The minimization of loss functions is the heart and soul of Machine Learning. In this paper, we propose an off-the-shelf optimization approach that can minimize virtually any non-differentiable and non-decomposable loss function (e.g. Miss-classification Rate, AUC, F1, Jaccard Index, Mathew Correlation Coefficient, etc.) seamlessly. Our strategy learns smooth relaxation versions of the true losses by approximating them through a surrogate neural network. The proposed loss networks are set-wise models which are invariant to the order of mini-batch instances. Ultimately, the surrogate losses are learned jointly with the prediction model via bilevel optimization. Empirical results on multiple datasets with diverse real-life loss functions compared with state-of-the-art baselines demonstrate the efficiency of learning surrogate losses.
 Learning with non-modular losses is an important problem when sets of predictions are made simultaneously. The main tools for constructing convex surrogate loss functions for set prediction are margin rescaling and slack rescaling. In this work, we show that these strategies lead to tight convex surrogates iff the underlying loss function is increasing in the number of incorrect predictions. However, gradient or cutting-plane computation for these functions is NP-hard for nonsupermodular loss functions. We propose instead a novel convex surrogate loss function for submodular losses, the Lovasz hinge, which leads to O(p log p) complexity with O(p) oracle accesses to the loss function to compute a gradient or cutting-plane. As a result, we have developed the first tractable convex surrogates in the literature for submodular losses. We demonstrate the utility of this novel convex surrogate through a real world image labeling task. The Jaccard index, also referred to as the intersection-over-union score, is commonly employed in the evaluation of image segmentation results given its perceptual qualities, scale invariance - which lends appropriate relevance to small objects, and appropriate counting of false negatives, in comparison to per-pixel losses. We present a method for direct optimization of the mean intersection-over-union loss in neural networks, in the context of semantic image segmentation, based on the convex LovAisz extension of submodular losses. The loss is shown to perform better with respect to the Jaccard index measure than the traditionally used cross-entropy loss. We show quantitative and qualitative differences between optimizing the Jaccard index per image versus optimizing the Jaccard index taken over an entire dataset. We evaluate the impact of our method in a semantic segmentation pipeline and show substantially improved intersection-over-union segmentation scores on the Pascal VOC and Cityscapes datasets using state-of-the-art deep learning segmentation architectures.