论文速递 | Operations Research 3月文章合集（下）

编者按

在本系列文章中，我们梳理了运筹学顶刊Operations Research在2024年3月份发布的18篇文章的基本信息，旨在帮助读者快速洞察领域新动态。本文为第二部分。

推荐文章1

● 题目：An Unexpected Stochastic Dominance: Pareto Distributions, Dependence, and Diversification 

一个意外的随机占优：帕累托分布，依赖性和多样性

● 原文链接：https://doi.org/10.1287/opre.2022.0505

● 作者：Yuyu Chen, Paul Embrechts, Ruodu Wang

● 发布时间：2024/03/21

● 摘要：

• We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such random variable in the sense of first-order stochastic dominance. This result holds for more general models including super-Pareto distributions, negative dependence, and triggering events and yields superadditivity of the risk measure value-at-risk for these models.

• 我们发现一个或许令人惊讶的不等式，即独立同分布且均值无限的帕累托随机变量的加权平均，在一阶随机占优的意义上，大于这样的一个随机变量。这个结果对于更一般的模型也成立，包括超帕累托分布、负依赖以及触发事件，并且使得这些模型下的风险度量值-在风险中的超可加性得以成立。

推荐文章2

● 题目：An Algorithmic Solution to the Blotto Game Using Multimarginal Couplings 

使适用多边耦合的上校博弈算法解

● 原文链接：https://doi.org/10.1287/opre.2023.0049

● 作者：Vianney Perchet, Philippe Rigollet, Thibaut Le Gouic

● 发布时间：2024/03/22

● 摘要：

• We describe an efficient algorithm to compute solutions for the general two-player Blotto game on n battlefields with heterogeneous values. Whereas explicit constructions for such solutions have been limited to specific, largely symmetric or homogeneous setups, this algorithmic resolution covers the most general situation to date: a value-asymmetric game with an asymmetric budget with sufficient symmetry and homogeneity. The proposed algorithm rests on recent theoretical advances regarding Sinkhorn iterations for matrix and tensor scaling. An important case that had been out of reach of previous attempts is that of heterogeneous but symmetric battlefield values with asymmetric budgets. In this case, the Blotto game is constant-sum, so optimal solutions exist, and our algorithm samples from an ε-optimal solution in time ε, independent of budgets and battlefield values, up to some natural normalization. In the case of asymmetric values where optimal solutions need not exist but Nash equilibria do, our algorithm samples from an ε-Nash equilibrium with similar complexity but where implicit constants depend on various parameters of the game such as battlefield values.

• 我们描述了一个高效的算法，用于计算具有异质价值的n个战场上的一般双人上校游戏的解决方案。尽管对这类解决方案的显式构造仅限于特定的、大多数是对称或同质的设置，但这种算法解决方案涵盖了迄今为止最一般的情况：一个具有足够对称性和同质性的价值非对称游戏和预算非对称游戏。所提出的算法基于关于Sinkhorn迭代进行矩阵和张量缩放的最近理论进展。之前尝试无法解决的一个重要情况是，战场价值异质但对称，且预算非对称。在这种情况下，上校游戏是常和游戏，因此存在最优解决方案，我们的算法能够在时间ε内从一个ε-最优解中采样，不依赖于预算和战场价值，直到某种自然归一化。在价值非对称的情况下，最优解可能不存在，但纳什均衡确实存在，我们的算法可以从一个ε-纳什均衡中采样，复杂性相似，但隐含常数依赖于游戏的各种参数，如战场价值。

