GBM-based Bregman Proximal Algorithms for Constrained Learning

Abstract: 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.