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研究生: 龔如心
Kung, Ju-Hsin
論文名稱: 以資料導向預測線性限制下最佳化模型之參數
Data-driven Coefficients Estimation for Linearly Constrained Optimization Programs
指導教授: 李雨青
Lee, Yu-Ching
口試委員: 王小璠
Wang, Hsiao-Fan
徐昕煒
Hsu, Hsin-Wei
學位類別: 碩士
Master
系所名稱: 工學院 - 工業工程與工程管理學系
Department of Industrial Engineering and Engineering Management
論文出版年: 2018
畢業學年度: 106
語文別: 英文
論文頁數: 59
中文關鍵詞: 參數預測逆向最佳化資料導向最佳化
外文關鍵詞: Coefficients estimation, Inverse optimization, Data-driven optimization
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  • 我們提出了一系列逆向最佳化模型來預測數學規劃模型的目標係數和線性限制式參數。在線性限制式的最佳化問題下,分別考慮兩種目標函數類型:線性目標式及非線性目標式。所參考的逆向最佳化文獻主要來自Ahuja和Orlin (2001)及Bertsimas等人 (2015)。前者為線性逆向最佳化建立了一般型式的模型,他們試著找到最接近原始參數 c 的 c^,且能使觀察值近似最佳解。後者將此概念用於平衡解,並使用變分不等式(variational inequality)來估計目標函數。 在本論文中,我們根據不同假設建立了五個逆向最佳化模型,並利用自行合成數據(synthetic data)來對模型進行數值驗證,在各個實驗中我們考慮了不同的問題大小及樣本數量。


    We propose a series of inverse optimization models to estimate cost coefficients and value of right hand sides for linearly constrained mathematical programming models at different levels of observations. For the types of linearly constrained models to be estimated, we consider two objective function assumptions: linear objective and non-linear objective. The approach we used is related to inverse optimization literature: Ahuja and Orlin (2001) built an inverse optimization model for a linear forward optimization program. They try to find the c^ closet to the given objective parameter c and make the observation approximate to optimal. Bertsimas et al. (2015) enabled the estimation of the objective functions with the observations of the equilibrium based on an inverse variational inequality formulation. In this thesis, five different experiments are done to validate the models using synthetic data.

    List of Figures I List of Tables II Chapter 1 Introduction 1 Chapter 2 Literature Review 3 Chapter 3 Method 6 3.1 Linear cost coefficients estimation 6 3.2 Quadratic objective coefficients estimation 10 3.3 RHS coefficients estimation under linear cost function 14 3.4 Linear cost coefficients and RHS coefficients simultaneous estimation 15 3.5 Piecewise linear cost coefficients estimation 17 Chapter 4 Simulation Experiment 19 4.1 Example of data generated and model applied 19 4.2 Experiment of linear cost coefficients estimation 24 4.3 Experiment of quadratic convex objective coefficients estimation 27 4.4 Experiment of RHS of constraints coefficients estimation 31 4.5 Experiment of cost and RHS of constraints coefficients simultaneous estimation 34 4.6 Experiment of piecewise linear cost coefficients estimation 38 Chapter 5 Conclusion 40 Reference 41 Appendix 44

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