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Exploration of integrated approach to data-driven optimization models

Research Project

Project/Area Number 15K01204
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionChuo University

Principal Investigator

Gotoh Jun-ya  中央大学, 理工学部, 教授 (40334031)

Research Collaborator TAKEDA Akiko  
TAKANO Yuichi  
TONO Katsuya  
URYASEV Stan  
LIM Andrew E. B.  
KIM Michael J.  
Project Period (FY) 2015-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2018: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Keywords数理最適化 / データ解析 / ロバスト最適化 / 機械学習 / スパース最適化 / データ駆動型最適化 / 平均・分散モデル / ポートフォリオ最適化
Outline of Final Research Achievements

By combining optimization methods for decision making under uncertainty such as stochastic programming and robust optimization with methodologies developed in various fields and contexts such as risk management, machine learning, and signal processing, we provide general-purposed methods. Two outcomes form the major part of obtained results. For the first thing, based on the observation that a class of distributed robust optimization models can be approximated by the so-called mean-variance optimization model when a hyper-parameter is sufficiently small, we got suggestions for how to tune the parameter. The second is a method for presenting the so-called cardinality constraint that appears in contexts such as variable selection of statistical models by using a continuous optimization formulation. We also studied local search algorithms for those problems.

Academic Significance and Societal Importance of the Research Achievements

不確実性を考慮した意思決定の重要性は容易に認識されるが、その方法論は様々な形をとる。本研究課題の成果は最適化モデリングという、1つのレンズを通して、一見異なるものを眺めることで、既に多くの研究者コミュニティにおいてあまり疑問を持たれずに利用されている方法に対し、中立的立場から検討を行い、汎用性のある手法を提示したものと考える。これにより、既存の方法論の限界や欠点、特徴が理解しやすくなると同時に、新たな方法論の創出にも寄与する可能性があると考える。

Report

(5 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Research-status Report
  • 2016 Research-status Report
  • 2015 Research-status Report
  • Research Products

    (36 results)

All 2019 2018 2017 2016 2015 Other

All Int'l Joint Research (12 results) Journal Article (6 results) (of which Int'l Joint Research: 3 results,  Peer Reviewed: 5 results,  Open Access: 2 results,  Acknowledgement Compliant: 1 results) Presentation (17 results) (of which Int'l Joint Research: 8 results,  Invited: 5 results) Remarks (1 results)

  • [Int'l Joint Research] National University of Singapore(シンガポール)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] University of British Columbia(カナダ)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] University of Florida(米国)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] 大連理工大学(中国)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] National University of Singapore(Singapore)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] University of British Columbia(Canada)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] シンガポール国立大学(シンガポール)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] トロント大学(カナダ)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] フロリダ大学(米国)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] シンガポール国立大学(シンガポール)

    • Related Report
      2015 Research-status Report
  • [Int'l Joint Research] トロント大学(カナダ)

    • Related Report
      2015 Research-status Report
  • [Int'l Joint Research] フロリダ大学(米国)

    • Related Report
      2015 Research-status Report
  • [Journal Article] Robust empirical optimization is almost the same as mean-variance optimization2018

    • Author(s)
      Gotoh Jun-ya、Kim Michael Jong、Lim Andrew E.B.
    • Journal Title

      Operations Research Letters

      Volume: 46 Issue: 4 Pages: 448-452

    • DOI

      10.1016/j.orl.2018.05.005

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Peer-To-Peer Lending: Classification in the Loan Application Process2018

    • Author(s)
      Wei Xinyuan、Gotoh Jun-ya、Uryasev Stan
    • Journal Title

      Risks

      Volume: 6 Issue: 4 Pages: 129-129

    • DOI

      10.3390/risks6040129

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] DC formulations and algorithms for sparse optimization problems2018

    • Author(s)
      Gotoh Jun-ya、Takeda Akiko、Tono Katsuya
    • Journal Title

      Mathematical Programming

      Volume: 169 Issue: 1 Pages: 141-176

    • DOI

      10.1007/s10107-017-1181-0

    • Related Report
      2017 Research-status Report
    • Peer Reviewed
  • [Journal Article] Support Vector Machines Based on Convex Risk Functions and General Norms2017

    • Author(s)
      Jun-ya Gotoh, Stan Uryasev
    • Journal Title

      Annals of Operations Research

      Volume: 249 Issue: 1-2 Pages: 301-328

    • DOI

      10.1007/s10479-016-2326-x

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] CVaR Minimizations in Support Vector Machines2016

    • Author(s)
      Gotoh,J., Takeda,A.
    • Journal Title

      Financial signal processing and machine learning

      Volume: 0 Pages: 233-265

    • Related Report
      2016 Research-status Report
  • [Journal Article] Two Pairs of Families of Polyhedral Norms Versus l_p-Norms: Proximity and Applications in Optimization2015

    • Author(s)
      Jun-ya Gotoh, Stan Uryasev
    • Journal Title

      Mathematical Programming (Ser. A)

      Volume: 印刷中 Issue: 1-2 Pages: 391-431

    • DOI

      10.1007/s10107-015-0899-9

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Presentation] ノイズのない場合のk-疎復元に対する刈込lp関数を用いた定式化とADMMの適用2019

