Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
173 tokens/sec
GPT-4o
7 tokens/sec
Gemini 2.5 Pro Pro
46 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Exploiting Multistage Optimization Structure in Proximal Solvers (2503.12664v1)

Published 16 Mar 2025 in math.OC, cs.SY, and eess.SY

Abstract: This paper presents an efficient structure-exploiting algorithm for multistage optimization problems, implemented as a new backend in the PIQP solver. The proposed method extends existing approaches by supporting full coupling between stages and global decision variables in the cost as well as equality and inequality constraints. The solver leverages a specialized block-tri-diagonal-arrow Cholesky factorization within a proximal interior-point framework to handle the underlying problem structure efficiently. The implementation features automatic structure detection and seamless integration with existing interfaces. Numerical experiments demonstrate significant performance improvements, achieving up to 13x speed-up compared to a generic sparse backend and matching/exceeding the performance of the state-of-the-art specialized solver HPIPM. The solver is particularly effective for applications such as model predictive control, robust scenario optimization, and periodic optimization problems.

Summary

We haven't generated a summary for this paper yet.

X Twitter Logo Streamline Icon: https://streamlinehq.com