Exact and sequential penalty weights in quadratic unconstrained binary optimisation with a digital annealer
Marcos Diez García, Mayowa Ayodele, Alberto Moraglio
Abstract
Quadratic unconstrained binary optimisation (QUBO) problems is a general class of combinatorial optimisation problems, which regained popularity after recent advances in quantum computing. Quantum-inspired technologies like Fujitsu's Digital Annealer (DA), based on simulated annealing, can solve QUBO problems much faster than traditional computers. Penalty methods can convert constrained optimisation problems into QUBO problems. However, existing exact methods of determining penalty weights are limited to specific QUBO problems and require manual analysis by experts in QUBO. Empirical methods are general but become computationally prohibitive for large problem sizes and do not guarantee that penalty weights preserve the feasibility of global optima. We present a simple, efficient, general method applicable to any QUBO to determine exact penalty weights. Such weights are simple upper-bounds of the smallest penalty weight guaranteeing that unconstrained global optima are the same as the feasible global optima. These bounds can be iteratively improved by sequential penalty methods which we also present. Experimental results with the DA on minimum cut, travelling salesman and multi-dimensional knapsack problems show the viability of the novel methodology hybridising exact and sequential methods. This work contributes towards general, automatic and scalable penalty methods in QUBO.