PDHCG: A First-Order Solver for Quadratic Conic Programming with Multi-GPU Acceleration

PDHCG is a high-performance, GPU-accelerated implementation of the Primal-Dual Hybrid Gradient (PDHG) algorithm for large-scale convex quadratic and quadratic conic programming.

For a detailed explanation of the methodology, please refer to our papers: A Restarted Primal-Dual Hybrid Conjugate Gradient Method for Large-Scale Quadratic Programming and GPU-Accelerated Conic Quadratic Programming with Local Linear Convergence under Strict Complementarity.

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Problem Formulation

PDHCG solves convex quadratic conic programs in the following form, with a sparse quadratic objective component and an optional structured low-rank component:

$$\begin{aligned} \min_{x} \quad & \frac{1}{2}x^\top (Q + R^\top D R) x + c^\top x \\ \text{s.t.} \quad & \ell_c \le Ax \le u_c, \\ & Fx + g \in \mathcal{K}_a, \\ & \ell_v \le x \le u_v, \\ & x_J \in \mathcal{K}_v \quad \text{for variable-cone blocks } J. \end{aligned}$$

• $Q$ is the sparse symmetric quadratic component (optional).
• $R \in \mathbb{R}^{k\times n}$ is a tall low-rank factor (optional, $k$ = rank).
• $D \in \mathbb{R}^{k\times k}$ is an optional middle matrix that scales / weights / signs the low-rank term. When omitted it defaults to the identity, recovering the standard $Q + R^\top R$ formulation. $D$ may be diagonal, sparse, dense, or indefinite — the backend auto-detects the cheapest runtime representation.
• Standard SOC, Rotated SOC, Exponential, and Power cones are supported both on variable blocks and through native affine constraints $Fx + g \in \mathcal{K}_a$.

Installation (C++ Executable)

To use the standalone C++ solver, you must compile the project using CMake.

Requirements

• GPU: NVIDIA GPU with CUDA 12.4+.
• Build Tools: CMake (≥ 3.20), GCC, NVCC.
• Distributed (Optional): MPI (e.g., OpenMPI) and NCCL for multi-GPU support.

Build from Source

Clone the repository and compile the project using CMake.

git clone https://github.com/Lhongpei/PDHCG.git
cd PDHCG
cmake -S . -B build
cmake --build build --clean-first

This will create the solver binary at ./build/pdhcg.

If your system has multiple CUDA versions or the default nvcc is outdated (e.g., in /usr/bin/nvcc), you should explicitly specify the path to your modern CUDA compiler using the CUDACXX environment variable.

git clone https://github.com/Lhongpei/PDHCG.git
cd PDHCG
# Replace '/your/path/to/nvcc' with the actual path, e.g., /usr/local/cuda-12.6/bin/nvcc
CUDACXX=/your/path/to/nvcc cmake -S . -B build
cmake --build build --clean-first

Build with Multi-GPU Support

To enable distributed multi-GPU solving, turn on the PDHCG_COMPILE_DISTRIBUTED CMake option:

cmake -S . -B build -DPDHCG_COMPILE_DISTRIBUTED=ON
cmake --build build --clean-first

This requires MPI and NCCL to be installed on your system.

Usage (C++ Executable)

Run the solver from the command line:

./build/pdhcg <FILE_NAME> <OUTPUT_DIR> [OPTIONS]

Command Line Arguments

Positional Arguments:

1. <FILE_NAME>: Path to the input problem file (supports .mps, .qps, .cbf, and gzip-compressed variants).
2. <OUTPUT_DIR>: Directory where solution files will be saved.

Solver Parameters:

Option	Type	Description	Default
-h, --help	flag	Display the help message.	N/A
-v, --verbose	int	Verbosity level: 0 (Silent), 1 (Summary), 2 (Detailed).	1
--time_limit	double	Time limit in seconds.	3600.0
--iter_limit	int	Iteration limit.	2147483647
--eps_opt	double	Relative optimality tolerance.	1e-4
--eps_feas	double	Relative feasibility tolerance.	1e-4
--eps_infeas_detect	double	Infeasibility detection tolerance.	1e-12
--curtis_reid_iter	int	Iterations for Curtis-Reid log-domain matrix scaling; 0 disables it.	0
--l_inf_ruiz_iter	int	Iterations for L-inf Ruiz rescaling.	10
--pock_chambolle_alpha	double	Value for Pock-Chambolle step size parameter $\alpha$.	1.0
--no_pock_chambolle	flag	Disable Pock-Chambolle rescaling (enabled by default).	false
--no_bound_obj_rescaling	flag	Disable bound objective rescaling (enabled by default).	false
--no_cone_preserving_scaling	flag	Keep coordinate-wise scaling within cone blocks.	false
--sv_max_iter	int	Max iterations for singular value estimation (Power Method).	5000
--sv_tol	double	Tolerance for singular value estimation.	1e-4
--eval_freq	int	Frequency of termination criteria evaluation (in iterations).	200
--artificial_restart_threshold	double	Threshold for artificial restart.	0.36
--sufficient_reduction_for_restart	double	Sufficient reduction factor to justify a restart.	0.2
--necessary_reduction_for_restart	double	Necessary reduction factor required for a restart.	0.8
--opt_norm	string	Norm for optimality criteria (l2 or linf).	linf
--inner_iter_limit	int	Max iterations for the inner solver.	1000
--inner_init_tol	double	Initial tolerance for the inner solver.	1e-3
--inner_min_tol	double	Minimum tolerance for the inner solver.	1e-9
--no_diag_precond	flag	Disable the Jacobi diagonal preconditioner used in the inner subproblem (enabled by default).	false
--soc_form	string	Cone formulation for QCQP transformations: rotated or standard.	rotated

Cone scaling aggregation

With the default cone-preserving scaling, PDHCG first computes a positive candidate scale d_j for every coordinate, then broadcasts one scale over each cone block B. Define

$$d_{\max}=\max_{j\in B}d_j,\qquad d_{\mathrm{rms}}=\sqrt{\frac{1}{|B|}\sum_{j\in B}d_j^2}.$$

The block scale is

Scaling phase	Block size <= 8	Block size > 8
Ruiz	d_max	d_rms
Pock-Chambolle	d_rms	sqrt(d_max * d_rms)

PDHCG applies the rule to both variable and affine cone blocks. Setting --no_cone_preserving_scaling bypasses block aggregation.

