Fast Rates for Contextual Linear Optimization

11/05/2020
by   Yichun Hu, et al.
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Incorporating side observations of predictive features can help reduce uncertainty in operational decision making, but it also requires we tackle a potentially complex predictive relationship. Although one may use a variety of off-the-shelf machine learning methods to learn a predictive model and then plug it into our decision-making problem, a variety of recent work has instead advocated integrating estimation and optimization by taking into consideration downstream decision performance. Surprisingly, in the case of contextual linear optimization, we show that the naive plug-in approach actually achieves regret convergence rates that are significantly faster than the best-possible by methods that directly optimize down-stream decision performance. We show this by leveraging the fact that specific problem instances do not have arbitrarily bad near-degeneracy. While there are other pros and cons to consider as we discuss, our results highlight a very nuanced landscape for the enterprise to integrate estimation and optimization.

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