The problem of asset liability management (ALM) is a classic problem of the financial mathematics and of great interest for the banking institutions and insurance companies. Several formulations of this problem under various model settings have been studied under the Mean-Variance (MV) principle perspective. In this paper, the ALM problem is revisited under the context of model uncertainty in the one-stage framework. In practice, uncertainty issues appear to several aspects of the problem, e.g. liability process characteristics, market conditions, inflation rates, inside information effects, etc. A framework relying on the notion of the Wasserstein barycenter is presented which is able to treat robustly this type of ambiguities by appropriate handling the various information sources (models) and appropriately reformulating the relevant decision making problem. The proposed framework can be applied to a number of different model settings leading to the selection of investment portfolios that remain robust to the various uncertainties appearing in the market. The paper is concluded with a numerical experiment for a static version of the ALM problem, employing standard modelling approaches, illustrating the capabilities of the proposed method with very satisfactory results in retrieving the true optimal strategy even in high noise cases.
{"title":"A framework for treating model uncertainty in the asset liability management problem","authors":"G. Papayiannis","doi":"10.3934/jimo.2023021","DOIUrl":"https://doi.org/10.3934/jimo.2023021","url":null,"abstract":"The problem of asset liability management (ALM) is a classic problem of the financial mathematics and of great interest for the banking institutions and insurance companies. Several formulations of this problem under various model settings have been studied under the Mean-Variance (MV) principle perspective. In this paper, the ALM problem is revisited under the context of model uncertainty in the one-stage framework. In practice, uncertainty issues appear to several aspects of the problem, e.g. liability process characteristics, market conditions, inflation rates, inside information effects, etc. A framework relying on the notion of the Wasserstein barycenter is presented which is able to treat robustly this type of ambiguities by appropriate handling the various information sources (models) and appropriately reformulating the relevant decision making problem. The proposed framework can be applied to a number of different model settings leading to the selection of investment portfolios that remain robust to the various uncertainties appearing in the market. The paper is concluded with a numerical experiment for a static version of the ALM problem, employing standard modelling approaches, illustrating the capabilities of the proposed method with very satisfactory results in retrieving the true optimal strategy even in high noise cases.","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":"1 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70078607","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Hyperspectral image (HSI) and multispectral image (MSI) fusion aims at producing a super-resolution image (SRI). In this paper, we establish a nonconvex optimization model for image fusion problems through low-rank tensor triple decomposition. Using the L-BFGS approach, we develop a first-order optimization algorithm for obtaining the desired super-resolution image (TTDSR). Furthermore, two detailed methods are provided for calculating the gradient of the objective function. With the aid of the Kurdyka-Lojasiewicz property, the iterative sequence is proved to converge to a stationary point. Finally, experimental results on different datasets show the effectiveness of our proposed approach.
{"title":"Hyperspectral super-resolution via low rank tensor triple decomposition","authors":"Xiaofei Cui, Jingya Chang","doi":"10.3934/jimo.2023110","DOIUrl":"https://doi.org/10.3934/jimo.2023110","url":null,"abstract":"Hyperspectral image (HSI) and multispectral image (MSI) fusion aims at producing a super-resolution image (SRI). In this paper, we establish a nonconvex optimization model for image fusion problems through low-rank tensor triple decomposition. Using the L-BFGS approach, we develop a first-order optimization algorithm for obtaining the desired super-resolution image (TTDSR). Furthermore, two detailed methods are provided for calculating the gradient of the objective function. With the aid of the Kurdyka-Lojasiewicz property, the iterative sequence is proved to converge to a stationary point. Finally, experimental results on different datasets show the effectiveness of our proposed approach.","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":"1 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44564463","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Two-stage distributionally robust stochastic noncooperative games with continuous decision variables are studied. In such games, each player solves a two-stage distributionally robust optimization problem depending on the decisions of the other players. Existing studies in this area have been limited with strict assumptions, such as linear decision rules, and supposed that each player solves a two-stage linear distributionally robust optimization with a specifically structured ambiguity set. This limitation motivated us to generalize and analyze the game in a nonlinear case. The contributions of this study are (ⅰ) demonstrating the conditions for the existence of two-stage Nash equilibria under convexity and compactness assumptions, and (ⅱ) consideration of a two-stage distributionally robust Cournot–Nash competition as an application, as well as an investigation into the conditions for the existence of market equilibria in an economic sense. We also report some results of numerical experiments to illustrate how distributional robustness affects the decision of each player in the Cournot–Nash competition.
