3 papers
math.OC2026
FlashFolio: A GPU-Accelerated Solver for Portfolio Optimization
Yilun Jiang, Haihao Lu, Zedong Peng +1
We present FlashFolio, a GPU-accelerated solver for single-period and multi-period portfolio optimization with factor-based risk modeling, bid-offer spread costs, and nonlinear mar…
math.OC2026
MPAX: Mathematical Programming in JAX
Haihao Lu, Zedong Peng, Jinwen Yang
We present MPAX (Mathematical Programming in JAX), an open-source first-order solver for large-scale linear programming (LP) and convex quadratic programming (QP) built natively in…
math.OC2025
cuPDLPx: A Further Enhanced GPU-Based First-Order Solver for Linear Programming
Haihao Lu, Zedong Peng, Jinwen Yang
We introduce cuPDLPx, a further enhanced GPU-based first-order solver for linear programming. Building on the recently developed restarted Halpern PDHG for LP, cuPDLPx incorporates…