Handout 8: Dealing with Data Uncertainty

Similar documents
Handout 6: Some Applications of Conic Linear Programming

Handout 6: Some Applications of Conic Linear Programming

Semidefinite and Second Order Cone Programming Seminar Fall 2012 Project: Robust Optimization and its Application of Robust Portfolio Optimization

Robust linear optimization under general norms

EE 227A: Convex Optimization and Applications April 24, 2008

Robust portfolio selection under norm uncertainty

Robust Optimization for Risk Control in Enterprise-wide Optimization

2 Since these problems are restrictions of the original problem, the transmission /$ IEEE

Applications of Robust Optimization in Signal Processing: Beamforming and Power Control Fall 2012

Distributionally Robust Optimization with ROME (part 1)

Lecture 6: Conic Optimization September 8

Strong Duality in Robust Semi-Definite Linear Programming under Data Uncertainty

BCOL RESEARCH REPORT 07.04

1 Robust optimization

Convex Optimization in Classification Problems

On the Power of Robust Solutions in Two-Stage Stochastic and Adaptive Optimization Problems

On the Adaptivity Gap in Two-Stage Robust Linear Optimization under Uncertain Constraints

Robust Farkas Lemma for Uncertain Linear Systems with Applications

Advances in Convex Optimization: Theory, Algorithms, and Applications

Distributionally Robust Discrete Optimization with Entropic Value-at-Risk

Lecture 1. 1 Conic programming. MA 796S: Convex Optimization and Interior Point Methods October 8, Consider the conic program. min.

A SEMIDEFINITE RELAXATION BASED CONSERVATIVE APPROACH TO ROBUST TRANSMIT BEAMFORMING WITH PROBABILISTIC SINR CONSTRAINTS

Quadratic Two-Stage Stochastic Optimization with Coherent Measures of Risk

Selected Topics in Robust Convex Optimization

Robust and Stochastic Optimization Notes. Kevin Kircher, Cornell MAE

Selected Examples of CONIC DUALITY AT WORK Robust Linear Optimization Synthesis of Linear Controllers Matrix Cube Theorem A.

Robust conic quadratic programming with ellipsoidal uncertainties

Distributionally Robust Convex Optimization

Operations Research Letters

A Hierarchy of Polyhedral Approximations of Robust Semidefinite Programs

ELE539A: Optimization of Communication Systems Lecture 15: Semidefinite Programming, Detection and Estimation Applications

Lifting for conic mixed-integer programming

Distributionally Robust Convex Optimization

Tractable Approximations to Robust Conic Optimization Problems

On the Power of Robust Solutions in Two-Stage Stochastic and Adaptive Optimization Problems

Largest dual ellipsoids inscribed in dual cones

Introduction to Convex Optimization

Multi-Range Robust Optimization vs Stochastic Programming in Prioritizing Project Selection

A Robust Optimization Perspective on Stochastic Programming

LINEAR MATRIX INEQUALITIES WITH STOCHASTICALLY DEPENDENT PERTURBATIONS AND APPLICATIONS TO CHANCE CONSTRAINED SEMIDEFINITE OPTIMIZATION

Acyclic Semidefinite Approximations of Quadratically Constrained Quadratic Programs

A Geometric Characterization of the Power of Finite Adaptability in Multistage Stochastic and Adaptive Optimization

IE 521 Convex Optimization

LIGHT ROBUSTNESS. Matteo Fischetti, Michele Monaci. DEI, University of Padova. 1st ARRIVAL Annual Workshop and Review Meeting, Utrecht, April 19, 2007

4. Convex optimization problems

A Geometric Characterization of the Power of Finite Adaptability in Multi-stage Stochastic and Adaptive Optimization

Pareto Efficiency in Robust Optimization

On deterministic reformulations of distributionally robust joint chance constrained optimization problems

Agenda. 1 Cone programming. 2 Convex cones. 3 Generalized inequalities. 4 Linear programming (LP) 5 Second-order cone programming (SOCP)

Estimation and Optimization: Gaps and Bridges. MURI Meeting June 20, Laurent El Ghaoui. UC Berkeley EECS

A Hierarchy of Suboptimal Policies for the Multi-period, Multi-echelon, Robust Inventory Problem

