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Decision-focused Sparse Tangent Portfolio Optimization
Haeun Jeon, Seunghoon Choi, Hyunglip Bae +2
Sparse tangent portfolio optimization aims to learn an interpretable, low-cardinality portfolio in the tangency direction of the mean-variance frontier. However, the associated car…
Prediction Loss Guided Decision-Focused Learning
Haeun Jeon, Hyunglip Bae, Chanyeong Kim +2
Decision-making under uncertainty is often considered in two stages: predicting the unknown parameters, and then optimizing decisions based on predictions. While traditional predic…
Transformer-based Stagewise Decomposition for Large-Scale Multistage Stochastic Optimization
Chanyeong Kim, Jongwoong Park, Hyunglip Bae +1
Solving large-scale multistage stochastic programming (MSP) problems poses a significant challenge as commonly used stagewise decomposition algorithms, including stochastic dual dy…
Locally Convex Global Loss Network for Decision-Focused Learning
Haeun Jeon, Hyunglip Bae, Minsu Park +2
In decision-making problems under uncertainty, predicting unknown parameters is often considered independent of the optimization part. Decision-focused learning (DFL) is a task-ori…