FiOrdOs - Code Generation for First-Order Methods

Abstract

FiOrdOs is a Matlab toolbox for C-code generation for the class of multi-parametric convex programs with a quadratic cost and a feasible set given as the intersection of an affine set and a simple convex set for which a projection can be evaluated at low cost. The toolbox implements both polyhedral and non-polyhedral simple sets, e.g. the simplex and the second-order cone respectively. Thus, solver code for problems beyond quadratic programming can be generated. The implemented solution approaches either use the gradient or the fast gradient method in the primal domain or resort to Lagrange relaxation if equality constraints are present. Additional toolbox features include optimal preconditioning and the automatic certification of the iteration count for a restricted set of problems. The generated C-code can be compiled for any platform and can be made library-free. FiOrdOs also provides a tailored MEX-interface for calling the generated solvers inside Matlab and a Simulink library for rapid prototyping. In the talk, we will recap first-order methods and illustrate the features of FiOrdOs on an AC/DC converter control problem.