CuPDLPx.jl

Julia interface for cuPDLPx.

Installation

CuPDLPx.jl is available from the Julia General registry:

pkg> add CuPDLPx

Use with JuMP

To use CuPDLPx with JuMP, use CuPDLPx.Optimizer:

using JuMP, CuPDLPx
model = Model(CuPDLPx.Optimizer)

Setting solver parameters

CuPDLPx.jl supports setting solver parameters via set_optimizer_attribute.

using JuMP
using CuPDLPx

model = read_from_file("2club200v15p5scn.mps.gz")
undo = relax_integrality(model)

println("Read MPS succeed.")
set_optimizer(model, CuPDLPx.Optimizer)

set_optimizer_attribute(model, "verbose", true)
set_optimizer_attribute(model, "l_inf_ruiz_iterations", 0)
set_optimizer_attribute(model, "iteration_limit", 200)

optimize!(model)
println(solution_summary(model))

Supported parameters

All of the following attributes are supported.

1. Termination criteria

Name	Type	Default	Description
eps_optimal_relative	Float64	1e-4	Relative tolerance for optimality gap.
eps_feasible_relative	Float64	1e-4	Relative tolerance for primal and dual feasibility.
eps_feas_polish_relative	Float64	1e-6	Relative tolerance used during the polishing phase.
time_sec_limit	Float64	3600.0	Maximum runtime allowed in seconds.
iteration_limit	Int32	2147483647	Maximum number of iterations.
optimality_norm	norm_type_t	NORM_TYPE_L2	Norm used to measure residuals: NORM_TYPE_L2 (0) or NORM_TYPE_L_INF (1).
termination_evaluation_frequency	Int	200	Frequency (in iterations) at which to check termination criteria.

2. Algorithm and Preconditioning

Name	Type	Default	Description
presolve	Bool	true	Whether to enable the PSLP presolver.
l_inf_ruiz_iterations	Int	10	Number of Ruiz rescaling iterations.
has_pock_chambolle_alpha	Bool	true	Whether to use Pock-Chambolle rescaling.
pock_chambolle_alpha	Float64	1.0	$\alpha$ used in Pock-Chambolle rescaling.
bound_objective_rescaling	Bool	true	Whether to use objective and bound rescaling.
reflection_coefficient	Float64	1.0	Reflection coefficient (typically in $[0, 1]$).
feasibility_polishing	Bool	false	Wheather to perform post-solve feasibility polishing.
sv_max_iter	Int	5000	Maximum iterations for singular value estimation.
sv_tol	Float64	1e-4	Tolerance for singular value estimation.
verbose	Bool	false	Whether to enable console output and progress logging.

3. Adaptive Restart and Primal Weight

Name	Type	Default	Description
artificial_restart_threshold	Float64	0.36	Threshold for triggering a forced "artificial" restart (based on iterations).
sufficient_reduction_for_restart	Float64	0.2	Threshold for sufficient decay in fixed-point error to trigger a restart.
necessary_reduction_for_restart	Float64	0.8	Threshold for necessary decay in fixed-point error to trigger a restart.
k_p	Float64	0.99	Proportional gain for the primal weight (PID) controller.
k_i	Float64	0.01	Integral gain for the primal weight (PID) controller.
k_d	Float64	0.0	Derivative gain for the primal weight (PID) controller.
i_smooth	Float64	0.3	Smoothing factor for the integral component of the controller.