stay (LoS) distribution. At the start of each time period, emergency patients in the waiting area of a hospital system need to be admitted to relevant wards. Decisions may involve allocation to less suitable wards, or transfers of the existing inpatients to accommodate higher priority cases when wards are at full capacity. However, the LoS for patients in non-primary wards may increase, potentially leading to long-term congestion. To assist with decision-making in this PAS problem, we construct a discrete-time Markov decision process over an infinite horizon, with multiple patient types and multiple wards. Since the instances of realistic size of this problem are not easy to solve, we develop numerical methods based on approximate dynamic programming. We demonstrate the application potential of our methodology under practical considerations with numerical examples, using parameters obtained from data at a tertiary referral hospital in Australia. We gain valuable insights, such as the number of patients in non-primary wards, the number of transferred patients, and the number of patients redirected to other facilities, under different policies that enhance the system’s performance. This approach allows for more realistic assumptions and can also help determine the appropriate size of wards for different patient types within the hospital system.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"347 3","pages":"1493 - 1531"},"PeriodicalIF":4.4,"publicationDate":"2025-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-025-06553-4.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143925552","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

Mixed frequency data and portfolio selection: A novel approach integrating DEA withmixed frequency data sources 混合频率数据和投资组合选择：一种将DEA与混合频率数据源集成的新方法

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2025-03-10 DOI: 10.1007/s10479-025-06529-4

Weiqing Wang, Shuhao Liang, Liukai Wang, Yu Xiong

{"title":"Mixed frequency data and portfolio selection: A novel approach integrating DEA with\u0000mixed frequency data sources","authors":"Weiqing Wang, Shuhao Liang, Liukai Wang, Yu Xiong","doi":"10.1007/s10479-025-06529-4","DOIUrl":"10.1007/s10479-025-06529-4","url":null,"abstract":"<div><p>This paper presents an innovative approach to portfolio optimization by integrating key elements of asset selection, risk management, and portfolio rebalancing. We first employ the Mixed Data Sampling (MIDAS) model to accurately measure Expected Shortfall (ES). Then, the Range Directional Measure-based Data Envelopment Analysis is considered to assess the portfolio efficiency, which integrates ES, asset returns, and inter-asset correlations for asset selection. Finally, utilizing the mixed frequency data from the metal futures market, we compared the portfolio performance of the Global Minimum ES strategy and the Market Neutral strategy, which reveals that our framework always outperforms traditional benchmarks in multiple aspects. Our findings indicate that, under the comprehensive risk management, a weekly rebalancing strategy is more effective compared to a daily rebalancing scheme. Furthermore, our study demonstrates that stringent asset selection, as opposed to loose selection or non-selection, significantly enhances the overall portfolio performance under the comprehensive risk management. Collectively, this research underscores the necessity of judicious asset selection and rebalance strategies in the modern portfolio management, and validates the practical utility of the portfolio efficiency with DEA and the mixed frequency data sources with MIDAS scheme.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"347 3","pages":"1533 - 1565"},"PeriodicalIF":4.4,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143925549","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

On (lambda )-cent-dians and generalized-center for network design: definitions and properties 论(lambda ) -分界点和网络设计的广义中心：定义和属性

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2025-03-07 DOI: 10.1007/s10479-025-06536-5

Víctor Bucarey, Natividad González-Blanco, Martine Labbé, Juan A. Mesa

引用次数: 0

Improving empirical models and forecasts with saturation-based machine learning 利用基于饱和的机器学习改进经验模型和预测

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2025-03-07 DOI: 10.1007/s10479-024-06373-y

Andrew B. Martinez, Neil R. Ericsson

引用次数: 0

Correction: Supply chain channel selection and discount strategy under influencer marketing 修正：网红营销下的供应链渠道选择与折扣策略