A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization
Jens Hübner, Martin Schmidt, Marc C. Steinbach
INFORMS Journal on Computing · 2017 · Volume 29 · Issue 4
Abstract
Multistage stochastic optimization leads to NLPs over scenario trees that become extremely large when many time stages or fine discretizations of the probability space are required. Interior-point methods are well suited for these problems if the arising huge, structured KKT systems can be solved efficiently, for instance, with a large scenario tree but a moderate number of variables per node. For this setting we develop a distributed implementation based on data parallelism in a depth-first distribution of the scenario tree over the processes. Our theoretical analysis predicts very low memory and communication overheads. Detailed computational experiments confirm this prediction and demonstrate the overall performance of the algorithm. We solve multistage stochastic quadratic programs with up to 400 × 10 6 variables and 8.59 × 10 9 KKT matrix entries or 136 × 10 6 variables and 12.6 × 10 9 entries on a compute cluster with 384 GB RAM. Data are available at https://doi.org/10.1287/ijoc.2017.0748 .
Keywords
interior-point methods, KKT systems, multistage stochastic programming, parallel computing, distributed computing, portfolio optimization
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