End-to-end Stochastic Optimization with Energy-based Model

Decision-focused learning (DFL) was recently proposed for stochastic optimization problems that involve unknown parameters. By integrating predictive modeling with an implicitly differentiable optimization layer, DFL has shown superior performance to the standard two-stage predict-then-optimize pipeline. However, most existing DFL methods are only applicable to convex problems or a subset of nonconvex problems that can be easily relaxed to convex ones. Further, they can be inefficient in training due to the requirement of solving and differentiating through the optimization problem in every training iteration. We propose SO-EBM, a general and efficient DFL method for stochastic optimization using energy-based models.