Parallel distributed-memory simplex for large-scale stochastic LP problems
Technical Report ERGO-12-005
M. Lubin, J.A.J. Hall, C. G. Petra and M. Anitescu
Abstract
We present a parallelization of the revised simplex method for large extensive forms of two-stage stochastic linear programming (LP) problems. These problems have been considered too large to solve with the simplex method; instead, decomposition approaches based on Benders decomposition or, more recently, interior-point methods are generally used. However, these approaches do not provide optimal basic solutions, which allow for efficient hot-starts (e.g., in a branch-and-bound context) and can provide important sensitivity information. Our approach exploits the dual block-angular structure of these problems inside the linear algebra of the revised simplex method in a manner suitable for high-performance distributed-memory clusters or supercomputers. While this paper focuses on stochastic LPs, the work is applicable to all problems with a dual block-angular structure. Our implementation is competitive in serial with highly efficient sparsity-exploiting simplex codes and achieves significant relative speed-ups when run in parallel. Additionally, very large problems with hundreds of millions of variables have been successfully solved to optimality. This is the largest-scale parallel sparsity-exploiting revised simplex implementation that has been developed to date It is built on novel analysis of the linear algebra for dual block-angular LP problems when solved by using the revised simplex method and a novel parallel scheme for applying product-form updates.
Key words: Simplex method, Parallel computing, Stochastic optimization, Linear programming, Block-angular
Awarded the COIN-OR INFORMS 2013 Cup on 7 October 2013
Awarded the prize for the
best paper of 2013 in Computational Optimization and Applications
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Computational Optimization and Applications 55(3), 571-596, 2013. DOI: 10.1007/s10589-013-9542-y