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arXiv · 2610.30300

Continuous-time analysis and algorithms for linear and convex quadratic programs via exactly solvable differential inclusions

Gabriel P. Langlois·Akwum Onwunta·Jérôme Darbon
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Abstract

Linear and convex quadratic programs are fundamental problems in optimization. While many methods have been developed for solving these programs in large-scale applications, to our knowledge none have attempted to solve their continuous-time gradient flow, a differential inclusion, in full generality without assumptions beyond feasibility. Recent work solved the gradient flows in two special cases, basis pursuit and the lasso, and obtained competitive algorithms. Motivated by these results, we solve the general case exactly. Using the minimal selection principle for monotone differential inclusions, we show that the trajectory of the gradient flow consists of finitely many pieces, each obtained from one nonnegative least-squares problem. Its final piece yields an optimal solution or a certificate of unboundedness. This analysis leads to two algorithms. The first algorithm is exact, terminates after finitely many steps, and applies to linear programs and projections onto polyhedra. The second algorithm, which we call minimal selection descent, discretizes the gradient flow for general convex quadratic programs. Its iterates converge to an optimal solution when one exists and otherwise certify unboundedness. We apply both algorithms to a positivity-preserving limiter for a discontinuous Galerkin scheme and to optimal control problems for the Poisson and heat equations. In the limiter, the first algorithm conserves the total mass more accurately than the state-of-the-art Douglas--Rachford splitting method. On the control problems, minimal selection descent reaches the optimal value to machine precision and is competitive in time with commercial and open-source solvers.

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Gabriel P. Langlois, Akwum Onwunta, Jérôme Darbon. 2026-10-21. Continuous-time analysis and algorithms for linear and convex quadratic programs via exactly solvable differential inclusions. https://arxiv.org/abs/2610.30300

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