Home Events OPTIMA Seminar 7 September 2022 16:00 IN PERSON

Date

Sep 07 2022

Time

AEST AUSTRALIA
4:00 pm - 5:00 pm

Cost

$0

OPTIMA Seminar 7 September 2022 16:00 IN PERSON

Speaker: Dr Nam Ho-Nguyen, University of Sydney

Title: Risk Guarantees for End-to-End Prediction and Optimization Processes

Synopsis: Prediction methods are often employed to estimate parameters of optimization models. Although the goal in an end-to-end framework is to achieve good performance on the subsequent optimization model, a formal understanding of the ways in which prediction methods can affect optimization performance is notably lacking. We identify conditions on prediction methods that can guarantee good optimization performance. We provide two types of results: asymptotic guarantees under a well-known Fisher consistency criterion and non-asymptotic performance bounds under a more stringent criterion. We use these results to analyse optimization performance for several existing prediction methods and show that in certain settings, methods tailored to the optimization problem can fail to guarantee good performance. Conversely, optimization-agnostic methods can sometimes, surprisingly, have good guarantees. In a computational study on portfolio optimization, fractional knapsack, and multiclass classification problems, we compare the optimization performance of several prediction methods. We demonstrate that lack of Fisher consistency of the prediction method can indeed have a detrimental effect on performance.

WED 07 SEPTEMBER 4PM – 5PM AEST MELBOURNE – IN PERSON

Please attend in-person to support our speaker.

Melbourne Connect 700 Swanston St

Manhari Room, Level 7, 7212

ZOOM MEETING ID: 873 1557 5255; PASSWORD: 778635

More Info

ZOOM LINK

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Date

Sep 07 2022
OPTIMA

Advancing an industry-ready optimisation toolkit, while training a new generation of industry practitioners and over 120 young researchers, who will vanguard a highly skilled workforce of change agents for industrial transformation.

Monash University
Clayton, Victoria, 3080
Australia

University of Melbourne
Parkville, Victoria, 3010
Australia

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