Improving Feasibility via Fast Autoencoder-Based Projections
Organizations: University of Toronto Toronto, ON, Canada · Massachusetts Institute of Technology Cambridge, MA, USA
Abstract
Enforcing complex (e.g., nonconvex) operational constraints is a critical challenge in real-world learning and control systems. However, existing methods struggle to efficiently enforce general classes of constraints. To address this, we propose a novel data-driven amortized approach that uses a trained autoencoder as an approximate projector to provide fast corrections to infeasible predictions. Specifically, we train an autoencoder using an adversarial objective to learn a structured, convex latent representation of the feasible set. This enables rapid correction of neural network outputs by projecting their associated latent representations onto a simple convex shape before decoding into the original feasible set. We test our approach on a diverse suite of constrained optimization and reinforcement learning problems with challenging nonconvex constraints. Results show that our method effectively enforces constraints at a low computational cost, offering a practical alternative to expensive feasibility correction techniques based on traditional solvers.
Figures & tables
| Method | Quadratic | Linear | Dist. Min. | |||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Feas (%) | Time (ms) | Gap | Feas (%) | Time (ms) | Gap | Feas (%) | Time (ms) | Gap | ||
| Projected Gradient | 80.5 = 39.6 | 79.07 = 91.65 | 1.18 = 1.58 | 76.3 = 42.5 | 48.23 = 52.86 | 0.90 = 0.99 | 79.2 = 40.6 | 69.79 = 25.09 | 4.65 = 5.87 | |
| Penalty Method | 20.4 = 40.3 | 78.39 = 71.27 | 1.36 = 1.67 | 10.4 = 30.5 | 61.58 = 111.21 | 1.52 = 1.49 | 14.6 = 35.3 | 38.67 = 10.02 | 6.39 = 7.07 | |
| Augmented Lagrangian | 20.9 = 40.7 | 85.71 = 119.17 | 1.33 = 1.59 | 10.9 = 31.1 | 56.98 = 62.66 | 1.56 = 1.56 | 15.7 = 36.3 | 42.58 = 6.69 | 6.43 = 6.70 | |
| Classical | Interior Point | 78.3 = 41.2 | 82.80 = 110.99 | 1.64 = 2.02 | 77.3 = 41.9 | 46.37 = 33.68 | 1.03 = 1.03 | 79.9 = 40.0 | 42.00 = 12.03 | 6.12 = 6.41 |
| Penalty NN | 91.1 = 28.4 | 0.20 = 1.02 | 0.61 = 1.06 | 80.0 = 38.4 | 0.14 = 0.04 | 0.85 = 1.25 | 40.7 = 49.1 | 0.24 = 1.30 | 4.34 = 6.30 | |
| Algorithm | Reward Mean | Reward Std | Cost Mean | Cost Std | Time Mean (s) |
|---|---|---|---|---|---|
| PPO-FAB | -1.12 | 1.11 | 24.32 | 37.84 | 2.75 |
| PPO | 13.26 | 14.05 | 167.46 | 87.06 | 2.47 |
| PPO-LAG | 2.24 | 5.10 | 54.10 | 64.50 | 2.40 |
| TRPO | 15.58 | 10.31 | 164.14 | 88.43 | 2.59 |
| TRPO-LAG | 2.37 | 8.46 | 89.04 | 187.67 | 2.78 |
| Algorithm | Reward Mean | Reward Std | Cost Mean | Cost Std | Time Mean (s) |
|---|---|---|---|---|---|
| PPO-FAB | -0.07 | 0.52 | 7.70 | 37.51 | 3.71 |
| PPO | 0.41 | 3.11 | 59.86 | 120.18 | 3.78 |
| PPO-LAG | 0.60 | 1.58 | 31.34 | 58.17 | 4.09 |
| TRPO | 0.20 | 2.50 | 106.88 | 216.19 | 4.03 |
| TRPO-LAG | -0.77 | 5.51 | 28.22 | 67.21 | 4.05 |
Constrained Optimization
Constrained optimization finds the best decisions while satisfying equality, inequality, resource, safety, or fairness requirements.
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