Pub Date : 2025-09-03DOI: 10.1016/j.orl.2025.107360
Purushottam Parthasarathy , Avinash Bhardwaj , Manjesh K. Hanawal
We revisit the online portfolio allocation problem that seeks to maximize the long term portfolio growth rate. We propose a new technique that modifies the concentration parameter of the Dirichlet distribution to incorporate cross-sectional return forecasts into the universal portfolio. We analytically establish that under certain conditions, the wealth generated by the factor Dirichlet portfolio dominates that generated by its uniform Dirichlet counterpart. We corroborate our analytical results with empirical studies on equity markets.
{"title":"Factor based forecasts in universal portfolios via Dirichlet weights","authors":"Purushottam Parthasarathy , Avinash Bhardwaj , Manjesh K. Hanawal","doi":"10.1016/j.orl.2025.107360","DOIUrl":"10.1016/j.orl.2025.107360","url":null,"abstract":"<div><div>We revisit the online portfolio allocation problem that seeks to maximize the long term portfolio growth rate. We propose a new technique that modifies the concentration parameter of the Dirichlet distribution to incorporate cross-sectional return forecasts into the universal portfolio. We analytically establish that under certain conditions, the wealth generated by the factor Dirichlet portfolio dominates that generated by its uniform Dirichlet counterpart. We corroborate our analytical results with empirical studies on equity markets.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107360"},"PeriodicalIF":0.9,"publicationDate":"2025-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144996578","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-09-02DOI: 10.1016/j.orl.2025.107361
Karen Aardal , Cor Hurkens , Jan Karel Lenstra
Benders is a household name in optimization, but as a person he was hardly known beyond his circle of colleagues and students. In this brief paper, we review his life and work.
{"title":"Jacques Benders and his decomposition algorithm","authors":"Karen Aardal , Cor Hurkens , Jan Karel Lenstra","doi":"10.1016/j.orl.2025.107361","DOIUrl":"10.1016/j.orl.2025.107361","url":null,"abstract":"<div><div>Benders is a household name in optimization, but as a person he was hardly known beyond his circle of colleagues and students. In this brief paper, we review his life and work.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107361"},"PeriodicalIF":0.9,"publicationDate":"2025-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144988603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-27DOI: 10.1016/j.orl.2025.107359
Yasuhiko Nakamura
This study revisits the differentiated goods duopoly game over an infinite time horizon, where production requires exploiting renewable mobile resources. In this study, we assume that (i) the two firms exhibit additive Kantian behavior and (ii) they produce differentiated goods. We find that the degree of resource mobility does not influence the stable feedback equilibrium outcome from either a short- or long-term perspective if the firm's initial resource stocks are the same.
{"title":"Resource mobility and market performance: Kantian optimization","authors":"Yasuhiko Nakamura","doi":"10.1016/j.orl.2025.107359","DOIUrl":"10.1016/j.orl.2025.107359","url":null,"abstract":"<div><div>This study revisits the differentiated goods duopoly game over an infinite time horizon, where production requires exploiting renewable mobile resources. In this study, we assume that (i) the two firms exhibit additive Kantian behavior and (ii) they produce differentiated goods. We find that the degree of resource mobility does not influence the stable feedback equilibrium outcome from either a short- or long-term perspective if the firm's initial resource stocks are the same.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107359"},"PeriodicalIF":0.9,"publicationDate":"2025-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144907503","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-27DOI: 10.1016/j.orl.2025.107358
Yunbing Li, Wensheng Jia, Shuwen Xiang
This paper investigates hybrid solutions in set payoff games with finite and infinite sets of players, respectively. For finite-player games, we introduce hybrid solutions, establish their existence in finite-dimensional Euclidean spaces using Scarf's theorem (Scarf, 1967 [29]) and the Kakutani fixed point theorem, and extend these results to Hausdorff topological vector spaces. For infinite-player games, we develop the concept of finite-coalition hybrid solutions and prove their existence. Our results generalize the existence of hybrid solutions in n-person games (Zhao, 1992 [12]).
