NeurPRISE trains a GNN-Transformer via imitation learning to mimic a lookahead heuristic for scenario reduction in 2RO, delivering 7-200x speedups with competitive regret on three test problems and zero-shot generalization.
K-adaptability in two-stage mixed-integer robust optimization.Mathematical Programming Computation, 12(2):193–224, 2020
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Learning Scenario Reduction for Two-Stage Robust Optimization with Discrete Uncertainty
NeurPRISE trains a GNN-Transformer via imitation learning to mimic a lookahead heuristic for scenario reduction in 2RO, delivering 7-200x speedups with competitive regret on three test problems and zero-shot generalization.