Applications – OR and Management Sciences

Decision Making Based on a Nonparametric Shape-Preserving Perturbation of a Reference Utility Function

  • Jian Hu
    • Categories Finance and Economics, Robust Optimization, Stochastic Programming Tags , , , ,

    This paper develops a robust optimization based decision-making framework using a nonparametric perturbation of a reference utility function. The perturbation preserves the risk-aversion property but solves the problem of ambiguity and inconsistency in eliciting the reference utility function. We study the topology of the perturbation, and show that in the decision-making framework the price of … Read more

    Performance Analysis of Content-Centric and Content-Delivery Networks with Evolving Object Popularity

  • Antonio Capone
  • Michele Mangili
  • Fabio Martignon
    • Categories Network Optimization, Telecommunications Tags , , ,

    The Internet is currently mostly exploited as a means to perform massive digital content distribution. Such a usage profile was not specifically taken into account while initially designing the architecture of the network: as a matter of fact, the Internet was instead conceived around the concept of host-to-host communications between two remote machines. To solve … Read more

    Survivable Network Coding

  • Cédric Bentz
  • Sourour Elloumi
  • Eric Gourdin
  • Thibaut Lefebvre
    • Categories Linear Programming, Network Optimization, Telecommunications

    Given a telecommunication network, modeled by a graph with capacities, we are interested in comparing the behavior and usefulness of two information propagation schemes, namely multicast and network coding, when the aforementioned network is subject to single arc failure. We consider the case with a single source node and a set of terminal nodes. The … Read more

    Minimum concave cost flows in capacitated grid networks

  • Shabbir Ahmed
  • Qie He
  • George L. Nemhauser
  • Shi Li
    • Categories Combinatorial Optimization, Network Optimization, Production and Logistics

    We study the minimum concave cost flow problem over a two-dimensional grid network (CFG), where one dimension represents time ($1\le t\le T$) and the other dimension represents echelons ($1\le l\le L$). The concave function over each arc is given by a value oracle. We give a polynomial-time algorithm for finding the optimal solution when the … Read more

    Variational analysis in psychological modeling

  • Boris S. Mordukhovich
  • Antoine Soubeyran
  • Bao Q. Truong
    • Categories Applications - OR and Management Sciences, Multi-Criteria Optimization, Nonsmooth Optimization Tags , , , , , ,

    This paper develops some mathematical models arising in psychology and some other areas of behavioral sciences that are formalized via general preferences with variable ordering structures. Our considerations are based on the recent “variational rationality approach” that unifies numerous theories in different branches of behavioral sciences by using, in particular, worthwhile change and stay dynamics … Read more

    Dynamic Cost Allocation for Economic Lot Sizing Games

  • Alejandro Toriello
  • Nelson A. Uhan
    • Categories Game Theory, Production and Logistics Tags , ,

    We consider a cooperative game defined by an economic lot sizing problem with concave ordering costs over a finite time horizon, in which each player faces demand for a single product in each period and coalitions can pool orders. We show how to compute a dynamic cost allocation in the strong sequential core of this … Read more

    Least-squares approach to risk parity in portfolio selection

  • Xi Bai
  • Katya Scheinberg
  • Reha H. Tütüncü
    • Categories Finance and Economics Tags , , ,

    The risk parity optimization problem aims to find such portfolios for which the contributions of risk from all assets are equally weighted. Portfolios constructed using risk parity approach are a compromise between two well-known diversification techniques: minimum variance optimization approach and the equal weighting approach. In this paper, we discuss the problem of finding portfolios … Read more

    Price of Anarchy for Non-atomic Congestion Games with Stochastic Demands

  • Bo Chen
  • Xuan Vinh Doan
  • Chenlan Wang
    • Categories Applications - OR and Management Sciences, Transportation Tags , , ,

    We generalize the notions of user equilibrium and system optimum to non-atomic congestion games with stochastic demands. We establish upper bounds on the price of anarchy for three different settings of link cost functions and demand distributions, namely, (a) affine cost functions and general distributions, (b) polynomial cost functions and general positive-valued distributions, and (c) … Read more

    Computing a Cournot Equilibrium in Integers

  • Michael J. Todd
    • Categories Applications - OR and Management Sciences, Integer Programming Tags

    We give an efficient algorithm for computing a Cournot equilibrium when the producers are confined to integers, the inverse demand function is linear, and costs are quadratic. The method also establishes existence, which follows in much more generality because the problem can be modelled as a potential game. CitationSchool of Operations Research and Information Engineering, … Read more

    Information Relaxations, Duality, and Convex Dynamic Programs

  • David B. Brown
  • James E. Smith
    • Categories Applications - OR and Management Sciences, Convex and Nonsmooth Optimization, Dynamic Programming Tags , , ,

    We consider the information relaxation approach for calculating performance bounds for stochastic dynamic programs (DPs), following Brown, Smith, and Sun (2010). This approach generates performance bounds by solving problems with relaxed nonanticipativity constraints and a penalty that punishes violations of these nonanticipativity constraints. In this paper, we study DPs that have a convex structure and … Read more