| 1. |
- Aas, Erik
(författare)
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Limit points of the iterative scaling procedure
- 2014
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Ingår i: Annals of Operations Research. - : Springer Science and Business Media LLC. - 0254-5330 .- 1572-9338. ; 215:1, s. 15-23
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Tidskriftsartikel (refereegranskat)abstract
- The iterative scaling procedure (ISP) is an algorithm which computes a sequence of matrices, starting from some given matrix. The objective is to find a matrix 'proportional' to the given matrix, having given row and column sums. In many cases, for example if the initial matrix is strictly positive, the sequence is convergent. It is known that the sequence has at most two limit points. When these are distinct, convergence to these two points can be slow. We give an efficient algorithm which finds the limit points, invoking the ISP only on subproblems for which the procedure is convergent.
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| 2. |
- Agrell, Per J., et al.
(författare)
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Impacts on efficiency of merging the Swedish district courts
- 2020
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Ingår i: Annals of Operations Research. - : Springer. - 0254-5330 .- 1572-9338. ; 288:2, s. 653-679
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Tidskriftsartikel (refereegranskat)abstract
- Judicial courts form a stringent example of public services using partially sticky inputs and outputs with heterogeneous quality. Notwithstanding, governments internationally are striving to improve the efficiency of and diminish the budget spent on court systems. Frontier methods such as data envelopment analysis are sometimes used in investigations of structural changes in the form of mergers. This essay reviews the methods used to evaluate the ex post efficiency of horizontal mergers. Identification of impacts is difficult. Therefore, three analytical frameworks are applied: (1) a technical efficiency comparison over time, (2) a metafrontier approach among mergers and non-mergers, and (3) a conditional difference-in-differences approach where non-merged twins of the actual mergers are identified by matching. In addition, both time heterogeneity and sources of efficiency change are examined ex post. The method is applied to evaluate the impact on efficiency of merging the Swedish district courts from 95 to 48 between 2000 and 2009. Whereas the stated ambition for the mergers was to improve efficiency, no structured ex post analysis has been done. Swedish courts are shown to improve efficiency from merging. In addition to the particular application, this work may inform a more general discussion on public service efficiency measurement under structural changes, and their limits and potential.
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| 3. |
- Akyildirim, Erdinc, et al.
(författare)
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Forecasting mid-price movement of Bitcoin futures using machine learning
- 2021
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Ingår i: Annals of Operations Research. - : SPRINGER. - 0254-5330 .- 1572-9338.
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Tidskriftsartikel (refereegranskat)abstract
- In the aftermath of the global financial crisis and ongoing COVID-19 pandemic, investors face challenges in understanding price dynamics across assets. This paper explores the performance of the various type of machine learning algorithms (MLAs) to predict mid-price movement for Bitcoin futures prices. We use high-frequency intraday data to evaluate the relative forecasting performances across various time frequencies, ranging between 5 and 60-min. Our findings show that the average classification accuracy for five out of the six MLAs is consistently above the 50% threshold, indicating that MLAs outperform benchmark models such as ARIMA and random walk in forecasting Bitcoin futures prices. This highlights the importance and relevance of MLAs to produce accurate forecasts for bitcoin futures prices during the COVID-19 turmoil.
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| 4. |
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| 5. |
- Baltas, Konstantinos, et al.
(författare)
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The role of resource orchestration in humanitarian operations : a COVID-19 case in the US healthcare
- 2022
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Ingår i: Annals of Operations Research. - : Springer. - 0254-5330 .- 1572-9338.
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the role of resource allocation in alleviating the impact on from disruptions in healthcare operations. We draw on resource orchestration theory and analyse data stemming from US healthcare to discuss how the US healthcare system structured, bundled and reconfigured resources (i.e. number of hospital beds, and vaccines) during the COVID-19 pandemic. Following a comprehensive and robust econometric analysis of two key resources (i.e. hospital beds and vaccines), we discuss its effect on the outcomes of the pandemic measured in terms of confirmed cases and deaths, and draw insights on how the learning curve effect and other factors might influence in the efficient and effective control of the pandemic outcomes through the resource usage. Our contribution lies in revealing how different resources are orchestrated (structured, bundled, and leveraged) to help planning responses to and dealing with the disruptions to create resilient humanitarian operations. Managerial implications, limitations and future research directions are also discussed.
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| 6. |
- Beldiceanu, Nicolas, et al.
(författare)
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New Filtering for the Cumulative Constraint in the Context of Non-Overlapping Rectangles
- 2011. - 5
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Ingår i: Annals of Operations Research. - : Springer-Verlag. - 0254-5330 .- 1572-9338. ; 1, s. 27-50
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Tidskriftsartikel (refereegranskat)abstract
- This article describes new filtering methods for the Cumulative constraint. The first method introduces bounds for the so called longest cumulative hole problem and shows how to use these bounds in the context of the Non-Overlapping constraint. The second method introduces balancing knapsack constraints which relate the total height of the tasks that end at a specific time-point with the total height of the tasks that start at the same time-point. Experiments on tight rectangle packing problems show that these methods drastically reduce both the time and the number of backtracks for finding all solutions as well as for finding the first solution. For example, we found without backtracking all solutions to 65 perfect square instances of order 22-25 and sizes ranging from 192x192 to 661x661.
