ROADEF 2026>
Machine Learning-based Bundle Method
Francesca Demelas  1@  , Antonio Frangioni  1@  , Mathieu Lacroix  2@  , Joseph Le Roux  2@  , Emiliano Traversi  3  , Roberto Wolfler Calvo  2@  
1 : University of Pisa
2 : Laboratoire d'Informatique de Paris-Nord
Centre National de la Recherche Scientifique, Université Sorbonne Paris nord, Centre National de la Recherche Scientifique : UMR7030
3 : ESSEC Business School
ESSEC Business School - CS 50105 - 95021 CERGY-PONTOISE CEDEX - FRANCE

We introduce a machine-learning-based approach to solving convex optimization problems, inspired by the Bundle method. While Bundle methods generally exhibit faster convergence compared to gradient descent, they require manual parameter tuning to achieve good algorithmic behaviors. Our framework eliminates the need for such hyperparameter tuning, addressing this limitation of the Bundle method. The predictions generated by our framework can serve as either approximations of solutions produced by iterative algorithms or as informed starting points. We present numerical results for solving the Lagrangian Dual of the Lagrangian Relaxation for an MILP, removing the need for manual hyperparameter tuning and obtaining performances comparable to the classic approach.


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