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运筹学遍布世界的各个角落，从数学到计算机，从控制论到自动化，从机器学习到深度学习，从数字化到社会治理，我们都可以看到运筹学方法的影子。本篇推送我们整理了期刊Operations Research第69(4)期第8-17篇论文的导读（1-7篇见优化 | Operations Research论文综述(69(4)期) 上）。所有导读均有中英文翻译，并附有原文链接。

A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Financial services firms, such as banks and insurance companies, are expected by customers, regulators, and capital providers to hold a sufficient amount of capital to absorb the financial losses they may incur in times of financial stress. This capital provides security and protection for customers owed money by such firms, including, for example, those who have taken out life insurance with a life insurance provider. In "A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry," Adelmann, Fernandez-Arjona, Mayer, and Schmedders describe the replicating portfolio (RP) model used to approximate life insurance liabilities in a large global insurance company active in more than 215 countries. The model uses cash flow matching to calculate a portfolio of financial derivatives that replicates the behavior of the company's life insurance liabilities with the accuracy necessary to enable the calculation of economic capital. The authors also discusses the critical role played by RPs in the risk-management process of the insurance company.

8.寿险行业复制投资组合的大规模优化模型

作者：Maximilian Adelmann, Lucio Fernandez-Arjona, Janos Mayer, Karl Schmedders

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2020.2098

客户、监管机构和资本提供者都希望银行和保险公司等金融服务公司持有足够的资本，以消化它们在面临财务压力时可能出现的财务损失。这些资金为这些公司的客户提供安全保障和保护，例如那些已经在人寿保险公司购买了人寿保险的客户。作者在本文中介绍了复制投资组合(RP)模型，该模型用于近似一家业务遍及超过215个国家的大型全球保险公司的人寿保险责任。该模型使用现金流匹配来计算金融衍生产品的投资组合，该投资组合以满足计算经济资本所必需的准确性复制了公司人寿保险责任的行为。本文还讨论了复制投资组合在保险公司风险管理过程中所起的关键作用。

Large-Scale Bundle-Size Pricing: A Theoretical Analysis

Can you sell multiple items by providing only prices for different sizes of bundles rather than the different possible combinations of them? In "Large-Scale Bundle-Size Pricing: A Theoretical Ana- lysis," Abdallah, Asadpour, and Reed provide a framework for understanding "bundle-size pricing" (BSP) where only a menu of bundle sizes and their corresponding prices are offered. Although BSP is commonly used across several industries, little is known about the optimal BSP policy in terms of sizes and prices, along with the theoretical properties of its profit. The authors provide a simple and tractable theoretical framework to analyze the large-scale BSP problem where a multiproduct firm is selling a large number of products. They characterize the circumstances under which such policies perform well by studying the effect of various factors such as marginal cost or customers' budget on the performance of BSP and identify possible causes of its inefficiency.

9.大规模捆绑包定价：理论分析

作者：Tarek Abdallah, Arash Asadpour, Josh Reed

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2020.2097

你是否能够通过只提供不同大小捆绑包的价格而不是不同组合来销售多个产品？在本文中，作者提出了一个理解“捆绑包定价”(BSP)的框架，其中只提供捆绑包的大小及其相应价格的菜单。虽然BSP在几个行业中被普遍使用，但关于BSP政策在规模和价格方面的最优性以及其利润的理论属性所知甚少。作者提供了一个简单而易于处理的理论框架，用于分析多产品企业销售大量产品时的大规模BSP问题。他们通过研究诸如边际成本或客户预算等各种因素对BSP绩效的影响，找出导致BSP效率低下的可能原因，从而描绘出这些政策在何种情况下能够表现良好。

Improving the Chilean College Admissions System

In "Improving the Chilean College Admissions System," Rios, Larroucau, Parra, and Cominetti describe the design and implementation of a new system to solve the Chilean college admissions problem. The authors develop an algorithm that (i) obtains all applicant/program pairs that can be part of a stable allocation when preferences are not strict and when all students tied in the last seat of a program (if any) must be allocated and (ii) efficiently incorporates affirmative action, which is part of the system to correct the inefficiencies that arise from having double-assigned students. By unifying the regular admission with affirmative action, the solution proposed and implemented by the authors has improved the allocation of approximately 2.5% of students assigned every year since 2016, helping to improve the overall efficiency of the system.

