arXiv:2608. 15124v1 Announce Type: new Abstract: In contextual optimization, the decision-maker seeks optimal decisions to minimize a cost function, that varies based on observed features.
arXiv:2606. 08797v1 Announce Type: cross Abstract: Decision-focused learning has shown great promise for addressing predict-then-optimize problems, particularly in the presence of under-specified models.
arXiv:2606. 19587v1 Announce Type: cross Abstract: We propose a scalable method for training prediction (machine learning) models in the predict-then-optimize paradigm, where model outputs serve as coefficients for a subsequent linear optimization task.
arXiv:2307. 05213v3 Announce Type: replace-cross Abstract: Many real-world optimization problems contain parameters that are unknown before deployment time, either due to stochasticity or to lack of information (e.
The paper introduces a decision‑focused learning framework for mean‑variance portfolio optimization that embeds the Karush‑Kuhn‑Tucker optimality conditions of the lower‑level optimization into a single‑level learning problem. This approach preserves budget and short‑sale constraints while remaining tractable for standard nonlinear solvers. Experiments on real‑world ETF data across two asset universes demonstrate superior performance on multiple investment metrics and highlight the benefits of the proposed regularization.
arXiv:2607. 21773v1 Announce Type: new Abstract: In this paper, we propose and study a robust variant of the smart predict-then-optimize approach that accounts for prediction shifts due to disturbance in the covariate feature space.
arXiv:2505. 04757v2 Announce Type: replace Abstract: This paper introduces a novel approach to contextual stochastic optimization, integrating operations research and machine learning to address decision-making under uncertainty.
arXiv:2606. 18650v1 Announce Type: new Abstract: As Large Language Model (LLM) datasets scale to trillions of tokens, data selection has emerged as a critical frontier to filter out uninformative noise and construct adaptive learning trajectories.
arXiv:2604. 13130v2 Announce Type: replace Abstract: We study learning to learn through the lens of hyperparameter tuning.
arXiv:2609.36061v1 Announce Type: new Abstract: In quantitative finance, standard regression losses are misaligned with the economics of return prediction. As the conditional mean of financial log-re...
arXiv:2606. 01081v1 Announce Type: new Abstract: Decision-focused learning (DFL) trains predictive models by optimizing downstream decision quality rather than standalone prediction accuracy.
arXiv:2608. 07398v1 Announce Type: cross Abstract: Production planning in the manufacturing industry often relies on the use of optimization models, but defining an appropriate objective function can be a challenge.
The paper introduces a learning-based surrogate approach for stochastic optimization problems where uncertainty depends on the decision, modeled via a nonparametric regression. It constructs a surrogate that embeds iteratively updated Jacobian estimates, using an adaptive random design that focuses sampling near the current iterate to achieve dimension‑independent convergence of the Jacobian estimates. The resulting learning‑based stochastic prox‑linear (L‑SPL) algorithm demonstrates nonasymptotic convergence rates and outperforms existing methods in sample efficiency and objective value in numerical experiments.