Distributed Options (only available when built with -DPDHCG_COMPILE_DISTRIBUTED=ON):

Option	Type	Description	Default
--grid_size	string	2D grid dimensions, format r,c (e.g., 2,4). Must satisfy r*c = num_procs.	auto
--partition_method	string	Matrix partition strategy: uniform or nnz.	nnz
--permute_method	string	Permutation strategy: none, random, or block.	block
--permute_block_size	int	Block size for block permutation.	256

Multi-GPU Usage

When built with distributed support, the same binary automatically detects whether it is launched with multiple MPI ranks and switches to the distributed solver:

# Multi-GPU on 4 GPUs
mpirun -n 4 ./build/pdhcg problem.mps ./output

# Multi-GPU with a custom 2x2 process grid
mpirun -n 4 ./build/pdhcg problem.mps ./output --grid_size 2,2

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Python Interface

PDHCG is now officially supported as a backend in the popular qpsolvers ecosystem (v4.11.0+).

PDHCG provides a user-friendly Python interface for quadratic and quadratic conic problems using NumPy and SciPy.

For detailed instructions on how to use the Python interface, including installation, modeling, and examples, please see the Python Interface README.

Quick Example in Python

import numpy as np
import scipy.sparse as sp
from pdhcg import Model

# Example: minimize 0.5 * x'(Q + R^T D R)x + c'x
# subject to l <= A x <= u,  lb <= x <= ub
# (D defaults to identity, recovering the classic Q + R^T R form.)

# 1. Define Standard QP terms
Q = sp.csc_matrix([[1.0, -1.0], [-1.0, 2.0]])
c = np.array([-2.0, -6.0])

# 2. Define Low-Rank Matrix R
# Let's add a term 0.5 * ||Rx||^2 where R = [[1, 0]]
# This adds 0.5 * (x1)^2 to the objective
R = sp.csc_matrix([[1.0, 0.0]])

# 3. (Optional) Middle matrix D in 0.5 * x^T R^T D R x. Pass a 1-D array
# for a diagonal D, a 2-D array for dense D, or a scipy.sparse matrix.
# Omit entirely (or pass None) to use D = identity.
# D = np.array([2.5])  # e.g., weight the low-rank term by 2.5

# 4. Define Constraints
A = sp.csc_matrix([[1.0, 1.0], [-1.0, 2.0], [2.0, 1.0]])
l = np.array([-np.inf, -np.inf, -np.inf])
u = np.array([2.0, 2.0, 3.0])
lb = np.zeros(2)
ub = np.array([np.inf, np.inf])

# 5. Create QP model. Q, R and D are all optional.
m = Model(objective_matrix=Q,
          objective_matrix_low_rank=R,
          # objective_matrix_low_rank_middle=D,  # uncomment to use D
          objective_vector=c,
          constraint_matrix=A,
          constraint_lower_bound=l,
          constraint_upper_bound=u,
          variable_lower_bound=lb,
          variable_upper_bound=ub)

# 5. Set solver parameters (0=Silent, 1=Summary, 2=Detailed)
m.setParams(LogLevel=2)

# Solve
m.optimize()

# Print results
print(f"Status: {m.Status}")
print(f"Objective: {m.ObjVal:.4f}")
if m.X is not None:
    print(f"Primal Solution: {m.X}")

CVXPY

Install the optional dependency and import the backend once to register PDHCG:

pip install "pdhcg[cvxpy]"

import cvxpy as cp
import pdhcg.cvxpy_backend  # Registers solver="PDHCG".

x = cp.Variable()
problem = cp.Problem(cp.Minimize(x), [x >= 1])
problem.solve(solver="PDHCG", eps=1e-6)

The backend supports quadratic objectives and CVXPY Zero, NonNeg, SOC, ExpCone, and PowCone3D constraints. PSD and mixed-integer models are not supported.

Citation

If you use this software or method in your research, please cite our paper:

@misc{li2026gpuacceleratedconicquadraticprogramming,
      title={GPU-Accelerated Conic Quadratic Programming with Local Linear Convergence under Strict Complementarity},
      author={Hongpei Li and Yicheng Huang and Huikang Liu and Dongdong Ge and Yinyu Ye},
      year={2026},
      eprint={2608.09159},
      archivePrefix={arXiv},
      primaryClass={math.OC},
      url={https://arxiv.org/abs/2608.09159},
}

Acknowledgments

This solver is built upon the infrastructure of cuPDLPx (originally developed by Haihao Lu). We gratefully acknowledge this project for providing the high-performance CUDA-C framework for Linear Programming (LP) that serves as the foundation for this QP solver.

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License

Copyright 2024-2026 Hongpei Li, Haihao Lu.

Licensed under the Apache License, Version 2.0. See the LICENSE file for details.