Implementation of a primal—dual method for SDP on a shared memory parallel architecture

Authors:
Brian Borchers;Joseph G. Young
Affiliations:
Department of Mathematics, New Mexico Tech, Socorro, USA 87801;Computational and Applied Mathematics, Rice University, Houston, USA 77005
Venue:
Computational Optimization and Applications
Year:
2007

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Abstract

Primal---dual interior point methods and the HKM method in particular have been implemented in a number of software packages for semidefinite programming. These methods have performed well in practice on small to medium sized SDPs. However, primal---dual codes have had some trouble in solving larger problems because of the storage requirements and required computational effort. In this paper we describe a parallel implementation of the primal---dual method on a shared memory system. Computational results are presented, including the solution of some large scale problems with over 50,000 constraints.