Implementation and Performance Evaluation of an Extended Precision Floating-Point Arithmetic Library for High-Accuracy Semidefinite Programming

Abstract

Semidefinite programming (SDP) is widely used in optimization problems with many applications, however, certain SDP instances are ill-posed and need more precision than the standard double-precision available. Moreover, these problems are large-scale and could benefit from parallelization on specialized architectures such as GPUs. In this article, we implement and evaluate the performance of a floating-point expansion-based arithmetic library (CAMPARY) in the context of such numerically highly accurate SDP solvers. We plugged-in CAMPARY with the state-of-the-art SDPA solver for both CPU and GPU-tuned implementations. We compare and contrast both the numerical accuracy and performance of SDPA-GMP, -QD and -DD, which employ other multiple-precision arithmetic libraries against SDPA-CAMPARY. We show that CAMPARY is a very good trade-off for accuracy and speed when solving ill-conditioned SDP problems.