推荐文章3

● 题目：Outcome-Driven Dynamic Refugee Assignment with Allocation Balancing 

以结果为导向的动态难民分配与分配平衡

● 原文链接：https://doi.org/10.1287/opre.2022.0445

● 作者：Kirk Bansak, Elisabeth Paulson

● 发布时间：2024/03/25

● 摘要：

• This study proposes two new dynamic assignment algorithms to match refugees and asylum seekers to geographic localities within a host country. The first, currently implemented in a multiyear randomized control trial in Switzerland, seeks to maximize the average predicted employment level (or any measured outcome of interest) of refugees through a minimum-discord online assignment algorithm. The performance of this algorithm is tested on real refugee resettlement data from both the United States and Switzerland, where we find that it is able to achieve near-optimal expected employment, compared with the hindsight-optimal solution, and is able to improve upon the status quo procedure by 40%–50%. However, pure outcome maximization can result in a periodically imbalanced allocation to the localities over time, leading to implementation difficulties and an undesirable workflow for resettlement resources and agents. To address these problems, the second algorithm balances the goal of improving refugee outcomes with the desire for an even allocation over time. We find that this algorithm can achieve near-perfect balance over time with only a small loss in expected employment compared with the employment-maximizing algorithm. In addition, the allocation balancing algorithm offers a number of ancillary benefits compared with pure outcome maximization, including robustness to unknown arrival flows and greater exploration.

• 本研究提出了两种新的动态分配算法，用于将难民和寻求庇护者匹配到东道国内的地理位置。第一种算法目前正在瑞士进行多年的随机对照试验中实施，旨在通过最小不协调在线分配算法，最大化难民的平均预测就业水平（或任何感兴趣的测量结果）。该算法的性能在美国和瑞士的真实难民安置数据上进行了测试，结果发现，与回顾性最优解相比，它能够实现接近最优的预期就业，并且能够将现状程序提高40%–50%。然而，纯粹的结果最大化可能会导致分配到各地区的难民随时间不平衡，引起实施困难和对安置资源及代理人不理想的工作流。为解决这些问题，第二种算法平衡了改善难民结果的目标与随时间均匀分配的愿望。我们发现，与最大化就业的算法相比，这种算法可以实现随时间几乎完美的平衡，而预期就业的损失很小。此外，与纯粹的结果最大化相比，分配平衡算法提供了许多附加好处，包括对未知到达流的鲁棒性和更大的探索性。

推荐文章4

● 题目：A Random Consideration Set Model for Demand Estimation, Assortment Optimization, and Pricing 

面向需求估计、产品组合优化和定价的随机考虑集合模型

● 原文链接：https://doi.org/10.1287/opre.2019.0333

● 作者：Guillermo Gallego, Anran Li

● 发布时间：2024/03/25

● 摘要：

• In this paper, we operationalize the random consideration set (RCS) choice model proposed by Manzini and Mariotti which assumes that consumers make purchase decisions based on a fixed preference ordering and random consideration sets drawn from independent attention probabilities. We provide a necessary condition, a sufficient condition, and a fast algorithm to estimate preference ordering and attention probabilities from sales transaction data, thereby uniquely identifying the model parameters. Additionally, we propose a greedy-like algorithm to find an assortment that maximizes total expected revenues. This algorithm can be easily adapted to handle cardinality constraints or to discover all efficient sets. Additionally, we explore profit optimization for a price-aware version of the RCS model and demonstrate that optimal profit margins and consumer surplus have the same ordering as the value gaps. Furthermore, we expand the model to include a random consideration-utility maximization framework, where consumers can have random preferences for products once consideration sets are formed. We develop an approximation algorithm with a 1/2 performance guarantee for this extended model. To validate our findings, we conduct a computational study using data provided by a major United States-based airline. The data set comprises 107 different flights serving various markets over a period of 120 days. By testing our models on this airline partner’s data, we demonstrate that the RCS model outperforms the mixed multinomial logit model in nearly half of the markets. These results align with the insights obtained from our synthetic study, indicating that the RCS model exhibits greater robustness when applied to input data sets with limited variations and smaller sizes.

• 在本文中，我们将Manzini和Mariotti提出的随机考虑集合(RCS)选择模型实际应用，该模型假设消费者基于固定偏好顺序和从独立关注概率中抽取的随机考虑集合做出购买决策。我们提供了一个必要条件、一个充分条件和一个快速算法，用于从销售交易数据估计偏好排序和关注概率，从而唯一地确定模型参数。此外，我们提出了一个类似贪心的算法，用于找到最大化总预期收入的产品组合。该算法可以轻松适应处理基数限制或发现所有有效集合。我们还探索了RCS模型价格敏感版本的利润优化，并展示最优利润率和消费者剩余具有与价值差异相同的排序。此外，我们将模型扩展到包括随机考虑-效用最大化框架，在此框架中，消费者在形成考虑集合后可能对产品有随机偏好。我们为这个扩展模型开发了一个带有1/2性能保证的近似算法。为验证我们的发现，我们使用一家总部位于美国的主要航空公司提供的数据进行了计算研究。数据集包括在120天内服务于各种市场的107个不同航班。通过在这个航空伙伴的数据上测试我们的模型，我们展示了RCS模型在几乎一半的市场中表现优于混合多项式逻辑模型。这些结果与我们的合成研究获得的见解一致，表明RCS模型在应用于变化有限和较小尺寸的输入数据集时展现出更大的鲁棒性。

