PDHCG-II: A GPU-Accelerated Solver for Quadratic Programming

PDHCG is a high-performance, GPU-accelerated implementation of the Primal-Dual Hybrid Gradient (PDHG) algorithm designed for solving large-scale Convex Quadratic Programming (QP) problems.

For a detailed explanation of the methodology, please refer to our papers: A Restarted Primal-Dual Hybrid Conjugate Gradient Method for Large-Scale Quadratic Programming and PDHCG-II: An Enhanced Version of PDHCG for Large-Scale Convex QP.

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Problem Formulation

PDHCG solves convex quadratic programs in the following form, which allows a flexibile input of convex quadratic objective matrix, a sparse component and a low-rank component:

$$\begin{aligned} \min_{x} \quad & \frac{1}{2}x^\top (Q + R^\top R) x + c^\top x \\\ \text{s.t.} \quad & \ell_c \le Ax \le u_c, \\\ & \ell_v \le x \le u_v. \end{aligned}$$

Installation (C++ Executable)

To use the standalone C++ solver, you must compile the project using CMake.

Requirements

• GPU: NVIDIA GPU with CUDA 12.4+.
• Build Tools: CMake (≥ 3.24), GCC, NVCC.

Build from Source

Clone the repository and compile the project using CMake.

git clone https://github.com/Lhongpei/PDHCG-II.git
cd PDHCG-II
cmake -S . -B build
cmake --build build --clean-first

This will create the solver binary at ./build/bin/pdhcg.

If your system has multiple CUDA versions or the default nvcc is outdated (e.g., in /usr/bin/nvcc), you should explicitly specify the path to your modern CUDA compiler using the CUDACXX environment variable.

git clone https://github.com/Lhongpei/PDHCG-II.git
cd PDHCG-II
# Replace '/your/path/to/nvcc' with the actual path, e.g., /usr/local/cuda-12.6/bin/nvcc
CUDACXX=/your/path/to/nvcc cmake -S . -B build
cmake --build build --clean-first

Usage (C++ Executable)

Run the solver from the command line:

./build/bin/pdhcg <MPS_FILE> <OUTPUT_DIR> [OPTIONS]

Command Line Arguments

Positional Arguments:

1. <MPS_FILE>: Path to the input QP (supports .mps, .qps, and .mps.gz).
2. <OUTPUT_DIR>: Directory where solution files will be saved.

Solver Parameters:

Option	Type	Description	Default
-h, --help	flag	Display the help message.	N/A
-v, --verbose	int	Verbosity level: 0 (Silent), 1 (Summary), 2 (Detailed).	1
--time_limit	double	Time limit in seconds.	3600.0
--iter_limit	int	Iteration limit.	2147483647
--eps_opt	double	Relative optimality tolerance.	1e-4
--eps_feas	double	Relative feasibility tolerance.	1e-4
--eps_infeas_detect	double	Infeasibility detection tolerance.	1e-10
--l_inf_ruiz_iter	int	Iterations for L-inf Ruiz rescaling.	10
--pock_chambolle_alpha	double	Value for Pock-Chambolle step size parameter $\alpha$.	1.0
--no_pock_chambolle	flag	Disable Pock-Chambolle rescaling (enabled by default).	false
--no_bound_obj_rescaling	flag	Disable bound objective rescaling (enabled by default).	false
--sv_max_iter	int	Max iterations for singular value estimation (Power Method).	5000
--sv_tol	double	Tolerance for singular value estimation.	1e-4
--eval_freq	int	Frequency of termination criteria evaluation (in iterations).	200
--opt_norm	string	Norm for optimality criteria (l2 or linf).	linf

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Python Interface

PDHCG provides a user-friendly Python interface that allows you to define, solve, and analyze QP problems using familiar libraries like NumPy and SciPy.

For detailed instructions on how to use the Python interface, including installation, modeling, and examples, please see the Python Interface README.

Quick Example in Python

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

# Example: minimize 0.5 * x'(Q + R'R)x + c'x
# subject to l <= A x <= u,  lb <= x <= ub

# 1. Define Standard QP terms
Q = sp.csc_matrix([[1.0, -1.0], [-1.0, 2.0]])
c = np.array([-2.0, -6.0])

# 2. Define Low-Rank Matrix R
# Let's add a term 0.5 * ||Rx||^2 where R = [[1, 0]]
# This adds 0.5 * (x1)^2 to the objective
R = sp.csc_matrix([[1.0, 0.0]])

# 3. Define Constraints
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)
ub = np.array([np.inf, np.inf])

# 4. Create QP model with Low-Rank term (R), where Q and R are both optional.
m = Model(objective_matrix=Q,
          objective_matrix_low_rank=R,  
          objective_vector=c,
          constraint_matrix=A,
          constraint_lower_bound=l,
          constraint_upper_bound=u,
          variable_lower_bound=lb,
          variable_upper_bound=ub)

# 5. Set solver parameters (0=Silent, 1=Summary, 2=Detailed)
m.setParams(LogLevel=2)

# Solve
m.optimize()

# Print results
print(f"Status: {m.Status}")
print(f"Objective: {m.ObjVal:.4f}")
if m.X is not None:
    print(f"Primal Solution: {m.X}")

Citation

If you use this software or method in your research, please cite our paper:

@misc{li2026pdhcgiienhancedversionpdhcg,
      title={PDHCG-II: An Enhanced Version of PDHCG for Large-Scale Convex QP}, 
      author={Hongpei Li and Yicheng Huang and Huikang Liu and Dongdong Ge and Yinyu Ye},
      year={2026},
      eprint={2602.23967},
      archivePrefix={arXiv},
      primaryClass={math.OC},
      url={https://arxiv.org/abs/2602.23967}, 
}

Acknowledgments

This solver is built upon the infrastructure of cuPDLPx (originally developed by Haihao Lu). We gratefully acknowledge this project for providing the high-performance CUDA-C framework for Linear Programming (LP) that serves as the foundation for this QP solver.

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License

Copyright 2024-2026 Hongpei Li, Haihao Lu.

Licensed under the Apache License, Version 2.0. See the LICENSE file for details.