Journal of the Operations Research Society of Japan

[title in Japanese]

Article type: Cover
2003 Volume 46 Issue 4 Pages Cover10-
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.Cover10

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[title in Japanese]

Article type: Appendix
2003 Volume 46 Issue 4 Pages App7-
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.App7

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EXTRACTING FEATURE SUBSPACE FOR KERNEL BASED LINEAR PROGRAMMING SUPPORT VECTOR MACHINES

Yasutoshi Yajima, Hiroko Ohi, Masao Mori

Article type: Article
2003 Volume 46 Issue 4 Pages 395-408
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.395

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We propose linear programming formulations of support vector machines (SVM). Unlike standard SVMs which use quadratic programs, our approach explores a fairly small dimensional subspace of a feature space to construct the nonlinear discriminator. This allows us to obtain the discriminator by solving a smaller sized linear program. We demonstrate that an orthonormal basis of the subspace can be implicitly treated by eigenvectors of the Gram matrix defined by the associated kernel function. When the number of given data points is very large, we construct a subspace by random sampling of data points. Numerical experiments indicate that the subspace generated by less than 2% of the entire training data points achieves reasonable performance for a fairly large instance with 60000 data points.

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ON THE HUB-AND-SPOKE MODEL WITH ARC CAPACITY CONATRAINTS

Mihiro Sasaki, Masao Fukushima

Article type: Article
2003 Volume 46 Issue 4 Pages 409-428
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.409

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In this paper, we present a new formulation of one-stop capacitated hub-and-spoke model as a natural extension of the uncapacitated one-stop model. The model involves arc capacity constraints as well as hub capacity constraints, which enables us to incorporate some practical factors into the model. We also present a branch-and-bound based exact solution method with Lagrangian relaxation bounding strategy, and report some results of numerical experiments using real aviation data. Computational results show the practical significance of the proposed capacitated model.

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2-CYCLIC DESIGN IN AHP

Chikako Miyake, Satomi Harima, Keikichi Osawa, Masaaki Shinohara, Iwar ...

Article type: Article
2003 Volume 46 Issue 4 Pages 429-447
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.429

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Abstract The simple method called "2-cyclic design" is proposed to select pairs to be compared from the whole set of pairs in AHP, which reduces the comparing number n(n - l)/2 for n-object AHP to In. The isomorphism of our designs is investigated, by which we can reduce the range of designs to be considered. The standard errors of our designs are calculated for n = 5,...,60, by which we know the best 2-cyclic designs in this range. Developing the algebra on our designs we can clarify the characteristics of good designs and further propose several conjectures which give a general method to produce the better or the best designs. These conjectures are valid for n = 5,...,60.

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DUAL ANALYSIS ON HEDGING VaR OF BOND PORTFOLIO USING OPTIONS

Koichi Miyazaki

Article type: Article
2003 Volume 46 Issue 4 Pages 448-466
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.448

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In this paper, I propose the optimal hedging of bond portfolio VaR using bond options based on dual theory in non-linear optimization and I clarify the relation between the implicit price of bond options in VaR hedging and the price, which is derived by arbitrage pricing theory. Through the dual analysis I provide insight into why out-of-the-money options tend to remain rich and the options on super-long bonds are quite often traded richer than other options. The focus is to investigate the background of these bond market observations from the viewpoint of the managerial decision-making in hedging the VaR of their bond portfolio. As supported by the numerical examples, the optimal hedging strategy derived in the framework quite convincingly explains the reason for the bond market phenomenon even though it does not fully represent the actual bond market.

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THE CENTRALIZED SEQUENTIAL INVESTMENT PROBLEM WITH REGIONAL CHARACTERISTICS EFFECT BY USING GENETIC ALGORITHMS

Cheng-Chang Chang

Article type: Article
2003 Volume 46 Issue 4 Pages 467-486
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.467

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This research aims to find a non-recurring directed path that will enable all investment regions to achieve the target revenues within the shortest period of time. We call this optimization problem the centralized sequential investment problem (CSIP). "Regional characteristics effect (RC effect)" is assumed to be the major factor that affects the expected time to achieve the target revenue for an investment region. Using the RC effect definition, we introduce the concepts of path effectiveness and sequential effectiveness. Furthermore, we define a completely memoryless property of the RC effect and consider the scenario that the RC effect of a prior investment region on a subsequent investment region follows a linear fashion. Accordingly, this paper explores CSIP's structural properties and constructs a binary integer programming model for transnational sequential investment. Also, a simple method of estimating model parameters and a GA-based solution procedure are proposed for solving CSIP.

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SPECIAL CLASSES OF QUIET ACCUMULATION GAMES

William H. Ruckle, Kensaku Kikuta

Article type: Article
2003 Volume 46 Issue 4 Pages 487-502
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.487

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In an accumulation game, a hider places objects at locations, and a seeker examines these locations. If the seeker discovers an object then he/she confiscates it. The goal of the hider is to accumulate a certain number of objects before a given time, and the goal of the seeker is to prevent this. In this paperwe discuss the quiet accumulation game in which the hider is informed of the location searched on a turn only if the seeker finds an object there. We solve the case where the number of steps is 3 and the goal of the hider is to accumulate 2 objects, and the case where the number of steps is equal to the hider's goal.

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REGENERATIVE CYCLE METHOD IN M/G/1 WITH MANY VACATION RULES

Toshinao Nakatsuka

Article type: Article
2003 Volume 46 Issue 4 Pages 503-522
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.503

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This paper gives a new method to derive the time average distribution of queue length in the model M/G/1 with many vacation rules. We extract many kinds of regenerative cycles of the well-known regenerative processes from the queue length process of the model by using the method shown by Fuhrmann and Cooper. The time average of the original model is represented by the combination of the time averages of such regenerative processes. We find this combination in various models, e.g., the model with setup time, the special decrementing service system, pure limited service system, feedback system and so on. We show a recursive calculation formula for moments.

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IMPOSSIBILITY THEOREMS ON MUTUAL EVALUATION

Kazutoshi Ando, Akari Ohara, Yoshitsugu Yamamoto

Article type: Article
2003 Volume 46 Issue 4 Pages 523-533
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.523

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Arrow's impossibility theorem, which is a classical result in social choice theory, shows that it is impossible to design a democratic rule for social decision making that obeys some reasonable criteria. In the Arrow's model, each individual of a society has a preference order among given alternatives and the society needs to agree on a preference order that aggregates individuals' preference orders. In this paper, we consider a model where each individual has a preference order on all the individuals but herself/himself. We introduce some reasonable criteria of an aggregation rule for this mutual evaluation model, investigate several combinations of these criteria, and show that each of these combinations leads to a negative consequence.

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[title in Japanese]

Article type: Appendix
2003 Volume 46 Issue 4 Pages 534-
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.534

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[title in Japanese]

Article type: Index
2003 Volume 46 Issue 4 Pages 535-537
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.535

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[title in Japanese]

Article type: Index
2003 Volume 46 Issue 4 Pages 538-540
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.538

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[title in Japanese]

Article type: Index
2003 Volume 46 Issue 4 Pages 541-
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.541

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[title in Japanese]

Article type: Appendix
2003 Volume 46 Issue 4 Pages App8-
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.App8

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[title in Japanese]

Article type: Cover
2003 Volume 46 Issue 4 Pages Cover11-
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.Cover11

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[title in Japanese]

Article type: Cover
2003 Volume 46 Issue 4 Pages Cover12-
Published: 2003
Released on J-STAGE: June 27, 2017

DOIhttps://doi.org/10.15807/jorsj.46.Cover12

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