10.改善智利大学招生制度

作者：Ignacio Rios, Tomás Larroucau, Giorgiogiulio Parra, Roberto Cominetti

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2021.2116

在本文中，作者描述了解决智利大学招生问题的新系统的设计和实现。作者开发了一种算法，该算法(i)当偏好不严格以及所有并列在项目最后一位的学生(如果有的话)必须被分配时，获得所有可作为稳定分配的一部分的申请人/项目对 ；(ii)有效地融合了平权行动， 这是系统的一部分，用于纠正由于双重分配学生而产生的低效率。通过将普通录取与平权行动统一起来，自2016年以来，作者提出并实施的解决方案使得每年约有2.5%的学生的分配得到了改善，有助于提高系统的整体效率。

Mallows-Smoothed Distribution over Rankings Approach for Modeling Choice

Assortment optimization is an important problem arising in many applications. Key to this problem is a demand model able to specify the expected demand in response to a given offer set. In "Mallows-Smoothed Distribution over Rankings Approach for Modeling Choice," D´esir, Goyal, Jagabathula, and Segev study the smoothing of the existing sparse rank-based choice model using Mallows kernels. Through a detailed case study, the authors show that smoothing can significantly improve the parsimony of sparse rank-based models. Furthermore, despite the exponential support size of the Mallows distribution, an efficient procedure to compute any choice probabilities is developed. This procedure is leveraged to formulate the assortment-optimization problem as a compact mixed integer program, leading to an efficient approach for solving problem instances of practical nature and scale. Finally, to complement this MIP formulation, several near-optimal algorithms are designed by unraveling various structural properties of the Mallows distribution.

11.Mallows平滑分布用于基于排名的建模选择

作者：Antoine Désir, Vineet Goyal, Srikanth Jagabathula, Danny Segev

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2020.2085

分类优化是许多应用中出现的一个重要问题。这个问题的关键是一个需求模型，它能够根据给定的报价确定期望需求。在本文中，作者研究了使用Mallows kernels对现有稀疏基于排名的选择模型进行平滑。通过一个详细的实例研究，作者表明平滑可以显著提高稀疏基于排名的模型的简约性。此外，尽管Mallows分布支持指数规模，作者开发了一个高效的程序来计算任意选择概率。该程序被用于将分类优化问题表述为一个紧凑的混合整数规划，从而为解决具有实际性质和规模的问题提供了一种有效的方法。最后，为了补足这个MIP建模，作者通过揭示Mallows分布的各种结构特性设计了几个接近最优的算法。

Technical Note—Dynamic Data-Driven Estimation of Nonparametric Choice Models

Choice models are prevalent in several application areas, and their nonparametric estimation was introduced to alleviate unreasonable assumptions in traditional parametric models. Existing literature focuses only on the static observational setting where all of the observations are given up front and lacks algorithms that provide explicit convergence rate guarantees or an a priori analysis for the model accuracy versus sparsity trade- off on the actual estimated model returned. In contrast, in “Technical Note—Dynamic Data-Driven Estimation of Non- parametric Choice Models," Ho-Nguyen and Kılınc¸-Karzan focus on estimating a nonparametric choice model from observational data in a dynamic setting, where observations are obtained over time. They show that this estimation problem can be cast as a convex-concave saddle point joint estimation and optimization problem and provide an online convex optimization-based primal-dual framework for deriving algorithms for it. By tailoring this framework carefully to the choice model estimation problem, the authors provide low-cost algorithms that come with provable convergence guarantees, explicit theoretical bounds on the sparsity of the estimated model, and a superior empirical performance.

