Distributed primal–dual interior-point methods for solving tree-structured coupled convex problems using message-passing

Sina Khoshfetrat Pakazad, Anders Hansson, Martin S. Andersen, Isak Nielsen

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

In this paper, we propose a distributed algorithm for solving coupled problems with chordal sparsity or an inherent tree structure which relies on primal–dual interior-point methods. We achieve this by distributing the computations at each iteration, using message-passing. In comparison to existing distributed algorithms for solving such problems, this algorithm requires far fewer iterations to converge to a solution with high accuracy. Furthermore, it is possible to compute an upper-bound for the number of required iterations which, unlike existing methods, only depends on the coupling structure in the problem. We illustrate the performance of our proposed method using a set of numerical examples.
Original languageEnglish
JournalOptimization Methods and Software
Volume32
Issue number3
Pages (from-to)401-435
ISSN1055-6788
DOIs
Publication statusPublished - 2017

Keywords

  • Distributed Optimization
  • Primal–dual interior-point method
  • Message-passing
  • High precision solution

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