Quadratic Constraints

[hobbes...@gmail.com]

Hi, Thank you for OSQP! I've been using it for about a year now and it's really fantastic.

I have a new QP which has quadratic constraints. Does OSQP support QC? If not, will it?

Thanks!

[Paul Goulart]

OSQP does not support quadratic constraints. It is unlikely to do so in the future, although other forthcoming projects from our group will do so.

ECOS or SCS might be options for you if you are solving a QCQP.

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[Ted Lee]

Ok, thanks.

[Bartolomeo Stellato]

Thank you for the interest in OSQP. I am glad it is useful to you!

Even though we are not planning to add QCQP constraints, an alternative would be to wrap OSQP into a sequential quadratic programming method where the quadratic constraints are linearized at each iteration. For more details check "Nocedal, J. and Wright, S. Numerical Optimization, 2nd. ed., Ch. 18. Springer, 2006." It might not be the most efficient solution but it would definitely work for non-convex quadratic constraints where conic solvers such as ECOS and SCS would fail.

Also, if anyone would like to add the quadratic constraints support, Pull Requests are welcome!

Bartolomeo

On Monday, October 1, 2018 at 7:10:11 PM UTC-4, Ted Lee wrote:

Ok, thanks.

On Mon, Oct 1, 2018 at 4:06 PM Paul Goulart wrote:

OSQP does not support quadratic constraints.   It is unlikely to do so in the future, although other forthcoming projects from our group will do so.

ECOS or SCS might be options for you if you are solving a QCQP.