Branch and bound

Branch and bound (BB, B&B, or BnB) is an algorithm design paradigm for discrete and combinatorial optimization problems, as well as general real valued problems. A branch-and-bound algorithm consists of a systematic enumeration of candidate solutions by means of state space search: the set of candidate solutions is thought of as forming a rooted tree with the full set at the root. The algorithm explores branches of this tree, which represent subsets of the solution set. Before enumerating the candidate solutions of a branch, the branch is checked against upper and lower estimated bounds on the optimal solution, and is discarded if it cannot produce a better solution than the best one found so far by the algorithm.

The algorithm depends on the efficient estimation of the lower and upper bounds of a region/branch of the search space and approaches exhaustive enumeration as the size (n-dimensional volume) of the region tends to zero.

The method was first proposed by A. H. Land and A. G. Doig^[1] in 1960 for discrete programming, and has become the most commonly used tool for solving NP-hard optimization problems.^[2] The name "branch and bound" first occurred in the work of Little et al. on the traveling salesman problem.^[3][4]

Overview

The goal of a branch-and-bound algorithm is to find a value x that maximizes or minimizes the value of a real-valued function f(x), called an objective function, among some set S of admissible, or candidate solutions. The set S is called the search space, or feasible region. The rest of this section assumes that minimization of f(x) is desired; this assumption comes without loss of generality, since one can find the maximum value of f(x) by finding the minimum of g(x) = −f(x). A B&B algorithm operates according to two principles:

• It recursively splits the search space into smaller spaces, then minimizing f(x) on these smaller spaces; the splitting is called branching.
• Branching alone would amount to brute-force enumeration of candidate solutions and testing them all. To improve on the performance of brute-force search, a B&B algorithm keeps track of bounds on the minimum that it is trying to find, and uses these bounds to "prune" the search space, eliminating candidate solutions that it can prove will not contain an optimal solution.

Turning these principles into a concrete algorithm for a specific optimization problem requires some kind of data structure that represents sets of candidate solutions. Such a representation is called an instance of the problem. Denote the set of candidate solutions of an instance I by S_I. The instance representation has to come with three operations:

• branch(I) produces two or more instances that each represent a subset of S_I. (Typically, the subsets are disjoint to prevent the algorithm from visiting the same candidate solution twice, but this is not required. The only requirement for a correct B&B algorithm is that the optimal solution among S_I is contained in at least one of the subsets.^[5])
• bound(I) computes a lower bound on the value of any candidate solution in the space represented by I, that is, bound(I) ≤ f(x) for all x in S_I.
• solution(I) determines whether I represents a single candidate solution. (Optionally, if it does not, the operation may choose to return some feasible solution from among S_I.^[5])

Using these operations, a B&B algorithm performs a top-down recursive search through the tree of instances formed by the branch operation. Upon visiting an instance I, it checks whether bound(I) is greater than the upper bound for some other instance that it already visited; if so, I may be safely discarded from the search and the recursion stops. This pruning step is usually implemented by maintaining a global variable that records the minimum upper bound seen among all instances examined so far.

Generic version

The following is the skeleton of a generic branch and bound algorithm for minimizing an arbitrary objective function f.^[2] To obtain an actual algorithm from this, one requires a bounding function g, that computes lower bounds of f on nodes of the search tree, as well as a problem-specific branching rule.

1. Using a heuristic, find a solution x_h to the optimization problem. Store its value, B = f(x_h). (If no heuristic is available, set B to infinity.) B will denote the best solution found so far, and will be used as an upper bound on candidate solutions.
2. Initialize a queue to hold a partial solution with none of the variables of the problem assigned.
3. Loop until the queue is empty:
   1. Take a node N off the queue.
   2. If N represents a single candidate solution x and f(x) < B, then x is the best solution so far. Record it and set B ← f(x).
   3. Else, branch on N to produce new nodes N_i. For each of these:
      1. If g(N_i) > B, do nothing; since the lower bound on this node is greater than the upper bound of the problem, it will never lead to the optimal solution, and can be discarded.
      2. Else, store N_i on the queue.

Several different queue data structures can be used. A stack (LIFO queue) will yield a depth-first algorithm. A best-first branch and bound algorithm can be obtained by using a priority queue that sorts nodes on their g-value.^[2] The depth-first variant is recommended when no good heuristic is available for producing an initial solution, because it quickly produces full solutions, and therefore upper bounds.^[6]

Improvements

When is a vector of , branch and bound algorithms can be combined with interval analysis^[7] and contractor techniques in order to provide guaranteed enclosures of the global minimum.^[8][9]

Applications

This approach is used for a number of NP-hard problems

• Integer programming
• Nonlinear programming
• Travelling salesman problem (TSP)^[3][10]
• Quadratic assignment problem (QAP)
• Maximum satisfiability problem (MAX-SAT)
• Nearest neighbor search^[11]
• Flow shop scheduling
• Cutting stock problem
• False noise analysis (FNA)
• Computational phylogenetics
• Set inversion
• Parameter estimation
• 0/1 knapsack problem
• Feature selection in machine learning^[12]
• Structured prediction in computer vision^{[13]:267–276}

Branch-and-bound may also be a base of various heuristics. For example, one may wish to stop branching when the gap between the upper and lower bounds becomes smaller than a certain threshold. This is used when the solution is "good enough for practical purposes" and can greatly reduce the computations required. This type of solution is particularly applicable when the cost function used is noisy or is the result of statistical estimates and so is not known precisely but rather only known to lie within a range of values with a specific probability.

Relation to other algorithms

Nau et al. present a generalization of branch and bound that also subsumes the A*, B* and alpha-beta search algorithms from artificial intelligence.^[14]

External links

• LiPS — Free easy-to-use GUI program intended for solving linear, integer and goal programming problems.
• Cbc - (Coin-or branch and cut) is an open-source mixed integer programming solver written in C++.

See also

• Backtracking
• Branch-and-cut, a hybrid between branch-and-bound and the cutting plane methods that is used extensively for solving integer linear programs.

References

Optimization: Algorithms, methods, and heuristics
Unconstrained nonlinear: Methods calling … … functions Golden section search Interpolation methods Line search Nelder–Mead method Successive parabolic interpolation … and gradients Convergence Trust region Wolfe conditions Quasi–Newton BFGS and L-BFGS DFP Symmetric rank-one (SR1) Other methods Gauss–Newton Gradient Levenberg–Marquardt Conjugate gradient Truncated Newton … and Hessians Newton's method
Constrained nonlinear General Barrier methods Penalty methods Differentiable Augmented Lagrangian methods Sequential quadratic programming Successive linear programming
Convex optimization Convex minimization Cutting-plane method Reduced gradient (Frank–Wolfe) Subgradient method Linear and quadratic Interior point Affine scaling Ellipsoid algorithm of Khachiyan Projective algorithm of Karmarkar Basis-Exchange Simplex algorithm of Dantzig Revised simplex algorithm Criss-cross algorithm Principal pivoting algorithm of Lemke
Combinatorial Paradigms Approximation algorithm Dynamic programming Greedy algorithm Integer programming Branch & bound or cut Graph algorithms Minimum spanning tree Bellman–Ford Borůvka Dijkstra Floyd–Warshall Johnson Kruskal Network flows Dinic Edmonds–Karp Ford–Fulkerson Push–relabel maximum flow
Metaheuristics Evolutionary algorithm Hill climbing Local search Simulated annealing Tabu search
Categories Algorithms and methods Heuristics Software