Скачать или смотреть JuMP-dev 2019 | Michael Garstka | COSMO - A conic operator splitting method for large conic problems

Registration for this years Virtual JuliaCon is available now (for free): https://juliacon.org/2020/tickets/. COSMO - A conic operator splitting method for large conic problems

Presented by Michael Garstka at the 2019 JuMP-dev Workshop in Santiago, Chile

The talk is about the Conic Operator Splitting Method (COSMO), an operator splitting algorithm for convex optimisation problems with quadratic objective function and conic constraints. At each step the algorithm alternates between solving a quasi-definite linear system with a constant coefficient matrix and a projection onto convex sets. The solver is able to exploit chordal sparsity in the problem data and to detect infeasible problems. The low per-iteration computational cost makes the method particularly efficient for large problems, e.g. semidefinite programs in portfolio optimisation, graph theory, and robust control. Our Julia implementation is open-source, extensible and performs well on a variety of large convex problem classes. Time Stamps:

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