Learning to Choose Branching Rules for Nonconvex MINLPs

TL;DR

This paper uses data-driven models to improve branching rule selection in MINLP solvers, leading to faster solution times especially on difficult instances.

Contribution

It introduces a practical evaluation methodology and demonstrates that simple regression models can significantly enhance solver performance.

Findings

Linear regression achieves 8-9% reduction in geometric-mean runtime.

Over 10% improvement on hard instances.

Models trained on one solver version generalize to newer versions.

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.