论文速递 | Management Science 5月文章合集

编者按：

在本系列文章中，我们梳理了运筹学顶刊Management Science在2024年5月份发布有关OR/OM以及相关应用的9篇文章的基本信息，旨在帮助读者快速洞察领域新动态。

推荐文章1

• 题目：Sensitivity Analysis of the Cost Coefficients in Multiobjective Integer Linear Optimization多目标整数线性优化中成本系数的敏感性分析
• 期刊：Management Science
• 原文链接：https://doi.org/10.1287/mnsc.2021.01406
• 发表日期：2024/05/02
• 作者：Kim Allan Andersen , Trine Krogh Boomsma , Britta Efkes , Nicolas Forget
• 摘要：
  • 本文考虑了多目标整数线性规划问题中成本系数的敏感性分析。我们定义敏感性区域为系数同时变化的集合，在此集合中，有效解集合及其结构保持不变。具体来说，我们要求有效解之间的分量间关系得以保持，并且无效解继续保持无效，我们证明这对于保证变化后有效解集合保持不变是充分的。对于单一系数，我们表明可以从考虑中排除一部分无效解。更具体地说，我们证明只需检验在某两个相关的 q+1 目标问题中的一个为有效解的 q 目标问题的无效解即可。最后，我们证明敏感性区域是一个凸集（一个区间）。我们的方法可推广到多个系数的同时变化。作为示例，我们考察了均值-方差资本预算问题，并确定了有效投资组合集保持不变的区域，尽管项目的净现值存在错配或改变。进一步的计算实践与多目标二进制和整数背包问题证明了我们技术的普适性。例如，在不到半小时的CPU时间内，我们通过排除大量无效解，获得了具有500个二进制变量的双目标问题单个系数变化的所有敏感性区间。实际上，被排除的解的数量是剩余解数量的超过100个数量级。
  • This paper considers sensitivity analysis of the cost coefficients in multiobjective integer linear programming problems. We define the sensitivity region as the set of simultaneous changes to the coefficients for which the efficient set and its structure remain the same. In particular, we require that the component-wise relation between efficient solutions is preserved and that inefficient solutions remain inefficient, and we show that this is sufficient for the efficient set to be the same upon changes. For a single coefficient, we show that a subset of the inefficient solutions can be excluded from consideration. More specifically, we prove that it suffices to inspect the inefficient solutions of a q-objective problem that are efficient in one of two related q + 1-objective problems. Finally, we show that the sensitivity region is a convex set (an interval). Our approach generalizes to simultaneous changes in multiple coefficients. For illustration, we consider mean-variance capital budgeting and determine the region for which the set of efficient portfolios remains the same, despite a misspecification or a change in the net present values of the projects. Further computational experience with multiobjective binary and integer knapsack problems demonstrates the general applicability of our technique. For instance, we obtain all sensitivity intervals for changes to single coefficients of biobjective problems with 500 binary variables in less than half an hour of CPU time by excluding a large number of inefficient solutions. In fact, the number of excluded solutions is above 100 orders of magnitude larger than the number of remaining solutions.

推荐文章2

• 题目：Learning to Optimize Contextually Constrained Problems for Real-Time Decision Generation 学习优化具有语境约束的问题以生成实时决策
• 期刊：Management Science
• 原文链接：https://doi.org/10.1287/mnsc.2020.03565
• 发表日期：2024/05/03
• 作者：Aaron Babier , Timothy C. Y. Chan , Adam Diamant , Rafid Mahmood
• 摘要：
  • 机器学习解决优化问题的相关话题已经引起了运筹学和机器学习领域的关注。在本文中，我们结合这两个领域的理念，来解决学习生成决策的问题，这些决策应对的是具有潜在非线性或非凸约束的优化问题实例，其中可行解集随着语境特征而变化。我们提出了一个新颖的框架，通过结合内点法和对抗学习来训练生成模型，以产生可证明的最优决策，我们进一步将其嵌入到一个迭代数据生成算法中。为此，我们首先训练一个分类器来学习可行性，然后使用分类器作为正则化器训练生成模型，以生成优化问题的最优决策。我们证明，我们模型生成的决策满足样本内和样本外的最优性保证。此外，学习模型被嵌入到一个主动学习循环中，在该循环中，合成实例被迭代地添加到训练数据中；这使我们能够逐步生成可证明更紧致的最优决策。我们调查了投资组合优化和个性化治疗设计的案例研究，证明我们的方法相比于预测然后优化以及监督深度学习技术都更具有优势。特别是，我们的框架相比于预测然后优化的范式更能抵抗参数估计误差，与监督学习模型相比，能更好地适应领域转移。
  • The topic of learning to solve optimization problems has received interest from both the operations research and machine learning communities. In this paper, we combine ideas from both fields to address the problem of learning to generate decisions to instances of optimization problems with potentially nonlinear or nonconvex constraints where the feasible set varies with contextual features. We propose a novel framework for training a generative model to produce provably optimal decisions by combining interior point methods and adversarial learning, which we further embed within an iterative data generation algorithm. To this end, we first train a classifier to learn feasibility and then train the generative model to produce optimal decisions to an optimization problem using the classifier as a regularizer. We prove that decisions generated by our model satisfy in-sample and out-of-sample optimality guarantees. Furthermore, the learning models are embedded in an active learning loop in which synthetic instances are iteratively added to the training data; this allows us to progressively generate provably tighter optimal decisions. We investigate case studies in portfolio optimization and personalized treatment design, demonstrating that our approach yields advantages over predict-then-optimize and supervised deep learning techniques, respectively. In particular, our framework is more robust to parameter estimation error compared with the predict-then-optimize paradigm and can better adapt to domain shift as compared with supervised learning models.

