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Mercedes Landete

Publications and source records attributed to Mercedes Landete.

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Uncovering latent consensus in heterogeneous populations: The Mixture Linear Ordering Problem

The classical linear ordering problem seeks a single ranking representing a given preference matrix. While suitable for homogeneous populations, it fails when observed preferences arise from several latent groups with distinct ranking patterns. To address this limitation, we introduce an extension partitioning the population into latent groups, each characterized by its own linear order, relative size, and preference structure. The observed matrix is then explained as the aggregate outcome of these group-specific preferences. We develop mixed-integer programming formulations, including a compact reformulation yielding a geometric interpretation within the linear ordering polytope. Because exact solutions become computationally demanding for larger instances, we propose a multi-start alternating-direction matheuristic iteratively updating group rankings and weights. Computational experiments on synthetically generated instances, matching sizes typical in preference aggregation scenarios, demonstrate the effectiveness of the exact approach in successfully recovering the underlying groups. Furthermore, the proposed heuristic delivers high-quality solutions in substantially shorter times, occasionally improving upon the exact method's best incumbent in difficult instances within the imposed time limit.

math.OC

An optimization-based approach to ranking aggregation with weak order outputs

Rank aggregation problems combine conflicting rankings of items into a single consensus ranking. In many applications, forcing all items into a strict order is too restrictive, since some items may be tied and placed in the same ordered group. This paper presents an optimization framework for rank aggregation problems in which the final ranking is a weak order, or bucket order. The framework uses binary variables to indicate whether one item is ranked before another or tied with it, and allows additional requirements to be added through linear constraints. We consider settings with an exact number of buckets, given bucket sizes, a ranking of the top items with the remaining items grouped in a final bucket, and fairness requirements for predefined groups in the upper part of the ranking. As a case study, we apply the framework to the Optimal Bucket Order Problem (OBOP), which we formulate for the first time as a mixed-integer linear programming problem. Experiments on benchmark instances derived from PrefLib and MovieLens evaluate the proposed formulation and its constrained versions. They also show that the new OBOP formulation allows us to confirm the optimality of most best-known heuristic solutions and improves some of them.

math.OC

Robust DEA efficiency scores: A probabilistic/combinatorial approach

In this paper we propose robust efficiency scores for the scenario in which the specification of the inputs/outputs to be included in the DEA model is modelled with a probability distribution. This proba- bilistic approach allows us to obtain three different robust efficiency scores: the Conditional Expected Score, the Unconditional Expected Score and the Expected score under the assumption of Maximum Entropy principle. The calculation of the three efficiency scores involves the resolution of an exponential number of linear problems. The algorithm presented in this paper allows to solve over 200 millions of linear problems in an affordable time when considering up 20 inputs/outputs and 200 DMUs. The approach proposed is illustrated with an application to the assessment of professional tennis players.

math.OC

Sharpe portfolio using a cross-efficiency evaluation

The Sharpe ratio is a way to compare the excess returns (over the risk free asset) of portfolios for each unit of volatility that is generated by a portfolio. In this paper we introduce a robust Sharpe ratio portfolio under the assumption that the risk free asset is unknown. We propose a robust portfolio that maximizes the Sharpe ratio when the risk free asset is unknown, but is within a given interval. To compute the best Sharpe ratio portfolio all the Sharpe ratios for any risk free asset are considered and compared by using the so-called cross-efficiency evaluation. An explicit expression of the Cross-Eficiency Sharpe ratio portfolio is presented when short selling is allowed.

q-fin.PM