让生成模型更懂决策,减少关键场景误差
Decision-Weighted Flow Matching for Contextual Stochastic Optimization

- 用决策敏感区域重加权生成过程,对齐下游优化目标
- 在三种金融与交通任务中,显著降低风险决策的后悔值
- 适合关注生成模型在实际决策中表现的研究者
条件生成模型正被广泛用于随机优化中的情景生成,但标准训练目标侧重于整体分布拟合,而非生成情景对最终决策的影响。这导致目标错位:统计常见区域的误差对决策后悔影响小,而决策敏感区域的误差却可能大幅改变最优策略。本文提出决策加权流匹配(DW-FM),在保持流匹配简洁性的同时,利用决策敏感的终点信息重新加权速度回归目标。理论上,我们通过路径速度不匹配建立下游后悔与损失的联系,并借助伴随传输论证,推导出理想的后悔对齐代理损失及具有后悔保证的终点加权目标。实验上,在三个基于CVaR的上下文随机优化基准任务(包括合成投资组合、半真实金融数据和交通-CVaR)中,DW-FM均显著优于标准基线,有效降低下游决策后悔值。
原文摘要 · Abstract (English)
Conditional generative models are increasingly used as scenario generators for stochastic optimization, but standard training objectives emphasize uniform distributional fit rather than the downstream decisions induced by generated scenarios. This creates an objective mismatch: errors in statistically common regions may have little effect on decision regret, whereas errors in decision-sensitive regions can substantially change the optimal action. We propose Decision-Weighted Flow Matching (DW-FM), a regret-aligned training framework that preserves the simplicity of standard flow matching while reweighting its velocity-regression objective using decision-sensitive endpoint information. Theoretically, we connect downstream regret to pathwise velocity mismatch through a loss-induced decision discrepancy and an adjoint transport argument, yielding an ideal regret-aligned surrogate and practical endpoint-weighted objectives with regret guarantees. Empirically, we demonstrate the effectiveness of DW-FM on three CVaR-based contextual stochastic optimization benchmarks spanning synthetic portfolio, semi-real financial, and traffic-CVaR tasks, where DW-FM improves downstream regret over standard baselines.
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