Accelerating Branch MPC with Two-Level Parallel Direct Solves on GPUs

Abstract

Branch model predictive control optimizes multiple future trajectories coupled through shared decisions, with computational demands increasing as the number of scenarios and prediction horizon grow. We present a GPU-accelerated direct linear solver for branch MPC formulations in which all trajectories share a single root decision node and evolve independently thereafter. By operating at the linear-algebra level, the solver provides a reusable backend for multiple optimization algorithms whose reduced systems have the required symmetric positive-definite structure. The solver exploits two levels of parallelism: across scenarios and along each prediction horizon. A tailored variable ordering enables horizon-parallel Cholesky factorization while preserving a single root-tail coupling block per scenario in the factor. Numerical experiments demonstrate substantial speedups over state-of-the-art sparse direct solvers, achieving factorization speedups of up to 6.0$\times$ over cuDSS and 27.6$\times$ over eight-thread PARDISO, with triangular solve speedups of up to 3.5$\times$ and 15.8$\times$, respectively.