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FiOrdOs - Code Generation for First-Order Methods


S. Richter

International Symposium on Mathematical Programming, Berlin, Germany

FiOrdOs is the first toolbox for automated C-code generation for first-order methods. It considers the class of multi-parametric convex programs with a quadratic cost and a feasible set given as the intersection of an affine set and a `simple' convex set for which a projection can be evaluated at low cost; this class comprises important embedded optimization problems, for example, model predictive control. The toolbox implements both polyhedral and non-polyhedral simple sets, e.g. the simplex and 1-norm ball and the 2-norm ball and second-order cone respectively. Thus, solver code for problems beyond quadratic programming can be generated. If required, the solution approach is based on Lagrange relaxation which uses the gradient or the fast gradient method at a lower level. Additional toolbox features include optimal preconditioning and the automatic certification of the iteration count for a restricted set of problems. The generated C-code can be compiled for any platform and can be made library-free. FiOrdOs also provides a tailored MEX-interface for calling the generated solvers inside Matlab and a Simulink library for rapid prototyping.


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M. Morari

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