With the increasing popularity of machine learning techniques, it has become common to see prediction algorithms operating within some larger process. However, the criteria by which we train these algorithms often differ from the ultimate criteria on which we evaluate them. This paper proposes an end-to-end approach for learning probabilistic machine learning models in a manner that directly captures the ultimate task-based objective for which they will be used, within the context of stochastic programming. We present three experimental evaluations of the proposed approach: a classical inventory stock problem, a real-world electrical grid scheduling task, and a real-world energy storage arbitrage task. We show that the proposed approach can outperform both traditional modeling and purely black-box policy optimization approaches in these applications.
There has been a great deal of work in recent years on using machine learning procedures to optimize different loss criteria than those naturally'' optimized by the algorithm. For example, and propose methods for optimizing loss criteria in structured prediction that are from the inference procedure of the prediction algorithm; this work has also recently been extended to deep networks . Recent work has also explored using auxiliary prediction losses to satisfy multiple objectives @cite_22 , learning dynamics models that maximize control performance in Bayesian optimization @cite_15 , and learning adaptive predictive models via differentiation through a meta-learning optimization objective @cite_9 .
@cite_9 @cite_15 @cite_22
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In discriminative machine learning one is interested in training a system to optimize a certain desired measure of performance, or loss. In binary classification one typically tries to minimizes the error rate. But in structured prediction each task often has its own measure of performance such as the BLEU score in machine translation or the intersection-over-union score in PASCAL segmentation. The most common approaches to structured prediction, structural SVMs and CRFs, do not minimize the task loss: the former minimizes a surrogate loss with no guarantees for task loss and the latter minimizes log loss independent of task loss. The main contribution of this paper is a theorem stating that a certain perceptron-like learning rule, involving features vectors derived from loss-adjusted inference, directly corresponds to the gradient of task loss. We give empirical results on phonetic alignment of a standard test set from the TIMIT corpus, which surpasses all previously reported results on this problem. We introduce a means of automating machine learning (ML) for big data tasks, by performing scalable stochastic Bayesian optimisation of ML algorithm parameters and hyper-parameters. More often than not, the critical tuning of ML algorithm parameters has relied on domain expertise from experts, along with laborious hand-tuning, brute search or lengthy sampling runs. Against this background, Bayesian optimisation is finding increasing use in automating parameter tuning, making ML algorithms accessible even to non-experts. However, the state of the art in Bayesian optimisation is incapable of scaling to the large number of evaluations of algorithm performance required to fit realistic models to complex, big data. We here describe a stochastic, sparse, Bayesian optimisation strategy to solve this problem, using many thousands of noisy evaluations of algorithm performance on subsets of data in order to effectively train algorithms for big data. We provide a comprehensive benchmarking of possible sparsification strategies for Bayesian optimisation, concluding that a Nystrom approximation offers the best scaling and performance for real tasks. Our proposed algorithm demonstrates substantial improvement over the state of the art in tuning the parameters of a Gaussian Process time series prediction task on real, big data. We present an approach to learn a dense pixel-wise labeling from image-level tags. Each image-level tag imposes constraints on the output labeling of a Convolutional Neural Network (CNN) classifier. We propose Constrained CNN (CCNN), a method which uses a novel loss function to optimize for any set of linear constraints on the output space (i.e. predicted label distribution) of a CNN. Our loss formulation is easy to optimize and can be incorporated directly into standard stochastic gradient descent optimization. The key idea is to phrase the training objective as a biconvex optimization for linear models, which we then relax to nonlinear deep networks. Extensive experiments demonstrate the generality of our new learning framework. The constrained loss yields state-of-the-art results on weakly supervised semantic image segmentation. We further demonstrate that adding slightly more supervision can greatly improve the performance of the learning algorithm. We present an approach to learn a dense pixel-wise labeling from image-level tags. Each image-level tag imposes constraints on the output labeling of a Convolutional Neural Network (CNN) classifier. We propose Constrained CNN (CCNN), a method which uses a novel loss function to optimize for any set of linear constraints on the output space (i.e. predicted label distribution) of a CNN. Our loss formulation is easy to optimize and can be incorporated directly into standard stochastic gradient descent optimization. The key idea is to phrase the training objective as a biconvex optimization for linear models, which we then relax to nonlinear deep networks. Extensive experiments demonstrate the generality of our new learning framework. The constrained loss yields state-of-the-art results on weakly supervised semantic image segmentation. We further demonstrate that adding slightly more supervision can greatly improve the performance of the learning algorithm.