arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2003.00360cs.LGmath.OCstat.ML
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预测-优化框架下的决策决策树

Decision Trees for Decision-Making under the Predict-then-Optimize Framework

Amazon(亚马逊)

Adam N. Elmachtoub, Jason Cheuk Nam Liang, Ryan McNellis

摘要:

我们考虑使用决策树的预测,然后优化框架下的决策问题。也就是说,我们希望首先使用决策树来预测优化问题的未知输入参数,然后通过使用预测的参数解决优化问题来做出决策。该框架中的自然损失函数是测量由预测的输入参数引起的决策的次优性,而不是使用输入参数预测误差来测量损失。这种自然的损失函数在文献中被称为智能预测然后优化(SPO)损失,我们提出了一种易于处理的方法,称为SPO树(SPOTs),用于在这种损失下训练决策树。SPOT受益于决策树的可解释性,提供了一个可解释的上下文特征分割成组,具有不同的最佳解决方案的优化问题的兴趣。我们进行了几个数值实验的合成和真实的数据,包括预测旅行时间的最短路径问题和预测点击概率的新闻文章推荐。我们在这些数据集上证明,SPOT同时提供了比其他机器学习方法(例如,CART)训练以最小化预测误差。

英文摘要:

We consider the use of decision trees for decision-making problems under the predict-then-optimize framework. That is, we would like to first use a decision tree to predict unknown input parameters of an optimization problem, and then make decisions by solving the optimization problem using the predicted parameters. A natural loss function in this framework is to measure the suboptimality of the decisions induced by the predicted input parameters, as opposed to measuring loss using input parameter prediction error. This natural loss function is known in the literature as the Smart Predict-then-Optimize (SPO) loss, and we propose a tractable methodology called SPO Trees (SPOTs) for training decision trees under this loss. SPOTs benefit from the interpretability of decision trees, providing an interpretable segmentation of contextual features into groups with distinct optimal solutions to the optimization problem of interest. We conduct several numerical experiments on synthetic and real data including the prediction of travel times for shortest path problems and predicting click probabilities for news article recommendation. We demonstrate on these datasets that SPOTs simultaneously provide higher quality decisions and significantly lower model complexity than other machine learning approaches (e.g., CART) trained to minimize prediction error.

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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