A non-anticipative learning-optimization framework for solving multi-stage stochastic programs
Dogacan Yilmaz,
İ. Esra Büyüktahtakın
Abstract:We present a non-anticipative learning- and scenario-based prediction-optimization (ScenPredOpt) framework that combines deep learning, heuristics, and mathematical solvers for solving combinatorial problems under uncertainty. Specifically, we transform neural machine translation frameworks to predict the optimal solutions of scenario-based multi-stage stochastic programs. The learning models are trained efficiently using the input and solution data of the multi-stage single-scenario deterministic problems. Th… Show more
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