Inverse Mixed Integer Optimization: Polyhedral Insights and Trust Region Methods
Merve Bodur, Timothy C. Y. Chan, Ian Yihang Zhu
INFORMS Journal on Computing · 2022 · Volume 34 · Issue 3
Abstract
Inverse optimization—determining parameters of an optimization problem that render a given solution optimal—has received increasing attention in recent years. Although significant inverse optimization literature exists for convex optimization problems, there have been few advances for discrete problems, despite the ubiquity of applications that fundamentally rely on discrete decision making. In this paper, we present a new set of theoretical insights and algorithms for the general class of inverse mixed integer linear optimization problems. Specifically, a general characterization of optimality conditions is established and leveraged to design new cutting plane solution algorithms. Through an extensive set of computational experiments, we show that our methods provide substantial improvements over existing methods in solving the largest and most difficult instances to date.
Keywords
inverse optimization, mixed integer programming, cutting planes algorithms, decomposition methods • bilevel optimization
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