piqp
R Interface to Proximal Interior Point Quadratic Programming Solver
Roland Schwan, Yuning Jiang, Daniel Kuhn, Colin N. Jones, Balasubramanian Narasimhan
Last update: 14 August 2023
Software version identifier: 0.2.2
Copyright license: 2-clause BSD License, File License
An embedded proximal interior point quadratic programming solver, which can solve dense and sparse quadratic programs, described in Schwan, Jiang, Kuhn, and Jones (2023) <doi:10.48550/arXiv.2304.00290>. Combining an infeasible interior point method with the proximal method of multipliers, the algorithm can handle ill-conditioned convex quadratic programming problems without the need for linear independence of the constraints. The solver is written in header only 'C++ 14' leveraging the 'Eigen' library for vectorized linear algebra. For small dense problems, vectorized instructions and cache locality can be exploited more efficiently. Allocation free problem updates and re-solves are also provided.
