Pub Date : 2026-01-01Epub Date: 2025-10-16DOI: 10.1016/j.orl.2025.107384
Timothy C.Y. Chan, Jangwon Park , Vahid Sarhangian
We propose a robust optimization approach for constructing confidence bands for stochastic processes using a finite number of simulated sample paths. Our methodology addresses optimization bias within the constraints, avoiding overly narrow confidence bands of existing methods. In our first case study, we show that our approach achieves the desired coverage rates with an order-of-magnitude fewer sample paths than the state-of-the-art baseline approach. In our second case study, we illustrate how our approach can validate stochastic simulation models.
{"title":"Robust confidence bands for stochastic processes using simulation","authors":"Timothy C.Y. Chan, Jangwon Park , Vahid Sarhangian","doi":"10.1016/j.orl.2025.107384","DOIUrl":"10.1016/j.orl.2025.107384","url":null,"abstract":"<div><div>We propose a robust optimization approach for constructing confidence bands for stochastic processes using a finite number of simulated sample paths. Our methodology addresses optimization bias within the constraints, avoiding overly narrow confidence bands of existing methods. In our first case study, we show that our approach achieves the desired coverage rates with an order-of-magnitude fewer sample paths than the state-of-the-art baseline approach. In our second case study, we illustrate how our approach can validate stochastic simulation models.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"64 ","pages":"Article 107384"},"PeriodicalIF":0.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145364080","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 : 2026-01-01Epub Date: 2025-09-15DOI: 10.1016/j.orl.2025.107363
Gadi Fibich, Amit Golan, Steven Schochet
We analyze the Bass and SI models for the spreading of innovations and epidemics, respectively, on homogeneous complete networks, on one-dimensional networks, and on heterogeneous two-groups complete networks. We allow the network parameters to be time dependent, which is a prerequisite for the analysis of optimal promotional strategies on networks. Using a novel top-down analysis of the master equations, we present a simple proof for the monotone convergence of these models to their respective infinite-population limits. This leads to explicit expressions for the expected adoption or infection level in the Bass and SI models with time-dependent parameters on infinite homogeneous complete and circular networks, and on heterogeneous two-groups complete networks.
{"title":"Monotone convergence of spreading processes on networks","authors":"Gadi Fibich, Amit Golan, Steven Schochet","doi":"10.1016/j.orl.2025.107363","DOIUrl":"10.1016/j.orl.2025.107363","url":null,"abstract":"<div><div>We analyze the Bass and SI models for the spreading of innovations and epidemics, respectively, on homogeneous complete networks, on one-dimensional networks, and on heterogeneous two-groups complete networks. We allow the network parameters to be time dependent, which is a prerequisite for the analysis of optimal promotional strategies on networks. Using a novel top-down analysis of the master equations, we present a simple proof for the monotone convergence of these models to their respective infinite-population limits. This leads to explicit expressions for the expected adoption or infection level in the Bass and SI models with time-dependent parameters on infinite homogeneous complete and circular networks, and on heterogeneous two-groups complete networks.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"64 ","pages":"Article 107363"},"PeriodicalIF":0.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145098697","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 : 2026-01-01Epub Date: 2025-10-02DOI: 10.1016/j.orl.2025.107380
Satoru Fujishige , Koji Yokote
As a generalization of ordinal concavity we introduce a new notion of discrete concavity called tandem concavity defined for a function over the subsets of a finite set E endowed with an ordered partition . Every function expressed as a lexicographic composition of two ordinally concave functions satisfies tandem concavity. We apply tandem concavity to the rationalization of choice rules in stable matching problems. We show that tandem concavity rationalizes a wider class of choice rules than ordinal concavity.
