Predict and Optimize: Through the Lens of Learning to Rank
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In the last years predict-and-optimize approaches (Elmachtoub and Grigas 2021; Wilder, Dilkina, and Tambe 2019) have received increasing attention. These problems have the settings where the predictions of predictive machine learning (ML) models are fed to downstream optimization problems for decision making. Predict-and-optimize approaches propose to train the ML models, often neural network models, by directly optimizing the quality of decisions made by the optimization solvers. However, one major bottleneck of predict-and-optimize approaches is solving the optimization problem for each training instance at every epoch. To address this challenge, Mulamba et al. (2021) propose noise contrastive estimation by caching feasible solutions. In this work, we show the noise contrastive estimation can be considered a case of learning to rank the solution cache. We also develop pairwise and listwise ranking loss functions, which can be differentiated in closed form without the need of solving the optimization problem. By training with respect to these surrogate loss function, we empirically show that we are able to minimize the regret of the predictions.
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