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Article

An ADMM Based Parallel Approach for Fund of Fund Construction

by 1,2,†, 1,† and 1,*
1
Computer Network Information Center, Chinese Academy of Sciences, Beijing 100190, China
2
University of Chinese Academy of Sciences, Beijing 100049, China
*
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
Academic Editors: Marina Papatriantafilou and Frank Werner
Algorithms 2022, 15(2), 35; https://doi.org/10.3390/a15020035
Received: 30 November 2021 / Revised: 17 January 2022 / Accepted: 21 January 2022 / Published: 25 January 2022
(This article belongs to the Special Issue Performance Optimization and Performance Evaluation)
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. View Full-Text
Keywords: FOF construction; non-linear optimization; ADMM algorithm; parallel computing; GPU FOF construction; non-linear optimization; ADMM algorithm; parallel computing; GPU
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MDPI and ACS Style

Chen, Y.; Li, C.; Lu, Z. An ADMM Based Parallel Approach for Fund of Fund Construction. Algorithms 2022, 15, 35. https://doi.org/10.3390/a15020035

AMA Style

Chen Y, Li C, Lu Z. An ADMM Based Parallel Approach for Fund of Fund Construction. Algorithms. 2022; 15(2):35. https://doi.org/10.3390/a15020035

Chicago/Turabian Style

Chen, Yidong, Chen Li, and Zhonghua Lu. 2022. "An ADMM Based Parallel Approach for Fund of Fund Construction" Algorithms 15, no. 2: 35. https://doi.org/10.3390/a15020035

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