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A novel robust decomposition algorithm for a profit-oriented production routing problem with backordering, uncertain prices, and service level constraints 一种新颖的鲁棒分解算法,适用于具有反订、不确定价格和服务水平约束的利润导向型生产路径问题
IF 4.8 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-13 DOI: 10.1007/s10479-024-06190-3
Tarik Zouadi, Kaoutar Chargui, Najlae Zhani, Vincent Charles, Raja Sreedharan V

The Production Routing Problem (PRP) seeks optimal production and distribution planning that minimises costs and fulfils customer orders. Yet, existing literature often overlooks the potential impact on profitability. Achieving optimal profit does not necessarily imply meeting all customer orders. The cost-to-profit ratio should be considered when serving customer orders, as there are circumstances where it might be more profitable to cancel or backorder certain orders. Thus, this paper proposes, for the first time, a novel extension of PRP that maximises profit where demand is price-sensitive and allows order cancellation and backorders under service level targets. From on-field observations, price is inherently subject to uncertainty; thus, we propose a robust mathematical model for the problem that optimises the worst-case profit. To solve the problem, the paper proposes a decomposition algorithm that splits the problem into a master problem and a set of subproblems, enhanced by valid inequalities and warming up lower bounds to alleviate the model complexity. Through a series of computational tests, we prove the ability of the proposed algorithm to tighten the optimality gaps and alleviate computational time. An additional economic study is conducted to investigate how parameter variation affects profit and how sensitive it is to service level targets.

生产路由问题(PRP)寻求最优的生产和配送规划,以最大限度地降低成本并满足客户订单。然而,现有文献往往忽视了对盈利能力的潜在影响。实现最佳利润并不一定意味着满足所有客户订单。在满足客户订单时,应考虑成本利润比,因为在某些情况下,取消或延期订购某些订单可能更有利可图。因此,本文首次提出了 PRP 的新扩展,即在需求对价格敏感的情况下实现利润最大化,并允许在服务水平目标下取消订单和延期订单。根据现场观察,价格本身具有不确定性;因此,我们提出了一个稳健的数学模型,以优化最坏情况下的利润。为了解决这个问题,本文提出了一种分解算法,将问题分成一个主问题和一系列子问题,并通过有效不等式和预热下限来减轻模型的复杂性。通过一系列计算测试,我们证明了所提算法有能力缩小最优性差距并缩短计算时间。我们还进行了一项额外的经济研究,以调查参数变化对利润的影响以及利润对服务水平目标的敏感程度。
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引用次数: 0
Should one (be allowed to) replace the Cippolini’s? 是否应该(允许)更换 Cippolini?
IF 4.8 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-13 DOI: 10.1007/s10479-024-06206-y
Marcel Ausloos

One examines and discusses proposals on whether riders could be replaced in a team during multi-stage races, and how much a team final time at the end of the race would change (be "adjusted") if only the riders having completed the race are taken into account for ranking teams. A few results of the two main multi-stage races, the men Tour de France and the Giro d’Italia, are used as case studies. The impact of disqualification later on, due to doping, much after the end of such a race, is also examined in the case of two Tour de France. The statistical discussion is based on the Kendall-(tau ) coefficients for comparing team ranks at the end of these multi-stages races cases. One observes that there are significant differences in the results of the discussed measures. It is shown that there is much variety in results significance, whence demonstrating many interests of the "adjusted indicators". Moreover, it is argued that the "adjusted" rank indicator would promote more competitive and more attractive daily stages and lead to more valuable race management.

其中研究并讨论了在多赛段比赛中是否可以更换车队中的车手,以及如果只考虑完成比赛的车手来对车队进行排名,那么比赛结束时车队的最终成绩会有多大的变化("调整")。本文以两大主要多站比赛(男子环法自行车赛和环意大利自行车赛)的一些成绩为案例进行研究。此外,还以两届环法自行车赛为例,研究了在比赛结束后很长时间内,因服用兴奋剂而被取消资格的影响。统计讨论基于 Kendall-(tau )系数,用于比较这些多站比赛结束时的车队排名。我们注意到,所讨论的测量结果存在显著差异。结果表明,结果的显著性存在很大差异,这表明了 "调整指标 "的许多优点。此外,还有人认为,"调整后 "的排名指标将促进更具竞争力和吸引力的日常赛段,并带来更有价值的赛事管理。
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引用次数: 0
Efficient allocation of load-balancing and differentiation tasks in tandem queue services 串联队列服务中负载平衡和区分任务的高效分配
IF 4.8 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-12 DOI: 10.1007/s10479-024-06202-2
Mohammad Delasay, Mustafa Akan