    • Author(s)
      後藤順哉、福田琢巳
    • Organizer
      日本オペレーションズリサーチ学会2019年度春季研究発表会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Out-of-sample analysis of distributionally robust optimization2018

    • Author(s)
      Jun-ya Gotoh, Michael J. Kim, Andrew E.B. Lim
    • Organizer
      ISMP (International Symposium on Mathematical Programming) 2018 Bordeaux
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 分布的ロバスト最適化の事後分析とパラメータ選択2018

    • Author(s)
      後藤 順哉、Kim, Michael J.、Lim, Andrew E.B.
    • Organizer
      日本オペレーションズリサーチ学会2018年度秋季研究発表会
    • Related Report
      2018 Annual Research Report
  • [Presentation] 平均-分散規準に基づくサポートベクターマシン2018

    • Author(s)
      後藤順哉、尾崎裕介
    • Organizer
      日本オペレーションズ・リサーチ学会2018年度春季研究発表会
    • Related Report
      2017 Research-status Report
  • [Presentation] Robust Empirical Optimization is Almost the Same as Mean-Variance Optimization2017

    • Author(s)
      Jun-ya Gotoh, Michael J. Kim, Andrew E.B. Lim
    • Organizer
      SIAM Optimization Conference 2017
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] ノルムを用いた最適化モデリング2017

    • Author(s)
      後藤順哉
    • Organizer
      日本オペレーションズ・リサーチ学会2017年度秋季研究発表会
    • Related Report
      2017 Research-status Report
    • Invited
  • [Presentation] A DC Optimization Approach to Sparse Spline Regression2017

    • Author(s)
      Jun-ya Gotoh, Yuichi Misawa
    • Organizer
      INFORMS Annual Meeting 2017
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] DC表現によるスパース・スプライン回帰2017

    • Author(s)
      後藤順哉 (三澤祐一)
    • Organizer
      日本オペレーションズ・リサーチ学会
    • Place of Presentation
      沖縄県市町村自治会館(沖縄県・那覇市)
    • Related Report
      2016 Research-status Report
  • [Presentation] DC Formulations and Algorithms for Sparse Optimization Problems2017

    • Author(s)
      Gotoh, Jun-ya (Takeda, Akiko; Katsuya, Tono)
    • Organizer
      NUS Business School Decision Sciences Department Seminar
    • Place of Presentation
      シンガポール(シンガポール)
    • Related Report
      2016 Research-status Report
    • Invited
  • [Presentation] Conditional Value-at-Risk and Its Applications in Optimization2016

    • Author(s)
      Gotoh, Jun-ya
    • Organizer
      Seminar at Department of Industrial and Systems Engineering, KAIST
    • Place of Presentation
      デジョン(韓国)
    • Year and Date
      2016-09-04
    • Related Report
      2016 Research-status Report
    • Invited
  • [Presentation] ロバスト最適化≒平均分散最適化2016

    • Author(s)
      Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
    • Organizer
      日本オペレーションズ・リサーチ学会春季研究発表会
    • Place of Presentation
      慶應義塾大学矢上キャンパス, 神奈川県横浜市
    • Year and Date
      2016-03-18
    • Related Report
      2015 Research-status Report
  • [Presentation] DC Formulations and Algorithms for Sparse Optimization Problems2016

    • Author(s)
      Gotoh, Jun-ya (Takeda, Akiko; Katsuya, Tono)
    • Organizer
      Workshop on Risk Management Approaches in Engineering Applications
    • Place of Presentation
      ゲインズビル(アメリカ合衆国)
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Robust Empirical Optimization is Almost the Same as Mean-variance Optimization2016

    • Author(s)
      Gotoh, Jun-ya (Kim, Michael J.; Lim, E.B., Andrew)
    • Organizer
      INFORMS Annual Meeting 2016
    • Place of Presentation
      ナッシュビル(アメリカ合衆国)
    • Related Report
      2016 Research-status Report
    • Invited
  • [Presentation] Robust empirical optimization is almost the same as mean-variance optimization2015

    • Author(s)
      Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
    • Organizer
      Risk Management Approaches in Engineering Applications Workshop
    • Place of Presentation
      Gainesville, FL(アメリカ)
    • Year and Date
      2015-11-09
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Robust empirical optimization is almost the same as mean-variance optimization2015

    • Author(s)
      Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
    • Organizer
      INFORMS Annual Meeting 2015
    • Place of Presentation
      Philadelphia, PA(アメリカ)
    • Year and Date
      2015-11-04
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Support Vector Machines Based on Convex Risk Functionals and General Norms2015

    • Author(s)
      Gotoh, Jun-ya; Uryasev, Stan
    • Organizer
      INFORMS Annual Meeting 2015
    • Place of Presentation
      Philadelphia, PA(アメリカ)
    • Year and Date
      2015-11-04
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Two Perspectives on Robust Empirical Optimization2015

    • Author(s)
      Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
    • Organizer
      22nd International Symposium on Mathematical Programming
    • Place of Presentation
      Pittsburgh, PA(アメリカ)
    • Year and Date
      2015-07-15
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Remarks] Jun-ya Gotoh's Homepage

    • URL

      http://www.indsys.chuo-u.ac.jp/~jgoto/

    • Related Report
      2018 Annual Research Report 2017 Research-status Report 2016 Research-status Report 2015 Research-status Report

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Published: 2015-04-16   Modified: 2022-02-16  

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