GMRES-Accelerated ADMM for Quadratic Objectives

We consider the sequence acceleration problem for the alternating direction method-of-multipliers (ADMM) applied to a class of equality-constrained problems with strongly convex quadratic objectives, which frequently arise as the Newton subproblem of interior-point methods. Within this context, the ADMM update equations are linear, the iterates are confined within a Krylov subspace, and the General Minimum RESidual (GMRES) algorithm is optimal in its ability to accelerate convergence. The basic ADMM method solves a $\kappa$-conditioned problem in $O(\sqrt{\kappa})$ iterations. We give theoretical justification and numerical evidence that the GMRES-accelerated variant consistently solves the same problem in $O(\kappa^{1/4})$ iterations for an order-of-magnitude reduction in iterations, despite a worst-case bound of $O(\sqrt{\kappa})$ iterations. The method is shown to be competitive against standard preconditioned Krylov subspace methods for saddle-point problems. The method is embedded within SeDuMi, a popular open-source solver for conic optimization written in MATLAB, and used to solve many large-scale semidefinite programs with error that decreases like $O(1/k^{2})$, instead of $O(1/k)$, where $k$ is the iteration index.Comment: 31 pages, 7 figures. Accepted for publication in SIAM Journal on Optimization (SIOPT

Accelerating MCMC via Parallel Predictive Prefetching

We present a general framework for accelerating a large class of widely used Markov chain Monte Carlo (MCMC) algorithms. Our approach exploits fast, iterative approximations to the target density to speculatively evaluate many potential future steps of the chain in parallel. The approach can accelerate computation of the target distribution of a Bayesian inference problem, without compromising exactness, by exploiting subsets of data. It takes advantage of whatever parallel resources are available, but produces results exactly equivalent to standard serial execution. In the initial burn-in phase of chain evaluation, it achieves speedup over serial evaluation that is close to linear in the number of available cores

Outer-space branch-and-bound algorithm for generalized linear multiplicative programs

This paper introduces a new global optimization algorithm for solving the generalized linear multiplicative problem (GLMP). The algorithm starts by introducing $\bar{p}$ new variables and applying a logarithmic transformation to convert the problem into an equivalent problem (EP). By using the strong duality of linear program, a new convex relaxation subproblem is formulated to obtain the lower bounds for the optimal value of EP. This relaxation subproblem, combined with a simplicial branching process, forms the foundation of a simplicial branch-and-bound algorithm that can globally solve the problem. The paper also includes an analysis of the theoretical convergence and computational complexity of the algorithm. Additionally, numerical experiments are conducted to demonstrate the effectiveness of the proposed algorithm in various test instances

Application-Specific Number Representation

Reconfigurable devices, such as Field Programmable Gate Arrays (FPGAs), enable application- specific number representations. Well-known number formats include fixed-point, floating- point, logarithmic number system (LNS), and residue number system (RNS). Such different number representations lead to different arithmetic designs and error behaviours, thus produc- ing implementations with different performance, accuracy, and cost. To investigate the design options in number representations, the first part of this thesis presents a platform that enables automated exploration of the number representation design space. The second part of the thesis shows case studies that optimise the designs for area, latency or throughput from the perspective of number representations. Automated design space exploration in the first part addresses the following two major issues: ² Automation requires arithmetic unit generation. This thesis provides optimised arithmetic library generators for logarithmic and residue arithmetic units, which support a wide range of bit widths and achieve significant improvement over previous designs. ² Generation of arithmetic units requires specifying the bit widths for each variable. This thesis describes an automatic bit-width optimisation tool called R-Tool, which combines dynamic and static analysis methods, and supports different number systems (fixed-point, floating-point, and LNS numbers). Putting it all together, the second part explores the effects of application-specific number representation on practical benchmarks, such as radiative Monte Carlo simulation, and seismic imaging computations. Experimental results show that customising the number representations brings benefits to hardware implementations: by selecting a more appropriate number format, we can reduce the area cost by up to 73.5% and improve the throughput by 14.2% to 34.1%; by performing the bit-width optimisation, we can further reduce the area cost by 9.7% to 17.3%. On the performance side, hardware implementations with customised number formats achieve 5 to potentially over 40 times speedup over software implementations

An efficient outer space branch-and-bound algorithm for globally minimizing linear multiplicative problems

We propose an efficient outer space branch-and-bound algorithm for minimizing linear multiplicative problems (LMP). First, by introducing auxiliary variables, LMP is transformed into an equivalent problem (ELMP), where the number of auxiliary variables is equal to the number of linear functions. Subsequently, based on the properties of exponential and logarithmic functions, further equivalent transformation of ELMP is performed. Next, a novel linear relaxation technique is used to obtain the linear relaxation problem, which provides a reliable lower bound for the global optimal value of LMP. Once more, branching operation takes place in the outer space of the linear function while embedding compression technique to remove infeasible regions to the maximum extent possible, which significantly reduces the computational cost. Therefore, an outer space branch-and-bound algorithm is proposed. In addition, we conduct convergence analysis and complexity proof for the algorithm. Finally, the computational performance of the algorithm is demonstrated based on the experimental results obtained by testing a series of problems

(Global) Optimization: Historical notes and recent developments

Recent developments in (Global) Optimization are surveyed in this paper. We collected and commented quite a large number of recent references which, in our opinion, well represent the vivacity, deepness, and width of scope of current computational approaches and theoretical results about nonconvex optimization problems. Before the presentation of the recent developments, which are subdivided into two parts related to heuristic and exact approaches, respectively, we briefly sketch the origin of the discipline and observe what, from the initial attempts, survived, what was not considered at all as well as a few approaches which have been recently rediscovered, mostly in connection with machine learning