推荐文章5

● 题目：To Interfere or Not To Interfere: Information Revelation and Price-Setting Incentives in a Multiagent Learning Environment 

干预还是不干预：多智能体学习环境中的信息揭示和定价激励

● 原文链接：https://doi.org/10.1287/opre.2023.0363

● 作者：John R. Birge, Hongfan (Kevin) Chen, N. Bora Keskin, Amy Ward

● 发布时间：2024/03/27

● 摘要：

• We consider a platform in which multiple sellers offer their products for sale over a time horizon of T periods. Each seller sets its own price. The platform collects a fraction of the sales revenue and provides price-setting incentives to the sellers to maximize its own revenue. The demand for each seller’s product is a function of all sellers’ prices and some customer features. Initially, neither the platform nor the sellers know the demand function, but they can learn about it through sales observations: each seller observes its own sales, whereas the platform observes all sellers’ sales as well as the customer feature information. We measure the platform’s performance by comparing its expected revenue with the full-information optimal revenue, and we design policies that enable the platform to manage information revelation and price-setting incentives. Perhaps surprisingly, a simple “do-nothing” policy does not always exhibit poor revenue performance and can perform exceptionally well under certain conditions. With a more conservative policy that reveals information to make price-setting incentives more effective, the platform can always protect itself from large revenue losses caused by demand model uncertainty. We develop a strategic reveal-and-incentivize policy that combines the benefits of the aforementioned policies and thereby achieves asymptotically optimal revenue performance as T grows large.

• 我们考虑一个平台，多个卖家在T期的时间范围内出售产品。每个卖家设定自己的价格。平台从销售收入中收取一部分，并提供定价激励给卖家以最大化其自身收益。每个卖家的产品需求是所有卖家价格和一些客户特征的函数。最初，平台和卖家都不知道需求函数，但他们可以通过销售观察来了解它：每个卖家观察自己的销售，而平台观察所有卖家的销售以及客户特征信息。我们通过将平台的预期收入与全信息最优收入进行比较来衡量平台的绩效，并设计策略，使平台能够管理信息揭示和定价激励。或许令人惊讶的是，一个简单的“无所作为”政策并不总是表现出差的收入表现，并且在某些条件下可以表现得非常好。通过一个更保守的政策，揭示信息以使定价激励更有效，平台总是可以保护自己免受需求模型不确定性引起的大额收入损失。我们开发了一个战略性的揭示-激励政策，结合了上述政策的好处，从而随着T的增大实现渐进最优的收入表现。

推荐文章6

● 题目：Slowly Varying Regression Under Sparsity 

在稀疏性条件下的缓变回归

● 原文链接：https://doi.org/10.1287/opre.2022.0330

● 作者：Dimitris Bertsimas, Vassilis Digalakis, Jr., Michael Lingzhi Li, Omar Skali Lami

● 发布时间：2024/03/27

● 摘要：

• We introduce the framework of slowly varying regression under sparsity, which allows sparse regression models to vary slowly and sparsely. We formulate the problem of parameter estimation as a mixed-integer optimization problem and demonstrate that it can be reformulated exactly as a binary convex optimization problem through a novel relaxation. The relaxation utilizes a new equality on Moore-Penrose inverses that convexifies the nonconvex objective function while coinciding with the original objective on all feasible binary points. This allows us to solve the problem significantly more efficiently and to provable optimality using a cutting plane–type algorithm. We develop a highly optimized implementation of such algorithm, which substantially improves upon the asymptotic computational complexity of a straightforward implementation. We further develop a fast heuristic method that is guaranteed to produce a feasible solution and, as we empirically illustrate, generates high-quality warm-start solutions for the binary optimization problem. To tune the framework’s hyperparameters, we propose a practical procedure relying on binary search that, under certain assumptions, is guaranteed to recover the true model parameters. We show, on both synthetic and real-world data sets, that the resulting algorithm outperforms competing formulations in comparable times across a variety of metrics, including estimation accuracy, predictive power, and computational time, and is highly scalable, enabling us to train models with tens of thousands of parameters.

