SuperSCS  1.3.2
Benchmarks

# Dolan-Moré performance profiles

In order to compare different solvers, we employ the Dolan-Moré performance profile plot.

Let us briefly introduce the Dolan-Moré performance profile plot.

Let $$P$$ be a finite set of problems used as benchmarks and $$S$$ be a set of solvers we want to compare to one another.

Let $$t_{p,s}$$ be the cost (e.g., runtime or flops) to solve a problem $$p$$ using a solver $$s$$.

We define the ration between $$t_{p,s}$$ and the lowest observed cost to solve this problem using some solver $$s\in S$$:

\begin{eqnarray*} r_{p,s} = \frac{t_{p,s}}{\min_{s \in S} t_{p,s}}. \end{eqnarray*}

If a solver $$s$$ does not solve a problem $$p$$, then we assign to $$r_{p,s}$$ a very high value $$r_M > r_{p,s}$$ for all other $$p,s$$.

The cumulative distribution of the performance ratio is the Dolan-Moré performance profile plot.

In particular, define

\begin{eqnarray*} \rho_s(\tau) = \frac{1}{n_p}\#\{p\in P: r_{p,s}\leq \tau\}, \end{eqnarray*}

for $$\tau\geq 1$$ and where $$n_p$$ is the number of problems.

The Dolan-Moré performance profile is the plot of $$\rho_s$$ vs $$\tau$$, typically on a logarithmic x-axis.

# Benchmark results

## Benchmarking parameters

In all benchmark results presented below we set the tolerance to $$10^{-4}$$.

The maximum number of iterations was set to a very high value above which we may confidently tell the problem is unlikely to be solved (e.g., $$10^6$$).

Given that different algorithms (SCS, SuperSCS using Broyden directions and SuperSCS using Anderson's acceleration) have a different per-iteration cost, we allow every algorithm to run for a give time (see max_time_milliseconds).

After that maximum time has passed, if the algorithm has not converged we consider that it has failed to solve the problem.

In Broyden's method we deactivated the K0 steps.

## LASSO problems

1152 lasso problems

## Regularized PCA

288 regularized PCA problems

## Logistic regression problems

288 logistic regression problems

48 SDP problems

## Ill-conditioned SDPs

48 ill-conditioned SDP problems

## Norm-constrained norm minimization

256 norm-constrained problems

# Maros-Meszaros Problems

We tested SuperSCS on the Maros-Meszaros collection of QP problems.

Find details here.