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Robust inverse optimization

Title:

Robust inverse optimization

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

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

Abstract

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
Refereed:Yes
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 By: MICHAEL BIRON
Deposited On:29 Mar 2018 17:31
Last Modified:29 Mar 2018 17:31

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