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.
Design of near optimal decision rules in multistage adaptive mixed-integer optimization.Operations Research, 63(3):610–627, 2015
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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.