Trade-off preservation in inverse multi-objective convex optimization

Abstract

Given an input solution that may not be Pareto optimal, we present a new inverse optimization methodology for multi-objective convex optimization that determines a weight vector producing a weakly Pareto optimal solution that preserves the decision maker’s trade-off intention encoded in the input solution. We introduce a notion of trade-off preservation, which we use as a measure of similarity for approximating the input solution, and show its connection with minimizing an optimality gap. We propose a linear approximation to the inverse model and a successive linear programming algorithm that balance between trade-off preservation and computational efficiency, and show that our model encompasses many of the existing inverse optimization models from the literature. We demonstrate the proposed method using clinical data from prostate cancer radiation therapy.