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Proximal Augmented Lagrangian method for Quadratic Programs

Project description

QPALM is a numerical optimization package that finds stationary points of (possibly nonconvex) quadratic programs, that is
\begin{equation*} \begin{aligned} & \underset{x}{\textbf{minimize}} & & \tfrac12 x^\top Q x + q^\top x\\ & \textbf{subject to} & & b_\mathrm{min} \le Ax \le b_\mathrm{max} \\ \end{aligned} \end{equation*}

Documentation

The documentation can be found at: https://kul-optec.github.io/QPALM/Doxygen

Installation

Python

The QPALM Python interface is available from PyPI, you can install it using:
python3 -m pip install qpalm

Julia, Matlab, C/C++/Fortran

Installation instructions for the Julia, Matlab, C, C++ and Fortran interfaces, as well as instructions for building QPALM from source, can be found on GitHub.

Supported platforms

QPALM is written in C, with interfaces for C++, Python, Julia, Matlab and Fortran. The code itself is portable across all major platforms. Binaries are available for Linux on x86-64, AArch64, ARMv7 and ARMv6, for macOS on x86-64 and ARM64, and for Windows on x86-64.

Benchmarks

Check out the papers below for detailed benchmark tests comparing QPALM with state-of-the-art solvers.

Citing

If you use QPALM in your research, please cite the following paper:
@inproceedings{hermans2019qpalm,
    author      = {Hermans, B. and Themelis, A. and Patrinos, P.},
    booktitle   = {58th IEEE Conference on Decision and Control},
    title       = {{QPALM}: {A} {N}ewton-type {P}roximal {A}ugmented {L}agrangian {M}ethod for {Q}uadratic {P}rograms},
    year        = {2019},
    volume      = {},
    number      = {},
    pages       = {},
    doi         = {},
    issn        = {},
    month       = {Dec.},
}

Project details


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