Within service systems, tasks can encompass diverse functionalities. In a two-phase queuing model featuring two customer priority classes, our study discerns two distinct task functionalities executed by the first-phase server (referred to as the auxiliary server). These tasks aim to facilitate priority-based service by the second-phase server (referred to as the expert). Load-balancing tasks aim to alleviate the expert’s workload, while differentiation tasks seek to enhance accurate customer prioritization in the second phase by reducing misclassifications. With customers queuing for both the auxiliary server and the expert in tandem, our investigation focuses on determining the optimal allocation of the auxiliary server’s time between these load-balancing and differentiation tasks. Through queuing optimization, we aim to minimize customers’ expected total delay cost. In scenarios where the auxiliary server is allowed to perform only one task type (either load-balancing or differentiation), we delineate the optimal solutions based on specific functional forms dictating the server’s efficiency in executing each task type. These solutions strike a balance between excess phase capacities and the square root of marginal cost-to-saving ratios arising from each task type. Additionally, we partially characterize the optimal solution in scenarios permitting both load-balancing and differentiation tasks. Notably, under high system loads, executing load-balancing tasks proves more efficient than differentiation tasks. However, the relationship between the optimal task durations and system load showcases a non-monotonic pattern. As AI decision support products increasingly enable expert providers to delegate “routine” tasks to mid-level providers, our study sheds light on the efficient allocation of different tasks to different provider types to minimize delay costs in service systems.

在服务系统中,任务可以包含多种功能。在一个具有两个客户优先级的两阶段排队模型中,我们的研究发现了由第一阶段服务器(称为辅助服务器)执行的两种不同的任务功能。这些任务旨在促进第二阶段服务器(称为专家)提供基于优先级的服务。负载平衡任务旨在减轻专家的工作量,而区分任务则旨在通过减少错误分类来提高第二阶段客户优先级排序的准确性。在客户同时排队等候辅助服务器和专家的情况下,我们的研究重点是确定辅助服务器在负载平衡和区分任务之间的最佳时间分配。通过队列优化,我们的目标是使客户的预期总延迟成本最小化。在只允许辅助服务器执行一种任务类型(负载平衡或差异化)的情况下,我们根据服务器执行每种任务类型的效率的特定函数形式,划定了最佳解决方案。这些解决方案在过剩阶段容量和每种任务类型产生的边际成本与节省比率的平方根之间取得了平衡。此外,我们还部分描述了在允许负载平衡和差异化任务的情况下的最优解决方案。值得注意的是,在系统负荷较高的情况下,执行负载平衡任务比执行分化任务更有效。不过,最佳任务持续时间与系统负载之间的关系呈现出非单调模式。随着人工智能决策支持产品越来越多地让专家级服务提供者将 "常规 "任务委托给中级服务提供者,我们的研究揭示了如何高效地将不同任务分配给不同类型的服务提供者,以最大限度地降低服务系统的延迟成本。
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引用次数: 0
Portfolio optimization for sustainable investments 优化投资组合,促进可持续投资
IF 4.4 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-12 DOI: 10.1007/s10479-024-06189-w
Armin Varmaz, Christian Fieberg, Thorsten Poddig

In mean-variance portfolio optimization, multi-index models often accelerate computation, reduce input requirements, facilitate understanding, and allow easy adjustment to changing conditions more effectively than full covariance matrix estimation in many situations. In this paper, we develop a multi-index model-based portfolio optimization approach that takes into account aspects of the environment, social responsibility and corporate governance (ESG). Investments in assets related to ESG have recently grown, attracting interest from both academic research and investment fund practice. Various literature strands in this area address the theoretical and empirical relation among return, risk and ESG. Our portfolio optimization approach is flexible enough to take these literature strands into account and does not require large-scale covariance matrix estimation. An extension of our approach even allows investors to empirically discriminate among the literature strands. A case study demonstrates the application of our portfolio optimization approach.

在均值-方差投资组合优化中,多指数模型通常能加快计算速度、减少输入要求、便于理解,并且在许多情况下比全协方差矩阵估计更能有效地根据不断变化的条件进行调整。在本文中,我们开发了一种基于多指数模型的投资组合优化方法,其中考虑到了环境、社会责任和公司治理(ESG)等方面。与 ESG 相关的资产投资近来不断增长,吸引了学术研究和投资基金实践的兴趣。该领域的各种文献探讨了收益、风险和 ESG 之间的理论和实证关系。我们的投资组合优化方法非常灵活,足以将这些文献考虑在内,而且不需要大规模的协方差矩阵估计。对我们的方法进行扩展后,投资者甚至可以根据经验对这些文献进行区分。一项案例研究展示了我们的投资组合优化方法的应用。
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引用次数: 0
Efficiency and the core in NTU games in partition function form 分区函数形式的 NTU 游戏中的效率与核心
IF 4.8 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-12 DOI: 10.1007/s10479-024-06192-1
Giovanna Bimonte, Luigi Senatore, Salvatore Tramontano

The aim of this paper is to establish a necessary and sufficient condition for the non-emptiness of the core in NTU games in partition function form, given an externality scheme ( f in textsf{Ex}(N) ). We extend the notion of convexity to incorporate externality effects. By introducing a new concept of rationality, called collective rationality, we demonstrate the efficiency of the grand coalition ( N ). We also identify a sufficient condition for the efficiency of the grand coalition using the property of individual superadditivity.

