qpalm 0.0.0a2

Proximal Augmented Lagrangian method for Quadratic Programs

Proximal Augmented Lagrangian method for Quadratic Programs

QPALM is a numerical optimization package that finds stationary points of (possibly nonconvex) quadratic programs, that is

minimize        ½ xᵀQx + qᵀx

subject to      l ≤ Ax ≤ u

Documentation

The documentation can be found at: https://tttapa.github.io/QPALM-minimal/Doxygen
Examples are included as well: https://tttapa.github.io/QPALM-minimal/Doxygen/examples.html

Installation

To install the Python interface to QPALM, you can download pre-built binaries from PyPI:

python3 -m pip install qpalm

To install the Matlab interface, download qpalm-matlab.tar.gz from the releases page, and extract it into the ~/Documents/MATLAB folder. As a one-liner:

wget https://github.com/tttapa/QPALM-minimal/releases/download/0.0.0a2/qpalm-matlab.tar.gz -O- | tar xz -C ~/Documents/MATLAB

Benchmarks

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

• QPALM: A Newton-type Proximal Augmented Lagrangian Method for Quadratic Programs
• QPALM: A Proximal Augmented Lagrangian Method for Nonconvex Quadratic Programs

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.},
}

License

QPALM is licensed under LGPL v3.0. Some modules are used in this software:

• LADEL: authored by Ben Hermans and licensed under LGPL-v3.
• LOBPCG: the version of LOBPCG used here was written by Ben Hermans and licensed under the GNU Lesser General Public License v3.0, see LOBPCG/LICENSE.
• LAPACK: authored by The University of Tennessee and The University of Tennessee Research Foundation, The University of California Berkeley, and The University of Colorado Denver, and licensed under BSD-3, see here.
• Minunit: a minimal unit testing framework for C, modified from the version by David Siñuela Pastor and licensed under MIT, see here.