The 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 and strong coupling this theory exhibits no thermal phase transition at any non-zero temperature. The low temperature plasma can be compared to the QCD plasma. We provide a lattice construction of ${\cal N} = 2^*{\cal N} = 4$ 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.

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