Publication

End-to-End Learning for Stochastic Optimization: A Bayesian Perspective

Daniel Kuhn, Tobias Sutter, Yves Rychener
2023
Conference Papers

Abstract

We develop a principled approach to end-to-end learning in stochastic optimization. First, we show that the standard end-to-end learning algorithm admits a Bayesian interpretation and trains a posterior Bayes action map. Building on the insights of this analysis, we then propose new end-to-end learning algorithms for training decision maps that output solutions of empirical risk minimization and distributionally robust optimization problems, two dominant modeling paradigms in optimization under uncertainty. Numerical results for a synthetic newsvendor problem illustrate the key differences between alternative training schemes. We also investigate an economic dispatch problem based on real data to showcase the impact of the neural network architecture of the decision maps on their test performance.

Official source

https://infoscience.epfl.ch/entities/publication/078d8a66-8828-4ad2-a27a-3b446b77a68e

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Daniel Kuhn, Tobias Sutter, Yves Rychener
2023
Conference Papers

Abstract

Official source

https://infoscience.epfl.ch/entities/publication/078d8a66-8828-4ad2-a27a-3b446b77a68e

About this result

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