Inverse optimization with noisy data
From MaRDI portal
Abstract: Inverse optimization refers to the inference of unknown parameters of an optimization problem based on knowledge of its optimal solutions. This paper considers inverse optimization in the setting where measurements of the optimal solutions of a convex optimization problem are corrupted by noise. We first provide a formulation for inverse optimization and prove it to be NP-hard. In contrast to existing methods, we show that the parameter estimates produced by our formulation are statistically consistent. Our approach involves combining a new duality-based reformulation for bilevel programs with a regularization scheme that smooths discontinuities in the formulation. Using epi-convergence theory, we show the regularization parameter can be adjusted to approximate the original inverse optimization problem to arbitrary accuracy, which we use to prove our consistency results. Next, we propose two solution algorithms based on our duality-based formulation. The first is an enumeration algorithm that is applicable to settings where the dimensionality of the parameter space is modest, and the second is a semiparametric approach that combines nonparametric statistics with a modified version of our formulation. These numerical algorithms are shown to maintain the statistical consistency of the underlying formulation. Lastly, using both synthetic and real data, we demonstrate that our approach performs competitively when compared with existing heuristics.
Recommendations
- Inverse optimization for the recovery of constraint parameters
- Data-driven inverse optimization with imperfect information
- Inverse optimization in countably infinite linear programs
- Quantile inverse optimization: improving stability in inverse linear programming
- Inverse integer optimization with multiple observations
Cites work
- 10.1162/153244303321897690
- A Branch and Bound Algorithm for the Bilevel Programming Problem
- A Dynamic Principal-Agent Model with Hidden Information: Sequential Optimality Through Truthful State Revelation
- A new perspective on least squares under convex constraint
- A Representation and Economic Interpretation of a Two-Level Programming Problem
- An inverse-optimization-based auction mechanism to support a multiattribute RFQ process
- Asymptotic Properties of Non-Linear Least Squares Estimators
- Asymptotic Statistics
- Behavioral Estimation of Mathematical Programming Objective Function Coefficients
- Bilevel programming problems. Theory, algorithms and applications to energy networks
- Calculating some inverse linear programming problems
- Cutting plane algorithms for the inverse mixed integer linear programming problem
- Data-driven estimation in equilibrium using inverse optimization
- Efficient Algorithms for the Inverse Spanning-Tree Problem
- Estimating Dynamic Models of Imperfect Competition
- Generalized inverse multiobjective optimization with application to cancer therapy
- scientific article; zbMATH DE number 1502618 (Why is no real title available?)
- scientific article; zbMATH DE number 823370 (Why is no real title available?)
- scientific article; zbMATH DE number 6026126 (Why is no real title available?)
- scientific article; zbMATH DE number 3186512 (Why is no real title available?)
- Inverse combinatorial optimization: a survey on problems, methods, and results
- Inverse conic programming with applications
- Inverse integer programming
- Inverse Optimization
- Inverse optimization for linearly constrained convex separable programming problems
- Inverse optimization in high-speed networks
- Inverse optimization: a new perspective on the Black-Litterman model
- Links between linear bilevel and mixed 0-1 programming problems
- Low-rank approximation and completion of positive tensors
- Milestone Payments or Royalties? Contract Design for R&D Licensing
- Most tensor problems are NP-hard
- Note on the Consistency of the Maximum Likelihood Estimate
- On an instance of the inverse shortest paths problem
- Persistene in high-dimensional linear predictor-selection and the virtue of overparametrization
- Provably safe and robust learning-based model predictive control
- Second-order Sufficiency and Quadratic Growth for Nonisolated Minima
- Tensor-based hardness of the shortest vector problem to within almost polynomial factors
- The framing of decisions and the psychology of choice
- The inverse newsvendor problem: choosing an optimal demand portfolio for capacitated resources
- Variational Analysis
Cited in
(43)- Statistics with set-valued functions: applications to inverse approximate optimization
- Trade-off preservation in inverse multi-objective convex optimization
- Behavioral modeling in weight loss interventions
- Data-driven optimization model customization
- Inferring linear feasible regions using inverse optimization
- Inverse integer optimization with multiple observations
- Discrete-time inverse linear quadratic optimal control over finite time-horizon under noisy output measurements
- Using inverse optimization to learn cost functions in generalized Nash games
- Continuous-time inverse quadratic optimal control problem
- An inverse optimization approach for a capacitated vehicle routing problem
- Inverse optimization for the recovery of constraint parameters
- A survey of network interdiction models and algorithms
- Deep inverse optimization
- Imputing a variational inequality function or a convex objective function: a robust approach
- Robust inverse optimization
- Inverse integer optimization with an imperfect observation
- Inverse optimization with kernel regression: application to the power forecasting and bidding of a fleet of electric vehicles
- Optimality-based clustering: an inverse optimization approach
- Inverse linear-quadratic discrete-time finite-horizon optimal control for indistinguishable homogeneous agents: a convex optimization approach
- Data quality for the inverse lsing problem
- scientific article; zbMATH DE number 4080857 (Why is no real title available?)
- scientific article; zbMATH DE number 2030326 (Why is no real title available?)
- Decomposition and Adaptive Sampling for Data-Driven Inverse Linear Optimization
- Inverse Mixed Integer Optimization: Polyhedral Insights and Trust Region Methods
- Objective selection for cancer treatment: an inverse optimization approach
- Quantile inverse optimization: improving stability in inverse linear programming
- Data-driven incentive design in the medicare shared savings program
- Nonstationary bandits with habituation and recovery dynamics
- Handling expensive optimization with large noise
- On correcting inputs: inverse optimization for online structured prediction
- Inverse attribute‐based optimization with an application in assortment optimization
- Inverse optimization of integer programming games for parameter estimation arising from competitive retail location selection
- Inverse Bayesian optimization: learning human acquisition functions in an exploration vs exploitation search task
- Inverse optimal control for averaged cost per stage linear quadratic regulators
- Behavioral analytics for myopic agents
- Image-based inverse characterization of in-situ microscopic composite properties
- Data-driven inverse optimization with imperfect information
- Data-driven inverse optimal control for linear quadratic tracking with unknown target states
- Valuation of power purchase agreements for corporate renewable energy procurement
- Perspectives on optimizing transport systems with supply-dependent demand
- On contextual inverse multiobjective problems
- Data-driven estimation in equilibrium using inverse optimization
- Optimising noisy objective functions
This page was built for publication: Inverse optimization with noisy data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4971385)
