2024/06/04 by Bingheng Li, Li, Bingheng, Linxin Yang +19 · 6 citations
Computer Science · Engineering · #Advanced Algorithms and Applications #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Metaheuristic Optimization Algorithms Research #Neural Networks and Applications #Optimization and Control (math.OC)
paper · pdf · doi:10.48550/arxiv.2406.01908
openalex publication_date 2024/06/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Solving large-scale linear programming (LP) problems is an important task in various areas such as communication networks, power systems, finance and logistics. Recently, two distinct approaches have emerged to expedite LP solving: (i) First-order methods (FOMs); (ii) Learning to optimize (L2O). In this work, we propose an FOM-unrolled neural network (NN) called PDHG-Net, and propose a two-stage L2O method to solve large-scale LP problems. The new architecture PDHG-Net is designed by unrolling the recently emerged PDHG method into a neural network, combined with channel-expansion techniques borrowed from graph neural networks. We prove that the proposed PDHG-Net can recover PDHG algorithm, thus can approximate optimal solutions of LP instances with a polynomial number of neurons. We propose a two-stage inference approach: first use PDHG-Net to generate an approximate solution, and then apply PDHG algorithm to further improve the solution. Experiments show that our approach can significantly accelerate LP solving, achieving up to a 3× speedup compared to FOMs for large-scale LP problems.