Ensuring DNN Solution Feasibility for Optimization Problems with Linear Constraints

Ensuring solution feasibility is a key challenge in developing Deep Neural Network (DNN) schemes for solving constrained optimization problems, due to inherent DNN prediction errors. In this paper, we propose a "preventive learning" framework to guarantee DNN solution feasibility for problems with convex constraints and general objective functions without post-processing, upon satisfying a mild condition on constraint calibration. Without loss of generality, we focus on problems with only inequality constraints. We systematically calibrate inequality constraints used in DNN training, thereby anticipating prediction errors and ensuring the resulting solutions remain feasible. We characterize the calibration magnitudes and the DNN size sufficient for ensuring universal feasibility. We propose a new Adversarial-Sample Aware training algorithm to improve DNN's optimality performance without sacrificing feasibility guarantee. Overall, the framework provides two DNNs. The first one from characterizing the sufficient DNN size can guarantee universal feasibility while the other from the proposed training algorithm further improves optimality and maintains DNN's universal feasibility simultaneously. We apply the framework to develop DeepOPF+ for solving essential DC optimal power flow problems in grid operation. Simulation results over IEEE test cases show that it outperforms existing strong DNN baselines in ensuring 100% feasibility and attaining consistent optimality loss (<0.19%) and speedup (up to ×228) in both light-load and heavy-load regimes, as compared to a state-of-the-art solver. We also apply our framework to a non-convex problem and show its performance advantage over existing schemes. I. INTRODUCTION Recently, there have been increasing interests in employing neural networks, including deep neural networks (DNN), to solve constrained optimization problems in various problem domains, especially those needed to be solved repeatedly in real-time. The idea behind these machine learning approaches is to leverage the universal approximation capability of DNNs [1]- [3] to learn the mapping between the input parameters to the solution of an