Lecture Note 5: Semidefinite Programming for Stability Analysis

Convex relaxations of chance constrained optimization problems

NEW ROBUST UNSUPERVISED SUPPORT VECTOR MACHINES

Robust combinatorial optimization with variable budgeted uncertainty

Lecture: Examples of LP, SOCP and SDP

Theory and applications of Robust Optimization

Robust Model Predictive Control through Adjustable Variables: an application to Path Planning

ROBUST CONVEX OPTIMIZATION

Safe Approximations of Chance Constraints Using Historical Data

Outage-based design of robust Tomlinson-Harashima transceivers for the MISO downlink with QoS requirements

Robust Combinatorial Optimization under Budgeted-Ellipsoidal Uncertainty

Chance constrained optimization - applications, properties and numerical issues

Optimization Tools in an Uncertain Environment

Canonical Problem Forms. Ryan Tibshirani Convex Optimization

Convex Optimization. (EE227A: UC Berkeley) Lecture 6. Suvrit Sra. (Conic optimization) 07 Feb, 2013

Robust Dual-Response Optimization

Lecture: Introduction to LP, SDP and SOCP

Lecture: Convex Optimization Problems

4. Convex optimization problems

The Value of Adaptability

Ambiguous Joint Chance Constraints under Mean and Dispersion Information

Convex relaxation. In example below, we have N = 6, and the cut we are considering

Interior Point Methods: Second-Order Cone Programming and Semidefinite Programming

Likelihood Bounds for Constrained Estimation with Uncertainty

Parameterized Linear Matrix Inequality Techniques in Fuzzy Control System Design

Convex relaxation. In example below, we have N = 6, and the cut we are considering

Robust Portfolio Selection Based on a Joint Ellipsoidal Uncertainty Set

APPROXIMATE SOLUTION OF A SYSTEM OF LINEAR EQUATIONS WITH RANDOM PERTURBATIONS

Mathematical Optimization Models and Applications

Robust Portfolio Selection Based on a Multi-stage Scenario Tree

Short Course Robust Optimization and Machine Learning. Lecture 6: Robust Optimization in Machine Learning

CORC Technical Report TR Ambiguous chance constrained problems and robust optimization

Portfolio Selection under Model Uncertainty:

More First-Order Optimization Algorithms

Robust-to-Dynamics Linear Programming

Stochastic Subgradient Methods

WORST-CASE VALUE-AT-RISK AND ROBUST PORTFOLIO OPTIMIZATION: A CONIC PROGRAMMING APPROACH

Using Schur Complement Theorem to prove convexity of some SOC-functions

Random Convex Approximations of Ambiguous Chance Constrained Programs

A Linear Decision-Based Approximation Approach to Stochastic Programming

Convex optimization problems. Optimization problem in standard form

Lecture 1: Introduction

w Kluwer Academic Publishers Boston/Dordrecht/London HANDBOOK OF SEMIDEFINITE PROGRAMMING Theory, Algorithms, and Applications

Optimized Bonferroni Approximations of Distributionally Robust Joint Chance Constraints

Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

Robust Temporal Constraint Network

CSCI 1951-G Optimization Methods in Finance Part 10: Conic Optimization

POLYNOMIAL OPTIMIZATION WITH SUMS-OF-SQUARES INTERPOLANTS

Optimisation and Operations Research

Transcription:

MFE 5100: Optimization 2015 16 First Term Handout 8: Dealing with Data Uncertainty Instructor: Anthony Man Cho So December 1, 2015 1 Introduction Conic linear programming CLP, and in particular, semidefinite programming SDP, has received a lot of attention in recent years. Such a popularity can partly be attributed to the wide applicability of CLP, as well as recent advances in the design of provably efficient interior point algorithms. In this lecture we will consider how CLP techniques can be used to tackle data uncertainty in optimization problems. 2 Robust Linear Programming To motivate the problem considered in this section, consider the following LP: subject to c T x Âx ˆb, 1 where  Rm n, ˆb R m, and c R n are given. As it often occurs in practice, the data of the above LP, namely  and ˆb, are uncertain. In an attempt to tackle such uncertainties, Ben Tal and Nemirovski [3] introduced the idea of robust optimization. In the robust optimization setting, we assume that the uncertain data lie in some given uncertainty set U. Our goal is then to find a solution that is feasible for all possible realizations of the uncertain data and optimizes some given objective. To derive the robust counterpart of 1, let us first rewrite it as c T z subject to Az 0, z n+1 = 1, 2 where A = [ ˆb] R m n+1, c = c, 0 R n+1, and z R n+1. Now, suppose that each row a i R n+1 of the matrix A lies in an ellipsoidal region U i whose center u i R n+1 is given here, i = 1,..., m. Specifically, we impose the constraint that a i U i = { x R n+1 : x = u i + B i v, v 2 1 } for i = 1,..., m, where a i is the i th row of A, u i R n+1 is the center of the ellipsoid U i, and B i is some n+1 n+1 positive semidefinite matrix. Then, the robust counterpart of 2 is the following optimization problem: c T z subject to Az 0 for all a i U i, i = 1,..., m, z n+1 = 1. 1 3

