A forward-backward algorithm for decomposable semi-definite programs

Conference paper (2020)

Authors

F. Fabiani University of Oxford
S. Grammatico Team Bart De Schutter - Mechanical, Maritime and Materials Engineering
Research Group
Team Bart De Schutter (Mechanical, Maritime and Materials Engineering) (TU Delft)
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Published Date

2020

Language

English

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Faculty

Mechanical, Maritime and Materials Engineering

Department

Delft Center for Systems and Control

Research Group

Team Bart De Schutter

Abstract

We present semi-decentralized and distributed algorithms, designed via a preconditioned forward-backward operator splitting, for solving large-scale, decomposable semi-definite programs (SDPs). We exploit a chordal aggregate sparsity pattern assumption on the original SDP to obtain a set of mutually coupled SDPs defined on positive semidefinite (PSD) cones of reduced dimensions. We show that the proposed algorithms converge to a solution of the original SDP via iterations of reasonable computational cost, numerically comparing their performances with respect to others available in the literature.

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