An ADMM Based Parallel Approach for Fund of Fund Construction
In this paper, we propose a parallel algorithm for a fund of fund (FOF) optimization model. Based on the structure of objective function, we create an augmented Lagrangian function and separate the quadratic term from the nonlinear term by the alternate direction multiplier method (ADMM), which crea...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-01-01
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| Series: | Algorithms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1999-4893/15/2/35 |
| _version_ | 1797483552595509248 |
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| author | Yidong Chen Chen Li Zhonghua Lu |
| author_facet | Yidong Chen Chen Li Zhonghua Lu |
| author_sort | Yidong Chen |
| collection | DOAJ |
| description | In this paper, we propose a parallel algorithm for a fund of fund (FOF) optimization model. Based on the structure of objective function, we create an augmented Lagrangian function and separate the quadratic term from the nonlinear term by the alternate direction multiplier method (ADMM), which creates two new subproblems that are much easier to be computed. To accelerate the convergence speed of the proposed algorithm, we use an adaptive step size method to adjust the step parameter according to the residual of the dual problem at every iterate. We show the parallelization of the proposed algorithm and implement it on CUDA with block storage for the structured matrix, which is shown to be up to two orders of magnitude faster than the CPU implementation on large-scale problems. |
| first_indexed | 2024-03-09T22:49:40Z |
| format | Article |
| id | doaj.art-af490acb5f384373a763988b8cf91625 |
| institution | Directory Open Access Journal |
| issn | 1999-4893 |
| language | English |
| last_indexed | 2024-03-09T22:49:40Z |
| publishDate | 2022-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Algorithms |
| spelling | doaj.art-af490acb5f384373a763988b8cf916252023-11-23T18:24:01ZengMDPI AGAlgorithms1999-48932022-01-011523510.3390/a15020035An ADMM Based Parallel Approach for Fund of Fund ConstructionYidong Chen0Chen Li1Zhonghua Lu2Computer Network Information Center, Chinese Academy of Sciences, Beijing 100190, ChinaComputer Network Information Center, Chinese Academy of Sciences, Beijing 100190, ChinaComputer Network Information Center, Chinese Academy of Sciences, Beijing 100190, ChinaIn this paper, we propose a parallel algorithm for a fund of fund (FOF) optimization model. Based on the structure of objective function, we create an augmented Lagrangian function and separate the quadratic term from the nonlinear term by the alternate direction multiplier method (ADMM), which creates two new subproblems that are much easier to be computed. To accelerate the convergence speed of the proposed algorithm, we use an adaptive step size method to adjust the step parameter according to the residual of the dual problem at every iterate. We show the parallelization of the proposed algorithm and implement it on CUDA with block storage for the structured matrix, which is shown to be up to two orders of magnitude faster than the CPU implementation on large-scale problems.https://www.mdpi.com/1999-4893/15/2/35FOF constructionnon-linear optimizationADMM algorithmparallel computingGPU |
| spellingShingle | Yidong Chen Chen Li Zhonghua Lu An ADMM Based Parallel Approach for Fund of Fund Construction Algorithms FOF construction non-linear optimization ADMM algorithm parallel computing GPU |
| title | An ADMM Based Parallel Approach for Fund of Fund Construction |
| title_full | An ADMM Based Parallel Approach for Fund of Fund Construction |
| title_fullStr | An ADMM Based Parallel Approach for Fund of Fund Construction |
| title_full_unstemmed | An ADMM Based Parallel Approach for Fund of Fund Construction |
| title_short | An ADMM Based Parallel Approach for Fund of Fund Construction |
| title_sort | admm based parallel approach for fund of fund construction |
| topic | FOF construction non-linear optimization ADMM algorithm parallel computing GPU |
| url | https://www.mdpi.com/1999-4893/15/2/35 |
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