Distributed Semidefinite Programming With Application to Large-Scale System Analysis

DOI10.1109/TAC.2017.2739644MaRDI QIDQ4567160zbMATH OpenOpenAlexFDO

Authors

Publication date 27 June 2018

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.07755

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Interior-point methods (90C51) Semidefinite programming (90C22)

Abstract: Distributed algorithms for solving coupled semidefinite programs (SDPs) commonly require many iterations to converge. They also put high computational demand on the computational agents. In this paper we show that in case the coupled problem has an inherent tree structure, it is possible to devise an efficient distributed algorithm for solving such problems. This algorithm can potentially enjoy the same efficiency as centralized solvers that exploit sparsity. The proposed algorithm relies on predictor-corrector primal-dual interior-point methods, where we use a message-passing algorithm to compute the search directions distributedly. Message-passing here is closely related to dynamic programming over trees. This allows us to compute the exact search directions in a finite number of steps. Furthermore this number can be computed a priori and only depends on the coupling structure of the problem. We use the proposed algorithm for analyzing robustness of large-scale uncertain systems distributedly. We test the performance of this algorithm using numerical examples.

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(11)

• Bounds on heat transfer for Bénard-Marangoni convection at infinite Prandtl number
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• Exploiting low-rank structure in semidefinite programming by approximate operator splitting
• Distributed nonlinear conic optimization with partially separable structure
• Distributed consensus-based solver for semi-definite programming: an optimization viewpoint
• A distributed algorithm for high-dimension convex quadratically constrained quadratic programs
• Consensus control for linear systems with optimal energy cost
• Bregman primal-dual first-order method and application to sparse semidefinite programming
• Projected primal-dual gradient flow of augmented Lagrangian with application to distributed maximization of the algebraic connectivity of a network
• A novel fractional-order neural network for model reduction of large-scale systems with fractional-order nonlinear structure

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