Smart “Predict, then Optimize”
نویسندگان
چکیده
Many real-world analytics problems involve two significant challenges: prediction and optimization. Because of the typically complex nature each challenge, standard paradigm is predict-then-optimize. By large, machine learning tools are intended to minimize error do not account for how predictions will be used in downstream optimization problem. In contrast, we propose a new very general framework, called Smart “Predict, then Optimize” (SPO), which directly leverages problem structure—that is, its objective constraints—for designing better models. A key component our framework SPO loss function, measures decision induced by prediction. Training model with respect computationally challenging, and, thus, derive, using duality theory, convex surrogate call SPO+ loss. Most importantly, prove that statistically consistent under mild conditions. Our function can tractably handle any polyhedral, convex, or even mixed-integer linear objective. Numerical experiments on shortest-path portfolio-optimization show lead improvement predict-then-optimize paradigm, particular, when being trained misspecified. We find models tend dominate random-forest algorithms, ground truth highly nonlinear. This paper was accepted Yinyu Ye, Supplemental Material: Data online appendix available at https://doi.org/10.1287/mnsc.2020.3922
منابع مشابه
Smart "Predict, then Optimize"
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 to predict, then optimize. By and large, machine learning tools are intended to minimize prediction error and do not account for how the predictions will be used in a downstream optimization problem. In contrast, we p...
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ژورنال
عنوان ژورنال: Management Science
سال: 2022
ISSN: ['0025-1909', '1526-5501']
DOI: https://doi.org/10.1287/mnsc.2020.3922