Parallel Implementation of a Semidefinite Programming Solver Based on CSDP on a Distributed Memory Cluster
CentER Discussion Paper Series No. 2007-20
22 Pages Posted: 22 May 2007
Date Written: March 2007
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
JEL Classification: C60
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