推荐文章3

• 题目：The (Surprising) Sample Optimality of Greedy Procedures for Large-Scale Ranking and Selection 大规模排序与选择问题中贪心算法的（令人惊讶的）样本最优性
• 期刊：Management Science
• 原文链接：https://doi.org/10.1287/mnsc.2023.00694
• 发表日期：2024/05/07
• 作者：Zaile Li , Weiwei Fan , L. Jeff Hong
• 摘要：
  • 排序与选择（R&S）的目标是从有限的备选方案集中选出平均表现最优的最佳方案。最近，对涉及大量备选方案的大规模R&S问题的关注显著增加。理想的大规模R&S算法步骤应当达到样本最优；即保证正确选择概率（PCS）渐进地非零所需的总样本量应按照备选方案数量k的最小阶数（线性阶数）增长。出人意料的是，我们发现，简单的贪心算法，即不断采样平均值最大的备选方案，表现出色且看似达到样本最优。为了理解这一发现，我们开发了一种新的boundary-crossing视角，并证明在最佳平均值至少保持与其他所有平均值有一个正常数差的情况下，随着k增加，贪心算法是样本最优的。我们进一步显示了得到的PCS下界对于具有共同方差的均值滑移配置是渐近紧确的。在其他情境中，我们考虑了良好选择的概率，并发现结果取决于良好备选方案数量的增长行为：如果该数量随k增加而保持有界，样本最优性依然成立；否则，结果可能发生变化。此外，我们通过在贪心算法中添加一个探索阶段，提出了“先探索贪心算法步骤”。这些算法步骤在相同的假设下被证明是样本最优且一致的。最后，我们通过数值研究来探究我们的贪心算法步骤在解决大规模R&S问题中的表现。
  • Ranking and selection (R&S) aims to select the best alternative with the largest mean performance from a finite set of alternatives. Recently, considerable attention has turned toward the large-scale R&S problem which involves a large number of alternatives. Ideal large-scale R&S procedures should be sample optimal; that is, the total sample size required to deliver an asymptotically nonzero probability of correct selection (PCS) grows at the minimal order (linear order) in the number of alternatives, k. Surprisingly, we discover that the naïve greedy procedure, which keeps sampling the alternative with the largest running average, performs strikingly well and appears sample optimal. To understand this discovery, we develop a new boundary-crossing perspective and prove that the greedy procedure is sample optimal for the scenarios where the best mean maintains at least a positive constant away from all other means as k increases. We further show that the derived PCS lower bound is asymptotically tight for the slippage configuration of means with a common variance. For other scenarios, we consider the probability of good selection and find that the result depends on the growth behavior of the number of good alternatives: if it remains bounded as k increases, the sample optimality still holds; otherwise, the result may change. Moreover, we propose the explore-first greedy procedures by adding an exploration phase to the greedy procedure. The procedures are proven to be sample optimal and consistent under the same assumptions. Last, we numerically investigate the performance of our greedy procedures in solving large-scale R&S problems.

推荐文章4

• 题目：Model-Free Nonstationary Reinforcement Learning: Near-Optimal Regret and Applications in Multiagent Reinforcement Learning and Inventory Control无模型非静态强化学习：接近最优的遗憾度及其在多智能体强化学习和库存控制中的应用
• 期刊：Management Science
• <