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Data-driven Inverse Optimization with Imperfect Information
In data-driven inverse optimization an observer aims to learn the preferences
of an agent who solves a parametric optimization problem depending on an
exogenous signal. Thus, the observer seeks the agent's objective function that
best explains a historical sequence of signals and corresponding optimal
actions. We focus here on situations where the observer has imperfect
information, that is, where the agent's true objective function is not
contained in the search space of candidate objectives, where the agent suffers
from bounded rationality or implementation errors, or where the observed
signal-response pairs are corrupted by measurement noise. We formalize this
inverse optimization problem as a distributionally robust program minimizing
the worst-case risk that the {\em predicted} decision ({\em i.e.}, the decision
implied by a particular candidate objective) differs from the agent's {\em
actual} response to a random signal. We show that our framework offers rigorous
out-of-sample guarantees for different loss functions used to measure
prediction errors and that the emerging inverse optimization problems can be
exactly reformulated as (or safely approximated by) tractable convex programs
when a new suboptimality loss function is used. We show through extensive
numerical tests that the proposed distributionally robust approach to inverse
optimization attains often better out-of-sample performance than the
state-of-the-art approaches
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