Decision trees improve decision-making by optimizing predictions of unknown parameters.
problem Optimizing decisions based on predicted unknown parameters.
method SPO Trees (SPOTs) for training decision trees under the SPO loss function.
result SPOTs provide higher quality decisions and significantly lower model complexity compared to other machine learning approaches.
dboost optimizes prediction models for convex cone problems.
problem Optimizing prediction models for decision-making.
method Gradient boosting with implicit differentiation for convex quadratic cone programming.
result dboost reduces out-of-sample decision regret.
Paper proposes SPO paradigm for better portfolio optimization in real markets.
problem Real-world trading frictions and constraints affect portfolio optimization quality.
method SPO paradigm with decision-focused training using surrogate loss and linear predictors.
result Decision-focused training improves risk-adjusted performance and robustness.
A scalable method for training prediction models in predict-then-optimize
problem Training prediction models in the predict-then-optimize paradigm
method Decision-focused learning pipeline
result Decision quality competitive with state-of-the-art methods while reducing training time
Proposes a new method for decision-aware learning in optimization.
problem Contextual linear optimization with cost prediction errors.
method Reweighing prediction error by decision regret for decision-aware predictor.
result Improves over predict-then-optimize framework for misspecified models.
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 predict-then-optimize. By and large, machine learning tools are intended to minimize prediction error and do not account for how the predict…
This paper improves risk bounds and calibration for smart predict-then-optimize method.
problem Improving risk bounds and calibration for smart predict-then-optimize method.
method Develops risk bounds and uniform calibration results for the SPO+ loss relative to the SPO loss.
result Empirical minimizer of the SPO+ loss achieves low excess true risk with high probability.
New approach optimizes decisions based on uncertainty in predictions.
problem Mismatch between prediction accuracy and decision loss in sequential design.
method Directional uncertainty-guided approach to sequential experimental design.
result Directional uncertainty-based design stops earlier and performs better.
A new autoregressive SPO method improves decision-making for dependent data.
problem Improving decision-making for dependent data in stochastic optimization.
method An autoregressive Smart Predict-then-Optimize (SPO) method for time series data.
result Generalization bounds and uniform calibration results for the SPO loss in autoregressive models.
A smart method predicts and optimizes decisions online with resource constraints.
problem Online decision-making with resource constraints.
method Combines prediction and optimization with dual update using mirror descent.
result Regret bounds and convergence rates for general convex feasible regions.
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 predicted values of the parameters. A natural loss function in this environment is to consider the cost of the decisions induced by the predicted…
DVA framework attributes value of predictive models to features, configurations, and interactions.
problem Lack of explanation for how predictive models influence operational decisions.
method Shapley-based cooperative game theory applied to predict-then-optimize systems.
result DVA can guide targeted interventions to align model beliefs with operational performance.
The study optimizes supply chain management through a dice-based model to predict cleaner production.
problem Uncertainty in supply chain management and economic predictions.
method A 4-component SC module (environmental, demand, economic, social uncertainties) ranked by weight, using Analytical Hierarchical Process and optimization of a weighted cost function.
result Identifies conditions validating the sustainability of a business venture and optimizes market uncertainty.
Proposes CPO framework for robust decision-making with explainable uncertainty regions.
problem Overly conservative uncertainty regions in data-driven optimization lead to suboptimal decisions.
method Conformal-Predict-Then-Optimize (CPO) framework using conditional generative models and visual summaries.
result Demonstrates improved robustness and explainability in decision-making.
New adaptive models improve prediction accuracy with missing data.
problem Improving prediction accuracy with missing data entries.
method Adaptive optimization approach, learning imputation and regression simultaneously.
result 2-10% improvement in out-of-sample accuracy in strongly non-random missing data settings.
We present a predictor-corrector framework, called PicCoLO, that can transform a first-order model-free reinforcement or imitation learning algorithm into a new hybrid method that leverages predictive models to accelerate policy learning. The new "PicCoLOed" algorithm optimizes a policy by recursively repeating two ste…
Proposes a method to learn adaptive ambiguity sets for robust optimization.
problem Misspecification in distributionally robust optimization (DRO).
method Learned predictive ambiguity sets (LPAS) using deep contextual models.
result Significantly improves portfolio optimization performance compared to baselines.
