15th EUROPT Workshop on Advances in Continuous Optimization
Montréal, Canada, 12 — 14 juillet 2017
15th EUROPT Workshop on Advances in Continuous Optimization
Montréal, Canada, 12 — 14 juillet 2017
Plenary II
13 juil. 2017 08h30 – 09h30
Salle: Amphithéâtre Banque Nationale
Présidée par Fabian Bastin
1 présentation

08h30  09h30
Inverse optimization: closedform solutions, geometry, and goodness of fit
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 goodnessoffit metric. Although our inverse optimization model is nonconvex, we derive a closedform solution and present the geometric intuition. Our goodnessoffit 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 polynomialtime, 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.