We introduce the concept of decision-focused surrogate modeling for solving computationally challenging nonlinear optimization problems in real-time settings. The proposed data-driven framework seeks to learn a simpler, e.g. convex, surrogate optimization model that is trained to minimize the decision prediction error, which is defined as the difference between the optimal solutions of the original and the surrogate optimization models. The learning problem, formulated as a bilevel program, can be viewed as a data-driven inverse optimization problem to which we apply a decomposition-based solution algorithm from previous work. We validate our framework through numerical experiments involving the optimization of common nonlinear chemical processes such as chemical reactors, heat exchanger networks, and material blending systems. We also present a detailed comparison of decision-focused surrogate modeling with standard data-driven surrogate modeling methods and demonstrate that our approach is significantly more data-efficient while producing simple surrogate models with high decision prediction accuracy.

我们引入了决策为中心的替代建模的概念，以解决实时环境下的计算困难的非线性优化问题。所提出的数据驱动框架旨在学习一个更简单的，例如凸优化模型，该模型经过训练以最小化决策预测误差，该误差定义为原始优化模型和替代优化模型的最优解之间的差异。我们将学习问题作为双层规划问题来进行建模，可以看作是一个数据驱动的逆优化问题，我们采用之前工作中的分解型解决算法进行处理。我们通过涉及常见非线性化学过程（如化学反应器、热交换网络和物料混合系统）的数值实验验证了我们的框架。我们还详细比较了以决策为中心的替代建模和标准的数据驱动替代建模方法，并证明了我们的方法在产生简单的替代模型且预测决策准确性更高方面具有显著的数据效率。

数据驱动的决策聚焦代理建模