A survey of contextual optimization methods for decision-making under uncertainty

U Sadana, A Chenreddy, E Delage, A Forel… - European Journal of …, 2024‏ - Elsevier
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 …

Inverse optimization: Theory and applications

TCY Chan, R Mahmood, IY Zhu - Operations Research, 2023‏ - pubsonline.informs.org
Inverse optimization describes a process that is the “reverse” of traditional mathematical
optimization. Unlike traditional optimization, which seeks to compute optimal decisions given …

A survey of contextual optimization methods for decision making under uncertainty

U Sadana, A Chenreddy, E Delage, A Forel… - arxiv preprint arxiv …, 2023‏ - arxiv.org
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 …

Generalization bounds in the predict-then-optimize framework

O El Balghiti, AN Elmachtoub… - Advances in neural …, 2019‏ - proceedings.neurips.cc
The predict-then-optimize framework is fundamental in many practical settings: predict the
unknown parameters of an optimization problem, and then solve the problem using the …

Predict-then-calibrate: A new perspective of robust contextual lp

C Sun, L Liu, X Li - Advances in Neural Information …, 2023‏ - proceedings.neurips.cc
Contextual optimization, also known as predict-then-optimize or prescriptive analytics,
considers an optimization problem with the presence of covariates (context or side …

Integrated conditional estimation-optimization

M Qi, P Grigas, ZJM Shen - arxiv preprint arxiv:2110.12351, 2021‏ - arxiv.org
Many real-world optimization problems involve uncertain parameters with probability
distributions that can be estimated using contextual feature information. In contrast to the …

Fast rates for contextual linear optimization

Y Hu, N Kallus, X Mao - Management Science, 2022‏ - pubsonline.informs.org
Incorporating side observations in decision making can reduce uncertainty and boost
performance, but it also requires that we tackle a potentially complex predictive relationship …

Risk bounds and calibration for a smart predict-then-optimize method

H Liu, P Grigas - Advances in Neural Information …, 2021‏ - proceedings.neurips.cc
The predict-then-optimize framework is fundamental in practical stochastic decision-making
problems: first predict unknown parameters of an optimization model, then solve the problem …

Maximum optimality margin: A unified approach for contextual linear programming and inverse linear programming

C Sun, S Liu, X Li - International Conference on Machine …, 2023‏ - proceedings.mlr.press
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 …

Active learning in the predict-then-optimize framework: A margin-based approach

M Liu, P Grigas, H Liu, ZJM Shen - arxiv preprint arxiv:2305.06584, 2023‏ - arxiv.org
We develop the first active learning method in the predict-then-optimize framework.
Specifically, we develop a learning method that sequentially decides whether to request the" …