相关论文: Decision-focused predictions via pessimistic bilev…

The recent interest in contextual optimization problems, where randomness is associated with side information, has led to two primary strategies for formulation and solution. The first, estimate-then-optimize, separates the estimation of…

Automated hyperparameter search in machine learning, especially for deep learning models, is typically formulated as a bilevel optimization problem, with hyperparameter values determined by the upper level and the model learning achieved by…

Optimization models used to make discrete decisions often contain uncertain parameters that are context-dependent and estimated through prediction. To account for the quality of the decision made based on the prediction, decision-focused…

Both bilevel and robust optimization are established fields of mathematical optimization and operations research. However, only until recently, the similarities in their mathematical structure has neither been studied theoretically nor…

Bilevel optimization is a powerful tool for modeling hierarchical decision making processes. However, the resulting problems are challenging to solve - both in theory and practice. Fortunately, there have been significant algorithmic…

It is increasingly common to solve combinatorial optimisation problems that are partially-specified. We survey the case where the objective function or the relations between variables are not known or are only partially specified. The…

We consider the setting of iterative learning control, or model-based policy learning in the presence of uncertain, time-varying dynamics. In this setting, we propose a new performance metric, planning regret, which replaces the standard…

In practical applications, data is used to make decisions in two steps: estimation and optimization. First, a machine learning model estimates parameters for a structural model relating decisions to outcomes. Second, a decision is chosen to…

We consider control of uncertain linear time-varying stochastic systems from the perspective of regret minimization. Specifically, we focus on the problem of designing a feedback controller that minimizes the loss relative to a clairvoyant…

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…

The minmax regret problem for combinatorial optimization under uncertainty can be viewed as a zero-sum game played between an optimizing player and an adversary, where the optimizing player selects a solution and the adversary selects costs…

The parameters for a Markov Decision Process (MDP) often cannot be specified exactly. Uncertain MDPs (UMDPs) capture this model ambiguity by defining sets which the parameters belong to. Minimax regret has been proposed as an objective for…

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…

Many techniques for online optimization problems involve making decisions based solely on presently available information: fewer works take advantage of potential predictions. In this paper, we discuss the problem of online convex…

Mathematical solvers use parametrized Optimization Problems (OPs) as inputs to yield optimal decisions. In many real-world settings, some of these parameters are unknown or uncertain. Recent research focuses on predicting the value of these…

Decision Focused Learning has emerged as a critical paradigm for integrating machine learning with downstream optimisation. Despite its promise, existing methodologies predominantly rely on probabilistic models and focus narrowly on task…

Decision-focused learning is a promising development for contextual optimisation. It enables us to train prediction models that reflect the contextual sensitivity structure of the problem. However, there have been limited attempts to extend…

One way to make decisions under uncertainty is to select an optimal option from a possible range of options, by maximizing the expected utilities derived from a probability model. However, under severe uncertainty, identifying precise…

The need for fast and robust optimization algorithms are of critical importance in all areas of machine learning. This paper treats the task of designing optimization algorithms as an optimal control problem. Using regret as a metric for an…

In this work, we propose different formulations and gradient-based algorithms for deterministic and stochastic bilevel problems with conflicting objectives in the lower level. Such problems have received little attention in the…