Smart sampling approaches for Decision-Focused Learning

Many real-word decision- making problems are defined based on forecast parameters: for example, one may plan an urban route by relying on traffic predictions. In these cases, the conventional approach consists in training a predictor and then solving an optimization problem. This may be problematic since mistakes made by the predictor may trick the optimizer into taking dramatically wrong decisions. Recently, the field of Decision-Focused Learning overcomes this limitation by merging the two stages at training time, so that predictions are rewarded and penalized based on their outcome in the optimization problem. There are however still significant challenges toward a widespread adoption of the method, mostly related to the limitation in terms of generality and scalability. One possible solution for dealing with the second problem is introducing a caching-based approach, to speed up the training process. This project aims to investigate these techniques, in order to reduce even more, the solver calls. For each considered method, we designed a particular smart sampling approach, based on their characteristics. In the case of the SPO method, we ended up discovering that it is only necessary to initialize the cache with only several solutions; those needed to filter the elements that we still need to properly learn. For the Blackbox method, we designed a smart sampling approach, based on inferred solutions.