DC3: A learning method for optimization with hard constraints

1 INTRODUCTION . Traditional approaches to constrained optimization are often expensive to run for large problems , necessitating the use of function approximators . Neural networks are highly expressive and fast to run , making them ideal as function approximators . However , while deep learning has proven its power for unconstrained problem settings , it has struggled to perform well in domains where it is necessary to satisfy hard constraints at test time . For example , in power systems , weather and climate models , materials science , and many other areas , data follows well-known physical laws , and violation of these laws can lead to answers that are unhelpful or even nonsensical . There is thus a need for fast neural network approximators that can operate in settings where traditional optimizers are slow ( such as non-convex optimization ) , yet where strict feasibility criteria must be satisfied . In this work , we introduce Deep Constraint Completion and Correction ( DC3 ) , a framework for applying deep learning to optimization problems with hard constraints . Our approach embeds differentiable operations into the training of the neural network to ensure feasibility . Specifically , the network outputs a partial set of variables with codimension equal to the number of equality constraints , and “ completes ” this partial set into a full solution . This completion process guarantees feasibility with respect to the equality constraints and is differentiable ( either explicitly , or via the implicit function theorem ) . We then fix any violations of the inequality constraints via a differentiable correction procedure based on gradient descent . Together , this process of completion and correction enables feasibility with respect to all constraints . Further , this process is fully differentiable and can be incorporated into standard deep learning methods . Our key contributions are : • Framework for incorporating hard constraints . We describe a general framework , DC3 , for incorporating ( potentially non-convex ) equality and inequality constraints into deeplearning-based optimization algorithms . • Practical demonstration of feasibility . We implement the DC3 algorithm in both convex and non-convex optimization settings . We demonstrate the success of the algorithm in producing approximate solutions with significantly better feasibility than other deep learning approaches , while maintaining near-optimality of the solution . ∗These authors contributed equally . • AC optimal power flow . We show how the general DC3 framework can be used to optimize power flows on the electrical grid . This difficult non-convex optimization task must be solved at scale and is especially critical for renewable energy adoption . Our results greatly improve upon the performance of general-purpose deep learning methods on this task . 2 RELATED WORK . Our approach is situated within the broader literature on fast optimization methods , and draws inspiration from literature on implicit layers and on incorporating constraints into neural networks . We briefly describe each of these areas and their relationship to the present work . Fast optimization methods . Many classical optimization methods have been proposed to improve the practical efficiency of solving optimization problems . These include general techniques such as constraint and variable elimination ( i.e. , the removal of non-active constraints or redundant variables , respectively ) , as well as problem-specific techniques ( e.g. , KKT factorization techniques in the case of convex quadratic programs ) ( Nocedal & Wright , 2006 ) . Our present work builds upon aspects of this literature , applying concepts from variable elimination to reduce the number of degrees of freedom associated with the optimization problems we wish to solve . In addition to the classical optimization literature , there has been a large body of literature in deep learning that has sought to approximate or speed up optimization models . As described in reviews on topics such as combinatorial optimization ( Bengio et al. , 2020 ) and optimal power flow ( Hasan et al. , 2020 ) , ML methods to speed up optimization models have thus far taken two main approaches . The first class of approaches , akin to work on surrogate modeling ( Koziel & Leifsson , 2013 ) , has involved training machine learning models to map directly from optimization inputs to full solutions . However , such approaches have often struggled to produce solutions that are both feasible and ( near- ) optimal . The second class of approaches has instead focused on employing machine learning approaches alongside or in the loop of optimization models , e.g. , to learn warm-start points ( see , e.g. , Baker ( 2019 ) and Dong et al . ( 2020 ) ) or to enable constraint elimination techniques by predicting active constraints ( see , e.g. , Misra et al . ( 2018 ) ) . We view our work as part of the former set of approaches , but drawing important inspiration from the latter : that employing structural knowledge about the optimization model is paramount to achieving both feasibility and optimality . Constraints in neural networks . While deep learning is often thought of as wholly unconstrained , in reality , it is quite common to incorporate ( simple ) constraints within deep learning procedures . For instance , softmax layers encode simplex constraints , sigmoids instantiate upper and lower bounds , ReLUs encode projections onto the positive orthant , and convolutional layers enforce translational equivariance ( an idea taken further in general group-equivariant networks ( Cohen & Welling , 2016 ) ) . Recent work has also focused on embedding specialized kinds of constraints into neural networks , such as conservation of energy ( see , e.g. , Greydanus et al . ( 2019 ) and Beucler et al . ( 2019 ) ) , and homogeneous linear inequality constraints ( Frerix et al. , 2020 ) . However , while these represent common “ special cases , ” there has to date been little work on building more general hard constraints into deep learning models . Implicit layers . In recent years , there has been a great deal of interest in creating structured neural network layers that define implicit relationships between their inputs and outputs . For instance , such layers have been created for SAT solving ( Wang et al. , 2019 ) , ordinary differential equations ( Chen et al. , 2018 ) , normal and extensive-form games ( Ling et al. , 2018 ) , rigid-body physics ( de Avila Belbute-Peres et al. , 2018 ) , sequence modeling ( Bai et al. , 2019 ) , and various classes of optimization problems ( Amos & Kolter , 