piqp

An embedded proximal interior point quadratic programming solver, which can solve dense and sparse quadratic programs, described in Schwan, Jiang, Kuhn, and Jones (2023) doi:10.48550/arXiv.2304.00290. Combining an infeasible interior point method with the proximal method of multipliers, the algorithm can handle ill-conditioned convex quadratic programming problems without the need for linear independence of the constraints. The solver is written in header only 'C++ 14' leveraging the 'Eigen' library for vectorized linear algebra. For small dense problems, vectorized instructions and cache locality can be exploited more efficiently. Allocation free problem updates and re-solves are also provided.