{"title":"On the hybrid solutions of set payoff games","authors":"Yunbing Li, Wensheng Jia, Shuwen Xiang","doi":"10.1016/j.orl.2025.107358","DOIUrl":"10.1016/j.orl.2025.107358","url":null,"abstract":"<div><div>This paper investigates hybrid solutions in set payoff games with finite and infinite sets of players, respectively. For finite-player games, we introduce hybrid solutions, establish their existence in finite-dimensional Euclidean spaces using Scarf's theorem (Scarf, 1967 <span><span>[29]</span></span>) and the Kakutani fixed point theorem, and extend these results to Hausdorff topological vector spaces. For infinite-player games, we develop the concept of finite-coalition hybrid solutions and prove their existence. Our results generalize the existence of hybrid solutions in n-person games (Zhao, 1992 <span><span>[12]</span></span>).</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107358"},"PeriodicalIF":0.9,"publicationDate":"2025-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144913196","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-22DOI: 10.1016/j.orl.2025.107357
Amir Beck, Omer Noam
We consider the support vector data description problem which, given a set of data points, seeks to find a ball that minimizes an objective function incorporating both the radius of the ball and a penalty for any data point located outside the ball. We present a reduction of the problem to an unconstrained minimization of a strongly convex function, enabling it to be solved by a dual-based accelerated gradient method.
{"title":"A note on the support vector data description problem","authors":"Amir Beck, Omer Noam","doi":"10.1016/j.orl.2025.107357","DOIUrl":"10.1016/j.orl.2025.107357","url":null,"abstract":"<div><div>We consider the support vector data description problem which, given a set of data points, seeks to find a ball that minimizes an objective function incorporating both the radius of the ball and a penalty for any data point located outside the ball. We present a reduction of the problem to an unconstrained minimization of a strongly convex function, enabling it to be solved by a dual-based accelerated gradient method.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107357"},"PeriodicalIF":0.9,"publicationDate":"2025-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144896686","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-19DOI: 10.1016/j.orl.2025.107354
Yuval Cornfeld , Ehud Lehrer , Eilon Solan
We study dynamic decision-making scenarios where the decision maker has several consultants at her disposal, and at every period, chooses between taking an action or getting information on the underlying state through one of the consultants. We explore the optimal strategy, and find that if one of the consultants discloses the state with a positive probability, this consultant will be used in all optimal strategies, provided the consultation cost is sufficiently small.
{"title":"Choosing a consultant in a dynamic investment problem","authors":"Yuval Cornfeld , Ehud Lehrer , Eilon Solan","doi":"10.1016/j.orl.2025.107354","DOIUrl":"10.1016/j.orl.2025.107354","url":null,"abstract":"<div><div>We study dynamic decision-making scenarios where the decision maker has several consultants at her disposal, and at every period, chooses between taking an action or getting information on the underlying state through one of the consultants. We explore the optimal strategy, and find that if one of the consultants discloses the state with a positive probability, this consultant will be used in all optimal strategies, provided the consultation cost is sufficiently small.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107354"},"PeriodicalIF":0.9,"publicationDate":"2025-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144867055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-18DOI: 10.1016/j.orl.2025.107356
Dan Garber
Oja's algorithm is a well known online algorithm studied mainly in the context of stochastic principal component analysis. We make a simple observation, yet to the best of our knowledge a novel one: when applied to any (not necessarily stochastic) sequence of real symmetric matrices which share common eigenvectors, the regret of Oja's algorithm could be directly analyzed using the celebrated multiplicative weights update method for the problem of prediction with expert advice. This leads to several applications: I. Novel analysis of a projected gradient ascent method for the symmetric eigenvalue problem, which differs from classical power method-style analyzes. II. Extension of the latter to a more general class of problems which consider minimizing a convex nonsmooth objective composed with a quadratic mapping over the unit sphere, under a common eigenvectors assumption. III. New insights to the open problem of online learning of eigenvectors using only linear runtime and memory.