• 我们介绍了在稀疏性条件下缓变回归的框架，该框架允许稀疏回归模型缓慢且稀疏地变化。我们将参数估计问题形式化为一个混合整数优化问题，并展示如何通过一种新颖的松弛方法将其精确地重新表述为一个二元凸优化问题。该松弛利用了一个关于Moore-Penrose逆的新等式，该等式使非凸目标函数凸化，同时在所有可行的二元点上与原始目标一致。这使我们能够使用一种切割平面型算法显著提高问题的求解效率并保证最优性。我们开发了这种算法的高度优化实现，大幅改善了直接实现的渐进计算复杂度。我们进一步开发了一种快速启发式方法，该方法保证产生一个可行解，并且，如我们通过实证展示的，为二元优化问题生成高质量的热启动解。为了调整框架的超参数，我们提出了一种依赖于二分搜索的实用程序，该程序在某些假设下保证恢复真实模型参数。我们在合成和真实数据集上展示，所得算法在估计精度、预测能力和计算时间等多种指标上，均超过了竞争性表述，在相当的时间内表现更佳，并且具有高度可扩展性，使我们能够训练具有数万个参数的模型。

推荐文章7

● 题目：Technical Note—Production Management with General Demands and Lost Sales 

技术说明——具有一般需求和缺货销售的生产管理

● 原文链接：https://doi.org/10.1287/opre.2022.0191

● 作者：Jinhui Han, Xiaolong Li, Suresh P. Sethi, Chi Chung Siu, Sheung Chi Phillip Yam

● 发布时间：2024/03/28

● 摘要：

• We consider continuous-review, single-product inventory systems with a constant replenishment rate, Lévy demand, general inventory holding cost, and general lost-sales penalty. The Lévy demand encompasses various demand dynamics used in the inventory literature. We obtain optimal replenishment rates that minimize the time-average cost and expected discounted costs. We can solve this problem explicitly for the optimal replenishment rate by utilizing the renewal theorem for the time-average cost objective. For a more complex expected discounted cost minimization problem, we first obtain the Laplace transform of the cost objective in terms of the unique positive root of the corresponding Lundberg equation. Then, we devise a Fourier-cosine scheme to numerically compute the original cost objective together with a detailed error analysis to determine the optimal production rate. In particular cases, we obtain closed-form expressions of the optimal replenishment rates. The numerical examples further illustrate our numerical method’s accuracy, stability, and robustness. Finally, our Fourier-cosine method can be applied to compute risk analytics, including but not limited to the stockout probability and expected shortfall of the production-inventory system.

• 我们考虑具有恒定补货率、Lévy需求、一般库存持有成本和一般缺货销售惩罚的连续审查、单产品库存系统。Lévy需求涵盖了库存文献中使用的各种需求动态。我们获得了最小化时间平均成本和预期折现成本的最优补货率。通过利用时间平均成本目标的更新定理，我们可以显式解决最优补货率问题。对于更复杂的预期折现成本最小化问题，我们首先获得成本目标的拉普拉斯变换，该变换基于对应Lundberg方程的唯一正根。然后，我们设计了一种傅里叶-余弦方案，用于数值计算原始成本目标，并进行详细的误差分析，以确定最优生产率。在特定情况下，我们获得了最优补货率的封闭形式表达式。数值示例进一步说明了我们的数值方法的准确性、稳定性和鲁棒性。最后，我们的傅里叶-余弦方法可以应用于计算风险分析，包括但不限于生产库存系统的缺货概率和预期短缺。

推荐文章8

● 题目：Assigning and Scheduling Generalized Malleable Jobs Under Subadditive or Submodular Processing Speeds 