Note that in general there are uncountably many constraints in 3. However, we claim that 3 is equivalent to an SOCP problem. To see this, observe that a T i z 0 for all a i U i iff 0 max v R n+1 : v 2 1 { ui + B i v T z } = u T i z + B i z 2, where i = 1,..., m. Hence, we conclude that 3 is equivalent to c T z subject to B i z 2 u T i z for i = 1,..., m, z n+1 = 1, which is an SOCP problem. For further readings on robust optimization, we refer the readers to [11, 1, 4, 2]. 3 Chance Constrained Linear Programming In the previous section, we showed how one can handle data uncertainties in a linear optimization problem using the robust optimization approach. Such an approach is particularly suitable if there is little information about the nature of the data uncertainty, and/or if the constraints are not to be violated under any circumstance. However, it can produce very conservative solutions. In situations where the distribution of the data uncertainty is partially known, one can often obtain a better solution by allowing the constraints to be violated with small probability. To illustrate this possibility, let us consider the following simple LP: c T x subject to a T x b, x P, 4 where a, c R n are given vectors, b R is a given scalar, and P R n is a given polyhedron. For the sake of simplicity, suppose that P is deterministic, but the data a, b are randomly affinely perturbed; i.e., a = a 0 + ϵ i a i, b = b 0 + ϵ i b i, where a 0, a 1,..., a l R n and b 0, b 1,..., b l R are given, and ϵ 1,..., ϵ l are i.i.d. mean zero random variables supported on [ 1, 1]. Then, for any given tolerance parameter δ 0, 1, we can formulate the following chance constrained counterpart of 4: c T x subject to Pra T x > b δ, x P. 5 In other words, a solution x P is feasible for 5 if it only violates the constraint a T x b with probability at most δ. The constraint is known as a chance constraint. Note that when δ = 0, 5 reduces to a robust linear optimization problem. Moreover, if x R n is feasible for 5 at some tolerance level δ 0, then it is also feasible for 5 at any δ δ. Thus, by varying δ, we will be able to adjust the conservatism of the solution. 2

Despite the attractiveness of the chance constraint formulation, it has one major drawback; namely, it is generally computationally intractable. Indeed, even when the distributions of ϵ 1,..., ϵ l are very simple, the feasible set defined by the chance constraint can be non convex. One way to tackle this problem is to replace the chance constraint by its safe tractable approximation; i.e., a system of deterministic constraints H such that i x R n is feasible for whenever it is feasible for H safe approximation, and ii the constraints in H are efficiently computable tractability. To develop a safe tractable approximation of, we first observe that is equivalent to the following system of constraints: Pr y 0 + ϵ i y i > 0 δ, 6 y i = a i T x b i for i = 0, 1,..., l. 7 Since ϵ 1,..., ϵ l are i.i.d. mean zero random variables supported on [ 1, 1], by Hoeffding s inequality [9], we have t 2 Pr ϵ i y i > t exp 2 l y2 i for any t > 0. It follows that when we have Pr y 0 + y 0 2 ln 1 yi 2 δ, 8 y0 2 ϵ i y i > 0 exp 2 δ. l y2 i In other words, 8 is a sufficient condition for 6 to hold. The upshot of 8 is that it is a second order cone constraint. Hence, we conclude that constraints 7 and 8 together serve as a safe tractable approximation of the chance constraint. So far we have only discussed how to handle a single scalar chance constraint. Of course, the case of joint scalar chance constraints; i.e., chance constraints of the form Pr a i T x > b i for i = 1, 2,..., m δ are also of great interest. However, they are not as easy to handle as a single scale chance constraint. For some recent results in this direction, see [2, 5, 14, 7]. It is instructive to examine the relationship between the robust optimization approach and the safe tractable approximation approach. Upon following the derivations in the previous section, we see that constraint 8 is equivalent to the following robust constraint: d T y 0 for all d U, where U is the ellipsoidal uncertainty set given by { } U = x R l+1 : x = e 1 + Bv, v 2 1, 3

