报告信息
报告题目：JANOS: Integrated Predictive and Prescriptive Modeling Framework
报告时间：2023年9月9日 09:00-10:00
报告地点：必发9988集团 B205
邀请人： 徐照光 副教授 必发9988集团 大数据与智能决策研究中心
报告内容和摘要
Business research practice is witnessing a surge in the integration of predictive modeling and prescriptive analysis. We describe a modeling framework JANOS that seamlessly integrates the two streams of analytics, allowing researchers and practitioners to embed machine learning models in an end-to-end optimization framework. JANOS allows for specifying a prescriptive model using standard optimization modeling elements such as constraints and variables. The key novelty lies in providing modeling constructs that enable the specification of commonly used predictive models within an optimization model, have the features of the predictive model as variables in the optimization model, and incorporate the output of the predictive models as part of the objective. The framework considers two sets of decision variables: regular and predicted. The relationship between the regular and the predicted variables is specified by the user as pretrained predictive models. JANOS currently supports linear regression, logistic regression, and neural network with rectified linear activation functions. In this paper, we demonstrate the flexibility of the framework through an example on scholarship allocation in a student enrollment problem and provide a numeric performance evaluation.
报告人简介
Dr. Teng Huang is an assistant professor at the School of Business at Sun Yat-sen University (Guangzhou, China). She received a Ph.D. in Operations and Information Management from the University of Connecticut School of Business. Her research focuses on methods and applications of integrating machine learning and optimization for better decision-making. She has received research grants from the National Natural Science Foundation of China and the China Postdoctoral Science Foundation. Her research has been published in Production and Operations Management and INFORMS Journal on Computing. She serves as an Associate Editor at Decision Support Systems. Please refer to her website (teng-huang.com) for more fun facts about her.
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