{"title":"Two-stage distributionally robust noncooperative games: Existence of Nash equilibrium and its application to Cournot–Nash competition","authors":"Atsushi Hori, Nobuo Yamashita","doi":"10.3934/jimo.2022221","DOIUrl":"https://doi.org/10.3934/jimo.2022221","url":null,"abstract":"Two-stage distributionally robust stochastic noncooperative games with continuous decision variables are studied. In such games, each player solves a two-stage distributionally robust optimization problem depending on the decisions of the other players. Existing studies in this area have been limited with strict assumptions, such as linear decision rules, and supposed that each player solves a two-stage linear distributionally robust optimization with a specifically structured ambiguity set. This limitation motivated us to generalize and analyze the game in a nonlinear case. The contributions of this study are (ⅰ) demonstrating the conditions for the existence of two-stage Nash equilibria under convexity and compactness assumptions, and (ⅱ) consideration of a two-stage distributionally robust Cournot–Nash competition as an application, as well as an investigation into the conditions for the existence of market equilibria in an economic sense. We also report some results of numerical experiments to illustrate how distributional robustness affects the decision of each player in the Cournot–Nash competition.","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134955521","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Carbon abatement and recycling decisions in closed-loop supply chain with the reward-penalty mechanisms","authors":"Lan Jiang, Zhiyuan Zhen","doi":"10.3934/jimo.2023132","DOIUrl":"https://doi.org/10.3934/jimo.2023132","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134980835","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Consider an investment portfolio that is is crucially important for economic security and hence requires a prudent examination of discounted portfolio losses. Due to domino effects during financial crises or pandemics, individual losses may highly interplay and exhibit a strong coherence in the extremal dependence structure. Under the framework of upper tail comonotonicity, we carry out some asymptotic studies of aggregate discounted losses of a portfolio when individual losses are in the maximum domain of attractions of three extreme value distributions, respectively. Our main finding is, both analytically and numerically, that the tail dependence among individual losses has a significant impact on discounted portfolio loss, if ignored, may cause serious consequences to the portfolio risk management.
{"title":"Tail behavior of discounted portfolio loss under upper tail comonotonicity","authors":"Yang Yang, Tongxin Bian, Shaoying Chen","doi":"10.3934/jimo.2023125","DOIUrl":"https://doi.org/10.3934/jimo.2023125","url":null,"abstract":"Consider an investment portfolio that is is crucially important for economic security and hence requires a prudent examination of discounted portfolio losses. Due to domino effects during financial crises or pandemics, individual losses may highly interplay and exhibit a strong coherence in the extremal dependence structure. Under the framework of upper tail comonotonicity, we carry out some asymptotic studies of aggregate discounted losses of a portfolio when individual losses are in the maximum domain of attractions of three extreme value distributions, respectively. Our main finding is, both analytically and numerically, that the tail dependence among individual losses has a significant impact on discounted portfolio loss, if ignored, may cause serious consequences to the portfolio risk management.","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135649349","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Low-carbon development is a global trend and a requirement from governments and industries. Many companies produce green products based on brown products to implement green product segmentation strategies, and the platform economy can help them achieve green development. Considering a manufacturer who can choose a pure brown, green low-price segmentation or green high-price segmentation strategy, we construct three corresponding platform supply chain models. By comparing the optimal results of the three models, we observe how the manufacturer performs in terms of economic and ecological benefits, as well as social welfare. Our results show that the proportion of green consumers and the green preference of green consumers have a positive impact on the manufacturer's profit. The manufacturer can make the most profit when it produces both brown and green products and sets a higher price for the green products. The green product segmentation improves social welfare, and the manufacturer can achieve a win‒win situation in terms of economic and social benefits.
{"title":"Optimal green product segmentation and differential pricing in a platform supply chain","authors":"Zongyu Mu, Wenjing Shen, Qiujie Li, Yanfei Xia, Hao Sun, Lei Cheng","doi":"10.3934/jimo.2023128","DOIUrl":"https://doi.org/10.3934/jimo.2023128","url":null,"abstract":"Low-carbon development is a global trend and a requirement from governments and industries. Many companies produce green products based on brown products to implement green product segmentation strategies, and the platform economy can help them achieve green development. Considering a manufacturer who can choose a pure brown, green low-price segmentation or green high-price segmentation strategy, we construct three corresponding platform supply chain models. By comparing the optimal results of the three models, we observe how the manufacturer performs in terms of economic and ecological benefits, as well as social welfare. Our results show that the proportion of green consumers and the green preference of green consumers have a positive impact on the manufacturer's profit. The manufacturer can make the most profit when it produces both brown and green products and sets a higher price for the green products. The green product segmentation improves social welfare, and the manufacturer can achieve a win‒win situation in terms of economic and social benefits.","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136053982","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Minan Tang, Yaguang Yan, Yaqi Zhang, Wenjuan Wang, Bo An
{"title":"Motion control of photovoltaic module dust cleaning robotic arm based on model predictive control","authors":"Minan Tang, Yaguang Yan, Yaqi Zhang, Wenjuan Wang, Bo An","doi":"10.3934/jimo.2023002","DOIUrl":"https://doi.org/10.3934/jimo.2023002","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":"1 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70078124","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A dual active set method for $ ell $1-regularized problem","authors":"Yuya Hikima, N. Yamashita","doi":"10.3934/jimo.2023022","DOIUrl":"https://doi.org/10.3934/jimo.2023022","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":"1 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70078664","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A dynamic model to solve weighted linear complementarity problems","authors":"D. Yu, Cairong Chen, Deren Han","doi":"10.3934/jimo.2023015","DOIUrl":"https://doi.org/10.3934/jimo.2023015","url":null,"abstract":"","PeriodicalId":16022,"journal":{"name":"Journal of Industrial and Management Optimization","volume":"1 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70078896","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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