A case study in the performance and scalability of optimization algorithms
Steven J. Benson, Lois Curfman McInnes, Jorge J. Morè · ACM Transactions on Mathematical Software · 2001
We analyze the performance and scalabilty of algorithms for the solution of large optimization problems on high-performance parallel architectures. Our case study uses the GPCG (gradient projection, conjugate gradient) algorithm for solving bound-constrained convex quadratic problems. Our implementation of the GPCG algorithm within the Toolkit for Advanced Optimization (TAO) is available for a wide range of high-performance architectures and has been tested on problems with over 2.5 million variables. We analyze the performance as a function of the number of variables, the number of free variables, and the preconditioner. In addition, we discuss how the software design facilitates algorithmic comparisons.