A surveillance system and method are provided. The surveillance system includes at least one camera configured to capture a set of images of a given target area that includes a set of objects to be tracked. The surveillance system 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 surveillance system includes a processor configured to perform surveillance of the target area to (i) detect the objects and track locations of the objects by applying the learning model to the images in a surveillance task that uses the multi-object tracking, and (ii), provide a listing of the objects and their locations for surveillance task. A bi-level optimization is used to minimize a loss defined on a solution of the linear program.