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arXiv · 2405.14273

Exact Solution to Data-Driven Inverse Optimization of MILPs in Finite Time via Gradient-Based Methods

Akira Kitaoka
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Abstract

A data-driven inverse optimization problem (DDIOP) is the problem of estimating the objective-function parameters (weights) that explain observed optimal-solution data, and it arises in many applications, including mixed integer linear programming (MILP). In inverse optimization for MILPs, the prediction error of the features is discontinuous with respect to the weights, so applying gradient-based optimization directly is difficult. In this paper we focus on the suboptimality loss. This loss attains its minimum value, zero, if and only if the weights are exactly consistent with the observed data. Using the fact that this loss is convex and piecewise linear and that its set of minimizers has a relative interior point, we show that a broad class of gradient-based optimization methods, including projected subgradient descent, reaches exact consistency with the observed data in finitely many iterations (an exact solution is obtained in finite time). This guarantee holds for plain projected subgradient descent with standard diminishing step sizes, requiring neither prior knowledge of the optimal value nor smoothness of the objective. Through numerical experiments, we confirm this finite-step attainment behavior.

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Akira Kitaoka. 2024-05-23. Exact Solution to Data-Driven Inverse Optimization of MILPs in Finite Time via Gradient-Based Methods. https://arxiv.org/abs/2405.14273

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