Related papers: Predict-then-Calibrate: A New Perspective of Robus…
Many real-world decision processes are modeled by optimization problems whose defining parameters are unknown and must be inferred from observable data. The Predict-Then-Optimize framework uses machine learning models to predict unknown…
In this paper, we study the predict-then-optimize problem where the output of a machine learning prediction task is used as the input of some downstream optimization problem, say, the objective coefficient vector of a linear program. The…
Data-driven approaches to predict-then-optimize decision-making problems seek to mitigate the risk of uncertainty region misspecification in safety-critical settings. Current approaches, however, suffer from considering overly conservative…
The Predict-Then-Optimize framework uses machine learning models to predict unknown parameters of an optimization problem from exogenous features before solving. This setting is common to many real-world decision processes, and recently it…
In this short technical note we propose a baseline for decision-aware learning for contextual linear optimization, which solves stochastic linear optimization when cost coefficients can be predicted based on context information. We propose…
In the predict-then-optimize framework, the objective is to train a predictive model, mapping from environment features to parameters of an optimization problem, which maximizes decision quality when the optimization is subsequently solved.…
The predict-then-optimize framework arises in a wide variety of applications where the unknown cost coefficients of an optimization problem are first predicted based on contextual features and then used to solve the problem. In this work,…
Reliably characterizing the full conditional distribution of a multivariate response variable given a set of covariates is crucial for trustworthy decision-making. However, misspecified or miscalibrated multivariate models may yield a poor…
Many real-world analytics problems involve two significant challenges: prediction and optimization. Due to the typically complex nature of each challenge, the standard paradigm is predict-then-optimize. By and large, machine learning tools…
Uncertainty in optimization is often represented as stochastic parameters in the optimization model. In Predict-Then-Optimize approaches, predictions of a machine learning model are used as values for such parameters, effectively…
We introduce a framework for calibrating machine learning models so that their predictions satisfy explicit, finite-sample statistical guarantees. Our calibration algorithms work with any underlying model and (unknown) data-generating…
Recently there has been a surge of interest in operations research (OR) and the machine learning (ML) community in combining prediction algorithms and optimization techniques to solve decision-making problems in the face of uncertainty.…
We study a linear contextual optimization problem where a decision maker has access to historical data and contextual features to learn a cost prediction model aimed at minimizing decision error. We adopt the predict-then-optimize framework…
The field of Contextual Optimization (CO) integrates machine learning and optimization to solve decision making problems under uncertainty. Recently, a risk sensitive variant of CO, known as Conditional Robust Optimization (CRO), combines…
Machine learning classifiers often produce probabilistic predictions that are critical for accurate and interpretable decision-making in various domains. The quality of these predictions is generally evaluated with proper losses, such as…
The predict-then-optimize (PTO) framework is a standard approach in data-driven decision-making, where a decision-maker first estimates an unknown parameter from historical data and then uses this estimate to solve an optimization problem.…
Prediction+optimization is a common real-world paradigm where we have to predict problem parameters before solving the optimization problem. However, the criteria by which the prediction model is trained are often inconsistent with the goal…
We study an online contextual decision-making problem with resource constraints. At each time period, the decision-maker first predicts a reward vector and resource consumption matrix based on a given context vector and then solves a…
The predict-then-optimize (PTO) framework is indispensable for addressing practical stochastic decision-making tasks. It consists of two crucial steps: initially predicting unknown parameters of an optimization model and subsequently…
The predict-then-optimize paradigm bridges online learning and contextual optimization in dynamic environments. Previous works have investigated the sequential updating of predictors using feedback from downstream decisions to minimize…