The combination of machine learning (for prediction) and optimization (for decision-making) is increasingly used in practice. However, a key challenge is the need to align the loss function used to train the machine learning model with the decision loss associated with the downstream optimization problem. Traditional solutions have limited flexibility in the model architecture and/or scale poorly to large datasets. We propose a principled decision-aware learning algorithm that uses a novel Taylor expansion of the optimal decision loss to derive the machine learning loss. Importantly, our approach only requires a simple re-weighting of the training data, allowing it to flexibly and scalably be incorporated into complex modern data science pipelines, yet producing sizable efficiency gains. We apply our framework to optimize the distribution of essential medicines in collaboration with policymakers at the Sierra Leone National Medical Supplies Agency; highly uncertain demand and limited budgets currently result in excessive unmet demand. We leverage random forests with meta-learning to learn complex cross-correlations across facilities, and apply our decision-aware learning approach to align the prediction loss with the objective of minimizing unmet demand. Out-of-sample results demonstrate that our end-to-end approach significantly reduces unmet demand across 1000+ health facilities throughout Sierra Leone. Joint work with O. Bastani, T.-H. Chung and V. Rostami.
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