Sparse Linear Surrogates for Interpretable Budget Allocation
Marc Goerigk, Michael Hartisch, Sebastian Merten
Abstract
To address the demand for inherently interpretable optimization methods, we introduce novel linear surrogates for budget allocation problems. These surrogates consist of sparse linear rules that map instances to feature-based representations of solutions. We present an exact approach based on mixed-integer programming as well as a heuristic for their computation. The performance of both approaches is analyzed through computational experiments.
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