arXiv:2505.05261math.OCcs.LG2025-05被引 6

用凸神经网络加速随机规划求解,提升效率且保持精度。

ICNN-enhanced 2SP: Leveraging input convex neural networks for solving two-stage stochastic programming

  • 用输入凸神经网络直接建模决策函数,避免复杂整数规划。
  • 在典型问题上求解速度提升最高达100倍,精度不降反而更高。
  • 适合大规模随机优化场景,尤其适合追求计算效率的研究者。

两阶段随机规划(2SP)为不确定环境下的决策建模提供基础框架,但其可扩展性受限于后继函数评估的计算复杂性。现有基于学习的方法如Neur2SP使用神经网络(NN)作为后继函数的代理,但依赖计算密集的混合整数规划(MIP)形式。本文提出ICNN-enhanced 2SP,利用输入凸神经网络(ICNNs)在凸2SP问题中实现线性规划(LP)可表示性。通过架构强制凸性并借助LP实现精确推理,该方法消除了传统MIP公式中固有的整数变量,同时在2SP框架内精确嵌入ICNN代理模型。实验表明,ICNN训练时间仅略长于标准神经网络,验证精度相当;在基准问题上,求解速度显著优于MIP方法,优势随问题规模增大而增强,在最困难实例中最快达100倍提速,且解决方案质量更优。

原文摘要 · Abstract (English)

Two-stage stochastic programming (2SP) offers a basic framework for modelling decision-making under uncertainty, yet scalability remains a challenge due to the computational complexity of recourse function evaluation. Existing learning-based methods like Neural Two-Stage Stochastic Programming (Neur2SP) employ neural networks (NNs) as recourse function surrogates but rely on computationally intensive mixed-integer programming (MIP) formulations. We propose ICNN-enhanced 2SP, a method that leverages Input Convex Neural Networks (ICNNs) to exploit linear programming (LP) representability in convex 2SP problems. By architecturally enforcing convexity and enabling exact inference through LP, our approach eliminates the need for integer variables inherent to the conventional MIP-based formulation while retaining an exact embedding of the ICNN surrogate within the 2SP framework. This results in a more computationally efficient alternative, and we show that good solution quality can be maintained. Comprehensive experiments reveal that ICNNs incur only marginally longer training times while achieving validation accuracy on par with their standard NN counterparts. Across benchmark problems, ICNN-enhanced 2SP often exhibits considerably faster solution times than the MIP-based formulations while preserving solution quality, with these advantages becoming significantly more pronounced as problem scale increases. For the most challenging instances, the method achieves speedups of up to 100$\times$ and solution quality superior to MIP-based formulations.

随机规划凸神经网络优化加速

Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品;中文卡片由大模型生成,请以原文为准。