New method optimizes prediction set volume in conformal prediction.
problem Achieving volume optimality in conformal prediction without sacrificing coverage guarantees.
method Dynamic programming algorithm for finding near-optimal volume unions of k-intervals.
result Efficient algorithm finds unions of k-intervals with near-optimal volume for any distribution.
Neural optimal transport improves multivariate conformal prediction.
problem Multivariate quantile regression challenges and existing methods ignore joint distribution geometry.
method Combines neural optimal transport with amortized optimization for efficient training and faster inference.
result Constructs tighter and more informative predictive regions for multivariate conformal prediction.
This study explains and mitigates inflated returns and turnover in SPO-based portfolio optimization.
problem Inflated returns and excessive turnover in SPO-based portfolio optimization.
method KKT-based interpretation of portfolio decisions as ranking over adjusted scores, empirical evaluation of stabilization mechanisms.
result Realistic output constraints and portfolio-level turnover control improve SPO-based strategies.
The paper demonstrates that falsifiability is fundamental to learning. We prove the following theorem for statistical learning and sequential prediction: If a theory is falsifiable then it is learnable -- i.e. admits a strategy that predicts optimally. An analogous result is shown for universal induction.
Many AI problems, in robotics and other domains, are goal-directed, essentially seeking a trajectory leading to some goal state. In such problems, the way we choose to represent a trajectory underlies algorithms for trajectory prediction and optimization. Interestingly, most all prior work in imitation and reinforcemen…
This study develops an online predictive optimization framework for dynamically operating a transit service in an area of crowd movements. The proposed framework integrates demand prediction and supply optimization to periodically redesign the service routes based on recently observed demand. To predict demand for the …
Optimizes deep reinforcement learning for energy-efficient video streaming.
problem Minimizing energy consumption in video streaming over mobile networks.
method Integrates DDPG algorithm with partially known model to reduce signaling overhead and improve convergence speed.
result Proposed policy converges to optimal policy with improved convergence speed.
The paper provides a method to minimize regret in estimate-then-optimize decision-making.
problem Errors in estimation lead to sub-optimal decisions in data-driven decision-making.
method A novel bound on regret for smooth and unconstrained optimization problems, followed by experimental design to minimize this regret.
result A general procedure for experimental design to minimize regret resulting from estimate-then-optimize.
A new approach predicts next observations without explicit decoding for better control.
problem High-dimensional observations and unknown dynamics in real-world control tasks.
method Proposes a novel information-theoretic LCE approach using predictive coding to develop a decoder-free model.
result The model reliably learns a controllable latent space leading to superior performance.
Optimizes data splitting for shorter conformal prediction intervals.
problem Minimizing prediction interval length while maintaining coverage.
method Theoretical framework for optimal data splitting in split conformal prediction.
result Analytical characterizations of length-optimal split ratios in various settings.
A new beta-VAE based regression model accelerates oilfield optimization studies.
problem Computational expense of full-physics reservoir simulations.
method beta-VAE for interpretable latent space representation, probabilistic dense layers for uncertainty quantification.
result Interpretable latent representation and quantified uncertainty for optimization decisions.
The paper explores conditions for predicting optimization performance.
problem Lack of formal theoretical guarantees linking prediction and optimization performance.
method Exploring conditions for asymptotic convergence and exact quantification of optimization performance.
result Explicit theoretical relationship between prediction and optimization performance.
A new method improves efficiency of conformal prediction for ensemble models.
problem Efficiently estimating uncertainty for ensemble models without distributional assumptions.
method Proposes a multivariate score function to merge prediction regions of individual models, reducing conservatism.
result Demonstrates more efficient prediction regions compared to existing methods.
This paper tackles fair Bayes-optimal classifiers under predictive parity, proving their limitations and proposing a new algorithm.
problem Ensuring fair Bayes-optimal classifiers under predictive parity, especially when group performance levels vary widely.
method Proving the limitations of fair Bayes-optimal classifiers under predictive parity and proposing a new adaptive thresholding algorithm, FairBayes-DPP.
result Fair Bayes-optimal classifiers under predictive parity may not hold if group performance levels vary widely, leading to within-group unfairness.
Study improves dynamic PT fleet optimization under noisy demand predictions.
problem Accurately predicting dynamic public transport demand for effective fleet management.
method Experimental case study in Copenhagen, using linear programming to optimize fleets.
result Optimized fleet performance is mainly affected by noise distribution skew and large errors.
