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Parallel implementation of a semidefinite programming solver based on CSDP on a distributed memory cluster

Ivan D. Ivanov(i.d.ivanov***at***tudelft.nl)
Etienne De Klerk(e.deklerk***at***uvt.nl)

Abstract: In this paper we present the algorithmic framework and practical aspects of implementing a parallel version of a primal-dual semidefinite programming solver on a distributed memory computer cluster. Our implementation is based on the CSDP solver and uses a message passing interface (MPI), and the ScaLAPACK library. A new feature is implemented to deal with problems that have rank-one constraint matrices. We show that significant improvement is obtained for a test set of problems with rank one constraint matrices. Moreover, we show that very good parallel efficiency is obtained for large-scale problems where the number of linear equality constraints is very large compared to the block sizes of the positive semidefinite matrix variables.

Keywords: Semidefinite programming, interior point methods, parallel computing, distributed memory cluster

Category 1: Linear, Cone and Semidefinite Programming

Category 2: Linear, Cone and Semidefinite Programming (Semi-definite Programming )

Citation: Ivanov, I.D., & Klerk, E. de (2007). Parallel Implementation of a Semidefinite Programming Solver based on CSDP in a distributed memory cluster. (CentER Discussion Paper, 2007-20) pp. 1-22. Revised on February 6th, 2008.

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Entry Submitted: 03/06/2008
Entry Accepted: 03/06/2008
Entry Last Modified: 03/06/2008

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