MathOptAI.jl: Embed trained machine learning predictors into JuMP models

Dowson, Oscar, Parker, Robert B, Bent, Russel

arXiv.org Artificial Intelligence 

A recent trend in the mathematical optimization literature is to embed trained machine learning predictors into a larger optimization model. The m ost common application is for a practitioner to train a machine learning predictor as a sur rogate for a more complicated subsystem that cannot be directly embedded into an optimiza tion model, for example, because it does not have an algebraic form or because it is non -differentiable. L opez-Flores et al. (2024) provide a review of the field.