JANOS is an integrated predictive and prescriptive modeling framework. It seamlessly integrates two streams of analytics, for the first time allowing researchers and practitioners to embed machine learning models in an optimization framework.
JANOS allows specifying a prescriptive model using standard optimization modeling elements such as constraints and variables. The key novelty lies in providing modeling constructs that allow for the specification of commonly used predictive models and their features as constraints and variables in the optimization model. JANOS considers two sets of decision variables: regular and predicted. The relationship between the regular and predicted variables are specified as pre-trained predictive models.