Journal of Industrial & Management Optimization
April 2019 , Volume 15 , Issue 2
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As an extension of linear complementary problem, tensor complementary problem has been effectively applied in
In a fully competitive industry, the market demand is changing rapidly. Thus, it is important for manufacturers to manage their inventory effectively as well as to determine the best order quantity and optimal production strategy. In this paper, our concern is how shall a manufacturer with limited attention determine his optimal order quantity and optimal production strategy in an environment when many factors are volatile, such as the price of raw materials (respectively, finished goods) and attrition rate of inventory of raw materials (respectively, finished product). Under this environment, it is observed, according to various empirical studies, that decision makers tend to focus their attention on factors with major changes. Taking all these into account, our problem is formulated as a discrete-time stochastic dynamic programming. We propose a general approach based on the sparse dynamic programming method to solve this multidimensional dynamic programming problem. From the numerical examples solved using the proposed method, it is interesting to observe that decision makers with limited attention do not adjust their final decision when the volatility is small.
In the paper, we propose the notion of the higher-order weak radial epiderivative of a set-valued map, and discuss some of its properties. Then, by virtue of the higher-order weak radial epiderivative, we establish the optimality necessary conditions and sufficient ones of weak efficient solutions (Pareto efficient solutions) for non-convex set-valued optimization problems. Some of the obtained results improve and extend the recent existing results. Several examples are provided to show the main results obtained.
Consider a bidimensional risk model with two geometric Lévy price processes and dependent heavy-tailed claims, in which we allow arbitrary dependence structures between the two claim-number processes generated by two kinds of businesses, and between the two geometric Lévy price processes. Under the assumption that the claims have consistently varying tails, the asymptotics for the infinite-time and finite-time ruin probabilities are derived.
By excluding some sets which don't include any eigenvalue of a given tensor from the Δ-type eigenvalue inclusion set, two new Δ-type eigenvalue inclusion sets of tensors are given. And two criteria for identifying nonsingular tensors are also provided by using the new Δ-type eigenvalue inclusion sets.
This paper focuses on optimal threshold strategies for a spectrally negative Lévy (SNL) risk process with capital injections and proportional transaction costs. Restricted to solvency constraint, our model requires the shareholders of dividends prevent ruin by injecting capitals. Value function of the firm is assumed to be an expected discounted total [dividends less discounted capital injection]. Under such a setup, we derive certain key identities in connection with value function of the firm of a maximum dividend rate. Under restricted dividend rates and capital injection, we give analytical description of the maximum value function of the firm and the optimal threshold strategy explicitly.
In this paper, we propose a new multiperiod mean absolute deviation uncertain chance-constrained portfolio selection model with transaction costs, borrowing constraints, threshold constraints and cardinality constraints. In proposed model, the return rate of asset is quantified by uncertain expected value and the risk is characterized by uncertain absolute deviation. The chance constraints are that the uncertain expected return of the portfolio selection is bigger than the preset return of investors under the given confidence level. Cardinality constraints limit the number of assets in the optimal portfolio and threshold constraints limit the amount of capital to be invested in each asset and prevent very small investments in any asset. Based on uncertain theories, the model is converted to a dynamic optimization problem. Because of the transaction costs and cardinality constraints, the multiperiod portfolio selection is a mix integer dynamic optimization problem with path dependence, which is "NP hard" problem. The proposed model is approximated to a mix integer dynamic programming model. A novel discrete iteration method is designed to obtain the optimal portfolio strategy, and is proved linearly convergent. Finally, an example is given to illustrate the behavior of the proposed model and the designed algorithm using real data from the Shanghai Stock Exchange.
A single machine scheduling problem with batch delivery is studied in this paper. The objective is to minimize the total cost which comprises earliness penalties, tardiness penalties, holding and transportation costs. An integer programming model is proposed and two dominance properties are obtained. However, sometimes due to the lack of historical data, the worker evaluates the processing time of a job according to his past experience. A pessimistic value model of the single machine scheduling problem with batch delivery under an uncertain environment is presented. Since the objective function is non-monotonic with respect to uncertain variables, a hybrid algorithm based on uncertain simulation and a g#enetic algorithm (GA) is designed to solve the model. In addition, two dominance properties under the uncertain environment are also obtained. Finally, computational experiments are presented to illustrate the modeling idea and the effectiveness of the algorithm.
