arXiv:2605.00260cs.LG2026-05

用神经网络求解非线性优化问题,保证约束满足且精度极高。

NLPOpt-Net: A Learning Method for Nonlinear Optimization with Feasibility Guarantees

论文配图:NLPOpt-Net: A Learning Method for Nonlinear Optimization with Feasibility Guarantees
图 1 · 摘自论文原文
  • 通过多层投影结构确保预测解满足原始约束
  • 在大规模凸与非凸问题上实现接近零的误差和约束违反
  • 适合需要快速、可靠求解器的工程与控制场景

非线性参数化优化网络(NLPOpt-Net)是一种无监督学习架构,用于求解带约束的非线性规划问题(NLP)。给定NLP结构,该模型学习参数化解映射,并保证约束满足。其架构由一个主干神经网络(NN)和多层(k层)投影组成。神经网络通过包含修正拉格朗日项与一致性损失的损失函数逼近最优解,而投影则将网络输出投影回原始约束流形以确保可行性。投影不采用常规距离最小化,而是利用原NLP的局部二次近似,在特定条件下(如凸性)具备下降性质,进一步提升预测质量。前向传播中使用无逆修改版Chambolle-Pock算法求解约束二次投影,并借助隐函数定理实现高效反向传播。投影结构固定后,训练完成后可分离神经网络与投影模块。实验表明,NLPOpt-Net在大规模凸二次规划(QP)、凸二次约束二次规划(QCQP)、一般非线性规划(NLP)及非凸问题上均达到近零最优间隙,约束违反降至机器精度。同时能准确预测活跃集与对偶变量,支持可扩展的多参数规划。将投影编译为C语言后,推理速度提升数量级,相比JAX显著加速。代码与可直接使用的包已开源,含GPU支持。

原文摘要 · Abstract (English)

Nonlinear Parametric Optimization Network (NLPOpt-Net) is an unsupervised learning architecture to solve constrained nonlinear programs (NLP). Given the structure of an NLP, it learns the parametric solution maps with guaranteed constraint satisfaction. The architecture consists of a backbone neural network (NN) followed by a multilayer ($k$-layered) projection. While the NN drives toward optimality through a loss function consisting of a modified Lagrangian augmented with a consistency loss, the projection ensures feasibility by projecting the NN predictions in the original constraint manifold. Instead of typical distance minimization, our projection exploits local quadratic approximations of the original NLP. Under certain conditions (such as convexity), the projection has a descent property, which improves the NN predictions further. NLPOpt-Net deploys an inversion-free, modified Chambolle-Pock algorithm to solve the constrained quadratic projections during the forward pass and uses the implicit function theorem for efficient backpropagation. The fixed structure of the projection further allows decoupling of the NN and the projection once the training is complete. NLPOpt-Net solves large-scale convex QP, QCQP, NLP, and nonconvex problems with near zero optimality gap and constraint violations reduced to machine precision. Additionally, it provides near accurate prediction of the active sets and corresponding dual variables, thereby enabling a scalable approach for multiparametric programming. Compiling the projection in C provides order of magnitude improvement in inference time compared to JAX. We provide the codes and NLPOpt-Net as a ready to use package that includes GPU support.

非线性优化神经网络约束满足可扩展求解

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