Login | Register

Robust inverse optimization


Robust inverse optimization

Ghobadi, Kimia, Lee, Taewoo, Mahmoudzadeh, Houra and Terekhov, Daria (2018) Robust inverse optimization. Operations Research Letters . ISSN 01676377 (In Press)

Text (application/pdf)
Ghobadi-2018.pdf - Accepted Version
Available under License Spectrum Terms of Access.

Official URL: http://dx.doi.org/10.1016/j.orl.2018.03.007


Given an observation of a decision-maker’s uncertain behavior, we develop a robust inverse optimization model for imputing an objective function that is robust against mis-specifications of the behavior. We characterize the inversely optimized cost vectors for uncertainty sets that may or may not intersect the feasible region, and propose tractable solution methods for special cases. We demonstrate the proposed model in the context of diet recommendation.

Divisions:Concordia University > Gina Cody School of Engineering and Computer Science > Mechanical, Industrial and Aerospace Engineering
Item Type:Article
Authors:Ghobadi, Kimia and Lee, Taewoo and Mahmoudzadeh, Houra and Terekhov, Daria
Journal or Publication:Operations Research Letters
Date:28 March 2018
Digital Object Identifier (DOI):10.1016/j.orl.2018.03.007
Keywords:Inverse optimization; Robust optimization; Dietary recommendation
ID Code:983642
Deposited On:29 Mar 2018 17:31
Last Modified:29 Mar 2020 00:00


R.K. Ahuja, J.B. Orlin Inverse optimization Oper. Res., 49 (5)(2001), pp. 771–783

A. Aswani, Z.-J.M. Shen, A. Siddiq Inverse optimization with noisy data Oper. Res. (2018) forthcoming

T. Ayer Inverse optimization for assessing emerging technologies in breast cancer screening Ann. Oper. Res., 230 (2015), pp. 57–85

A. Ben-Tal, L. Ghaoui, A. Nemirovski Robust optimization Princeton University Press (2009)

D. Bertsimas, D.B. Brown, C. Caramanis Theory and applications of robust optimization SIAM Rev., 53 (3) (2011), pp. 464–501

D. Bertsimas, V. Gupta, I.Ch. Paschalidis Inverse optimization: A new perspective on the Black-Litterman model Oper. Res., 60 (6) (2012), pp. 1389–1403

D. Bertsimas, V. Gupta, I.Ch. Paschalidis Data-driven estimation in equilibrium using inverse optimization Math. Program., 153 (2) (2015), pp. 595–633

J. Birge, A. Hortaçsu, M. Pavlin Inverse optimization for the recovery of market structure from market outcomes: An application to the MISO electricity market Oper. Res., 65 (4) (2017), pp. 837–855

T.C.Y. Chan, T. Lee, D. Terekhov Inverse optimization: Closed-form solutions, geometry and goodness of fit Manage. Sci. (2018) forthcoming

A. Chassein, M. Goerigk Variable-sized uncertainty and inverse problems in robust optimization European J. Oper. Res., 264 (1) (2018), pp. 17–28

J.Y.J. Chow, W.W. Recker Inverse optimization with endogenous arrival time constraints to calibrate the household activity pattern problem Transp. Res. B, 46 (3) (2012), pp. 463–479

Z. Erkin, M.D. Bailey, L.M. Maillart, A.J. Schaefer, M.S. Roberts Eliciting patients’ revealed preferences: An inverse Markov decision process approach Decis. Anal., 7 (4) (2010), pp. 358–365

P.M. Esfahani, S. Shafieezadeh-Abadeh, G.Adiwena Hanasusanto, D. Kuhn Data-driven inverse optimization with incomplete information Math. Program., 167 (1) (2018), pp. 191–234

A. Ghate Inverse optimization in countably infinite linear programs Oper. Res. Lett., 43 (3) (2015), pp. 231–235

C. Heuberger Inverse combinatorial optimization: A survey on problems, methods, and results J. Comb. Optim., 8 (3) (2004), pp. 329–361

G. Iyengar, W. Kang Inverse conic programming with applications Oper. Res. Lett., 33 (3) (2005), pp. 319–330

A. Keshavarz, Y. Wang, S. Boyd Imputing a convex objective function, 2011 IEEE International Symposium on Intelligent Control, (ISIC), IEEE (2011), pp. 613–619

J.B. Lamperski, A.J. Schaefer A polyhedral characterization of the inverse-feasible region of a mixed-integer program Oper. Res. Lett., 43 (6) (2015), pp. 575–578

A.J. Schaefer Inverse integer programming Optim. Lett., 3 (4)(2009), pp. 483–489

M.D. Troutt, A.A. Brandyberry, C. Sohn, S.K. Tadisina Linear programming system identification: The general nonnegative parameters case European J. Oper. Res., 185 (1) (2008), pp. 63–75

M.D. Troutt, W.-K. Pang, S.-H. Hou Behavioral estimation of mathematical programming objective function coefficients Manage. Sci., 52 (3) (2006), pp. 422–434

L. Wang Cutting plane algorithms for the inverse mixed integer linear programming problem Oper. Res. Lett., 37 (2) (2009), pp. 114–116
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Downloads per month over past year

Research related to the current document (at the CORE website)
- Research related to the current document (at the CORE website)
Back to top Back to top