Annals of Operations Research最新文献_第9页

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

Optimized churn prediction using ensemble-based feature selection via second-order cone programming 基于二阶锥规划的集成特征选择优化客户流失预测

IF 4.5 3区管理学

Annals of Operations Research Pub Date : 2025-03-13 DOI: 10.1007/s10479-025-06543-6

Baha Ulug, Süreyya Akyüz

{"title":"Optimized churn prediction using ensemble-based feature selection via second-order cone programming","authors":"Baha Ulug, Süreyya Akyüz","doi":"10.1007/s10479-025-06543-6","DOIUrl":"10.1007/s10479-025-06543-6","url":null,"abstract":"<div><p>This paper investigates the diverse applications of ensemble-based artificial intelligence algorithms in analyzing customer churn within the banking industry. Additionally, it conducts a comprehensive comparison, rigorously contrasting well-established conventional methods with the relatively less-familiar second-order cone programming (SOCP) ensemble-based feature selection method. Conducting a comprehensive analysis, the study explores large-scale feature engineering using demographic, financial and transactional data. This approach not only enhances the complexity and real-world adaptability of churn analysis methodologies but also makes a significant contribution to business analytics in the banking sector. The research stands as a rare example in the literature, utilizing bank customer data within the interest-free financial system, thereby advancing our understanding of customer relationship management in both the operations research and financial sectors. Banks can use these methods to enhance their customer retention strategies, which may result in lower churn rates and higher customer lifetime value. By minimizing customer churn, banks can improve their financial stability and profitability, potentially leading to more consistent lending practices and lower interest rates for customers.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"353 2","pages":"635 - 665"},"PeriodicalIF":4.5,"publicationDate":"2025-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145296494","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

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

IF 4.5 3区管理学

Annals of Operations Research Pub Date : 2025-03-05 DOI: 10.1007/s10479-025-06539-2

Yu Xia, Jiaping Xie, Tingting Zhang

引用次数: 0

The role of energy performance contracting in green financial incentives and achieving SDGs: environmental benefit or economic benefit 能源绩效合同在绿色金融激励和实现可持续发展目标中的作用：环境效益还是经济效益

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2025-03-03 DOI: 10.1007/s10479-025-06517-8

Ruxia Lyu, Zhitang Li, Cuihua Zhang

{"title":"The role of energy performance contracting in green financial incentives and achieving SDGs: environmental benefit or economic benefit","authors":"Ruxia Lyu, Zhitang Li, Cuihua Zhang","doi":"10.1007/s10479-025-06517-8","DOIUrl":"10.1007/s10479-025-06517-8","url":null,"abstract":"<div><p>In the pursuit of low-carbon sustainable development, many nations have implemented stringent carbon taxes to reduce greenhouse gas emissions. These rigorous carbon tax regulations compel manufacturers to invest in green technologies, which can place a significant financial burden on them. To mitigate this strain, manufacturers may turn to bank loans or supplier-based financial incentives, such as supplier financing and energy performance contracting, to fund their green investments. Therefore, this paper examines the interplay between suppliers’ green financial incentives and manufacturers’ green finance options under carbon tax policies, aiming to identify Pareto optimal outcomes. Through game theory, some conclusions are obtained. First, manufacturers generally prefer supplier-based financial incentives over bank loans, with energy performance contracting favored at low tax rates and supplier financing at high tax rates. Second, from an economic standpoint, Pareto optimality between suppliers and manufacturers is achieved only through supplier financing under high carbon tax rates and low supplier financing interest rates. Third, energy performance contracting emerges as the optimal green financial incentive for promoting low-carbon sustainable development, thereby contributing to the achievement of sustainable development goals.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"347 3","pages":"1607 - 1641"},"PeriodicalIF":4.4,"publicationDate":"2025-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143925539","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

Data envelopment analysis and accounting measures 数据包络分析与核算措施

IF 4.5 3区管理学

Annals of Operations Research Pub Date : 2025-03-01 DOI: 10.1007/s10479-025-06533-8

Claire Cui, Julie Harrison, Frederick Ng, Paul Rouse

{"title":"Data envelopment analysis and accounting measures","authors":"Claire Cui, Julie Harrison, Frederick Ng, Paul Rouse","doi":"10.1007/s10479-025-06533-8","DOIUrl":"10.1007/s10479-025-06533-8","url":null,"abstract":"<div><p>This paper surveys the growing stream of DEA research that uses only accounting measures, which we term “FinDEA”. Our analysis of 280 FinDEA studies from 1990 to 2023, identified 322 models using a diversity of firm performance constructs and accounting measures. The breadth of firm performance, nature and variety of accounting measures, and approaches used in this research stream introduce new challenges beyond those faced in conventional DEA research. We develop a hierarchical framework of FinDEA illustrating how various models focus on a range of hierarchical organisational aspects, leading to diverse interpretations of performance and differing selections of accounting measures. This diversity, however, is often unacknowledged by accounting researchers, where reliance on prior literature or direct adoption of FinDEA models is common. The hierarchical framework provides a continuum of firm performance constructs used in FinDEA research and highlights considerations and suggestions for future researchers and readers around model design and evaluation.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"351 2","pages":"1353 - 1376"},"PeriodicalIF":4.5,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-025-06533-8.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145160735","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 ensemble learning model with dynamic sampling and feature fusion network for class sparsity in credit risk classification 基于动态采样和特征融合网络的信用风险分类类稀疏集成学习模型

IF 4.5 3区管理学

Annals of Operations Research Pub Date : 2025-02-27 DOI: 10.1007/s10479-025-06528-5

Changhua He, Lean Yu, Xi Xi, Xiaoming Zhang, Chuanbin Liu

{"title":"An ensemble learning model with dynamic sampling and feature fusion network for class sparsity in credit risk classification","authors":"Changhua He, Lean Yu, Xi Xi, Xiaoming Zhang, Chuanbin Liu","doi":"10.1007/s10479-025-06528-5","DOIUrl":"10.1007/s10479-025-06528-5","url":null,"abstract":"<div><p>The prevalent challenge of class sparsity issues in credit risk classification commonly focuses on instance-view solutions, while feature-view solutions are overlooked. For this purpose, this paper designs a dual-view ensemble learning model to tackle class sparsity and its associated traits of overlap, noise, and irrelevance. The model comprises two phases integrated into a recurrent structure. Firstly, an instance-view dynamic sampling method is developed on instance importance estimation to select important instances. Secondly, at the feature view, a feature fusion network is introduced to extract classification features by integrating feature interaction and densely connected structures. In order to form a recurrent structure, the trained network serves as an instance importance estimator in the subsequent epoch. The proposed model is evaluated using four publicly available datasets and six derived datasets, and experimental results demonstrate its excellent performance relative to other benchmarks. This indicates the proposed ensemble model presents an effective and competitive solution for credit risk classification in scenarios with class sparsity.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"353 2","pages":"761 - 791"},"PeriodicalIF":4.5,"publicationDate":"2025-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145296378","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