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SUMMARY:OSQP: An Operator Splitting Solver for Quadratic Programs - Bartol
 omeo Stellato\, University of Oxford
DTSTART:20170629T130000Z
DTEND:20170629T140000Z
UID:TALK72966@talks.cam.ac.uk
CONTACT:Tim Hughes
DESCRIPTION:We develop a general purpose solver for quadratic programs bas
 ed on operator splitting. We introduce a novel splitting that requires the
  solution of a quasi-definite linear system with the same coefficient matr
 ix in each iteration. The resulting algorithm is very robust\, and once th
 e initial factorization is carried out\, division free\; it also eliminate
 s requirements on the problem data such as positive definiteness of the ob
 jective function or linear independence of the constraint functions. Moreo
 ver\, it is able to detect primal or dual infeasible problems providing in
 feasibility certificates. The method supports caching the factorization of
  the quasi-definite system and warm starting\, making it efficient for sol
 ving parametrized problems arising in finance\, control\, and machine lear
 ning. Our open-source C implementation OSQP has a small footprint and is l
 ibrary-free. Numerical benchmarks on problems arising from several applica
 tion domains show that OSQP is typically 10x faster than interior-point me
 thods\, especially when factorization caching or warm start is used.\n\nJo
 int work with Goran Banjac\, Paul Goulart\, Alberto Bemporad and Stephen B
 oyd
LOCATION: Cambridge University Engineering Department\, LR3
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