12.非参数选择模型的动态数据驱动估计

作者：Nam Ho-Nguyen, Fatma Kılınç-Karzan

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2020.2077

选择模型在多个应用领域都很普遍，为了缓解传统参数模型的不合理假设，非参数估计被引入。现有文献只关注于所有观测都是预先给出的静态观测环境，并且缺乏算法提供明确的收敛速度保证，或对返回的实际估计模型的准确性和稀疏性平衡进行先验分析。在本文中，作者侧重于根据动态环境中的观测数据（观测数据随时间推移而获得）估计非参数选择模型。作者证明了该估计问题可以转化为凸凹鞍点联合估计和优化问题，并提供了一种基于在线凸优化的原始-对偶框架来推导该估计问题的算法。通过将这个框架仔细地套用到选择模型估计问题上，作者提出了低成本的算法，这些算法具有可证明的收敛性保证、关于估计模型的稀疏性的显式理论边界，以及优越的实验表现。

Transmission Capacity Allocation in Zonal Electricity Markets

Interconnected electricity systems can integrate their forward markets at multiple levels. Zonal integration represents an intermediate level, where each zonal system operator retains control over its zone, and trades with neighboring zones are limited only in total volume. This type of integration is currently being championed in Europe, but it has emerged in several regions of the globe. A crucial challenge in studying zonal integration is the convoluted, distinct, and discretionary nature of the existing calculation methodologies for limits on interzonal trades. In "Transmission Capacity Allocation in Zonal Electricity Markers," Aravena, L´et´e, Papavasiliou, and Smeers focus on the European case and study the regulatory requirements to be met by calculation methodologies, finding that these requirements imply a unique mathematical definition of the limits on interzonal trades. The authors use this definition to simulate and analyze the performance of zonal integration, considering the equivalent of 100 years of operating conditions.

13.区域电力市场的输电容量分配

作者：Ignacio Aravena, Quentin Lété, Anthony Papavasiliou, Yves Smeers

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2020.2082

互联电力系统可以在多个层面整合它们的远期市场。区域集成代表了一个中间水平，每个区域系统运营商保留对其区域的控制，与相邻区域的交易仅在总量上受到限制。这种类型的集成目前正在欧洲得到支持，但它已经在全球几个地区出现。研究区域集成的一个关键挑战是，现有区域间贸易限制计算方法的复杂、独特和自由裁量的性质。本文中，作者聚焦于欧洲案例，并研究了计算方法需要满足的监管要求，发现这些要求隐含了区域间交易限制的独特数学定义。作者使用这个定义来模拟和分析区域集成的表现（考虑了相当于100年的运行条件）。

A Fluid Model for One-Sided Bipartite Matching Queues with Match-Dependent Rewards

When allocating scarce resources such as organs or public housing units, the policy maker needs to carefully balance two conflicting objectives: maximizing the reward from matching and minimizing inequity across different types of candidates. The authors consider an implementable class of policies that ranks the candidates by the sum of their waiting score and matching score. Similar policies had been proposed for allocating deceased-donor kidneys to patients on the transplant wait- list. In "A Fluid Model for One-Sided Bipartite Matching Queues with Match-Dependent Rewards," Ding, McCormick, and Nagarajan provide a modeling framework to characterize the waitlist system under this type of ranking policy. This framework allows the policy maker to predict and compare the allocation outcome under different ranking policies. When the efficiency and fairness measurements take certain forms, the authors derive a closed-form scoring formula that optimizes the outcome of the system in the long run.

14.具有匹配相关回报的单向二分匹配队列的流体模型

作者：Yichuan Ding, S. Thomas McCormick, Mahesh Nagarajan

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2020.2015

在分配器官或公共住房等稀缺资源时，政策制定者需要小心地平衡两个相互冲突的目标：通过匹配获得最大的回报，并减少不同类型候选人之间的不平等。作者考虑了一种可实现的政策，该政策根据候选者的等待分数和匹配分数的总和对他们进行排名。类似的政策也曾被提议用于给在移植等待名单上的病人分配肾脏。本文中，作者提出了一个建模框架以描述这种排序政策下的等待列表系统。该框架允许决策者预测和比较不同排序策略下的分配结果。当采取某种形式度量效率和公平性时，作者推导出一个闭型评分公式，从长远来看，该公式优化了系统的结果。

Optimal Control of Partially Observable Semi-Markovian Failing Systems: An Analysis Using a Phase Methodology

In "Optimal Control of Partially Observable Semi-Markovian Failing Systems: An Analysis Using a Phase Methodology," Khaleghei and Kim study a maintenance control problem a as partially observable semi-Markov decision process (POSMDP), a problem class that is typically computationally intractable and not amenable to structural analysis. The authors develop a new approach based on a phase methodology where the idea is to view the intractable POSMDP as the limiting problem of a sequence of tractable POMDPs. They show that the optimal control policy can be represented as a control limit policy which monitors the estimated conditional reliability at each decision epoch, and, by exploiting this structure, an efficient computational approach to solve for the optimal control limit and corresponding optimal value is developed.

