有限数据下提升预测-优化决策效果,防止预测偏差过大。
DFF: Decision-Focused Fine-tuning for Smarter Predict-then-Optimize with Limited Data
- 用约束优化修正预测偏差,保持原模型接近性
- 在小数据下仍能控制预测偏移,提升决策质量
- 适配多种模型,适合实际决策场景应用
决策聚焦微调(DFF)通过引入偏差校正模块,将决策聚焦学习(DFL)嵌入预测-优化(PO)框架。针对小样本下决策损失易导致预测偏离物理意义的问题,DFF构建受限优化问题,在预设信任区域内保持优化后模型与原始预测模型的接近性。理论证明,即使数据有限,该方法也能严格将预测偏差控制在预定上限内,显著减少决策损失带来的预测漂移。实验在合成与真实数据集上验证了其有效性,涵盖网络流、投资组合优化与资源分配任务,使用不同预测模型均显示:不仅提升决策性能,且满足微调约束,展现出对多种任务的强适应性。
原文摘要 · Abstract (English)
Decision-focused learning (DFL) offers an end-to-end approach to the predict-then-optimize (PO) framework by training predictive models directly on decision loss (DL), enhancing decision-making performance within PO contexts. However, the implementation of DFL poses distinct challenges. Primarily, DL can result in deviation from the physical significance of the predictions under limited data. Additionally, some predictive models are non-differentiable or black-box, which cannot be adjusted using gradient-based methods. To tackle the above challenges, we propose a novel framework, Decision-Focused Fine-tuning (DFF), which embeds the DFL module into the PO pipeline via a novel bias correction module. DFF is formulated as a constrained optimization problem that maintains the proximity of the DL-enhanced model to the original predictive model within a defined trust region. We theoretically prove that DFF strictly confines prediction bias within a predetermined upper bound, even with limited datasets, thereby substantially reducing prediction shifts caused by DL under limited data. Furthermore, the bias correction module can be integrated into diverse predictive models, enhancing adaptability to a broad range of PO tasks. Extensive evaluations on synthetic and real-world datasets, including network flow, portfolio optimization, and resource allocation problems with different predictive models, demonstrate that DFF not only improves decision performance but also adheres to fine-tuning constraints, showcasing robust adaptability across various scenarios.
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