On data-driven chance constraint learning for mixed-integer optimization problems

DOI10.1016/J.APM.2023.04.032zbMATH Open1525.90286arXiv2207.03844OpenAlexW4367187014MaRDI QIDQ6072771FDOQ6072771

Authors:

Publication date: 13 October 2023

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Abstract: When dealing with real-world optimization problems, decision-makers usually face high levels of uncertainty associated with partial information, unknown parameters, or complex relationships between these and the problem decision variables. In this work, we develop a novel Chance Constraint Learning (CCL) methodology with a focus on mixed-integer linear optimization problems which combines ideas from the chance constraint and constraint learning literature. Chance constraints set a probabilistic confidence level for a single or a set of constraints to be fulfilled, whereas the constraint learning methodology aims to model the functional relationship between the problem variables through predictive models. One of the main issues when establishing a learned constraint arises when we need to set further bounds for its response variable: the fulfillment of these is directly related to the accuracy of the predictive model and its probabilistic behaviour. In this sense, CCL makes use of linearizable machine learning models to estimate conditional quantiles of the learned variables, providing a data-driven solution for chance constraints. An open-access software has been developed to be used by practitioners. Furthermore, benefits from CCL have been tested in two real-world case studies, proving how robustness is added to optimal solutions when probabilistic bounds are set for learned constraints.

Full work available at URL: https://arxiv.org/abs/2207.03844

zbMATH Keywords

machine learningquantile estimationchance constraintconstraint learningdata-driven optimization

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Stochastic programming (90C15)

Cites Work

• Scikit-learn: machine learning in Python
• Title not available (Why is that?)
• Quantile regression forests
• Stochastic gradient boosting.
• Robust optimization
• Introduction to stochastic programming.
• Conditional value-at-risk and average value-at-risk: estimation and asymptotics
• Risk tuning with generalized linear regression
• Data-driven robust optimization
• Empirical decision model learning
• Title not available (Why is that?)
• Advances in stochastic programming and robust optimization for supply chain planning
• Pyomo -- optimization modeling in Python
• Solving chance-constrained problems via a smooth sample-based nonlinear approximation
• Learning Multiple Quantiles With Neural Networks
• Chance constrained unit commitment approximation under stochastic wind energy

This page was built for publication: On data-driven chance constraint learning for mixed-integer optimization problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6072771)