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arXiv · 2203.04188

Extrapolated Proportional-Integral Projected Gradient Method for Conic Optimization

Yue Yu·Purnanand Elango·Behçet Açıkmeşe·Ufuk Topcu
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Abstract

Conic optimization is the minimization of a convex quadratic function subject to conic constraints. We introduce a novel first-order method for conic optimization, named \emph{extrapolated proportional-integral projected gradient method (xPIPG)}, that automatically detects infeasibility. The iterates of xPIPG either asymptotically satisfy a set of primal-dual optimality conditions, or generate a proof of primal or dual infeasibility. We demonstrate the application of xPIPG using benchmark problems in model predictive control. xPIPG outperforms many state-of-the-art conic optimization solvers, especially when solving large-scale problems.

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Yue Yu, Purnanand Elango, Behçet Açıkmeşe, Ufuk Topcu. 2022-03-08. Extrapolated Proportional-Integral Projected Gradient Method for Conic Optimization. https://arxiv.org/abs/2203.04188

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