Data Science Applications

Decision-focused predictions via pessimistic bilevel optimization: complexity and algorithms

  • Victor Bucarey
  • Sophia Calderón
  • Gonzalo Muñoz
  • Frédéric Semet
    • Categories Constrained Nonlinear Optimization, Data Science Applications, Other Topics

    Dealing with uncertainty in optimization parameters is an important and longstanding challenge. Typically, uncertain parameters are predicted accurately, and then a deterministic optimization problem is solved. However, the decisions produced by this so-called predict-then-optimize procedure can be highly sensitive to uncertain parameters. In this work, we contribute to recent efforts in producing decision-focused predictions, i.e., to … Read more

    Optimism in the Face of Ambiguity Principle for Multi-Armed Bandits

  • Mengmeng Li
  • Daniel Kuhn
  • Bahar Tașkesen
    • Categories Convex Optimization, Data Science Algorithms, Data Science Applications Tags , ,

    Follow-The-Regularized-Leader (FTRL) algorithms often enjoy optimal regret for adversarial as well as stochastic bandit problems and allow for a streamlined analysis. However, FTRL algorithms require the solution of an optimization problem in every iteration and are thus computationally challenging. In contrast, Follow-The-Perturbed-Leader (FTPL) algorithms achieve computational efficiency by perturbing the estimates of the rewards of … Read more

    Forecasting Urban Traffic States with Sparse Data Using Hankel Temporal Matrix Factorization

  • Chun Cheng
    • Categories Data Science Algorithms, Data Science Applications, Transportation Tags , , , ,

    Forecasting urban traffic states is crucial to transportation network monitoring and management, playing an important role in the decision-making process. Despite the substantial progress that has been made in developing accurate, efficient, and reliable algorithms for traffic forecasting, most existing approaches fail to handle sparsity, high-dimensionality, and nonstationarity in traffic time series and seldom consider … Read more

    Data-Driven Reliable Facility Location Design

  • Hao Shen
  • Mengying Xue
  • Z.J. Max Shen
    • Categories Data Science Applications, Network Optimization, Supply Chain Management Tags , , ,

    We study the reliable (uncapacitated) facility location (RFL) problem in a data-driven environment where historical observations of random demands and disruptions are available. Owing to the combinatorial optimization nature of the RFL problem and the mixed-binary randomness of parameters therein, the state-of-the-art RFL models applied to the data-driven setting either suggest overly conservative solutions, or … Read more

    Almost-sure convergence of iterates and multipliers in stochastic sequential quadratic optimization

  • Frank E. Curtis
  • Xin Jiang
  • Qi Wang
    • Categories Constrained Nonlinear Optimization, Data Science Applications, Stochastic Programming Tags , , ,

    Stochastic sequential quadratic optimization (SQP) methods for solving continuous optimization problems with nonlinear equality constraints have attracted attention recently, such as for solving large-scale data-fitting problems subject to nonconvex constraints. However, for a recently proposed subclass of such methods that is built on the popular stochastic-gradient methodology from the unconstrained setting, convergence guarantees have been … Read more

    A new upper bound of the Euclidean TSP constant

  • Julien Yu
  • John Carlsson
    • Categories Data Science Applications, Transportation Tags , ,

    Let X1, X2, . . . , Xn be n independent and uniformly distributed random points in a compact region R ⊂ R2 of area 1. Let TSP(X1, . . . , Xn) denote the length of the optimal Euclidean traveling salesman tour that traverses all these points. The classical Beardwood-Halton-Hammersley theorem proves the existence … Read more

    Mixed-Integer Quadratic Optimization and Iterative Clustering Techniques for Semi-Supervised Support Vector Machines

  • Martin Schmidt
  • Jan Pablo Burgard
  • Maria Eduarda Pinheiro
    • Categories (Mixed) Integer Nonlinear Programming, Data Science Algorithms, Data Science Applications Tags , , ,

    Among the most famous algorithms for solving classification problems are support vector machines (SVMs), which find a separating hyperplane for a set of labeled data points. In some applications, however, labels are only available for a subset of points. Furthermore, this subset can be non-representative, e.g., due to self-selection in a survey. Semi-supervised SVMs tackle … Read more

    On polynomial time solvability of combinatorial Markov random fields

  • Shaoning Han
  • Andrés Gómez
  • Jong-Shi Pang
    • Categories (Mixed) Integer Nonlinear Programming, Data Science Applications

    The problem of inferring Markov random fields (MRFs) with a sparsity or robustness prior can be naturally modeled as a mixed-integer program. This motivates us to study a general class of convex submodular optimization problems with indicator variables, which we show to be polynomially solvable in this paper. The key insight is that, possibly after … Read more