本文的目的是给定一个外部性方案 ( f in textsf{Ex}(N) ),在分割函数形式的NTU博弈中建立一个核心不被emptiness的必要条件和充分条件。我们扩展了凸性的概念,以纳入外部性效应。通过引入一个新的理性概念,即集体理性,我们证明了大联盟的效率。我们还利用个体超加性的特性确定了大联盟效率的充分条件。
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引用次数: 0
Longer healthy life, but for how many? A stochastic analysis of healthy lifespan inequality 健康长寿,但有多少人健康长寿?健康寿命不平等的随机分析
IF 4.8 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-12 DOI: 10.1007/s10479-024-06203-1
Virginia Zarulli, Hal Caswell

Over the past 150 years, life expectancy doubled and healthy life expectancy increased. Expectations reveal nothing about variability, so we present a stochastic analysis to investigate changes over time, age and gender of variation, among individuals, in healthy lifespan, for different levels of country income. To complement health-adjusted life expectancy (HALE) data from the Global Burden of Disease Study, we use a stochastic model to compute the standard deviation of healthy life (SDHL). The model is a finite-state absorbing Markov chain with rewards. It includes stochastic survival, mortality, and loss of good health status. An individual surviving from one age to the next gains, as a "reward," a year of good health. This method provides all the moments of healthy longevity. The mean healthy longevity is exactly the HALE. As a measure of variation, here we focus on the standard deviation of healthy longevity. From 1990 to 2019, HALE increased, with greater increases at younger ages. At the same time, SDHL at younger ages decreased and at older ages increased. The most significant changes at birth occurred in low- and lower-middle-income countries. High- and upper-middle-income countries saw notable increases at old ages. Women generally have longer HALE and higher SDHL, but the overall HALE increase was greater for men. The reduction in SDHL over time suggests that more individuals benefit from increased longevity, particularly in low-income countries closing the gap with high-income countries. However, improvements in healthy survival at older ages appear unevenly distributed among individuals in high-income countries.

在过去的 150 年中,预期寿命翻了一番,健康预期寿命也有所增加。预期寿命对变异性一无所知,因此我们提出了一种随机分析方法,以研究在不同国家收入水平下,个人健康寿命的变异随时间、年龄和性别的变化。为了补充全球疾病负担研究(Global Burden of Disease Study)中的健康调整预期寿命(HALE)数据,我们使用了一个随机模型来计算健康寿命标准差(SDHL)。该模型是一个带奖励的有限状态吸收马尔可夫链。它包括随机生存、死亡率和良好健康状况的丧失。从一个年龄段存活到下一个年龄段的个体会获得一年的健康 "奖励"。这种方法提供了健康长寿的所有时刻。健康长寿的平均值正是健康长寿率。作为对变异的衡量,我们在此关注健康长寿的标准差。从 1990 年到 2019 年,健康长寿平均年龄(HALE)有所增长,年轻时的增长幅度更大。与此同时,年轻时的健康长寿标准差有所下降,而年长时则有所上升。出生时最明显的变化发生在低收入和中低收入国家。高收入国家和中高收入国家的老年人口数明显增加。女性的平均预期寿命一般较长,而 SDHL 一般较高,但男性的平均预期寿命总体增幅较大。随着时间的推移,SDHL 有所下降,这表明更多的人受益于寿命的延长,特别是在低收入国家,与高收入国家的差距正在缩小。然而,在高收入国家中,老年人健康存活率的提高似乎分布不均。
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引用次数: 0
Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift 在具有隐性高斯漂移的市场中,利用专家意见在固定到达时间实现电力效用最大化
IF 4.4 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-11 DOI: 10.1007/s10479-024-06172-5
Abdelali Gabih, Hakam Kondakji, Ralf Wunderlich

In this paper we study optimal trading strategies in a financial market in which stock returns depend on a hidden Gaussian mean reverting drift process. Investors obtain information on that drift by observing stock returns. Moreover, expert opinions in the form of signals about the current state of the drift arriving at fixed and known dates are included in the analysis. Drift estimates are based on Kalman filter techniques. They are used to transform a power utility maximization problem under partial information into an optimization problem under full information where the state variable is the filter of the drift. The dynamic programming equation for this problem is studied and closed-form solutions for the value function and the optimal trading strategy of an investor are derived. They allow to quantify the monetary value of information delivered by the expert opinions. We illustrate our theoretical findings by results of extensive numerical experiments.

