Informs 2015

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INFORMS Philadelphia – 2015
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4 - Competitive Capacity Investment with Learning
Youngsoo Kim, University of Illinois at Urbana-Champaign,
Urbana, IL, Dharma Kwon,
Kuno Huisman, Verena Hagspiel
Two competing firms consider an investment with uncertain profitability. In
particular, each firm needs to decide when to invest as well as how much to
invest. Depending on the order of the investment, the leader and the follower
naturally arise, and whoever becomes the follower can learn the leader’s
performance and take that information into consideration. We investigate the
equilibrium strategy in this game and study the impact of learning on the
equilibrium.
WB07
07-Room 307, Marriott
Large-scale Portfolio Risk
Cluster: Risk Management
Invited Session
Chair: Justin Sirignano, Stanford University, Huang Engineering
Center, Stanford, CA, 93404, United States of America,
1 - Large-Scale Loan Portfolio Selection
Justin Sirignano, Stanford University, Huang Engineering Center,
Stanford, CA, 93404, United States of America,
Kay Giesecke, Gerry Tsoukalas
The problem of optimally selecting a large portfolio of risky loans is a high-
dimensional nonlinear integer program. Portfolios can range from thousands to
even hundreds of thousands, making the problem extremely computationally
challenging. Using weak convergence results, we develop an approximate
optimization approach which is accurate and typically significantly faster than
nonlinear integer program solvers.
2 - Modeling Large Portfolio Risks with Covariates
Jianqing Fan, Princeton, Dept of Operations Res & Fin Eng,
Princeton University, Princeton, NJ, 08544, United States of
America, Weichen Wang, Yuan Liao
We propose a flexible factor model for estimating large covariance matrices with
covariates and introduce a Projected-PCA technique. We show that the
unobserved latent factors can be more accurately estimated than the
conventional. By using the newly proposed Projected-PCA, the rates of
convergence of the smooth factor loading matrices are obtained, which are much
faster than those of the conventional factor analysis. The proposed methods are
illustrated by extensive numerical studies.
3 - Geometry of Defaults
Richard Sowers, Professor, University of Illinois at Urbana-
Champaign, Urbana, IL, 61801, United States of America,
We develop a geometric picture of defaults in an Eisenberg-Noe setting. We adapt
some recent work to generate global rankings from local (pairwise) comparisons
based on shortfalls. This work is joint with Henry Schenck and Rui Song
WB08
08-Room 308, Marriott
Optimization Nonlinear Programming II
Contributed Session
Chair: Alex Feild, Human Systems Engineer, Naval Surface Warfare
Center, 18444 Frontage Road, Ste 327, Dahlgren, VA, 22405,
United States of America,
1 - A Hub-and-Spoke Network Design with Nonlinear
Penalty Function
Ramez Kian, Bilkent University, Industrial engineering
Department,, Bilkent University, Ankara, Turkey,
Kamyar Kargar
In this paper, a bi-objective uncapacitated hub location problem is addressed. The
first objective is to minimize the traditional cost function and the second objective
tries to maximize the amount of flow transported via the hub network. It
corresponds to logistics companies which makes it impossible for them to route all
the flow in the network. The mixed integer nonlinear model, the proposed
solution approaches and numerical results are provided.
2 - Convex Relaxations in Gas Network Optimization Problems
Pelin Cay, Lehigh University, 200 W Packer Ave, Bethlehem, PA,
18015, United States of America, ,
Camilo Mancilla, Robert Storer, Luis Zuluaga
Non-convexity, non-linearity and the need for a real time solutions are the main
challenges of gas network optimization problems. In this study, we show the
benefits of using convex SOCP relaxations of the problem. This convexification
provides lower bound information which can be useful in solving large scale real
life problems more efficiently.
3 - Goal Reaching Kinematic Chain using a General Purpose Inverse
Kinematic Approach
Alex Feild, Human Systems Engineer, Naval Surface Warfare
Center, 18444 Frontage Road, Ste 327, Dahlgren, VA, 22405,
United States of America,
Michael Hamilton, Patrick Mead
The goal was to solve the problem of creating a general purpose model for
partially analytical goal reaching kinematic chain. Our model is largely based on
the Cyclic Coordinate Descent algorithm (CDD). We included a step in the cycle
where the joint under evaluation was able to use its parent’s axial freedom to
rotate its hinge axis prior to applying its own rotation. The model implementation
took 56% fewer iteration and an estimated 27% fewer calculations to stabilize
than a traditional CCD.
WB09
09-Room 309, Marriott
Venture Capital Funding, Crowd Sourcing,
New Product Development, and Supply Chain
Transparency
Sponsor: Technology, Innovation Management & Entrepreneurship
Sponsored Session
Chair: Zhili Tian, Assistant Professor, Florida International University,
11200 S.W. 8th Street, Miami, FL, United States of America,
1 - Too Successful to Innovate? Dynamic Entrepreneurial Reputation
and Venture Capital
Noam Shamir, Assistant Professor, Tel-Aviv University,
Haim Levanon, Tel-Aviv, Israel, ,
David Zvilichovsky
This research integrates entrepreneurial experience, success, reputation and
venture financing into a dynamic model which explores the execution of
innovative projects under asymmetric information. We are interested in exploring
the tension between the desire of the entrepreneur to exploit the current project
opportunity and her understanding that the success or failure in this current
project also impacts her future reputation.
2 - Hunters and Gatherers: Strategy Identification of the Leading
Open Firms
John Angelis, Elizabethtown College, 1 Alpha Drive,
Elizabethtown, PA, United States of America,
, John Ettlie, Joseph Miller
We analyzed 73 (of 100 original) firm open innovation efforts via their press
releases. Using path and cluster analysis to analyze the coded data, we obtained
statistically significant results. Our data shows at least two types of crowdsourcing:
1) Hunters, incumbent firms, learning open methodologies, that accelerate a
single (often one time) experiment to implement crowd sourcing; or 2) Gatherers,
often newcomers, born open, with less urgency that continuously interact with
the crowd.
3 - Product Development by a Firm and its Supplier: Insights from a
Problem-solving Approach
Mohsen Jafari Songhori, Jsps Research Fellow, Tokyo Institute of
Technology, J2 Bldg., Room 1704, 4259 Nagatsuta-cho,, Tokyo,
226-8502, Japan, Takao Terano,
Sunny S. Yang
This study conceptualizes Product Development (PD) by a firm and a supplier as a
problem solving process. The firms decompose the PD problem into sub-problems,
and use different solution strategies (e.g. different design approaches with costs,
quality). We investigate the firms’ problems (e.g. optimal design strategy) and
their interactions (e.g. contract setting).
4 - An Empirically Grounded Model of Supply Chain Transparency
Anton Shevchenko, York University, 4700 Keele St, Toronto,
Canada, Moren Lévesque, Mark Pagell,
David Johnston
Using multiple case studies our study explores how firms achieve the requisite
transparency to manage their supply chains. We explore the barriers and enablers
of transparency inherent in complex networks of buyer-supplier relationships and
external stakeholder involvement before discussing firm strategies for managing
escalating requirements for transparency.
WB07