SOC-ICNN: From Polyhedral to Conic Geometry for Learning Convex Surrogate Functions

Input Convex Neural Networks (ICNNs) are commonly used in a two-stage manner: one first trains a convex network and then minimizes it over its input in a downstream inference problem. Recent second-order-cone ICNNs (SOC-ICNNs) enrich ReLU-based ICNNs with quadratic and conic modules and admit an exact representation as value functions of second-order cone programs (SOCPs). This value-function structure enables an explicit convex-analytic treatment of SOC-ICNN inference. In this paper, we study the exact first-order and local second-order geometry of SOC-ICNNs from the dual viewpoint. We show that supporting slopes, subdifferentials, directional derivatives, and local Hessians can be recovered directly from optimal dual variables. These results provide the geometric primitives for white-box SOC-ICNN inference, going beyond black-box automatic differentiation. Numerical experiments validate the exact multiplier readout, the local Hessian formula, and the set-valued behavior at structurally degenerate inputs. We also provide a step-by-step tutorial showing how the readout mechanism instantiates a complete white-box inference loop. The code is available at https://anonymous.4open.science/r/SOC-ICNN-Theory-BEFC/.

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.

We introduce Hyper Input Convex Neural Networks (HyCNNs), a novel neural network architecture designed for learning convex functions. HyCNNs combine the principles of Maxout networks with input convex neural networks (ICNNs) to create a neural network that is always convex in the input, theoretically capable of leveraging depth, and performs reliable when trained at scale compared to ICNNs. Concretely, we prove that HyCNNs require exponentially fewer parameters than ICNNs to approximate quadratic functions up to a given precision. Throughout a series of synthetic experiments, we demonstrate that HyCNNs outperform existing ICNNs and MLPs in terms of predictive performance for convex regression and interpolation tasks. We further apply HyCNNs to learn high-dimensional optimal transport maps for synthetic examples and for single-cell RNA sequencing data, where they oftentimes outperform ICNN-based neural optimal transport methods and other baselines across a wide range of settings.