  The ${\cal N} = 2^*$ Yang-Mills theory in four dimensions is a non-conformal
theory that appears as a mass deformation of maximally supersymmetric ${\cal N}
= 4$ Yang-Mills theory. This theory also takes part in the AdS/CFT
correspondence and its gravity dual is type IIB supergravity on the
Pilch-Warner background. The finite temperature properties of this theory have
been studied recently in the literature. It has been argued that at large $N$
and strong coupling this theory exhibits no thermal phase transition at any
non-zero temperature. The low temperature ${\cal N} = 2^*$ plasma can be
compared to the QCD plasma. We provide a lattice construction of ${\cal N} =
2^*$ Yang-Mills on a hypercubic lattice starting from the ${\cal N} = 4$ gauge
theory. The lattice construction is local, gauge-invariant, free from fermion
doubling problem and preserves a part of the supersymmetry. This
nonperturbative formulation of the theory can be used to provide a highly
nontrivial check of the AdS/CFT correspondence in a non-conformal theory.
