arXiv:2509.08359cs.LG2025-09被引 2

用预测损失引导决策优化,提升稳定性和效果

Prediction Loss Guided Decision-Focused Learning

  • 用预测损失梯度调整决策损失梯度,构建更优更新方向
  • 在三个随机优化问题上,相比基线降低后悔值且训练更稳定
  • 无需额外训练,可适配任意决策聚焦学习求解器

不确定性下的决策通常分为两步:先预测未知参数,再基于预测优化决策。传统预测聚焦学习(PFL)分步处理,而决策聚焦学习(DFL)通过端到端优化决策质量来训练预测模型。然而,原始DFL因损失函数平坦且尖锐,常出现收敛不稳定问题。相比之下,PFL虽稳定但忽略下游决策质量。为此,本文提出一种简单有效的方法:利用预测损失梯度扰动决策损失梯度,构造更新方向。该方法无需额外训练,可与任意DFL求解器结合。通过引入类似Sigmoid的衰减参数,使预测损失梯度引导决策损失梯度,从而训练出优化决策质量的预测模型。我们还提供了在温和假设下的理论收敛保证,指向帕累托驻点。实验表明,该方法在三个随机优化问题上表现优异,相比其他基线显著降低后悔值,且在PFL或DFL单独表现不佳时仍保持稳定。

原文摘要 · Abstract (English)

Decision-making under uncertainty is often considered in two stages: predicting the unknown parameters, and then optimizing decisions based on predictions. While traditional prediction-focused learning (PFL) treats these two stages separately, decision-focused learning (DFL) trains the predictive model by directly optimizing the decision quality in an end-to-end manner. However, despite using exact or well-approximated gradients, vanilla DFL often suffers from unstable convergence due to its flat-and-sharp loss landscapes. In contrast, PFL yields more stable optimization, but overlooks the downstream decision quality. To address this, we propose a simple yet effective approach: perturbing the decision loss gradient using the prediction loss gradient to construct an update direction. Our method requires no additional training and can be integrated with any DFL solvers. Using the sigmoid-like decaying parameter, we let the prediction loss gradient guide the decision loss gradient to train a predictive model that optimizes decision quality. Also, we provide a theoretical convergence guarantee to Pareto stationary point under mild assumptions. Empirically, we demonstrate our method across three stochastic optimization problems, showing promising results compared to other baselines. We validate that our approach achieves lower regret with more stable training, even in situations where either PFL or DFL struggles.

决策学习优化算法稳定训练

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