We study two-stage stochastic optimization problems with random recourse, where the coefficients of the adaptive decisions involve uncertain parameters. To deal with the infinite-dimensional recourse decisions, we propose a scalable approximation scheme via piecewise linear and piecewise quadratic decision rules. We develop a data-driven distributionally robust framework with two layers of robustness to address distributional uncertainty. We also establish out-of-sample performance guarantees for the proposed scheme. Applying known ideas, the resulting optimization problem can be reformulated as an exact copositive program that admits semidefinite programming approximations. We design an iterative decomposition algorithm, which converges under some regularity conditions, to reduce the runtime needed to solve this program. Through numerical examples for various known operations management applications, we demonstrate that our method produces significantly better solutions than the traditional sample-average approximation scheme especially when the data are limited. For the problem instances for which only the recourse cost coefficients are random, our method exhibits slightly inferior out-of-sample performance but shorter runtimes compared with a competing approach.
more »
« less
Decomposition and Adaptive Sampling for Data-Driven Inverse Linear Optimization
This work addresses inverse linear optimization, where the goal is to infer the unknown cost vector of a linear program. Specifically, we consider the data-driven setting in which the available data are noisy observations of optimal solutions that correspond to different instances of the linear program. We introduce a new formulation of the problem that, compared with other existing methods, allows the recovery of a less restrictive and generally more appropriate admissible set of cost estimates. It can be shown that this inverse optimization problem yields a finite number of solutions, and we develop an exact two-phase algorithm to determine all such solutions. Moreover, we propose an efficient decomposition algorithm to solve large instances of the problem. The algorithm extends naturally to an online learning environment where it can be used to provide quick updates of the cost estimate as new data become available over time. For the online setting, we further develop an effective adaptive sampling strategy that guides the selection of the next samples. The efficacy of the proposed methods is demonstrated in computational experiments involving two applications: customer preference learning and cost estimation for production planning. The results show significant reductions in computation and sampling efforts. Summary of Contribution: Using optimization to facilitate decision making is at the core of operations research. This work addresses the inverse problem (i.e., inverse optimization), which aims to infer unknown optimization models from decision data. It is, conceptually and computationally, a challenging problem. Here, we propose a new formulation of the data-driven inverse linear optimization problem and develop an efficient decomposition algorithm that can solve problem instances up to a scale that has not been addressed previously. The computational performance is further improved by an online adaptive sampling strategy that substantially reduces the number of required data points.
more »
« less
- Award ID(s):
- 2044077
- NSF-PAR ID:
- 10413975
- Date Published:
- Journal Name:
- INFORMS Journal on Computing
- Volume:
- 34
- Issue:
- 5
- ISSN:
- 1091-9856
- Page Range / eLocation ID:
- 2720 to 2735
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
More Like this
-
-
We develop a global variable substitution method that reduces n-variable monomials in combinatorial optimization problems to equivalent instances with monomials in fewer variables. We apply this technique to 3-SAT and analyze the optimal quantum unitary circuit depth needed to solve the reduced problem using the quantum approximate optimization algorithm. For benchmark 3-SAT problems, we find that the upper bound of the unitary circuit depth is smaller when the problem is formulated as a product and uses the substitution method to decompose gates than when the problem is written in the linear formulation, which requires no decomposition.more » « less
-
The offline pickup and delivery problem with time windows (PDPTW) is a classical combinatorial optimization problem in the transportation community, which has proven to be very challenging computationally. Due to the complexity of the problem, practical problem instances can be solved only via heuristics, which trade-off solution quality for computational tractability. Among the various heuristics, a common strategy is problem decomposition, that is, the reduction of a large-scale problem into a collection of smaller sub-problems, with spatial and temporal decompositions being two natural approaches. While spatial decomposition has been successful in certain settings, effective temporal decomposition has been challenging due to the difficulty of stitching together the sub-problem solutions across the decomposition boundaries. In this work, we introduce a novel temporal decomposition scheme for solving a class of PDPTWs that have narrow time windows, for which it is able to provide both fast and high-quality solutions. We utilize techniques that have been popularized recently in the context of online dial-a-ride problems along with the general idea of rolling horizon optimization. To the best of our knowledge, this is the first attempt to solve offline PDPTWs using such an approach. To show the performance and scalability of our framework, we use the optimization of paratransit services as a motivating example. Due to the lack of benchmark solvers similar to ours (i.e., temporal decomposition with an online solver), we compare our results with an offline heuristic algorithm using Google OR-Tools. In smaller problem instances (with an average of 129 requests per instance), the baseline approach is as competitive as our framework. However, in larger problem instances (approximately 2,500 requests per instance), our framework is more scalable and can provide good solutions to problem instances of varying degrees of difficulty, while the baseline algorithm often fails to find a feasible solution within comparable compute times.more » « less
-
This paper proposes a new formulation for the school bus scheduling problem (SBSP), which optimizes school start times and bus operation times to minimize transportation cost. The goal is to minimize the number of buses to serve all bus routes such that each route arrives in a time window before school starts. We show that introducing context-specific features, common in many school districts, can lead to a new time-indexed integer linear programming (ILP) formulation. Based on a strengthened version of the linear relaxation of the ILP, we develop a dependent randomized rounding algorithm that yields near-optimal solutions for large-scale problem instances. The efficient formulation and solution approach enable quick generation of multiple solutions to facilitate strategic planning, which we demonstrate with data from two public school districts in the United States. We also generalize our methodologies to solve a robust version of the SBSP.more » « less
-
Latent diffusion models have been demonstrated to generate high-quality images, while offering efficiency in model training compared to diffusion models operating in the pixel space. However, incorporating latent diffusion models to solve inverse problems remains a challenging problem due to the nonlinearity of the encoder and decoder. To address these issues, we propose ReSample, an algorithm that can solve general inverse problems with pre-trained latent diffusion models. Our algorithm incorporates data consistency by solving an optimization problem during the reverse sampling process, a concept that we term as hard data consistency. Upon solving this optimization problem, we propose a novel resampling scheme to map the measurement-consistent sample back onto the noisy data manifold and theoretically demonstrate its benefits. Lastly, we apply our algorithm to solve a wide range of linear and nonlinear inverse problems in both natural and medical images, demonstrating that our approach outperforms existing state-of-the-art approaches, including those based on pixel-space diffusion models.more » « less
- Free Publicly Accessible Full Text
-
Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1287/ijoc.2022.1162