In this study, a new prediction algorithm is proposed, based on the collaborative two-dimensional forecast model (CTFM) that combines the traditional method and similarity search technique. The main idea of the algorithm is that the prediction of the change trend of the slope and the accumulated slope of the cell resistance as well as the useful knowledge obtained using the similarity search technique are used as the main criteria to calculate anode effect (AE)-prediction reliability. The accumulated mass deviation value is used as an auxiliary criterion to adjust the AE-prediction reliability. Finally, the current AE-process is marked according to the current AE-prediction reliability. The prediction model based on CTFM is tested on a real situation, in which multiple samples are extracted from the production of a 400 kA aluminum electrolysis cell. We observe that when the time advance of AE-prediction is within 20 ~ 40 min, the accuracy rate of the CTFM algorithm is greater than 95% and the applicability of the method is excellent, showing a high prediction accuracy for different aluminum electrolysis cells.
In this paper, we develop a stochastic dynamic model for the network of city bus routes subject to resource and other practical constraints. We define an objective function on the basis of four terms: fuel cost, operating cost, customers waiting time, and revenue of the bus company. Hereafter, an optimization problem is formulated and solved by use of nonlinear integer programming. If the technique presented here is implemented, it is expected to boost the bus company's revenue, reduce waiting time and therefore promote customer satisfaction. A series of numerical experiments is carried out and the corresponding optimization problems are addressed giving the optimal number of buses allocated to each of the bus routes in the network. Since the dynamic model proposed here can be applied to any network of bus routes, it is believed that the procedure developed in this paper is of great potential for both the city bus company and the customers.
This paper considers the problem of temporary shortage of some resources within a project execution period. Mathematical models for two different cases of this problem are established. Semidefinite relaxation technique is applied to get immediate solvent of these models. Relationship between the models and their semidefinite relaxations is studied, and some numerical experiments are implemented, which show that these mathematical models are reasonable and feasible for practice, and semidefinite relaxation can efficiently solve the problem.
In this paper a non-smooth optimization problem is studied in an uncertain environment. The objective function of this problem is interval valued function. We introduce the class of
Reference price plays a significant role in influencing purchase decisions of customers. Due to loss aversion, the asymmetric reference price effect on market demand should be taken into account. This paper develops a joint dynamic pricing and production model with asymmetric reference price effect. In a finite planning horizon, the demand rate is time-varying and depends on price as well as reference price. The decision-making problem with the asymmetric reference price effect turns to be a nonsmooth optimal control problem, which cannot be solved by standard optimal control method. As a special case, we first obtain the joint optimal dynamic pricing and production strategy with symmetric reference price effect by solving the corresponding standard optimal control problem based on Maximum principle. For the case of asymmetric reference price effect, we propose a systematical method on basis of optimality principle to solve the nonsmooth optimal control problem, and obtain the joint strategy. Numerical examples are employed to illustrate the effectiveness of the proposed method. In addition, we assess the sensitivity analysis of system parameters to examine the impacts of asymmetric reference price on optimal pricing and production strategies and total profits.
This paper studies optimal information revelation policies in discrete-time
In this paper, we propose three concepts of robust efficiency for uncertain multiobjective optimization problems by replacing set order relations with the minmax less order relation, the minmax certainly less order relation and the minmax certainly nondominated order relation, respectively. We make interpretations for these concepts and analyze the relations between new concepts and the existent concepts of efficiency. Some examples are given to illustrate main concepts and results.
In this paper, we propose a proximal alternating direction method (PADM) for solving the convex optimization problems with linear constraints whose objective function is the sum of multi-block separable functions and a coupled quadratic function. The algorithm generates the iterate via a simple correction step, where the descent direction is based on the PADM. We prove the convergence of the generated sequence under some mild assumptions. Finally, some familiar numerical results are reported for the new algorithm.
