7 papers
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…
Active set identification and rapid convergence for degenerate primal-dual problems
Mateo DÃaz, Pedro Izquierdo Lehmann, Haihao Lu +1
Primal-dual methods for solving convex optimization problems with functional constraints often exhibit a distinct two-stage behavior. Initially, they converge towards a solution at…
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…
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…
A Practical and Optimal First-Order Method for Large-Scale Convex Quadratic Programming
Haihao Lu, Jinwen Yang
Convex quadratic programming (QP) is an important class of optimization problem with wide applications in practice. The classic QP solvers are based on either simplex or barrier me…
An Overview of GPU-based First-Order Methods for Linear Programming and Extensions
Haihao Lu, Jinwen Yang
The rapid progress in GPU computing has revolutionized many fields, yet its potential in mathematical programming, such as linear programming (LP), has only recently begun to be re…