{"title":"Tandem concavity with application to matching problems","authors":"Satoru Fujishige , Koji Yokote","doi":"10.1016/j.orl.2025.107380","DOIUrl":"10.1016/j.orl.2025.107380","url":null,"abstract":"<div><div>As a generalization of ordinal concavity we introduce a new notion of discrete concavity called <em>tandem concavity</em> defined for a function over the subsets of a finite set <em>E</em> endowed with an ordered partition <span><math><mo>(</mo><msub><mrow><mi>E</mi></mrow><mrow><mn>1</mn></mrow></msub><mo>,</mo><msub><mrow><mi>E</mi></mrow><mrow><mn>2</mn></mrow></msub><mo>)</mo></math></span>. Every function expressed as a lexicographic composition of two ordinally concave functions satisfies tandem concavity. We apply tandem concavity to the rationalization of choice rules in stable matching problems. We show that tandem concavity rationalizes a wider class of choice rules than ordinal concavity.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"64 ","pages":"Article 107380"},"PeriodicalIF":0.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145269254","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 : 2025-11-01Epub 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":"2025-11-01","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 : 2025-11-01Epub Date: 2025-07-24DOI: 10.1016/j.orl.2025.107347
Dan Pirjol , Lingjiong Zhu
We study the pricing of VIX options in the SABR model where are standard Brownian motions correlated with correlation and . VIX is expressed as a risk-neutral conditional expectation of an integral over the volatility process . We show that is the unique solution to a one-dimensional diffusion process. Using the Feller test, we show that explodes in finite time with non-zero probability. As a consequence, VIX futures and VIX call prices are infinite, and VIX put prices are zero for any maturity. As a remedy, we propose a capped volatility process by capping the drift and diffusion terms in the process such that it becomes non-explosive and well-behaved, and study the short-maturity asymptotics for the pricing of VIX options.
{"title":"VIX options in the SABR model","authors":"Dan Pirjol , Lingjiong Zhu","doi":"10.1016/j.orl.2025.107347","DOIUrl":"10.1016/j.orl.2025.107347","url":null,"abstract":"<div><div>We study the pricing of VIX options in the SABR model <span><math><mi>d</mi><msub><mrow><mi>S</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>=</mo><msub><mrow><mi>σ</mi></mrow><mrow><mi>t</mi></mrow></msub><msubsup><mrow><mi>S</mi></mrow><mrow><mi>t</mi></mrow><mrow><mi>β</mi></mrow></msubsup><mi>d</mi><msub><mrow><mi>B</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>,</mo><mi>d</mi><msub><mrow><mi>σ</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>=</mo><mi>ω</mi><msub><mrow><mi>σ</mi></mrow><mrow><mi>t</mi></mrow></msub><mi>d</mi><msub><mrow><mi>Z</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> where <span><math><msub><mrow><mi>B</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>,</mo><msub><mrow><mi>Z</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> are standard Brownian motions correlated with correlation <span><math><mi>ρ</mi><mo><</mo><mn>0</mn></math></span> and <span><math><mn>0</mn><mo>≤</mo><mi>β</mi><mo><</mo><mn>1</mn></math></span>. VIX is expressed as a risk-neutral conditional expectation of an integral over the volatility process <span><math><msub><mrow><mi>v</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>=</mo><msubsup><mrow><mi>S</mi></mrow><mrow><mi>t</mi></mrow><mrow><mi>β</mi><mo>−</mo><mn>1</mn></mrow></msubsup><msub><mrow><mi>σ</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span>. We show that <span><math><msub><mrow><mi>v</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> is the unique solution to a one-dimensional diffusion process. Using the Feller test, we show that <span><math><msub><mrow><mi>v</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> explodes in finite time with non-zero probability. As a consequence, VIX futures and VIX call prices are infinite, and VIX put prices are zero for any maturity. As a remedy, we propose a capped volatility process by capping the drift and diffusion terms in the <span><math><msub><mrow><mi>v</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> process such that it becomes non-explosive and well-behaved, and study the short-maturity asymptotics for the pricing of VIX options.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107347"},"PeriodicalIF":0.8,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144713678","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 : 2025-11-01Epub Date: 2025-09-11DOI: 10.1016/j.orl.2025.107364
Martin Frohn, Steven Kelk, Simona Vychytilova
We propose the first branch-&-price algorithm for the maximum agreement forest problem on unrooted binary trees: given two unrooted X-labelled binary trees we seek to partition X into a minimum number of blocks such that the induced subtrees are disjoint and have the same topologies in both trees. We provide a dynamic programming algorithm for the weighted maximum agreement subtree problem to solve the pricing problem. When combined with rigorous polynomial-time pre-processing our branch-&-price algorithm exhibits (beyond) state-of-the-art performance.
