A multi-object tracking system and method are provided. The multi-object tracking system includes at least one camera configured to capture a set of input images of a set of objects to be tracked. The multi-object tracking system further includes a memory storing a learning model configured to perform multi-object tracking by jointly learning arbitrarily parameterized and differentiable cost functions for all variables in a linear program that associates object detections with bounding boxes to form trajectories. The multi-object tracking system also includes a processor configured to (i) detect the objects and track locations of the objects by applying the learning model to the set of input images in a multi-object tracking task, and (ii), provide a listing of the objects and the locations of the objects for the multi-object tracking task. A bi-level optimization is used to minimize a loss defined on a solution of the linear program.