-

 

 

 




Optimization Online





 

Data-Driven Inverse Optimization with Imperfect Information

Peyman Mohajerin Esfahani (peyman.mohajerin***at***epfl.ch)
Soroosh Shafieezadeh-Abadeh (soroosh.shafiee***at***epfl.ch)
Grani A. Hanasusanto (grani.hanasusanto***at***epfl.ch)
Daniel Kuhn (daniel.kuhn***at***epfl.ch)

Abstract: In data-driven inverse optimization an observer aims to learn the preferences of an agent who solves a parametric optimization problem depending on an exogenous signal. Thus, the observer seeks the agent's objective function that best explains a historical sequence of signals and corresponding optimal actions. We focus here on situations where the observer has imperfect information, that is, where the agent's true objective function is not contained in the search space of candidate objectives, where the agent suffers from bounded rationality or implementation errors, or where the observed signal-response pairs are corrupted by measurement noise. We formalize this inverse optimization problem as a distributionally robust program minimizing the worst-case risk that the {\em predicted} decision ({\em i.e.}, the decision implied by a particular candidate objective) differs from the agent's {\em actual} response to a random signal. We show that our framework offers rigorous out-of-sample guarantees for different loss functions used to measure prediction errors and that the emerging inverse optimization problems can be exactly reformulated as (or safely approximated by) tractable convex programs when a new suboptimality loss function is used. We show through extensive numerical tests that the proposed distributionally robust approach to inverse optimization attains often better out-of-sample performance than the state-of-the-art approaches.

Keywords: inverse optimization, data-driven optimization, distributionally robust optimization

Category 1: Robust Optimization

Category 2: Stochastic Programming

Category 3: Linear, Cone and Semidefinite Programming

Citation:

Download: [PDF]

Entry Submitted: 12/11/2015
Entry Accepted: 12/11/2015
Entry Last Modified: 07/21/2017

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society