Mixed-integer quadratic programming reformulations of multi-task learning models

Matteo Lapucci; Davide Pucci; Matteo Lapucci; Davide Pucci

doi:10.3934/mine.2023020

Mathematics in Engineering

2023, Volume 5, Issue 1: 1-16. doi: 10.3934/mine.2023020

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Mixed-integer quadratic programming reformulations of multi-task learning models

Matteo Lapucci ^,,
Davide Pucci

Department of Information Engineering, Università degli Studi di Firenze, Via di Santa Marta 3, 50139 Florence, Italy

Received: 13 February 2021 Revised: 12 January 2022 Accepted: 14 February 2022 Published: 24 March 2022

In this manuscript, we consider well-known multi-task learning (MTL) models from the literature for linear regression problems, such as clustered MTL or weakly constrained MTL. We propose novel reformulations of the training problem for these models, based on mixed-integer quadratic programming (MIQP) techniques. We show that our approach allows to drive the optimization process up to certified global optimality, exploiting popular off-the-shelf software solvers. By computational experiments on both synthetic and real-world datasets, we show that this strategy generally leads to improvements in terms of the predictive performance of the models, if compared to the classical local optimization techniques, based on alternating minimization strategies, that are usually employed. We also suggest a number of possible extensions of our model that should further improve the quality of the obtained regressors, introducing, for example, sparsity and features selection elements.
- multitask learning,
- clustered MTL,
- weakly constrained MTL,
- MIQP,
- global optimization
Citation: Matteo Lapucci, Davide Pucci. Mixed-integer quadratic programming reformulations of multi-task learning models[J]. Mathematics in Engineering, 2023, 5(1): 1-16. doi: 10.3934/mine.2023020

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Abstract

In this manuscript, we consider well-known multi-task learning (MTL) models from the literature for linear regression problems, such as clustered MTL or weakly constrained MTL. We propose novel reformulations of the training problem for these models, based on mixed-integer quadratic programming (MIQP) techniques. We show that our approach allows to drive the optimization process up to certified global optimality, exploiting popular off-the-shelf software solvers. By computational experiments on both synthetic and real-world datasets, we show that this strategy generally leads to improvements in terms of the predictive performance of the models, if compared to the classical local optimization techniques, based on alternating minimization strategies, that are usually employed. We also suggest a number of possible extensions of our model that should further improve the quality of the obtained regressors, introducing, for example, sparsity and features selection elements.

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