15th EUROPT Workshop on Advances in Continuous Optimization

Montréal, Canada, July 12 — 14, 2017

15th EUROPT Workshop on Advances in Continuous Optimization

Montréal, Canada, July 12 — 14, 2017

Schedule Authors My Schedule
Cal add eabad1550a3cf3ed9646c36511a21a854fcb401e3247c61aefa77286b00fe402

Plenary II

Jul 13, 2017 08:30 AM – 09:30 AM

Location: Amphithéâtre Banque Nationale

Chaired by Fabian Bastin

1 Presentation

  • Cal add eabad1550a3cf3ed9646c36511a21a854fcb401e3247c61aefa77286b00fe402
    08:30 AM - 09:30 AM

    Inverse optimization: closed-form solutions, geometry, and goodness of fit

    • Timothy Chan, presenter, Department of Mechanical & Industrial Engineering, Faculty of Applied Science & Engineering, University of Toronto, Toronto, ON, Canada

    In classical inverse linear optimization, one assumes a given solution is a candidate to be optimal. Real data is imperfect and noisy, so there is no guarantee this assumption is satisfied. Inspired by regression, this talk presents a unified framework for cost function estimation in linear optimization comprising a general inverse optimization model and a corresponding goodness-of-fit metric. Although our inverse optimization model is nonconvex, we derive a closed-form solution and present the geometric intuition. Our goodness-of-fit metric, rho, the coefficient of complementarity, has similar properties to R^2 from regression and is quasiconvex in the input data, leading to an intuitive geometric interpretation. While rho is computable in polynomial-time, we derive a lower bound that possesses the same properties, is tight for several important model variations, and is even easier to compute. We demonstrate the application of our framework for model estimation and evaluation in production planning and cancer therapy.

Back