1 — 14:00 — Towards Robust and Risk-aware Contextual Optimization
Recently there has been a surge of interest in operations research (OR) and the machine learning (ML) community in combining prediction algorithms and optimization techniques to solve decision-making problems in the face of uncertainty. This gave rise to the field of contextual optimization, under which data-driven procedures are developed to prescribe actions to the decision-maker that make the best use of the most recently updated information. A large variety of models and methods have been presented in both OR and ML literature under a variety of names, including data-driven optimization, prescriptive optimization, predictive stochastic programming, policy optimization, (smart) predict/estimate-then-optimize, decision-focused learning, (task-based) end-to-end learning/forecasting/optimization, etc. The first part of the talk will identify three main frameworks for learning policies from data and sort out the literature that has pioneered this emerging field. The second part of the talk will present an overview of our groups efforts towards making contextual optimization methods more robust and risk-aware in each of these frameworks.