Learning for Robust Optimization

arXiv2305.19225MaRDI QIDQ6438532FDOQ6438532

Authors: Irina Wang, Cole Becker, Bart P. G. Van Parys, Bartolomeo Stellato 

Publication date: 30 May 2023

Abstract: We propose a data-driven technique to automatically learn the uncertainty sets in robust optimization. Our method reshapes the uncertainty sets by minimizing the expected performance across a family of problems while guaranteeing constraint satisfaction. We learn the uncertainty sets using a novel stochastic augmented Lagrangian method that relies on differentiating the solutions of the robust optimization problems with respect to the parameters of the uncertainty set. We show sublinear convergence to stationary points under mild assumptions, and finite-sample probabilistic guarantees of constraint satisfaction using empirical process theory. Our approach is very flexible and can learn a wide variety of uncertainty sets while preserving tractability. Numerical experiments show that our method outperforms traditional approaches in robust and distributionally robust optimization in terms of out of sample performance and constraint satisfaction guarantees. We implemented our method in the open-source package LROPT.

Has companion code repository: https://github.com/stellatogrp/lropt

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