2017 ; Donti et al. , 2017 ; Djolonga & Krause , 2017 ; Tschiatschek et al. , 2018 ; Wilder et al. , 2018 ; Gould et al. , 2019 ) . ( Interestingly , softmax , sigmoid , and ReLU layers can also be viewed as implicit layers ( Amos , 2019 ) , though in practice it is more efficient to use their explicit form . ) In principle , such approaches could be used to directly enforce constraints within neural network settings , e.g. , by projecting neural network outputs onto a constraint set using quadratic programming layers ( Amos & Kolter , 2017 ) in the case of linear constraints , or convex optimization layers ( Agrawal et al. , 2019 ) in the case of general convex constraints . However , given the computational expense of such optimization layers , these projection-based approaches are likely to be inefficient . Instead , our approach leverages insights from this line of work by using implicit differentiation to backpropagate through the “ completion ” of equality constraints in cases where these constraints can not be solved explicitly ( such as in AC optimal power flow ) . 3 DC3 : DEEP CONSTRAINT COMPLETION AND CORRECTION . In this work , we consider solving families of optimization problems for which the objectives and/or constraints vary across instances . Formally , let x ∈ Rd denote the problem data , and y ∈ Rn denote the solution of the corresponding optimization problem ( where y depends on x ) . For any given x , our aim is then to find y solving : minimize y∈Rn fx ( y ) , s. t. gx ( y ) ≤ 0 , hx ( y ) = 0 , ( 1 ) ( where f , g , and h are potentially nonlinear and non-convex ) . Solving such a family of optimization problems can be framed as a learning problem , where an algorithm must predict an optimal y from the problem data x . We consider deep learning approaches to this task – that is , training a neural network Nθ , parameterized by θ , to approximate y given x . A naive deep learning approach to approximating such a problem involves viewing the constraints as a form of regularization . That is , for training examples x ( i ) , the algorithm learns to minimize a composite loss containing both the objective and two “ soft loss ” terms representing violations of the equality and inequality constraints ( for some λg , λh > 0 ) : ` soft ( ŷ ) = fx ( ŷ ) + λg‖ReLU ( gx ( ŷ ) ) ‖22 + λh‖hx ( ŷ ) ‖22 . ( 2 ) An alternative framework ( see , e.g. , Zamzam & Baker ( 2019 ) ) is to use supervised learning on examples ( x ( i ) , y ( i ) ) for which an optimum y ( i ) is known . In this case , the loss is simply ||ŷ−y ( i ) ||22 . However , both these procedures for training a neural network can lead in practice to highly infeasible outputs ( as we demonstrate in our experiments ) , because they do not strictly enforce constraints . Supervised methods also require constructing a training set ( e.g. , via an exact solver ) , a sometimes difficult or expensive step . To address these challenges , we introduce the method of Deep Constraint Completion and Correction ( DC3 ) , which allows hard constraints to be integrated into the training of neural networks . This method is able to train directly from the problem specification ( instead of a supervised dataset ) , via the following two innovations : Equality completion . We provide a mechanism to enforce equality constraints during training and testing , inspired by the literature on variable elimination . Specifically , rather than outputting the full-dimensional optimization solution directly , we first output a subset of the variables , and then infer the remaining variables via the equality constraints – either explicitly , or by solving an implicit set of equations ( through which we can then backpropagate via the implicit function theorem ) . Inequality correction . We correct for violation of the inequality constraints by mapping infeasible points to feasible points using an internal gradient descent procedure during training . This allows us to fix inequality violations while taking steps along the manifold of points satisfying the equalities , which yields an output that is feasible with respect to all constraints . Overall , our algorithm involves training a neural network Nθ ( x ) to output a partial set of variables z . These variables are then completed to a full set of variables ỹ satisfying the equality constraints . In turn , ỹ is corrected to ŷ to satisfy the inequality constraints while continuing to satisfy the equality constraints . The overall network is trained using backpropagation on the soft loss described in Equation ( 2 ) ( which is necessary for correction , as noted below ) . Algorithm 1 Deep Constraint Completion and Correction ( DC3 ) 1 : assume equality completion procedure ϕx : Rm → Rn−m // to solve equality constraints 2 : 3 : procedure TRAIN ( X ) 4 : init neural network Nθ : Rd → Rm 5 : while not converged do for x ∈ X 6 : compute partial set of variables z = Nθ ( x ) 7 : complete to full set of variables ỹ = [ zT ϕx ( z ) T ] T ∈ Rn 8 : correct to feasible ( or approx . feasible ) solution ŷ = ρ ( ttrain ) x ( ỹ ) 9 : compute constraint-regularized loss ` soft ( ŷ ) 10 : update θ using∇θ ` soft ( ŷ ) 11 : end while 12 : end procedure 13 : 14 : procedure TEST ( x , Nθ ) 15 : compute partial set of variables z = Nθ ( x ) 16 : complete to full set of variables ỹ = [ zT ϕx ( z ) T ] T 17 : correct to feasible solution ŷ = ρ ( ttest ) ( ỹ ) 18 : return ŷ 19 : end procedure We note that as this procedure is somewhat general , in cases where constraints have a specialized structure , specialized techniques may be more appropriate to use . For instance , while we examine linearly-constrained settings in our experiments for the purposes of illustration , in practice , techniques such as Minkowski-Weyl decomposition or Cholesky factorization ( see Frerix et al . ( 2020 ) , Amos & Kolter ( 2017 ) ) may be more efficient in these settings . However , for more general settings without this kind of structure – e.g. , non-convex problems such as AC optimal power flow , which we examine in our experiments – the DC3 framework can provide a ( differentiable ) mechanism for satisfying hard constraints . We now detail the completion and correction procedures used in DC3 .

Summary: + The paper proposes a general framework to deal with constraints in optimization problems using neural networks. In my opinion this is an important problem since there exists no standard method in many existing deep neural network frameworks to deal with constraints, which are also inapplicable even if the constraints are only slightly nontrivial. The paper proposes to deal with equality and inequality constraints differently which may be often easier in large scale settings.