Alex Oshin

Alex Oshin, Rahul Vodeb Ghosh, Augustinos D. Saravanos et al.

We propose an always-feasible quadratic programming (QP) optimizer, FlexQP, which is based on an exact relaxation of the QP constraints. If the original constraints are feasible, then the optimizer finds the optimal solution to the original QP. On the other hand, if the constraints are infeasible, the optimizer identifies a solution that minimizes the constraint violation in a sparse manner. FlexQP scales favorably with respect to the problem dimension, is robust to both feasible and infeasible QPs with minimal assumptions on the problem data, and can be effectively warm-started. We subsequently apply deep unfolding to improve our optimizer through data-driven techniques, leading to an accelerated Deep FlexQP. By learning dimension-agnostic feedback policies for the parameters from a small number of training examples, Deep FlexQP generalizes to problems with larger dimensions and can optimize for many more iterations than it was initially trained for. Our approach outperforms two recently proposed state-of-the-art accelerated QP approaches on a suite of benchmark systems including portfolio optimization, classification, and regression problems. We provide guarantees on the expected performance of our deep QP optimizer through probably approximately correct (PAC) Bayes generalization bounds. These certificates are used to design an accelerated sequential quadratic programming solver that solves nonlinear optimal control and predictive safety filter problems faster than traditional approaches. Overall, our approach is very robust and greatly outperforms existing non-learning and learning-based optimizers in terms of both runtime and convergence to the optimal solution across multiple classes of NLPs.

Augustinos D. Saravanos, Hunter Kuperman, Alex Oshin et al.

Quadratic programming (QP) forms a crucial foundation in optimization, encompassing a broad spectrum of domains and serving as the basis for more advanced algorithms. Consequently, as the scale and complexity of modern applications continue to grow, the development of efficient and reliable QP algorithms is becoming increasingly vital. In this context, this paper introduces a novel deep learning-aided distributed optimization architecture designed for tackling large-scale QP problems. First, we combine the state-of-the-art Operator Splitting QP (OSQP) method with a consensus approach to derive DistributedQP, a new method tailored for network-structured problems, with convergence guarantees to optimality. Subsequently, we unfold this optimizer into a deep learning framework, leading to DeepDistributedQP, which leverages learned policies to accelerate reaching to desired accuracy within a restricted amount of iterations. Our approach is also theoretically grounded through Probably Approximately Correct (PAC)-Bayes theory, providing generalization bounds on the expected optimality gap for unseen problems. The proposed framework, as well as its centralized version DeepQP, significantly outperform their standard optimization counterparts on a variety of tasks such as randomly generated problems, optimal control, linear regression, transportation networks and others. Notably, DeepDistributedQP demonstrates strong generalization by training on small problems and scaling to solve much larger ones (up to 50K variables and 150K constraints) using the same policy. Moreover, it achieves orders-of-magnitude improvements in wall-clock time compared to OSQP. The certifiable performance guarantees of our approach are also demonstrated, ensuring higher-quality solutions over traditional optimizers.