A case study in the performance and scalability of optimization algorithms

  • Authors:
  • Steven J. Benson;Lois Curfman McInnes;Jorge J. Moré

  • Affiliations:
  • Argonne National Laboratory, Argonne, IL;Argonne National Laboratory, Argonne, IL;Argonne National Laboratory, Argonne, IL

  • Venue:
  • ACM Transactions on Mathematical Software (TOMS)
  • Year:
  • 2001

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Abstract

We analyze the performance and scalabilty of algorithms for the solution of large optimization problems on high-performance parallel architectures. Our case study uses the GPCG (gradient projection, conjugate gradient) algorithm for solving bound-constrained convex quadratic problems. Our implementation of the GPCG algorithm within the Toolkit for Advanced Optimization (TAO) is available for a wide range of high-performance architectures and has been tested on problems with over 2.5 million variables. We analyze the performance as a function of the number of variables, the number of free variables, and the preconditioner. In addition, we discuss how the software design facilitates algorithmic comparisons.