When dealing with real-world optimization problems, decision-makers usually face high levels of uncertainty associated with partial information, unknown parameters, or complex relationships between these and the problem decision variables. In this work, we develop a novel Chance Constraint Learning (CCL) methodology with a focus on mixed-integer linear optimization problems which combines ideas from the chance constraint and constraint learning literature. Chance constraints set a probabilistic confidence level for a single or a set of constraints to be fulfilled, whereas the constraint learning methodology aims to model the functional relationship between the problem variables through predictive models. One of the main issues when establishing a learned constraint arises when we need to set further bounds for its response variable: the fulfillment of these is directly related to the accuracy of the predictive model and its probabilistic behaviour. In this sense, CCL makes use of linearizable machine learning models to estimate conditional quantiles of the learned variables, providing a data-driven solution for chance constraints. An open-access software has been developed to be used by practitioners. Furthermore, benefits from CCL have been tested in two real-world case studies, proving how robustness is added to optimal solutions when probabilistic bounds are set for learned constraints.
翻译:处理现实世界优化问题时,决策者通常面临与部分信息、未知参数或这些与问题决定变量之间的复杂关系等部分信息、未知参数或复杂关系有关的高度不确定性。在这项工作中,我们开发了一种新的机会约束学习(CCCL)方法,重点是混合整数线性优化问题,将机会制约和制约学习文献中的观点结合起来。机会制约为要达到的单一或一系列制约因素设定了一种概率信任度,而限制学习方法的目的是通过预测模型模拟问题变量之间的功能关系。当我们需要为其响应变量设定进一步界限时,就出现一个在建立学习障碍时出现的主要问题之一:这些障碍的实现与预测模型的准确性及其概率行为直接相关。在这方面,CCL利用可线性机器学习模型来估计所学变量的有条件孔度,为机会制约提供以数据为驱动的解决方案。已经开发了一个开放访问软件供从业人员使用。此外,在两个现实世界案例研究中测试了CCL的好处,证明这些功能的实现与预测模型的准确性及其概率行为直接相关。在这方面,CCL利用可线性学习的机械学习模型来评估最佳限制。