Seminar Series

2024 - 2025

Speaker: Victor Bucarey Lopez (U of O'Higgins, Chile).

Title: “Decision-focused predictions via pessimistic bilevel optimization: complexity and algorithms ”.

joint with Sophia Calderon (U of O'Higgins), Gonzalo Munoz (U of Chile) and Frédéric Semet (U of Lille)

 Date: Tuesday, 11 February at 12h00 (Paris Time).

Abstract: Dealing with uncertainty in optimization parameters is an important and longstanding challenge. Typically, uncertain parameters are predicted accurately, and then a deterministic optimization problem is solved. However, the decisions produced by this so-called predict-then-optimize procedure can be highly sensitive to uncertain parameters. In this work, we contribute to recent efforts in producing decision-focused predictions, i.e., to build predictive models that are constructed with the goal of minimizing a regret measure on the decisions taken with them. We begin by formulating the exact expected regret minimization as a pessimistic bilevel optimization model. Then, we establish NP-completeness of this problem in a heavily restricted case. Using duality arguments, we reformulate it as a non-convex quadratic optimization problem. Finally, leveraging the quadratic reformulation, we show various computational techniques to achieve empirical tractability. We report extensive computational results on shortest-path and bipartite matching instances with uncertain cost vectors. Our results indicate that our approach can improve training performance over the approach of Elmachtoub and Grigas (2022), a state-of-the-art method for decision-focused learning

Here are links to the speaker’s website, the FEELab website:

https://sites.google.com/site/vbucarey/

https://sites.google.com/view/tepreme/home

You are cordially invited to participate in the following seminar of the FEELab, which will take place in Room 321, Lascrosses building.

For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr