Proceedings

An Inverse Optimization Approach to Contextual Inverse Optimization

Yasunari Hikima, Naoyuki Kamiyama

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Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence. Main Track. Pages 5354-5362.

https://doi.org/10.24963/ijcai.2025/596

Keywords

  • Machine Learning: ML: Supervised Learning
  • Machine Learning: ML: Optimization
  • Constraint Satisfaction and Optimization: CSO: Mixed discrete and continuous optimization

Abstract

Contextual Inverse Optimization (CIO) is a generalized framework of the predict-then-optimize approach, also referred to as decision-focused learning or contextual optimization, aiming to learn a model that predicts the unknown parameters of a nominal optimization problem using related covariates without compromising the solution quality. Unlike the predict-then-optimize approach, which assumes access to datasets containing realized unknown parameters, CIO considers a setting where only historical optimal solutions are available. Previous work has primarily focused on CIO under linear programming problems and proposed methods based on optimality conditions. In this study, we propose a general algorithm based on inverse optimization as a more general approach that does not require optimality conditions. To validate its effectiveness, we apply the proposed method to multiple CIO problems and demonstrate that it performs comparably to or better than existing predict-then-optimize methods, even without ground-truth unknown parameters.

Yasunari Hikima, and Naoyuki Kamiyama. 2025. An Inverse Optimization Approach to Contextual Inverse Optimization. In Proceedings of the Thirty-Fourth International Joint Conference on Artificial Intelligence, IJCAI-25. IJCAI, 5354–5362. https://doi.org/10.24963/ijcai.2025/596
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