Abstract
We study optimization problems where the objective function is modeled through feedforward neural networks. Recent literature has explored the use of a single neural network to model either uncertain or complex elements within an objective function. However, it is well known that ensembles can produce more accurate and more stable predictions than single neural network. We therefore study how neural network ensemble can be incorporated within an objective function, and propose a two-stage optimization algorithm for solving the ensuing optimization problem. Preliminary computational results applied to a global optimization problem and a real-world data set show that the two-stage model greatly outperforms a standard adaptation of previously proposed MIP formulations of single neural network embedded optimization models.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Anderson, R., Huchette, J., Ma, W., Tjandraatmadja, C., Vielma, J.P.: Strong mixed-integer programming formulations for trained neural networks. Math. Program. 183, 3–39 (2020). https://doi.org/10.1007/s10107-020-01474-5
Bartolini, A., Lombardi, M., Milano, M., Benini, L.: Neuron constraints to model complex real-world problems. In: Lee, J. (ed.) CP 2011. LNCS, vol. 6876, pp. 115–129. Springer, Heidelberg (2011). https://doi.org/10.1007/978-3-642-23786-7_11
Bartolini, A., Lombardi, M., Milano, M., Benini, L.: Optimization and controlled systems: a case study on thermal aware workload dispatching. In: AAAI (2012). http://www.aaai.org/ocs/index.php/AAAI/AAAI12/paper/view/5042
Bergman, D., Huang, T., Brooks, P., Lodi, A., Raghunathan, A.U.: JANOS: an integrated predictive and prescriptive modeling framework (2019)
Carøe, C.C., Schultz, R.: Dual decomposition in stochastic integer programming. Oper. Res. Lett. 24(1–2), 37–45 (1999)
Cheng, C.-H., Nührenberg, G., Ruess, H.: Maximum resilience of artificial neural networks. In: D’Souza, D., Narayan Kumar, K. (eds.) ATVA 2017. LNCS, vol. 10482, pp. 251–268. Springer, Cham (2017). https://doi.org/10.1007/978-3-319-68167-2_18
Dietterich, T.G.: Ensemble methods in machine learning. In: Kittler, J., Roli, F. (eds.) MCS 2000. LNCS, vol. 1857, pp. 1–15. Springer, Heidelberg (2000). https://doi.org/10.1007/3-540-45014-9_1
Dutta, S., Jha, S., Sankaranarayanan, S., Tiwari, A.: Output range analysis for deep feedforward neural networks. In: Dutle, A., Muñoz, C., Narkawicz, A. (eds.) NFM 2018. LNCS, vol. 10811, pp. 121–138. Springer, Cham (2018). https://doi.org/10.1007/978-3-319-77935-5_9
Fischetti, M., Jo, J.: Deep neural networks and mixed integer linear optimization. Constraints 23(3), 296–309 (2018). https://doi.org/10.1007/s10601-018-9285-6
L Gurobi Optimization: Gurobi optimizer reference manual (2018). http://www.gurobi.com
Hansen, L.K., Salamon, P.: Neural network ensembles. IEEE Trans. Pattern Anal. Mach. Intell. 12(10), 993–1001 (1990)
Kourentzes, N., Barrow, D.K., Crone, S.F.: Neural network ensemble operators for time series forecasting. Expert Syst. Appl. 41(9), 4235–4244 (2014)
Kuhn, M., Johnson, K.: Appliedpredictivemodeling: functions and data sets for ‘applied predictie modeling’ (2014). https://cran.r-project.org/web/packages/AppliedPredictiveModeling/index.html
Mišić, V.V.: Optimization of tree ensembles. Oper. Res. 68(5), 1605–1624 (2020)
Pedregosa, F., et al.: Scikit-learn: machine learning in Python. J. Mach. Learn. Res. 12, 2825–2830 (2011)
Schweidtmann, A.M., Mitsos, A.: Deterministic global optimization with artificial neural networks embedded. J. Optim. Theory Appl. 180(3), 925–948 (2018). https://doi.org/10.1007/s10957-018-1396-0
Serra, T., Kumar, A., Ramalingam, S.: Lossless compression of deep neural networks. arXiv preprint arXiv:2001.00218 (2020)
Serra, T., Tjandraatmadja, C., Ramalingam, S.: Bounding and counting linear regions of deep neural networks. In: International Conference on Machine Learning, pp. 4558–4566. PMLR (2018)
Tjeng, V., Xiao, K., Tedrake, R.: Evaluating robustness of neural networks with mixed integer programming. In: 7th International Conference on Learning Representations, ICLR 2019, pp. 1–21 (2019)
West, D., Dellana, S., Qian, J.: Neural network ensemble strategies for financial decision applications. Comput. Oper. Res. 32(10), 2543–2559 (2005)
Yeh, I.C.: Modeling of strength of high-performance concrete using artificial neural networks. Cem. Concr. Res. 28(12), 1797–1808 (1998)
Zhou, Z.H.: Ensemble Methods: Foundations and Algorithms. CRC Press, Boco Raton (2012)
Zhou, Z.H., Wu, J., Tang, W.: Ensembling neural networks: many could be better than all. Artif. Intell. 137(1–2), 239–263 (2002). https://doi.org/10.1016/S0004-3702(02)00190-X
Author information
Authors and Affiliations
Corresponding authors
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2021 Springer Nature Switzerland AG
About this paper
Cite this paper
Wang, K., Lozano, L., Bergman, D., Cardonha, C. (2021). A Two-Stage Exact Algorithm for Optimization of Neural Network Ensemble. In: Stuckey, P.J. (eds) Integration of Constraint Programming, Artificial Intelligence, and Operations Research. CPAIOR 2021. Lecture Notes in Computer Science(), vol 12735. Springer, Cham. https://doi.org/10.1007/978-3-030-78230-6_7
Download citation
DOI: https://doi.org/10.1007/978-3-030-78230-6_7
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-78229-0
Online ISBN: 978-3-030-78230-6
eBook Packages: Computer ScienceComputer Science (R0)