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

See all articles by Ivan D. Ivanov

Ivan D. Ivanov

Delft University of Technology

Etienne de Klerk

Tilburg University

Date Written: March 2007

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

JEL Classification: C60

Suggested Citation

Ivanov, Ivan D. and de Klerk, Etienne, Parallel Implementation of a Semidefinite Programming Solver Based on CSDP on a Distributed Memory Cluster (March 2007). CentER Discussion Paper Series No. 2007-20. Available at SSRN: https://ssrn.com/abstract=987781 or http://dx.doi.org/10.2139/ssrn.987781

Ivan D. Ivanov (Contact Author)

Delft University of Technology ( email )

Stevinweg 1
Stevinweg 1
Delft, 2628 CN
Netherlands

Etienne De Klerk

Tilburg University ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

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