arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1805.09293cs.LGmath.OCstat.ML
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学习优化上下文约束问题的实时的决策生成

Learning to Optimize Contextually Constrained Problems for Real-Time Decision-Generation

University of Toronto(多伦多大学);York University(约克大学)

Aaron Babier, Timothy C. Y. Chan, Adam Diamant, Rafid Mahmood

摘要:

学习解决优化问题的主题已经引起了运筹学和机器学习社区的兴趣。在这项工作中,我们结合这两个领域的技术,以解决学习的问题,以产生决策的情况下,连续优化问题的可行集与上下文功能不同。我们提出了一个新的框架,用于训练生成模型,通过结合内点方法和对抗学习来估计最优决策,我们进一步将其嵌入到数据生成算法中。我们的模型生成的决策满足样本内和样本外的最优性保证。最后,我们研究了组合优化和个性化治疗设计的案例研究,证明了我们的方法分别优于预测然后优化和监督深度学习技术。

英文摘要:

The topic of learning to solve optimization problems has received interest from both the operations research and machine learning communities. In this work, we combine techniques from both fields to address the problem of learning to generate decisions to instances of continuous optimization problems where the feasible set varies with contextual features. We propose a novel framework for training a generative model to estimate optimal decisions by combining interior point methods and adversarial learning, which we further embed within an data generation algorithm. Decisions generated by our model satisfy in-sample and out-of-sample optimality guarantees. Finally, we investigate case studies in portfolio optimization and personalized treatment design, demonstrating that our approach yields advantages over predict-then-optimize and supervised deep learning techniques, respectively.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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