Emulating the Expert: Inverse Optimization through Online Learning

Conference contribution


Publication Details

Author(s): Bärmann A, Pokutta S, Schneider O
Editor(s): Precup D, Teh YW
Publisher: PMLR
Publishing place: International Convention Centre, Sydney, Australia
Publication year: 2017
Title of series: Proceedings of Machine Learning Research
Volume: 70
Conference Proceedings Title: Proceedings of the 34th International Conference on Machine Learning (ICML)
Pages range: 400--410
Language: English


Abstract

In this paper, we demonstrate how to learn the objective function of a decision maker while only observing the problem input data and the decision maker’s corresponding decisions over multiple rounds. Our approach is based on online learning techniques and works for linear objectives over arbitrary sets for which we have a linear optimization oracle and as such generalizes previous work based on KKT-system decomposition and dualization approaches. The applicability of our framework for learning linear constraints is also discussed briefly. Our algorithm converges at a rate of O(1/sqrt(T)), and we demonstrate its effectiveness and applications in preliminary computational results.


FAU Authors / FAU Editors

Bärmann, Andreas Dr.
Economics - Discrete Optimization - Mathematics (EDOM)
Schneider, Oskar
Economics - Discrete Optimization - Mathematics (EDOM)


External institutions with authors

Georgia Institute of Technology


How to cite

APA:
Bärmann, A., Pokutta, S., & Schneider, O. (2017). Emulating the Expert: Inverse Optimization through Online Learning. In Precup D, Teh YW (Eds.), Proceedings of the 34th International Conference on Machine Learning (ICML) (pp. 400--410). International Convention Centre, Sydney, Australia: PMLR.

MLA:
Bärmann, Andreas, Sebastian Pokutta, and Oskar Schneider. "Emulating the Expert: Inverse Optimization through Online Learning." Proceedings of the Proceedings of the 34th International Conference on Machine Learning (ICML) Ed. Precup D, Teh YW, International Convention Centre, Sydney, Australia: PMLR, 2017. 400--410.

BibTeX: 

Last updated on 2018-17-08 at 12:08