Proximal Augmented Lagrangian method for Quadratic Programs

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QPALM is a numerical optimization package that finds stationary points of (possibly nonconvex) quadratic programs, that is

minimize        0.5 x' Q x + q' x

subject to      l <= A x <= u

Documentation

You can now find the the documentation here. This includes all information you need to get started using QPALM.

Benchmarks

Check out the paper below for detailed benchmark tests comparing QPALM with state-of-the-art solvers.

• QPALM: A Newton-type Proximal Augmented Lagrangian Method for Quadratic Programs
• QPALM: A Proximal Augmented Lagrangian Method for Nonconvex Quadratic Programs

Citing

If you use QPALM in your research, please cite the following paper

@inproceedings{hermans2019qpalm,
	author      = {Hermans, B. and Themelis, A. and Patrinos, P.},
	booktitle   = {58th IEEE Conference on Decision and Control},
	title       = {{QPALM}: {A} {N}ewton-type {P}roximal {A}ugmented {L}agrangian {M}ethod for {Q}uadratic {P}rograms},
	year        = {2019},
	volume      = {},
	number      = {},
	pages       = {},
	doi         = {},
	issn        = {},
	month       = {Dec.},
}

License

QPALM is licensed under LGPL v3.0. Some modules are used in this software:

• LADEL: authored by Ben Hermans and licensed under LGPL-v3.

• LOBPCG: the version of LOBPCG used here was written by Ben Hermans and licensed under the GNU Lesser General Public License v3.0, see LOBPCG/LICENSE.

• LAPACK: authored by The University of Tennessee and The University of Tennessee Research Foundation, The University of California Berkeley, and The University of Colorado Denver, and licensed under BSD-3, see here.

• Minunit: a minimal unit testing framework for C, modified from the version by David Siñuela Pastor and licensed under MIT, see here.