Inverse optimization for the recovery of constraint parameters

Timothy C.Y. Chan and Neal Kaw

European Journal of Operational Research, 2020, vol. 282, issue 2, 415-427

Abstract: Most inverse optimization models impute unspecified parameters of an objective function to make an observed solution optimal for a given optimization problem with a fixed feasible set. We propose two approaches to impute unspecified left-hand-side constraint coefficients in addition to a cost vector for a given linear optimization problem. The first approach identifies parameters minimizing the duality gap, while the second minimally perturbs prior estimates of the unspecified parameters to satisfy strong duality, if it is possible to satisfy the optimality conditions exactly. We apply these two approaches to the general linear optimization problem. We also use them to impute unspecified parameters of the uncertainty set for robust linear optimization problems under interval and cardinality constrained uncertainty. Each inverse optimization model we propose is nonconvex, but we show that a globally optimal solution can be obtained either in closed form or by solving a linear number of linear or convex optimization problems.

Keywords: Linear programming; Inverse optimization; Robust optimization; Parameter estimation (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:282:y:2020:i:2:p:415-427

DOI: 10.1016/j.ejor.2019.09.027

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