PyEPO: A PyTorch-based End-to-End Predict-then-Optimize Library with Linear Objective Function

Bo Tang, Elias Boutros Khalil

Keywords: Data-driven optimization, Mixed integer programming, Machine learning

TL;DR: We introduce the PyEPO, a Python-based, open-source software that supports modeling and solving end-to-end predict-and-optimize problems with the linear objective function.

Abstract: In many practical settings, some parameters of an optimization problem may be a priori unknown but can be estimated from historical data. Recently, end-to-end predict-then-optimize has emerged as an attractive alternative to the two-stage approach of separately fitting a predictive model for the unknown parameters, then optimizing. In this work, we present the PyEPO package, a PyTorch-based end-to-end predict-then-optimize library in Python for linear and integer programming. It provides two base algorithms: the first is based on the convex surrogate loss function from the seminal work of Elmachtoub & Grigas (2021), and the second is based on the differentiable black-box solver approach of Vlastelica et al. (2019). PyEPO provides a simple interface for the definition of new optimization problems, the implementation of state-of-the-art predict-then-optimize training algorithms, the use of custom neural network architectures, and the comparison of end-to-end approaches with the two-stage approach.