在次可加或次模处理速度下分配和调度通用可塑性作业

● 原文链接：https://doi.org/10.1287/opre.2022.0168

● 作者：Dimitris Fotakis, Jannik Matuschke, Orestis Papadigenopoulos 

● 发布时间：2024/03/28

● 摘要：

• Malleable scheduling is a model that captures the possibility of parallelization to expedite the completion of time-critical tasks. A malleable job can be allocated and processed simultaneously on multiple machines, occupying the same time interval on all these machines. We study a general version of this setting, in which the functions determining the joint processing speed of machines for a given job follow different discrete concavity assumptions (subadditivity, fractional subadditivity, submodularity, and matroid ranks). We show that under these assumptions, the problem of scheduling malleable jobs at minimum makespan can be approximated by a considerably simpler assignment problem. Moreover, we provide efficient approximation algorithms for both the scheduling and the assignment problem, with increasingly stronger guarantees for increasingly stronger concavity assumptions, including a logarithmic approximation factor for the case of submodular processing speeds and a constant approximation factor when processing speeds are determined by matroid rank functions. Computational experiments indicate that our algorithms outperform the theoretical worst-case guarantees.

• 可塑性调度是一种模型，捕捉并行化以加快完成时间紧迫任务的可能性。一个可塑性作业可以同时在多台机器上分配和处理，占据所有这些机器上相同的时间间隔。我们研究了这种设置的一个通用版本，在该版本中，决定给定作业的机器联合处理速度的函数遵循不同的离散凹性假设（次可加性、分数次可加性、次模性和拟阵等级）。我们展示，在这些假设下，以最小完工时间调度可塑性作业的问题可以被大大简化为一个分配问题。此外，我们为调度问题和分配问题提供了高效的近似算法，对于越强的凹性假设提供越强的保证，包括对于次模处理速度情况的对数近似因子，以及当处理速度由拟阵等级函数决定时的常数近似因子。计算实验表明，我们的算法性能超出理论最坏情况保证。

推荐文章9

● 题目：Optimal Auction Design with Deferred Inspection and Reward 

具有延迟检查和奖励的最优拍卖设计

● 原文链接：https://doi.org/10.1287/opre.2020.0651

● 作者：Saeed Alaei, Alexandre Belloni, Ali Makhdoumi, Azarakhsh Malekian

● 发布时间：2024/03/28

● 摘要：

• Consider a mechanism run by an auctioneer who can use both payment and inspection instruments to incentivize agents. The timeline of the events is as follows. Based on a prespecified allocation rule and the reported values of agents, the auctioneer allocates the item and secures the reported values as deposits. The auctioneer then inspects the values of agents and, using a prespecified reward rule, rewards the ones who have reported truthfully. Using techniques from convex analysis and calculus of variations, for any distribution of values, we fully characterize the optimal mechanism for a single agent. Using Border’s theorem and duality, we find conditions under which our characterization extends to multiple agents. Interestingly, the optimal allocation function, unlike the classic settings without inspection, is not a threshold strategy and instead is an increasing and continuous function of the types. We also present an implementation of our optimal auction and show that it achieves a higher revenue than auctions in classic settings without inspection. This is because the inspection enables the auctioneer to charge payments closer to the agents’ true values without creating incentives for them to deviate to lower types.

• 考虑一个由拍卖师运行的机制，拍卖师可以使用支付和检查工具来激励代理人。事件的时间线如下。基于预先指定的分配规则和代理人报告的价值，拍卖师分配物品并将报告的价值作为押金。然后，拍卖师检查代理人的价值，并使用预先指定的奖励规则奖励那些诚实报告的人。利用凸分析和变分法的技术，对于任何价值分布，我们完全刻画了单个代理人的最优机制。使用Border定理和对偶性，我们找到了我们的刻画扩展到多个代理人的条件。有趣的是，与没有检查的经典设置不同，最优分配函数不是一个阈值策略，而是类型的增加且连续的函数。我们还展示了我们最优拍卖的实现，并显示它比没有检查的经典设置中的拍卖实现了更高的收入。这是因为检查使拍卖师能够收取更接近代理人真实价值的支付，而不创造让他们偏向于低类型的激励。