Scalable Parallel Nonlinear Optimization with PyNumero and Parapint

We describe PyNumero, an open-source, object-oriented programming framework in Python that supports rapid development of performant parallel algorithms for structured nonlinear programming problems (NLP’s) using the Message Passing Interface (MPI). PyNumero provides three fundamental building blocks for developing NLP algorithms: a fast interface for calculating first and second derivatives with the AMPL Solver Library (ASL), … Read more

Generation of Feasible Integer Solutions on a Massively Parallel Computer

We present an approach to parallelize generation of feasible solutions of mixed integer linear programs in distributed memory high performance computing environments. The approach combines a parallel framework with feasibility pump (FP) as the rounding heuristic. The proposed approach runs multiple FP instances with different starting so- lutions concurrently, while allowing them to share information. … Read more

Parallel Algorithms for Big Data Optimization

We propose a decomposition framework for the parallel optimization of the sum of a differentiable function and a (block) separable nonsmooth, convex one. The latter term is usually employed to enforce structure in the solution, typically sparsity. Our framework is very flexible and includes both fully parallel Jacobi schemes and Gauss-Seidel (i.e., sequential) ones, as … Read more