Learning to Choose Branching Rules for Nonconvex MINLPs
Timo Berthold, Fritz Geis
TL;DR
In outer-approximation-based B&B for nonconvex MINLPs, the choice between always branching on fractional integers and allowing spatial branching can significantly impact runtime. The authors train linear and random-forest regression models to predict the relative speedup of the FICO Xpress Global MINLP solver when using a PreferInt rule versus a Mixed rule, using a feature set derived from strong-branching and problem structure, evaluated via the shifted geometric mean runtime $sgm\_{runtime}$. Results show the linear model achieves about an 8% reduction in $sgm\_{runtime}$ overall and over 10% on hard instances, with robustness across solver versions (e.g., Xpress 9.6 to 9.8 without retraining); random forests exhibit overfitting and less consistent gains. The work demonstrates that regression-guided branching-rule selection can meaningfully improve performance of a state-of-the-art commercial MINLP solver and points to straightforward integration, as well as extensions to other solvers and dynamic, per-node rule selection strategies.
Abstract
Outer-approximation-based branch-and-bound is a common algorithmic framework for solving MINLPs (mixed-integer nonlinear programs) to global optimality, with branching variable selection critically influencing overall performance. In modern global MINLP solvers, it is unclear whether branching on fractional integer variables should be prioritized over spatial branching on variables, potentially continuous, that show constraint violations, with different solvers following different defaults. We address this question using a data-driven approach. Based on a test set of hundreds of heterogeneous public and industrial MINLP instances, we train linear and random forest regression models to predict the relative speedup of the FICO(R) Xpress Global solver when using a branching rule that always prioritizes variables with violated integralities versus a mixed rule, allowing for early spatial branches. We introduce a practical evaluation methodology that measures the effect of the learned model directly in terms of the shifted geometric mean runtime. Using only four features derived from strong branching and the nonlinear structure, our linear regression model achieves an 8-9% reduction in geometric-mean solving time for the Xpress solver, with over 10% improvement on hard instances. We also analyze a random regression forest model. Experiments across solver versions show that a model trained on Xpress 9.6 still yields significant improvements on Xpress 9.8 without retraining. Our results demonstrate how regression models can successfully guide the branching-rule selection and improve the performance of a state-of-the-art commercial MINLP solver.