Data-Driven Robust Optimization using Unsupervised Deep Learning
This work provides a novel data-driven approach for constructing uncertainty sets in robust optimization, which is significant for decision-makers facing problems under uncertainty, offering improved robustness and solution quality.
This paper addresses the challenge of deriving uncertainty sets from historical data for robust optimization. By employing an unsupervised deep learning method, the authors learn hidden data structures to construct non-convex uncertainty sets, leading to robust solutions that outperform a kernel-based comparison method in both objective value and feasibility.
Robust optimization has been established as a leading methodology to approach decision problems under uncertainty. To derive a robust optimization model, a central ingredient is to identify a suitable model for uncertainty, which is called the uncertainty set. An ongoing challenge in the recent literature is to derive uncertainty sets from given historical data that result in solutions that are robust regarding future scenarios. In this paper we use an unsupervised deep learning method to learn and extract hidden structures from data, leading to non-convex uncertainty sets and better robust solutions. We prove that most of the classical uncertainty classes are special cases of our derived sets and that optimizing over them is strongly NP-hard. Nevertheless, we show that the trained neural networks can be integrated into a robust optimization model by formulating the adversarial problem as a convex quadratic mixed-integer program. This allows us to derive robust solutions through an iterative scenario generation process. In our computational experiments, we compare this approach to a similar approach using kernel-based support vector clustering. We find that uncertainty sets derived by the unsupervised deep learning method find a better description of data and lead to robust solutions that outperform the comparison method both with respect to objective value and feasibility.