Task-based End-to-end Model Learning

As machine learning techniques have become more ubiquitous, it has become common to see machine learning prediction algorithms operating within some larger process. However, the criteria by which we train machine learning algorithms often differ from the ultimate criteria on which we evaluate them. This paper proposes an end-to-end approach for learning probabilistic machine learning models within the context of stochastic programming, in a manner that directly captures the ultimate task-based objective for which they will be used. We then present two experimental evaluations of the proposed approach, one as applied to a generic inventory stock problem and the second to a real-world electrical grid scheduling task. In both cases, we show that the proposed approach can outperform both a traditional modeling approach and a purely black-box policy optimization approach.