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arXiv · 1903.06477

SuperSCS: fast and accurate large-scale conic optimization

Pantelis Sopasakis·Krina Menounou·Panagiotis Patrinos
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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.

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Pantelis Sopasakis, Krina Menounou, Panagiotis Patrinos. 2019-03-15. SuperSCS: fast and accurate large-scale conic optimization. https://arxiv.org/abs/1903.06477

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