Decomposition methods for large-scale semidefinite programs with chordal aggregate sparsity and partial orthogonality
File(s)Zheng_Fantuzzi_Papachristodoulou.pdf (3.05 MB)
Accepted version
Author(s)
Zheng, Yang
Fantuzzi, Giovanni
Papachristodoulou, Antonis
Type
Chapter
Abstract
Many semidefinite programs (SDPs) arising in practical applications have useful structural properties that can be exploited at the algorithmic level. In this chapter, we review two decomposition frameworks for large-scale SDPs characterized by either chordal aggregate sparsity or partial orthogonality. Chordal aggregate sparsity allows one to decompose the positive semidefinite matrix variable in the SDP, while partial orthogonality enables the decomposition of the affine constraints. The decomposition frameworks are particularly suitable for the application of first-order algorithms. We describe how the decomposition strategies enable one to speed up the iterations of a first-order algorithm, based on the alternating direction method of multipliers, for the solution of the homogeneous self-dual embedding of a primal-dual pair of SDPs. Precisely, we give an overview of two structure-exploiting algorithms for semidefinite programming, which have been implemented in the open-source MATLAB solver CDCS. Numerical experiments on a range of large-scale SDPs demonstrate that the decomposition methods described in this chapter promise significant computational gains.
Editor(s)
Giselsson, P
Rantzer, A
Date Issued
2018-01-01
Citation
Large-Scale and Distributed Optimization, 2018, pp.33-55
ISBN
978-3-319-97477-4
Publisher
Springer International Publishing AG
Start Page
33
End Page
55
Journal / Book Title
Large-Scale and Distributed Optimization
Lecture Notes in Mathematics
Copyright Statement
© Springer Nature Switzerland AG 2018
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000458487300004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Science & Technology
Physical Sciences
Mathematics
Large-scale semidefinite programs
Chordal decomposition
Partial orthogonality
Operator-splitting algorithms
Decomposition methods
INTERIOR-POINT METHODS
GLOBAL OPTIMIZATION
CONIC OPTIMIZATION
POLYNOMIALS
MATLAB
Publication Status
Published