314,129 research outputs found
Optimistic Robust Optimization With Applications To Machine Learning
Robust Optimization has traditionally taken a pessimistic, or worst-case
viewpoint of uncertainty which is motivated by a desire to find sets of optimal
policies that maintain feasibility under a variety of operating conditions. In
this paper, we explore an optimistic, or best-case view of uncertainty and show
that it can be a fruitful approach. We show that these techniques can be used
to address a wide variety of problems. First, we apply our methods in the
context of robust linear programming, providing a method for reducing
conservatism in intuitive ways that encode economically realistic modeling
assumptions. Second, we look at problems in machine learning and find that this
approach is strongly connected to the existing literature. Specifically, we
provide a new interpretation for popular sparsity inducing non-convex
regularization schemes. Additionally, we show that successful approaches for
dealing with outliers and noise can be interpreted as optimistic robust
optimization problems. Although many of the problems resulting from our
approach are non-convex, we find that DCA or DCA-like optimization approaches
can be intuitive and efficient
Set optimization - a rather short introduction
Recent developments in set optimization are surveyed and extended including
various set relations as well as fundamental constructions of a convex analysis
for set- and vector-valued functions, and duality for set optimization
problems. Extensive sections with bibliographical comments summarize the state
of the art. Applications to vector optimization and financial risk measures are
discussed along with algorithmic approaches to set optimization problems
Projections Onto Convex Sets (POCS) Based Optimization by Lifting
Two new optimization techniques based on projections onto convex space (POCS)
framework for solving convex and some non-convex optimization problems are
presented. The dimension of the minimization problem is lifted by one and sets
corresponding to the cost function are defined. If the cost function is a
convex function in R^N the corresponding set is a convex set in R^(N+1). The
iterative optimization approach starts with an arbitrary initial estimate in
R^(N+1) and an orthogonal projection is performed onto one of the sets in a
sequential manner at each step of the optimization problem. The method provides
globally optimal solutions in total-variation, filtered variation, l1, and
entropic cost functions. It is also experimentally observed that cost functions
based on lp, p<1 can be handled by using the supporting hyperplane concept
Theory and Applications of Robust Optimization
In this paper we survey the primary research, both theoretical and applied,
in the area of Robust Optimization (RO). Our focus is on the computational
attractiveness of RO approaches, as well as the modeling power and broad
applicability of the methodology. In addition to surveying prominent
theoretical results of RO, we also present some recent results linking RO to
adaptable models for multi-stage decision-making problems. Finally, we
highlight applications of RO across a wide spectrum of domains, including
finance, statistics, learning, and various areas of engineering.Comment: 50 page
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