Optimization frameworks for machine learning: Examples and case study

Abstract

Mathematical optimization is at the algorithmic core of machine learning. Almost any known algorithm for solving mathematical optimization problems has been applied in machine learning and the machine learning community itself is actively designing and implementing new algorithms for specific problems. These implementations have to be made available to machine learning practitioners which is mostly accomplished by distributing them as standalone software. Successful well-engineered implementations are collected in machine learning toolboxes that provide a more uniform access to the different solvers. A disadvantage of the toolbox approach is a lack of flexibility as toolboxes only provide access to a fixed set of machine learning models that cannot be modified. This can be a problem for the typical machine learning workflow that iterates the process of modeling, solving and validating. If a model does not perform well on validation data, it needs to be modified. In most cases these modifications require a new solver for the entailed optimization problems. Optimization frameworks that combine a modeling language for specifying optimization problems with a solver are better suited to the iterative workflow since they allow to address large problem classes. Here, we provide examples of the use of optimization frameworks in machine learning. We also illustrate the use of one such framework in a case study that follows the typical machine learning workflow.