SuperSCS: fast and accurate large-scale conic optimization
Optimization and Control
2019-03-18 v1
Abstract
We present SuperSCS: a fast and accurate method for solving large-scale convex conic problems. SuperSCS combines the SuperMann algorithmic framework with the Douglas-Rachford splitting which is applied on the homogeneous self-dual embedding of conic optimization problems: a model for conic optimization problems which simultaneously encodes the optimality conditions and infeasibility/unboundedness certificates for the original problem. SuperMann allows the use of fast quasi-Newtonian directions such as a modified restarted Broyden-type direction and Anderson's acceleration.
Cite
@article{arxiv.1903.06477,
title = {SuperSCS: fast and accurate large-scale conic optimization},
author = {Pantelis Sopasakis and Krina Menounou and Panagiotis Patrinos},
journal= {arXiv preprint arXiv:1903.06477},
year = {2019}
}
Comments
Cite as: P. Sopasakis, K. Menounou, P. Patrinos, "SuperSCS: fast and accurate large-scale conic optimization," IEEE European Control Conference, Naples, Italy, 2019