Operations research practitioners typically tackle NP-hard combinatorial problems using large neighborhood search (LNS), a scalable heuristic that iteratively refines a current solution by locally re-optimizing subsets of its variables. In contrast, most existing approaches for integrating combinatorial optimization layers into neural networks still assume access to an exact global solution, which is computationally intractable. We bridge this gap by introducing regularized LNS (RLNS). By regularizing or perturbing local subproblems, we turn the LNS heuristic into an efficient MCMC sampler over the combinatorial set of feasible solutions, with associated Fenchel-Young losses. Under entropic regularization, we prove that RLNS performs exact block Gibbs sampling. Furthermore, adjusting the number of RLNS iterations allows us to interpolate between pseudolikelihood and exact maximum likelihood estimation, for end-to-end learning without global solvers. We demonstrate our approach on $k$-subset selection, generalized assignment, and stochastic vehicle scheduling problems.

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