Power saving is a leading issue in the User Equipment (UE) for limited source of power in Long Term Evolution-Advanced (LTE-A) networks. Battery power of an UE gets exhaust quickly due to the heavy use of many service applications and large data transmission. Discontinuous reception (DRX) is a mechanism used for power saving in UE in the LTE-A networks. There are scope of improvements in conventional DRX scheme in LTE-A networks for voice communication. In this paper, a DRX scheme is chosen by selecting optimal parameters of DRX scheme, while keeping Quality of Service (QoS) delay requirements. Further, delay analysis for first downlink packet is performed. Moreover, expressions for delay distribution and expected delay of any downlink packet, are obtained and represented graphically. Based on analytical model, the trade-off relationship between the power saving and queueing delay is investigated.
In this paper, we propose a partial bundle method for a convex constrained minimax problem where the objective function is expressed as maximum of finitely many convex (not necessarily differentiable) functions. To avoid complete evaluation of all component functions of the objective, a partial cutting-planes model is adopted instead of the traditional one. Based on the proximal-projection idea, at each iteration, an unconstrained proximal subproblem is solved first to generate an aggregate linear model of the objective function, and then another subproblem based on this model is solved to obtain a trial point. Moreover, a new descent test criterion is proposed, which can not only simplify the presentation of the algorithm, but also improve the numerical performance significantly. An explicit upper bound for the number of bundle resets is also derived. Global convergence of the algorithm is established, and some preliminary numerical results show that our method is very encouraging.
In this paper, we prove a maximum property of the largest H-singular value of a partially symmetric nonnegative rectangular tensor, and establish some bounds for this singular value. Then we give the definition of copositive rectangular tensors. This concept extends from the concept of copositive square tensors. Partially symmetric nonnegative rectangular tensors and positive semi-definite rectangular tensors are examples of copositive rectangular tensors. We establish some necessary conditions and some sufficient conditions for a real partially symmetric rectangular tensor to be a copositive rectangular tensor. We also give an equivalent definition of strictly copositive rectangular tensors. Moreover, some further properties of copositive rectangular tensors are discussed.
In this paper we introduce a notion of Henig proper efficiency for constrained vector optimization problems in the setting of variable ordering structure. In order to get an appropriate concept, we have to explore firstly the case of fixed ordering structure and to observe that, in certain situations, the well-known Henig proper efficiency can be expressed in a simpler way. Then, we observe that the newly introduced notion can be reduced, by a Clarke-type penalization result, to the notion of unconstrained robust efficiency. We show that this penalization technique, coupled with sufficient conditions for weak openness, serves as a basis for developing necessary optimality conditions for our Henig proper efficiency in terms of generalized differentiation objects lying in both primal and dual spaces.
The global optimal solution for the optimal switching problem is considered in discrete time, where these subsystems are linear and the cost functional is quadratic. The optimal switching problem is a discrete optimization problem. Complete enumeration search is always required to find the global optimal solution, which is very expensive. Relaxation method is an effective method to transform the discrete optimization problem into the continuous optimization problem, while the optimal solution is always not the feasible solution of the discrete optimization problem. In this paper, we propose a special class of relaxation method to transform the optimal switching problem into a relaxed optimization problem. We prove that the optimal solution of this modified relaxed optimization problem is exactly that of the optimal switching problem. Then, the global optimal solution can be obtained by solving the continuous optimization problem easily. Numerical examples are demonstrated to show that the modified relaxation method is efficient and effective to obtain the global optimal solution.
In this paper, motivated from a real problem faced by an online Virtual Reality (VR) platform provider, we study a personalized advertisement assignment problem. In this platform users log in/out and change their virtual locations. A number of advertisers are willing to pay for ad locations to reach these users. Every time a user visits a new location, the company displays one of the ads. At the end of a fixed time horizon, a reward is collected which depends on the number of ads of each advertiser displayed to different users. The objective is to assign ads dynamically to maximize the expected reward. The problem is studied in a framework where the behaviors of users are modeled with two-state continuous-time Markov processes. We describe two exact and four heuristic algorithms. We compare these algorithms and conduct a sensitivity analysis over problem and algorithm specific parameters. These are the main contributions of the current paper. Exact algorithms suffer from the curse of dimensionality, hence, heuristic methods might be considered instead in some cases. However, exact methods can also be used as part of heuristics since the experimental analysis demonstrates that they are robust for parameters that influence the computational requirements.
