Input convex neural networks as surrogates in mathematical optimisation

2026-08-10Machine Learning

Machine Learning
AI summary

The authors investigate using input convex neural networks (ICNNs) as surrogate models inside optimization problems, especially when the target function is roughly convex or concave. They show that ICNNs can create simpler and tighter mathematical formulations than standard feedforward ReLU networks, making the optimization faster and more scalable. Their method also enables a special linear programming approach that is often exact or very close, helping to solve problems more efficiently. Through case studies, the authors find that ICNNs maintain accuracy while reducing solve times, suggesting ICNNs are preferable surrogates for convex or concave functions.

Input Convex Neural Networks (ICNNs)Feedforward Neural Networks (FNNs)ReLU ActivationMixed-Integer Programming (MIP)Linear Programming (LP) RelaxationEpigraphConvex HullBranch-and-Bound AlgorithmConvex OptimizationSurrogate Models
Authors
Yu Liu, Jan Kronqvist, Fabricio Oliveira
Abstract
Embedding trained neural networks as surrogates within optimisation problems is an established practice in operations research. The prevailing approach uses feedforward neural networks (FNNs) with ReLU activations, whose piecewise-linear structure admits an exact but computationally intensive mixed-integer programming (MIP) reformulation as the networks grow. We advocate input convex neural networks (ICNNs) as structurally superior surrogates when the underlying response is approximately convex or concave. The convex architecture offers two computational advantages. First, the ICNN-MIP formulation tends to yield a tighter linear programming (LP) relaxation than its FNN-MIP counterpart, with no integrality gap in favourable instances. Second, ICNNs uniquely admit an LP-based reformulation via epigraph representations of ReLU activations, though this embedding is not always exact. When it is not, we exploit the properties of ICNNs to construct the strongest continuous relaxation over box domains, namely, the convex hull of the ICNN's graph, bounded below by the epigraph and above by the concave envelope; this construction is tractable under input convexity but hard for general ReLU networks. On this basis, we develop a branch-and-bound algorithm that builds this relaxation at each node, branches directly on input variables rather than intermediate variables as in MIP reformulations, and terminates at the root node whenever the epigraph embedding is valid. Case studies on humanitarian food aid, oil well routing, and wine blending show that ICNN surrogates match FNN accuracy and deliver gains in solve time and scalability, supporting ICNN as the default surrogate when the underlying function is convex, concave, or well-approximated as such.