ABIP is a new framework that applies alternating direction method of multipliers (ADMM) to implement interior point method (IPM) for solving large-scale linear programs (LP) and conic programs (QCP).
ABIP(LP) was initially developed by Tianyi Lin (https://github.com/tyDLin) and is currently maintained by LEAVES optimization software platform.
Current version of ABIP is 2.0
v2.0 (ABIP+)
- Added support for QCP
- Improved LP solver
v1.0
- ABIP for large scale linear programming problems
- Lin, Tianyi, et al. "An ADMM-based interior-point method for large-scale linear programming." Optimization Methods and Software (2020): 1-36.
- Deng, Qi, et al. "New Developments of ADMM-based Interior Point Methods for Linear Programming and Conic Programming." arXiv preprint arXiv:2209.01793 (2022).
To install ABIP, use install.m
script in the main direction.
For QCP solver, user needs to specify MKL path in
mkl_path = ''; % '/opt/intel/oneapi/mkl'
ABIP accepts standard sedumi format defined using
To call it, use
[x, y, s, info] = abip(data, K, params)
Parameter | Explanation |
---|---|
verbose | If log is turned on |
normalize | Whether to perform data scaling before the solve |
pcg | Whether to use iterative solver for linear systems |
max_admm_iter | Maximum ADMM iteration |
max_ipm_iter | Maximum IPM iteration |
timelimit | Time limit |
tol | Relative tolerance of convergence |
solver | Choose which solver to use, -1: automatic 1: force QCP |
ABIP-LP
Chenyu Xue (Phd. student at RIIS, Shanghai University of Finance and Economics. Email: xcy2721d@gmail.com)
ABIP-QCP
Jinsong Liu (Phd. student at RIIS, Shanghai University of Finance and Economics. Email: liujinsong@163.shufe.edu.cn)
Tianhao Liu (Phd. student at RIIS, Shanghai University of Finance and Economics. Email: liu.tianhao@163.sufe.edu.cn)
Testing
Chuwen Zhang (Phd. student at RIIS, Shanghai University of Finance and Economics. Email: chuwzhang@gmail.com)
Interface
Wenzhi Gao (Master student at SIME, Shanghai University of Finance and Economics. Email: gwz@163.shufe.edu.cn)