The design of agile supply chain networks has attracted more attention in recent years according to the competitive business environment. Further, due to high degree of uncertainty in agile supply chains (SCs), developing robust and efficient decision making tools are of interest. In this study, an integrated approach based on principal component analysis (PCA) and multi-objective possibilistic mixed integer programming (MOPMIP) approaches is proposed to optimally design agile supply chain network under uncertainty. The PCA method is used for ranking and filtering the suppliers, constituting the first layer of the supply chain, based on agility criteria. The proposed MOPMIP model is employed to construct the agile supply chain network under uncertainty. In the proposed MOPMIP model, three objective functions including 1) total costs minimization, 2) total delivery time minimization and 3) maximization of flexibility are considered. An interactive fuzzy solution approach is used to solve the proposed MOPMILP model. Two numerical examples, is conducted to evaluate the performance and efficiency of the proposed integrated approach for agile supply chain network design under uncertainty.
In this paper, an SDP relaxation algorithm is proposed to test the copositivity of higher order tensors. By solving finitely many SDP relaxations, the proposed algorithm can determine the copositivity of higher order tensors. Furthermore, for any copositive but not strictly copositive tensor, the algorithm can also check it exactly. Some numerical results are reported to show the efficiency of the proposed algorithm.
A symmetric matrix
The problem of finding a continuous piecewise linear function approximating a regression function is considered. This problem is formulated as a nonconvex nonsmooth optimization problem where the objective function is represented as a difference of convex (DC) functions. Subdifferentials of DC components are computed and an algorithm is designed based on these subdifferentials to find piecewise linear functions. The algorithm is tested using some synthetic and real world data sets and compared with other regression algorithms.
As a natural extension of the linear complementarity problem, the tensor complementarity problem has been studied recently; and many theoretical results have been obtained. In this paper, we investigate the global error bound for the tensor complementarity problem with a P-tensor. We give two global error bounds for this class of complementarity problems with the help of two positively homogeneous operators defined by a P-tensor. When the order of the involved tensor reduces to 2, the results obtained in this paper coincide exactly with the one for the linear complementarity problem.
The proportion of patients who reattended emergency department (ED) within 72 hours is an important indicator of quality of care. This study develops a practical framework to predict patients who will reattend ED in 72 hours from clinical perspectives. We analyze 328,733 ED patients from 1 January 2011 to 31 December 2013, with an average of 4.6% reattendances. We feature over 100 factors including demographics, diagnosis, patient acuity, chief complaints, selected laboratory tests, summarized vital signs. Using univariate analysis, a pool of risk variables is selected for subsequent factor selection. We then apply filter methods to derive a set of candidate factors. With these factors in combination with suggestions from ED clinicians, a mixed integer programming model based on discriminant analysis is proposed to determine a classification rule for 72-hour reattendance. In numerical experiments, various small subsets of risk factors are used for classification and prediction. The results show that favorable predicting performances can be achieved in both training and test sets.
Inspired by the works of López et al. [
Due to the serious consequence caused by insurers' insolvency, how to accurately predict insolvency becomes a very important issue in this area. Many methods have been developed to do this task by using some firm-level financial information. In this paper, we propose a new approach which incorporates several macroeconomic factors in the model and applies feature selection to eliminate the bad effect of some unrelated variables. In this way, we can obtain a more comprehensive and accurate model. More importantly, our method is based on the state-of-the-art non-kernel fuzzy quadratic surface support vector machine (FQSSVM) model which not only performs superiorly in prediction, but also becomes very applicable to the users. Finally, we conduct some numerical experiments based on the real data of non-lifer insurers from USA to show the predictive power and efficiency of our proposed method compared with other benchmark methods. Specifically, in a reasonable computational time, FQSSVM has the most accurate prediction rate and least Type Ⅰ and Type Ⅱ errors.
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