{"title":"A branch-&-price approach to the unrooted maximum agreement forest problem","authors":"Martin Frohn, Steven Kelk, Simona Vychytilova","doi":"10.1016/j.orl.2025.107364","DOIUrl":"10.1016/j.orl.2025.107364","url":null,"abstract":"<div><div>We propose the first branch-&-price algorithm for the maximum agreement forest problem on unrooted binary trees: given two unrooted <em>X</em>-labelled binary trees we seek to partition <em>X</em> into a minimum number of blocks such that the induced subtrees are disjoint and have the same topologies in both trees. We provide a dynamic programming algorithm for the weighted maximum agreement subtree problem to solve the pricing problem. When combined with rigorous polynomial-time pre-processing our branch-&-price algorithm exhibits (beyond) state-of-the-art performance.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107364"},"PeriodicalIF":0.9,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145048429","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 : 2025-11-01Epub 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":"2025-11-01","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 : 2025-11-01Epub 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":"2025-11-01","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 : 2025-11-01Epub Date: 2025-07-21DOI: 10.1016/j.orl.2025.107344
Tom Bruinink , Lotte Berghman , Twan Dollevoet
Due to a shortage of drivers and a stronger focus on employee well-being, there is an increasing need to take driver satisfaction explicitly into account when solving the Capacitated Vehicle Routing Problem with Time Windows (CVRPTW). We focus on workload balance and region consistency. In a first attempt to assess the consequences of adding driver satisfaction to the original objective of cost minimization, we evaluate both a two-step approach and an integrated approach using real-life instances from two different companies.
{"title":"Beyond efficiency: Exploring the cost effects of prioritizing driver satisfaction in vehicle routing","authors":"Tom Bruinink , Lotte Berghman , Twan Dollevoet","doi":"10.1016/j.orl.2025.107344","DOIUrl":"10.1016/j.orl.2025.107344","url":null,"abstract":"<div><div>Due to a shortage of drivers and a stronger focus on employee well-being, there is an increasing need to take driver satisfaction explicitly into account when solving the Capacitated Vehicle Routing Problem with Time Windows (CVRPTW). We focus on workload balance and region consistency. In a first attempt to assess the consequences of adding driver satisfaction to the original objective of cost minimization, we evaluate both a two-step approach and an integrated approach using real-life instances from two different companies.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107344"},"PeriodicalIF":0.8,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144711863","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 : 2025-11-01Epub Date: 2025-09-17DOI: 10.1016/j.orl.2025.107369
Rui Fang , Xiaohu Li
This study considers two components with statistically dependent lifetimes, and compares the residual lifetime of the series system of them and the lifetime of the series of used components with residual lifetimes. Sufficient and necessary conditions about the usual stochastic order and hazard rate order are developed. The findings reveal that the dependence structure is critical in determining whether the used system is more reliable. The inactivity time is also investigated. Numerical examples are also presented to illustrate the findings.
{"title":"Some new ordering results on residual life and inactivity time of series systems with two components having statistically dependent lifetimes","authors":"Rui Fang , Xiaohu Li","doi":"10.1016/j.orl.2025.107369","DOIUrl":"10.1016/j.orl.2025.107369","url":null,"abstract":"<div><div>This study considers two components with statistically dependent lifetimes, and compares the residual lifetime of the series system of them and the lifetime of the series of used components with residual lifetimes. Sufficient and necessary conditions about the usual stochastic order and hazard rate order are developed. The findings reveal that the dependence structure is critical in determining whether the used system is more reliable. The inactivity time is also investigated. Numerical examples are also presented to illustrate the findings.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107369"},"PeriodicalIF":0.9,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145105038","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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