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Benchmarking PtO and PnO Methods in the Predictive Combinatorial Optimization Regime

NeurIPS 2024 · Probabilistic and scientific modeling › Molecules and proteins · approach: Machine learning for physical simulation · 3 citations (OpenAlex)

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Benchmarks 11 predict-then-optimize (PtO) and predict-and-optimize (PnO) methods across 8 predictive combinatorial optimization problems in a modular framework, and releases a new industrial combinatorial advertising dataset.

Problem

Predictive combinatorial optimization, where objective coefficients are unknown at decision time, lacks a systematic benchmark comparing two-stage PtO and end-to-end PnO methods and a real-world evaluation dataset.

Approach

Categorizes PnO methods by how the discrete/continuous solution gradient is handled (discrete, continuous, statistical, surrogate) and implements them in one modular framework with unified predictors, solvers, losses and evaluations, plus a new industrial combinatorial advertising dataset.

Key results

Measured effects reported in the paper

What was changedWhereMeasuredEffect
use listwise-LTR instead of Two-stageKnapsack (Gen) · Knapsack (Gen)regret (%): 6.595 -> 6.031Helped
use listwise-LTR instead of Two-stageKnapsack (Energy) · Knapsack (Energy)regret (%): 8.745 -> 8.083Helped
use SPO instead of Two-stageEnergy scheduling · Scheduling (Energy)regret (%): 1.793 -> 1.505Helped
use SPO instead of Two-stageBudget Allocation · Budget Allocationregret (%): 20.332 -> 5.559Helped
use LODL instead of Two-stageTopK (Cubic) · TopK (Cubic)regret (%): 0.110 -> 0.172Hurt
use pointwise-LTR instead of Two-stageBipartite Matching · Bipartite Matchingregret (%): 92.963 -> 91.035Helped
use LODL instead of Two-stagePortfolio optimization · Portfolioregret: 0.243 -> 0.160Helped
train with Identity instead of Two-stageCombinatorial Advertising · Combinatorial Advertisinguplift: 0.069 -> 0.135Helped
warm up with PtO MSE training, then fine-tune with Blackbox PnO (ablation)Blackbox · 7 benchmark datasetsregretMixed
warm up with PtO MSE training, then fine-tune with Identity PnO (ablation)Identity · 7 benchmark datasetsregretMixed
increase knapsack capacity from 30 to 60 and 90 (ablation)Knapsack (Gen) methods · Knapsack (Gen), capacity sensitivityregretMixed
increase the number of decision variables (ablation)Knapsack (Gen) methods · Knapsack (Gen), variable-size sensitivityregretMixed

Surprising findings

Limitations

Experimental setup

Datasets: SEMO Yahoo! Webscope Cora Quandl Generated knapsack and cubic top-k

Benchmarks: Knapsack (Gen) Knapsack (Energy) Energy scheduling Budget allocation Cubic Top-K Bipartite matching Portfolio optimization Combinatorial advertising

Metrics: relative regret (%) uplift train time test time

Baselines: Two-stage DFL Blackbox Identity CPLayer SPO NCE LTR LODL

Builds on: SPO Blackbox OptNet LODL NCE

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