Structure Exploiting Interior Point Methods (1907.05420v1)

Abstract: Interior point methods are among the most popular techniques for large scale nonlinear optimization, owing to their intrinsic ability of scaling to arbitrary large problem sizes. Their efficiency has attracted in recent years a lot of attention due to increasing demand for large scale optimization in industry and engineering. A parallel interior point method is discussed that exploits the intrinsic structure of large-scale nonlinear optimization problems so that the solution process can employ massively parallel high-performance computing infastructures. Since the overall performance of interior point methods relies heavily on scalable sparse linear algebra solvers, particular emphasis is given to the underlying algorithms for the distributed solution of the associated sparse linear systems obtained at each iteration from the linearization of the optimality conditions. The interior point algorithm is implemented in a object-oriented parallel IPM solver and applied for the solution of large scale optimal control problems solved in a daily basis for the secure transmission and distribution of electricity in modern power grids.