and B R l+1 l+1 is given by B = 2 ln 1 [ 0 0 T δ 0 I ]. In other words, we are using the following robust optimization problem subject to c T x d i a i T x b i 0 for all d U, i=0 x P as a safe tractable approximation of the chance constrained optimization problem 5. For further elaboration on the connection between robust optimization and chance constrained optimization, see [6, 5]. We remark that chance constrained optimization has been employed in many recent applications; see, e.g., [8, 13, 10, 17, 16]. For a more comprehensive treatment and some recent advances of chance constrained optimization, we refer the reader to [12, Chapter 4] and [15]. References [1] F. Alizadeh and D. Goldfarb. Second Order Cone Programming. Mathematical Programming, Series B, 95:3 51, 2003. [2] A. Ben-Tal, L. El Ghaoui, and A. Nemirovski. Robust Optimization. Princeton Series in Applied Mathematics. Princeton University Press, Princeton, NJ, 2009. [3] A. Ben-Tal and A. Nemirovski. Robust Convex Optimization. Mathematics of Operations Research, 234:769 805, 1998. [4] A. Ben-Tal and A. Nemirovski. Selected Topics in Robust Convex Optimization. Mathematical Programming, Series B, 1121:125 158, 2008. [5] W. Chen, M. Sim, J. Sun, and C.-P. Teo. From CVaR to Uncertainty Set: Implications in Joint Chance Constrained Optimization. Operations Research, 582:470 485, 2010. [6] X. Chen, M. Sim, and P. Sun. A Robust Optimization Perspective on Stochastic Programming. Operations Research, 556:1058 1071, 2007. [7] S.-S. Cheung, A. M.-C. So, and K. Wang. Linear Matrix Inequalities with Stochastically Dependent Perturbations and Applications to Chance Constrained Semidefinite Optimization. SIAM Journal on Optimization, 224:1394 1430, 2012. [8] L. El Ghaoui, M. Oks, and F. Oustry. Worst Case Value at Risk and Robust Portfolio Optimization: A Conic Programming Approach. Operations Research, 514:543 556, 2003. [9] W. Hoeffding. Probability Inequalities for Sums of Bounded Random Variables. Journal of the American Statistical Association, 58301:13 30, 1963. 4

[10] W. W.-L. Li, Y. J. Zhang, A. M.-C. So, and M. Z. Win. Slow Adaptive OFDMA Systems through Chance Constrained Programming. IEEE Transactions on Signal Processing, 587:3858 3869, 2010. [11] M. S. Lobo, L. Vandenberghe, S. Boyd, and H. Lebret. Applications of Second Order Cone Programming. Linear Algebra and Its Applications, 284:193 228, 1998. [12] A. Shapiro, D. Dentcheva, and A. Ruszczyński. Lectures on Stochastic Programming: Modeling and Theory, volume 9 of MPS SIAM Series on Optimization. Society for Industrial and Applied Mathematics, Philadelphia, Pennsylvania, 2009. [13] M. B. Shenouda and T. N. Davidson. Outage Based Designs for Multi User Transceivers. In Proceedings of the 2009 IEEE International Conference on Acoustics, Speech, and Signal Processing ICASSP 2009, pages 2389 2392, 2009. [14] A. M.-C. So. Moment Inequalities for Sums of Random Matrices and Their Applications in Optimization. Mathematical Programming, Series A, 1301:125 151, 2011. [15] A. M.-C. So. Lecture Notes on Chance Constrained Optimization. Available at http://www. se.cuhk.edu.hk/~manchoso/papers/ccopt.pdf, 2013. [16] K.-Y. Wang, A. M.-C. So, T.-H. Chang, W.-K. Ma, and C.-Y. Chi. Outage Constrained Robust Transmit Optimization for Multiuser MISO Downlinks: Tractable Approximations by Conic Optimization. IEEE Transactions on Signal Processing, 6221:5690 5705, 2014. [17] Y. J. Zhang and A. M.-C. So. Optimal Spectrum Sharing in MIMO Cognitive Radio Networks via Semidefinite Programming. IEEE Journal on Selected Areas in Communications, 292:362 373, 2011. 5