GBM-based Bregman Proximal Algorithms for Constrained Learning
Zhenwei Lin Qi Deng
As the complexity of learning tasks surges, modern machine learning
encounters a new constrained learning paradigm characterized by more intricate
and data-driven function constraints. Prominent applications include
Neyman-Pearson classification (NPC) and fairness classification, which entail
specific risk constraints that render standard projection-based training
algorithms unsuitable. Gradient boosting machines (GBMs) are among the most
popular algorithms for supervised learning; however, they are generally limited
to unconstrained settings. In this paper, we adapt the GBM for constrained
learning tasks within the framework of Bregman proximal algorithms. We
introduce a new Bregman primal-dual method with a global optimality guarantee
when the learning objective and constraint functions are convex. In cases of
nonconvex functions, we demonstrate how our algorithm remains effective under a
Bregman proximal point framework. Distinct from existing constrained learning
algorithms, ours possess a unique advantage in their ability to seamlessly
integrate with publicly available GBM implementations such as XGBoost (Chen and
Guestrin, 2016) and LightGBM (Ke et al., 2017), exclusively relying on their
public interfaces. We provide substantial experimental evidence to showcase the
effectiveness of the Bregman algorithm framework. While our primary focus is on
NPC and fairness ML, our framework holds significant potential for a broader
range of constrained learning applications. The source code is currently freely
available at
https://github.com/zhenweilin/ConstrainedGBM}{https://github.com/zhenweilin/ConstrainedGBM.