在本文中,我们研究了一个金融市场中的最优交易策略,在这个市场中,股票收益取决于一个隐藏的高斯均值回复漂移过程。投资者通过观察股票收益率来获取有关漂移的信息。此外,分析中还包括专家意见,即在固定和已知日期到达的有关漂移当前状态的信号。漂移估计基于卡尔曼滤波技术。它们用于将部分信息下的功率效用最大化问题转化为完全信息下的优化问题,其中状态变量就是漂移的滤波器。对这一问题的动态编程方程进行了研究,并得出了价值函数的闭式解和投资者的最优交易策略。它们可以量化专家意见所提供信息的货币价值。我们通过大量的数值实验结果来说明我们的理论发现。
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引用次数: 0
Time-varying firm cash holding and economic policy uncertainty nexus: a quantile regression approach 时变企业现金持有量与经济政策不确定性的关系:一种量回归方法
IF 4.4 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-09 DOI: 10.1007/s10479-024-06176-1
Christos Floros, Emilios Galariotis, Konstantinos Gkillas, Efstathios Magerakis, Constantin Zopounidis

This paper examines the time-varying nature of various decisive factors on cash holding decisions. First, we revisit the issue of cash holding determinants of U.S. corporations and argue that firm cash holding predictability is time-varying. To this end, this research proposes a novel empirical framework that builds on the impact of business cycles on firm cash holding’s predictability. Using a three-stage empirical analysis, we also posit that the conventional argument on the EPU-CASH relationship is dependent on the time-varying market structure. Earlier studies have shown that economic policy uncertainty may increase the propensity of cash holding at the firm level. To estimate the theoretical assumption and capture different dynamic relationships, we convert monthly EPU data to annual and develop a cash quantile regression model including several financial characteristics. Employing a large sample of U.S. non-financial firms and non-utilities, we initially estimate 6-year rolling fixed window quantile regressions during the 1970–2016 period. The resulting series of beta estimates are regressed on economic policy uncertainty. The main results confirm the time-varying nature of determinants related to corporate liquidity management. Our findings add a new dimension to the existing literature and therefore be important to the market participants for portfolio allocation in the developed markets. Overall, the new methodology presented in this study contributes to the field of operational research by providing a robust approach to analyze policy uncertainty and its impact on cash management.

本文研究了现金持有决策的各种决定性因素的时变性。首先,我们重新审视了美国公司现金持有决定因素的问题,并认为公司现金持有的可预测性是随时间变化的。为此,本研究基于商业周期对企业现金持有可预测性的影响,提出了一个新颖的实证框架。通过三阶段实证分析,我们还提出,关于 EPU-CASH 关系的传统论点取决于时变市场结构。早期的研究表明,经济政策的不确定性可能会增加企业层面的现金持有倾向。为了估算理论假设并捕捉不同的动态关系,我们将月度 EPU 数据转换为年度数据,并建立了一个包含多个财务特征的现金量化回归模型。我们采用了大量的美国非金融企业和非公用事业企业样本,初步估计了 1970-2016 年期间的 6 年滚动固定窗口量化回归。由此得到的一系列贝塔估计值与经济政策不确定性进行回归。主要结果证实了企业流动性管理相关决定因素的时变性。我们的研究结果为现有文献增添了一个新的维度,因此对市场参与者在发达市场进行投资组合配置具有重要意义。总之,本研究提出的新方法为分析政策不确定性及其对现金管理的影响提供了一种稳健的方法,从而为运营研究领域做出了贡献。
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引用次数: 0
Correction: Correlation and price spillover effects among green assets 更正:绿色资产之间的相关性和价格溢出效应
IF 4.4 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-08 DOI: 10.1007/s10479-024-06185-0
Aviral Kumar Tiwari, Satish Kumar, Emmanuel Joel Aikins Abakah
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引用次数: 0
Author Correction: Enabling business sustainability for stock market data using machine learning and deep learning approaches 作者更正:利用机器学习和深度学习方法实现股市数据的商业可持续性
IF 4.4 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2024-08-08 DOI: 10.1007/s10479-024-06181-4
S. Divyashree, Christy Jackson Joshua, Abdul Quadir Md, Senthilkumar Mohan, A. Sheik Abdullah, Ummul Hanan Mohamad, Nisreen Innab, Ali Ahmadian
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引用次数: 0
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