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Sparse convex optimization toolkit: a mixed-integer framework
Automation and System Engineering Department, Federal University of Santa Catarina, Florianópolis, Brazil.
Automation and System Engineering Department, Federal University of Santa Catarina, Florianópolis, Brazil.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Numerical Analysis, Optimization and Systems Theory.ORCID iD: 0000-0003-0299-5745
2023 (English)In: Optimization Methods and Software, ISSN 1055-6788, E-ISSN 1029-4937, Vol. 38, no 6, p. 1269-1295Article in journal (Refereed) Published
Abstract [en]

This paper proposes an open-source distributed solver for solving Sparse Convex Optimization (SCO) problems over computational networks. Motivated by past algorithmic advances in mixed-integer optimization, the Sparse Convex Optimization Toolkit (SCOT) adopts a mixed-integer approach to find exact solutions to SCO problems. In particular, SCOT combines various techniques to transform the original SCO problem into an equivalent convex Mixed-Integer Nonlinear Programming (MINLP) problem that can benefit from high-performance and parallel computing platforms. To solve the equivalent mixed-integer problem, we present the Distributed Hybrid Outer Approximation (DiHOA) algorithm that builds upon the LP/NLP-based branch-and-bound and is tailored for this specific problem structure. The DiHOA algorithm combines the so-called single- and multi-tree outer approximation, naturally integrates a decentralized algorithm for distributed convex nonlinear subproblems, and employs enhancement techniques such as quadratic cuts. Finally, we present detailed computational experiments that show the benefit of our solver through numerical benchmarks on 140 SCO problems with distributed datasets. To show the overall efficiency of SCOT we also provide solution profiles comparing SCOT to other state-of-the-art MINLP solvers.

Place, publisher, year, edition, pages
Informa UK Limited , 2023. Vol. 38, no 6, p. 1269-1295
Keywords [en]
distributed computing, mixed-integer nonlinear programming, outer approximation, Sparse optimization
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-348021DOI: 10.1080/10556788.2023.2222429ISI: 001025782800001Scopus ID: 2-s2.0-85164671816OAI: oai:DiVA.org:kth-348021DiVA, id: diva2:1882685
Note

QC 20240706

Available from: 2024-07-06 Created: 2024-07-06 Last updated: 2024-07-06Bibliographically approved

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Kronqvist, Jan

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