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Automatic Loss Function Search for Predict-Then-Optimize Problems with Strong Ranking Property

Combinatorial optimization problems with parameters to be predicted from side information are commonly seen in a variety of problems during the paradigm shifts from reactive decision making to proactive decision making. Due to the misalignment between the continuous prediction results and the discrete decisions in optimization problems, it is hard to achieve a satisfactory prediction result with the ordinary l2 loss in the prediction phase. To properly connect the prediction loss with the optimization goal, in this paper we propose a total group preorder (TGP) loss and its differential version called approximate total group preorder (ATGP) loss for predict-then-optimize (PTO) problems with strong ranking property. These new losses are provably more robust than the usual l2 loss in a linear regression setting and have great potential to extend to other settings. We also propose an automatic searching algorithm that adapts the ATGP loss to PTO problems with different combinatorial structures. Extensive experiments on the ranking problem, the knapsack problem, and the shortest path problem have demonstrated that our proposed method can achieve a significantly better performance compared to the other methods designed for PTO problems.