Contextual Decision Making: Predictive or Generative

Contextual decision making uses observed covariates to guide decisions under uncertainty. Two natural approaches are predict-then-optimize (PtO), which learns the conditional expected objective, and generate-then-optimize (GtO), which learns conditional uncertainty and optimizes using generated scenarios. We study when each approach is preferable by examining how the choice of learning target affects statistical accuracy and optimization tractability. Although PtO learns a narrower target, our regret bounds show how differences in smoothness can offset GtO's additional dimensional burden. Exploiting smoothness also raises an optimization tradeoff: within the class of nonnegative-weight PtO methods studied, a lower bound limits the gains from additional smoothness, while more flexible methods may introduce signed weights and lose the guarantee of preserving convexity. GtO preserves scenario-wise convexity, but requires learning a richer object and generating scenarios for optimization. Synthetic experiments and a real case study illustrate how these tradeoffs vary with data availability and problem structure. Together with the scope for reusing a model across tasks, our findings provide practical guidance for choosing between the approaches without identifying a universal winner.