arXiv:2505.22224cs.LGcs.AI2025-05NeurIPS被引 12

不依赖求解器,用几何结构加速线性优化的决策学习。

Solver-Free Decision-Focused Learning for Linear Optimization Problems

  • 利用线性优化的几何特性,通过比较顶点解质量来训练模型。
  • 训练速度提升数十倍,解的质量损失小于1%。
  • 适合需要快速迭代的工业级优化场景,如供应链调度。

数学优化是众多应用中决策制定的核心工具。但在许多现实场景中,优化问题的参数无法预先知晓,需根据上下文特征预测。这催生了‘预测-然后优化’问题,即先用机器学习模型预测参数,再通过优化做出决策。近年来,决策聚焦学习(DFL)通过训练模型以最大化下游决策质量而非预测精度,取得了显著进展。然而,传统DFL计算成本高昂,因每次损失评估都需求解优化问题。本文针对线性优化这一常见问题类别,提出一种无需求解器的训练方法,利用其可行多面体的几何结构实现高效训练,同时保持解的质量。核心思想是:最优解在目标值上至少不低于其相邻顶点。基于此,方法通过比较真实最优解与预计算邻接顶点的估计质量构建损失函数。实验表明,该方法大幅降低计算开销,同时维持高决策质量。

原文摘要 · Abstract (English)

Mathematical optimization is a fundamental tool for decision-making in a wide range of applications. However, in many real-world scenarios, the parameters of the optimization problem are not known a priori and must be predicted from contextual features. This gives rise to predict-then-optimize problems, where a machine learning model predicts problem parameters that are then used to make decisions via optimization. A growing body of work on decision-focused learning (DFL) addresses this setting by training models specifically to produce predictions that maximize downstream decision quality, rather than accuracy. While effective, DFL is computationally expensive, because it requires solving the optimization problem with the predicted parameters at each loss evaluation. In this work, we address this computational bottleneck for linear optimization problems, a common class of problems in both DFL literature and real-world applications. We propose a solver-free training method that exploits the geometric structure of linear optimization to enable efficient training with minimal degradation in solution quality. Our method is based on the insight that a solution is optimal if and only if it achieves an objective value that is at least as good as that of its adjacent vertices on the feasible polytope. Building on this, our method compares the estimated quality of the ground-truth optimal solution with that of its precomputed adjacent vertices, and uses this as loss function. Experiments demonstrate that our method significantly reduces computational cost while maintaining high decision quality.

决策学习线性优化无求解器

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