The predict-then-optimize framework is fundamental in practical stochastic decision-making problems: first predict unknown parameters of an optimization model, then solve the problem using the predicted values. A natural loss function in this setting is defined by measuring the decision error induced by the predicted parameters, which was named the Smart Predict-then-Optimize (SPO) loss by Elmachtoub and Grigas [2021]. Since the SPO loss is typically nonconvex and possibly discontinuous, Elmachtoub and Grigas [2021] introduced a convex surrogate, called the SPO+ loss, that importantly accounts for the underlying structure of the optimization model. In this paper, we greatly expand upon the consistency results for the SPO+ loss provided by Elmachtoub and Grigas [2021]. We develop risk bounds and uniform calibration results for the SPO+ loss relative to the SPO loss, which provide a quantitative way to transfer the excess surrogate risk to excess true risk. By combining our risk bounds with generalization bounds, we show that the empirical minimizer of the SPO+ loss achieves low excess true risk with high probability. We first demonstrate these results in the case when the feasible region of the underlying optimization problem is a polyhedron, and then we show that the results can be strengthened substantially when the feasible region is a level set of a strongly convex function. We perform experiments to empirically demonstrate the strength of the SPO+ surrogate, as compared to standard $\ell_1$ and squared $\ell_2$ prediction error losses, on portfolio allocation and cost-sensitive multi-class classification problems.

The predict-then-optimize framework is fundamental in practical stochastic decision-making problems: first predict unknown parameters of an optimization model, then solve the problem using the predicted values. A natural loss function in this setting is defined by measuring the decision error induced by the predicted parameters, which was named the Smart Predict-then-Optimize (SPO) loss by Elmachtoub and Grigas [2021]. Since the SPO loss is typically nonconvex and possibly discontinuous, Elmachtoub and Grigas [2021] introduced a convex surrogate, called the SPO loss, that importantly accounts for the underlying structure of the optimization model. In this paper, we greatly expand upon the consistency results for the SPO loss provided by Elmachtoub and Grigas [2021]. We develop risk bounds and uniform calibration results for the SPO loss relative to the SPO loss, which provide a quantitative way to transfer the excess surrogate risk to excess true risk.

We study an online contextual decision-making problem with resource constraints. At each time period, the decision-maker first predicts a reward vector and resource consumption matrix based on a given context vector and then solves a downstream optimization problem to make a decision. The final goal of the decision-maker is to maximize the summation of the reward and the utility from resource consumption, while satisfying the resource constraints. We propose an algorithm that mixes a prediction step based on the "Smart Predict-then-Optimize (SPO)" method with a dual update step based on mirror descent. We prove regret bounds and demonstrate that the overall convergence rate of our method depends on the $\mathcal{O}(T^{-1/2})$ convergence of online mirror descent as well as risk bounds of the surrogate loss function used to learn the prediction model. Our algorithm and regret bounds apply to a general convex feasible region for the resource constraints, including both hard and soft resource constraint cases, and they apply to a wide class of prediction models in contrast to the traditional settings of linear contextual models or finite policy spaces. We also conduct numerical experiments to empirically demonstrate the strength of our proposed SPO-type methods, as compared to traditional prediction-error-only methods, on multi-dimensional knapsack and longest path instances.