{"title":"Eigenvalue problems via the multiplicative weights update method","authors":"Dan Garber","doi":"10.1016/j.orl.2025.107356","DOIUrl":"10.1016/j.orl.2025.107356","url":null,"abstract":"<div><div>Oja's algorithm is a well known online algorithm studied mainly in the context of stochastic principal component analysis. We make a simple observation, yet to the best of our knowledge a novel one: when applied to any (not necessarily stochastic) sequence of real symmetric matrices which share common eigenvectors, the regret of Oja's algorithm could be directly analyzed using the celebrated multiplicative weights update method for the problem of prediction with expert advice. This leads to several applications: I. Novel analysis of a projected gradient ascent method for the symmetric eigenvalue problem, which differs from classical power method-style analyzes. II. Extension of the latter to a more general class of problems which consider minimizing a convex nonsmooth objective composed with a quadratic mapping over the unit sphere, under a common eigenvectors assumption. III. New insights to the open problem of online learning of eigenvectors using only linear runtime and memory.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107356"},"PeriodicalIF":0.9,"publicationDate":"2025-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144896687","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-14DOI: 10.1016/j.orl.2025.107355
Ymro N. Hoogendoorn , Kevin Dalmeijer
Branch-price-and-cut algorithms play an important role in solving many vehicle routing problems (VRPs). Adding valid inequalities in this framework can impact the pricing subproblem, for which the literature distinguishes between ‘robust’ and ‘non-robust’ cuts. We define the ‘robust application’ of a cut in a specific context, making this distinction more precise. Next, we define broader ‘resource-robust applications’ that can be handled efficiently in the subproblem. We then introduce new resource-robust valid inequalities and show computational benefits for the capacitated VRP.
{"title":"Resource-robust valid inequalities for vehicle routing and related problems","authors":"Ymro N. Hoogendoorn , Kevin Dalmeijer","doi":"10.1016/j.orl.2025.107355","DOIUrl":"10.1016/j.orl.2025.107355","url":null,"abstract":"<div><div>Branch-price-and-cut algorithms play an important role in solving many vehicle routing problems (VRPs). Adding valid inequalities in this framework can impact the pricing subproblem, for which the literature distinguishes between ‘robust’ and ‘non-robust’ cuts. We define the ‘robust application’ of a cut in a specific context, making this distinction more precise. Next, we define broader ‘resource-robust applications’ that can be handled efficiently in the subproblem. We then introduce new resource-robust valid inequalities and show computational benefits for the capacitated VRP.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107355"},"PeriodicalIF":0.9,"publicationDate":"2025-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144860322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-08DOI: 10.1016/j.orl.2025.107352
Eugene T.Y. Ang , Yifan Feng
This paper investigates sparse network designs that support large matchings under adversarial vertex deletions. We find that while connected structures (e.g., chain-type graphs) can be optimal when sparsity constraints are less stringent, disconnected structures (e.g., cluster-type graphs) can be optimal otherwise. We characterize the performance of chains and clusters to understand how the preferred design transitions from the former to the latter. Our analysis suggests that clusters are more robust to disruption, making them more advantageous in high-stress environments.
{"title":"Disconnectedness Brings Robustness? On Network Design For Matching With Vertex Interdiction","authors":"Eugene T.Y. Ang , Yifan Feng","doi":"10.1016/j.orl.2025.107352","DOIUrl":"10.1016/j.orl.2025.107352","url":null,"abstract":"<div><div>This paper investigates sparse network designs that support large matchings under adversarial vertex deletions. We find that while connected structures (e.g., <em>chain-type</em> graphs) can be optimal when sparsity constraints are less stringent, disconnected structures (e.g., <em>cluster-type</em> graphs) can be optimal otherwise. We characterize the performance of chains and clusters to understand how the preferred design transitions from the former to the latter. Our analysis suggests that clusters are more robust to disruption, making them more advantageous in high-stress environments.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107352"},"PeriodicalIF":0.9,"publicationDate":"2025-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144826446","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-06DOI: 10.1016/j.orl.2025.107353
Zhichao Geng, Yuan Gao
This paper addresses the robust single-machine makespan scheduling problems, in which the processing times of jobs and a set of discrete scenarios are given, and the release dates of jobs are scenario-dependent. For three common criteria (absolute robustness, maximum regret and relative maximum regret) relevant to robust optimization approaches, we show that the corresponding problems are all polynomially solvable.
{"title":"Single-machine makespan scheduling with scenario-dependent release dates","authors":"Zhichao Geng, Yuan Gao","doi":"10.1016/j.orl.2025.107353","DOIUrl":"10.1016/j.orl.2025.107353","url":null,"abstract":"<div><div>This paper addresses the robust single-machine makespan scheduling problems, in which the processing times of jobs and a set of discrete scenarios are given, and the release dates of jobs are scenario-dependent. For three common criteria (absolute robustness, maximum regret and relative maximum regret) relevant to robust optimization approaches, we show that the corresponding problems are all polynomially solvable.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107353"},"PeriodicalIF":0.9,"publicationDate":"2025-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144829644","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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