Examples

Python Examples

Basic QP

import numpy as np
import scipy.sparse as sp
from pdhcg import Model

# Minimize 0.5 * x^T Q x + c^T x
# Subject to: A x <= b, x >= 0

Q = sp.csc_matrix([[2.0, 0.0], [0.0, 2.0]])
c = np.array([-2.0, -6.0])
A = sp.csc_matrix([[1.0, 1.0], [-1.0, 2.0], [2.0, 1.0]])
l = np.array([-np.inf, -np.inf, -np.inf])
u = np.array([2.0, 2.0, 3.0])
lb = np.zeros(2)

m = Model(
    objective_matrix=Q,
    objective_vector=c,
    constraint_matrix=A,
    constraint_lower_bound=l,
    constraint_upper_bound=u,
    variable_lower_bound=lb
)
m.optimize()

print(f"Solution: {m.X}")
print(f"Objective: {m.ObjVal}")

Low-Rank Quadratic Term

import numpy as np
import scipy.sparse as sp
from pdhcg import Model

# Minimize 0.5 * x^T (Q + R^T R) x + c^T x
# R adds a low-rank component to the quadratic objective

n = 1000
r = 10  # rank of R

Q = sp.random(n, n, density=0.01, format='csc')
Q = Q + Q.T  # Make symmetric
R = np.random.randn(r, n)  # Low-rank matrix
c = np.random.randn(n)

m = Model(
    objective_matrix=Q,
    objective_matrix_low_rank=R,
    objective_vector=c
)
m.optimize()

Warm Starting

import numpy as np
import scipy.sparse as sp
from pdhcg import Model

# Solve once
Q = sp.csc_matrix([[2.0, 0.0], [0.0, 2.0]])
c = np.array([-2.0, -6.0])
m = Model(objective_matrix=Q, objective_vector=c)
m.optimize()

# Use solution as warm start for slightly modified problem
c_new = np.array([-2.5, -6.5])
m.setObjectiveVector(c_new)
m.setWarmStart(primal=m.X, dual=m.Pi)
m.optimize()

C++ Examples

Reading from MPS File

./build/bin/pdhcg problem.mps ./output --time_limit 3600 --eps_opt 1e-6

Command Line Options

# Silent mode, tight tolerance
./build/bin/pdhcg problem.mps ./output -v 0 --eps_opt 1e-8 --eps_feas 1e-8

# With iteration limit
./build/bin/pdhcg problem.mps ./output --iter_limit 100000

# Disable Pock-Chambolle rescaling
./build/bin/pdhcg problem.mps ./output --no_pock_chambolle