UNIFY: A unified policy designing framework for solving integrated Constrained Optimization and Machine Learning problems

The integration of Machine Learning (ML) and Constrained Optimization (CO) techniques has recently gained significant interest. While pure CO methods struggle with scalability and robustness, and ML methods like constrained Reinforcement Learning (RL) face difficulties with combinatorial decision spaces and hard constraints, a hybrid approach shows promise. However, multi-stage decision-making under uncertainty remains challenging for current methods, which often rely on restrictive assumptions or specialized algorithms. This paper introduces unify, a versatile framework for tackling a wide range of problems, including multi-stage decision-making under uncertainty, using standard ML and CO components. unify integrates a CO problem with an unconstrained ML model through parameters controlled by the ML model, guiding the decision process. This ensures feasible decisions, minimal costs over time, and robustness to uncertainty. In the empirical evaluation, unify demonstrates its capability to address problems typically handled by Decision Focused Learning, Constrained RL, and Stochastic Optimization. While not always outperforming specialized methods, unify’s flexibility offers broader applicability and maintainability. The paper includes the method’s formalization and empirical evaluation through case studies in energy management and production scheduling, concluding with future research directions.