Optimal survival trees ensemble reduces tree count and improves predictive performance.
problem Improving predictive performance in survival analysis.
method Grows a forest of optimal survival trees by ranking and selecting the best trees based on out-of-bag error.
result Reduces the number of trees in the ensemble while improving predictive performance.
We study online prediction of bounded stationary ergodic processes. To do so, we consider the setting of prediction of individual sequences and build a deterministic regression tree that performs asymptotically as well as the best L-Lipschitz constant predictors. Then, we show why the obtained regret bound entails the …
The paper addresses the difficulty of decision makers trusting AI-assisted predictions and proposes a method to improve confidence values.
problem Decision makers struggle to trust AI-assisted predictions based on confidence values.
method The paper investigates why decision makers have difficulties and proposes a method to construct more useful confidence values.
result Multicalibration with respect to the decision maker's confidence on her own predictions is a sufficient condition for alignment, leading to better decisions.
Predictive process monitoring is concerned with the analysis of events produced during the execution of a business process in order to predict as early as possible the final outcome of an ongoing case. Traditionally, predictive process monitoring methods are optimized with respect to accuracy. However, in environments …
We present a powerful general framework for designing data-dependent optimization algorithms, building upon and unifying recent techniques in adaptive regularization, optimistic gradient predictions, and problem-dependent randomization. We first present a series of new regret guarantees that hold at any time and under …
Study identifies key trades predicting market movements.
problem Predicting future market price movements.
method Optimized neural network predictor to identify influential trades.
result Trades with specific characteristics significantly impact future price predictions.
Optimal transport improves multivariate prediction uncertainty quantification.
problem Uncertainty quantification in multivariate learning tasks, especially in regression and classification.
method Introducing a novel Conformal Prediction procedure using optimal transport to handle multivariate score functions and construct flexible prediction regions.
result Ensures finite-sample, distribution-free coverage guarantees for multivariate prediction sets.
Unified approach for optimizing predictions in linear programming and inverse problems.
problem Optimizing predictions in linear programming and inverse problems.
method Maximum optimality margin approach.
result Unified approach that balances computational efficiency and theoretical properties.
Paper integrates LLMs into portfolio optimization to improve decision quality.
problem Suboptimal portfolio decisions due to mismatch between prediction and decision quality.
method Integrates LLMs with decision-focused learning, using attention mechanism to process asset relationships and macro variables.
result Model consistently outperforms state-of-the-art deep learning models in portfolio optimization.
This paper addresses a novel data science problem, prescriptive price optimization, which derives the optimal price strategy to maximize future profit/revenue on the basis of massive predictive formulas produced by machine learning. The prescriptive price optimization first builds sales forecast formulas of multiple pr…
OTCP extends conformal prediction to multivariate data using optimal transport.
problem Uncertainty quantification in multivariate machine learning models.
method OTCP leverages optimal transport to rank multivariate conformity scores.
result Preserves distribution-free coverage guarantees in multidimensional settings.
We propose to prune a random forest (RF) for resource-constrained prediction. We first construct a RF and then prune it to optimize expected feature cost & accuracy. We pose pruning RFs as a novel 0-1 integer program with linear constraints that encourages feature re-use. We establish total unimodularity of the constra…
A new approach integrates inventory prediction and routing optimization for better supply chain management.
problem Optimizing efficient route selection in supply chain management with uncertain inventory demand.
method Decision-focused learning approach using neural networks to directly integrate inventory prediction and routing optimization.
result Direct integration of inventory prediction and routing optimization leads to better supply chain decisions.
Proposes a new method to learn representations directly optimized for a task.
problem Learning representations optimized for unrelated tasks.
method Jointly learns representation and prediction function for a specific task.
result Learned representations outperform pre-trained ones and are more sample-efficient.
Improved stock price prediction using LSTM with customized loss function and analyst calls.
problem Forecasting stock prices using LSTM neural networks.
method Customized LSTM model with improved loss function, analyst calls integration, and attention units.
result Improved performance of LSTM model over ARIMA for stock price prediction.
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process X(t) and a \emph{predictive mean-field} backward SDE (BSDE) in the unknowns Y(t),Z(t),K(t,⋅). The driver of …