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Poster

Robust Data-driven Prescriptiveness Optimization

Mehran Poursoltani · Erick Delage · Angelos Georghiou

Hall C 4-9 #1102
[ ] [ Paper PDF ]
[ Slides [ Poster
Tue 23 Jul 4:30 a.m. PDT — 6 a.m. PDT

Abstract:

The abundance of data has led to the emergence of a variety of optimization techniques that attempt to leverage available side information to provide more anticipative decisions. The wide range of methods and contexts of application have motivated the design of a universal unitless measure of performance known as the coefficient of prescriptiveness. This coefficient was designed to quantify both the quality of contextual decisions compared to a reference one and the prescriptive power of side information. To identify policies that maximize the former in a data-driven context, this paper introduces a distributionally robust contextual optimization model where the coefficient of prescriptiveness substitutes for the classical empirical risk minimization objective. We present a bisection algorithm to solve this model, which relies on solving a series of linear programs when the distributional ambiguity set has an appropriate nested form and polyhedral structure. Studying a contextual shortest path problem, we evaluate the robustness of the resulting policies against alternative methods when the out-of-sample dataset is subject to varying amounts of distribution shift.

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