A new architecture for optimization modeling frameworks

Matt Wytock, Steven Diamond, Felix Heide, Stephen Boyd

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

We propose a new architecture for optimization modeling frameworks in which solvers are expressed as computation graphs in a framework like TensorFlow rather than as standalone programs built on a low-level linear algebra interface. Our new architecture makes it easy for modeling frameworks to support high performance computational platforms like GPUs and distributed clusters, as well as to generate solvers specialized to individual problems. Our approach is particularly well adapted to first-order and indirect optimization algorithms. We introduce cvxflow, an open-source convex optimization modeling framework in Python based on the ideas in this paper, and show that it outperforms the state of the art.

Original languageEnglish (US)
Title of host publicationProceedings of PyHPC 2016
Subtitle of host publication6th Workshop on Python for High-Performance and Scientific Computing - Held in conjunction with SC16: The International Conference for High Performance Computing, Networking, Storage and Analysis
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages36-44
Number of pages9
ISBN (Electronic)9781509052202
DOIs
StatePublished - Jan 30 2017
Externally publishedYes
Event6th Workshop on Python for High-Performance and Scientific Computing, PyHPC 2016 - Salt Lake City, United States
Duration: Nov 13 2016Nov 18 2016

Publication series

NameProceedings of PyHPC 2016: 6th Workshop on Python for High-Performance and Scientific Computing - Held in conjunction with SC16: The International Conference for High Performance Computing, Networking, Storage and Analysis

Conference

Conference6th Workshop on Python for High-Performance and Scientific Computing, PyHPC 2016
CountryUnited States
CitySalt Lake City
Period11/13/1611/18/16

All Science Journal Classification (ASJC) codes

  • Software
  • Hardware and Architecture

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