NS
N.J. Schutte
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Due to the complexity of randomness, optimization problems are often modeled to be deterministic to be solvable. Specifically epistemic uncertainty, i.e., uncertainty that is caused due to a lack of knowledge, is not easy to model, let alone easy to subsequently solve. Despite this, taking uncertainty into account is often required for optimization models to produce robust decisions that perform well in practice. We analyze effective existing frameworks, aiming to improve robustness without increasing complexity. Specifically we focus on robustness in decision-focused learning, which is a framework aimed at making context-based predictions for an optimization problem’s uncertain parameters that minimize decision error.
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Due to the complexity of randomness, optimization problems are often modeled to be deterministic to be solvable. Specifically epistemic uncertainty, i.e., uncertainty that is caused due to a lack of knowledge, is not easy to model, let alone easy to subsequently solve. Despite this, taking uncertainty into account is often required for optimization models to produce robust decisions that perform well in practice. We analyze effective existing frameworks, aiming to improve robustness without increasing complexity. Specifically we focus on robustness in decision-focused learning, which is a framework aimed at making context-based predictions for an optimization problem’s uncertain parameters that minimize decision error.
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 learning (end-to-end predict-then-optimize) aims at training the predictive model to minimize regret, i.e., the loss incurred by making a suboptimal decision. Despite the challenge of the gradient of this loss w.r.t. the predictive model parameters being zero almost everywhere for optimization problems with a linear objective, effective gradient-based learning approaches have been proposed to minimize the expected loss, using the empirical loss as a surrogate. However, empirical regret can be an ineffective surrogate because empirical optimal decisions can vary substantially from expected optimal decisions. To understand the impact of this deficiency, we evaluate the effect of aleatoric and epistemic uncertainty on the accuracy of empirical regret as a surrogate. Next, we propose three novel loss functions that approximate expected regret more robustly. Experimental results show that training two state-of-the-art decision-focused learning approaches using robust regret losses improves test–sample empirical regret in general while keeping computational time equivalent relative to the number of training epochs.
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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 learning (end-to-end predict-then-optimize) aims at training the predictive model to minimize regret, i.e., the loss incurred by making a suboptimal decision. Despite the challenge of the gradient of this loss w.r.t. the predictive model parameters being zero almost everywhere for optimization problems with a linear objective, effective gradient-based learning approaches have been proposed to minimize the expected loss, using the empirical loss as a surrogate. However, empirical regret can be an ineffective surrogate because empirical optimal decisions can vary substantially from expected optimal decisions. To understand the impact of this deficiency, we evaluate the effect of aleatoric and epistemic uncertainty on the accuracy of empirical regret as a surrogate. Next, we propose three novel loss functions that approximate expected regret more robustly. Experimental results show that training two state-of-the-art decision-focused learning approaches using robust regret losses improves test–sample empirical regret in general while keeping computational time equivalent relative to the number of training epochs.
Metaheuristics are known to be effective in finding good solutions in combinatorial optimization, but solving stochastic problems is costly due to the need for evaluation of multiple scenarios. We propose a general method to reduce the number of scenario evaluations per solution and thus improve metaheuristic efficiency. We use a sequential sampling procedure exploiting estimates of the solutions’ expected objective values. These values are obtained with a predictive model, which is founded on an estimated discrete probability distribution linearly related to all solutions’ objective distributions; the probability distribution is continuously refined based on incoming solution evaluation. The proposed method is tested using simulated annealing, but in general applicable to single solution metaheuristics. The method’s performance is compared to descriptive sampling and an adaptation of a sequential sampling method assuming noisy evaluations. Experimental results on three problems indicate the proposed method is robust overall, and performs better on average than the baselines on two of the problems.
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Metaheuristics are known to be effective in finding good solutions in combinatorial optimization, but solving stochastic problems is costly due to the need for evaluation of multiple scenarios. We propose a general method to reduce the number of scenario evaluations per solution and thus improve metaheuristic efficiency. We use a sequential sampling procedure exploiting estimates of the solutions’ expected objective values. These values are obtained with a predictive model, which is founded on an estimated discrete probability distribution linearly related to all solutions’ objective distributions; the probability distribution is continuously refined based on incoming solution evaluation. The proposed method is tested using simulated annealing, but in general applicable to single solution metaheuristics. The method’s performance is compared to descriptive sampling and an adaptation of a sequential sampling method assuming noisy evaluations. Experimental results on three problems indicate the proposed method is robust overall, and performs better on average than the baselines on two of the problems.