论文标题

SIMPO:同时预测和优化

SimPO: Simultaneous Prediction and Optimization

论文作者

Zhang, Bing, Ong, Yuya Jeremy, Nakamura, Taiga

论文摘要

许多机器学习(ML)模型都集成在较大系统的上下文中,这是决策过程的关键组件的一部分。具体而言,通常使用预测模型来估计用于优化模型作为隔离过程的输入值的参数。传统上,预测模型首先构建,然后使用模型输出来分别生成决策值。但是,通常情况下,与优化过程独立于训练的预测值会产生亚最佳解决方案。在本文中,我们为同时预测和优化(SIMPO)框架提出了一种公式。该框架介绍了决策驱动的预测ML模型和优化目标函数的联合加权损失的使用,该函数通过基于梯度的方法直接对端到端进行优化。

Many machine learning (ML) models are integrated within the context of a larger system as part of a key component for decision making processes. Concretely, predictive models are often employed in estimating the parameters for the input values that are utilized for optimization models as isolated processes. Traditionally, the predictive models are built first, then the model outputs are used to generate decision values separately. However, it is often the case that the prediction values that are trained independently of the optimization process produce sub-optimal solutions. In this paper, we propose a formulation for the Simultaneous Prediction and Optimization (SimPO) framework. This framework introduces the use of a joint weighted loss of a decision-driven predictive ML model and an optimization objective function, which is optimized end-to-end directly through gradient-based methods.

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