CVaR-Assisted Custom Penalty Function for Constrained Optimization

TL;DR

This paper introduces a slack-free, nonlinear penalty approach combined with CVaR sampling for constrained binary optimization, improving quantum algorithm performance on knapsack problems.

Contribution

It presents a novel slack-free penalty formulation with CVaR integration, enhancing quantum optimization of constrained problems without increasing problem size.

Findings

Improved optimality gaps over traditional slack-based QUBO formulations

More consistent performance in solving multi-dimensional knapsack problems

Effective use of CVaR sampling to guide quantum optimization

Abstract

Constrained combinatorial optimization problems are frequently reformulated as quadratic unconstrained binary optimization (QUBO) models in order to leverage emerging quantum optimization algorithms such as the Variational Quantum Eigensolver (VQE) and the Quantum Approximate Optimization Algorithm (QAOA). However, standard QUBO formulations enforce inequality constraints through slack variables and quadratic penalties, which can significantly increase the problem size and distort the optimization landscape. In this work, we propose a slack-free penalty formulation for constrained binary optimization that eliminates auxiliary slack variables and preserves the feasibility structure of the original problem. The proposed approach introduces a nonlinear custom penalty function to enforce inequality constraints directly in the objective function. To address the computational challenges associated with evaluating nonlinear penalties in variational quantum algorithms, we employ the finite-sampling method that avoids the exponential complexity required by exact expectation computation. Furthermore, we integrate the Conditional Value-at-Risk (CVaR) objective to improve optimization robustness and guide the search toward high-quality solutions. The proposed framework is evaluated on instances of the multi-dimensional knapsack problem, a classical benchmark in combinatorial optimization. We showcase that the proposed custom-penalty formulation combined with CVaR sampling achieves improved optimality gaps and more consistent performance compared with conventional slack-based QUBO formulations. The results suggest that careful penalty design can play a critical role in enabling quantum and hybrid quantum-classical algorithms for constrained optimization problems that arise in operations research.