Solving Large-Scale Semidefinite Programs in Parallel

Madhu Nayakkankuppam (madhumath.umbc.edu)

Abstract: We describe an approach to the parallel and distributed solution of large-scale, block structured semidefinite programs using the spectral bundle method. Various elements of this approach (such as data distribution, an implicitly restarted Lanczos method tailored to handle block diagonal structure, a mixed polyhedral-semidefinite subdifferential model, and other aspects related to parallelism) are combined in an implementation called LAMBDA, which delivers faster solution times than previously possible, and acceptable parallel scalability on sufficiently large problems.

Keywords: semidefinite programming, subgradient bundle methods, Lanczos method, parallel computing

Category 1: Linear, Cone and Semidefinite Programming

Category 2: Convex and Nonsmooth Optimization

Citation: Technical Report, Department of Mathematics & Statistics, University of Maryland, Baltimore County

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Entry Submitted: 03/07/2005
Entry Accepted: 03/07/2005
Entry Last Modified: 03/07/2005

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