15.部分可观测半马尔可夫失效系统的最优控制：使用阶段法分析

作者：Akram Khaleghei , Michael Jong Kim

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2020.2086

在本文中，作者将维护控制问题作为部分可观测半马尔可夫决策过程(POSMDP)进行研究，这是一类典型的难以计算的问题，不适合进行结构分析。作者提出了一种基于阶段方法论的新方法，其思想是将棘手的POSMDP视为一系列可处理的POMDP的极限问题。结果表明，最优控制策略可表示为一种控制极限策略，该策略在每个决策阶段监测估计的条件可靠性，并且，利用该结构，作者提出了一种求解最优控制极限及其最优值的高效计算方法。

Asset Selling Under Debt Obligations

Financing asset acquisition by debt and selling the asset to repay the debt is a common practice in many industries. In “Asset Selling Under Debt Obligations," Ahn, Wang, and Wu study the problem of selling a pisible asset under debt obligations with and without selling capacity constraint. The authors show that, in the presence of debt, the optimal asset-selling policy must take into account two opposing forces: an incentive to sell part of the asset early to secure debt payment and an incentive to delay selling the asset to capture revenue potential under limited liability. The seller delays or expedites selling the asset, depending on the relative strengths of these two forces, which are attenuated by the selling capacity constraint. The paper also establishes the condition under which selling a pisible asset with capacity constraint is equivalent to selling multiple nonpisible units, and it applies the model to the case of selling natural gas.

16.在债务下出售资产

作者：Hyun-Soo Ahn, Derek D. Wang, Owen Q. Wu

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2019.1961

在债务下收购资产、以出售资产偿还债务是许多行业的普遍做法。本文中，作者研究了在债务下出售可分割资产的问题，区分了有和没有出售能力约束两种情况。作者表明，在债务存在的情况下，最优资产出售政策必须考虑两种相反的力量：一种是鼓励提前出售部分资产以确保债务偿还，另一种是鼓励在有限债务下延迟出售资产以获取潜在收入。卖方延迟或加速出售资产，取决于这两种力量的相对大小，而这两种力量被出售能力约束所削弱。本文还建立了具有能力约束的可分割资产的出售等价于出售多个不可分割单元的条件，并将该模型应用于天然气销售案例。

Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets

In modern equity markets, participants have a choice of many exchanges at which to trade, each of which typically operates as an electronic limit order book. In "Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets," Maglaras, Moallemi, and Zheng analyze this setting as a multi- class queueing system. Taking into account the effect of investors' order-routing decisions across exchanges, they find that the equilibrium of this decentralized market exhibits a state space collapse property, whereby the queues at different exchanges are coupled, and the overall behavior of the market is captured through a one-dimensional process that can be viewed as a weighted aggregate queue length across all exchanges. The key driver of this coupling phenomenon is anticipated delay as opposed to the queue lengths themselves.

17.碎片化限价指令簿市场中的排队动力学与状态空间崩溃

作者：Costis Maglaras, Ciamac C. Moallemi, Hua Zheng

原文：https://pubsonline.informs.org/doi/abs/10.1287/opre.2020.1989

在现代股票市场，参与者可以在多个交易所中选择一个进行交易，每个交易所通常都作为一个电子限价指令簿进行运营。在本文中，作者将这一场景作为一个多类排队系统进行分析。考虑到投资者在交易所之间的订单路由决策的影响，他们发现这个分散市场的均衡表现出一种状态空间“崩溃”属性，即不同交易所的排队是耦合的，市场的整体行为是通过一个一维过程来捕捉的，这个一维过程可以被看作是所有交易所的加权累计排队长度。这种耦合现象的关键驱动因素是与队列长度本身相反的预期延迟。