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| 7. |
- Blomvall, Jörgen, 1974-, et al.
(författare)
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Corporate Hedging: an answer to the "how" question
- 2018
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Ingår i: Annals of Operations Research. - New York, United States : Springer-Verlag New York. - 0254-5330 .- 1572-9338. ; 266:1-2, s. 35-69
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Tidskriftsartikel (refereegranskat)abstract
- We develop a stochastic programming framework for hedging currency and interest rate risk, with market traded currency forward contracts and interest rate swaps, in an environment with uncertain cash flows. The framework captures the skewness and kurtosis in exchange rates, transaction costs, the systematic risks in interest rates, and most importantly, the term premia which determine the expected cost of different hedging instruments. Given three commonly used objective functions: variance, expected shortfall, and mean log profits, we study properties of the optimal hedge. We find that the choice of objective function can have a substantial effect on the resulting hedge in terms of the portfolio composition, the resulting risk and the hedging cost. Further, we find that unless the objective is indifferent to hedging costs, term premia in the different markets, along with transaction costs, are fundamental determinants of the optimal hedge. Our results also show that to reduce risk properly and to keep hedging costs low, a rich-enough universe of hedging instruments is critical. Through out-of-sample testing we validate the findings of the in-sample analysis, and importantly, we show that the model is robust enough to be used on real market data. The proposed framework offers great flexibility regarding the distributional assumptions of the underlying risk factors and the types of hedging instruments which can be included in the optimization model.
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| 8. |
- Bodnar, Taras, et al.
(författare)
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A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
- 2015
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Ingår i: Annals of Operations Research. - : Springer Science and Business Media LLC. - 0254-5330 .- 1572-9338. ; 229:1, s. 121-158
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Tidskriftsartikel (refereegranskat)abstract
- In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presented in terms of the conditional mean vectors and the conditional covariance matrices. If the multivariate process of the asset returns is independent, it is shown that in the case without a riskless asset the solution is presented as a sequence of optimal portfolio weights obtained by solving the single-period Markowitz optimization problem. The process dynamics are included only in the shape parameter of the utility function. If a riskless asset is present, then the multi-period optimal portfolio weights are proportional to the single-period solutions multiplied by time-varying constants which are dependent on the process dynamics. Remarkably, in the case of a portfolio selection with the tangency portfolio the multi-period solution coincides with the sequence of the single-period solutions. Finally, we compare the suggested strategies with existing multi-period portfolio allocation methods on real data.
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| 9. |
- Bohlin, Markus, et al.
(författare)
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Maintenance optimization with duration-dependent costs
- 2015
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Ingår i: Annals of Operations Research. - : Springer Science and Business Media LLC. - 0254-5330 .- 1572-9338. ; 224:1, s. 1-23
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Tidskriftsartikel (refereegranskat)abstract
- High levels of availability and reliability are essential in many industries where production is subject to high costs due to downtime. Examples include the mechanical drive in natural gas pipelines and power generation on oil platforms, where gas turbines are commonly used as a power source. To mitigate the effects of service outages and increase overall reliability, it is also possible to use one or more redundant units serving as cold standby backup units. In this paper, we consider preventive maintenance optimization for parallel k-out-of-n multi-unit systems, where production at a reduced level is possible when some of the units are still operational. In such systems, there are both positive and negative effects of grouping activities together. The positive effects come from parallel execution of maintenance activities and shared setup costs, while the negative effects come from the limited number of units which can be maintained at the same time. To show the possible economic effects, we evaluate the approach on models of two production environments under a no-fault assumption. We conclude that savings were substantial in our experiments on preventive maintenance, compared to a traditional preventive maintenance plan. For single-unit systems, costs were on average 39 % lower when using optimization. For multi-unit systems, average savings were 19 %. We also used the optimization models to evaluate the effects of re-planning at breakdown and effects due to modeling of inclusion relations. Breakdown re-planning saved between 0 and 11 % of the maintenance costs, depending on which component failed, while inclusion relation modeling resulted in an 7 % average cost reduction.
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| 10. |
- Borst, Sem, et al.
(författare)
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Interacting queues with server selection and coordinated scheduling - Application to cellular data networks
- 2009
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Ingår i: Annals of Operations Research. - : Springer Science and Business Media LLC. - 0254-5330 .- 1572-9338. ; 170:1, s. 59-78
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Tidskriftsartikel (refereegranskat)abstract
- We consider a system of parallel servers handling users of various classes, whose service rates depend not only on user classes, but also on the set of active servers. We investigate the stability under two types of allocation strategies: (i) server assignment where the users are assigned to servers based on rates, load, and other considerations, and (ii) coordinated scheduling where the activity states of servers are coordinated. We show how the model may be applied to evaluate the downlink capacity of wireless data networks. Specifically, we examine the potential gains in wireless capacity from the two types of resource allocation strategies.
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