Journal
OPERATIONS RESEARCH
Volume 66, Issue 3, Pages 870-892Publisher
INFORMS
DOI: 10.1287/opre.2017.1705
Keywords
inverse optimization; estimation; statistical learning; semiparametric algorithm
Funding
- National Science Foundation [CMMI-1450963, CMMI-1265671]
- Natural Sciences and Engineering Research Council of Canada
- National Science Foundation of China [71210002, 71332005]
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Inverse optimization refers to the inference of unknown parameters of an optimization problem based on knowledge of its optimal solutions. This paper considers inverse optimization in the setting where measurements of the optimal solutions of a convex optimization problem are corrupted by noise. We first provide a formulation for inverse optimization and prove it to be NP-hard. In contrast to existing methods, we show that the parameter estimates produced by our formulation are statistically consistent. Our approach involves combining a new duality-based reformulation for bilevel programs with a regularization scheme that smooths discontinuities in the formulation. Using epi-convergence theory, we show the regularization parameter can be adjusted to approximate the original mverse optimization problem to arbitrary accuracy, which we use to prove our consistency results. Next, we propose two solution algorithms based on our duality-based formulation. The first is an enumeration algorithm that is applicable to settings where the dimensionality of the parameter space is modest, and the second is a semiparametric approach that combines nonparametric statistics with a modified version of our formulation. These numerical algorithms are shown to maintain the statistical consistency of the underlying formulation. Finally, using both synthetic and real data, we demonstrate that our approach performs competitively when compared with existing heuristics.
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