Embedded Code Generation with CVXPY

TL;DR

CVXPYgen is a new tool that automatically generates optimized C code for solving parametrized convex optimization problems, enabling efficient embedded applications and outperforming existing code generation tools.

Contribution

The paper introduces CVXPYgen, a novel code generation tool that creates custom C solvers from convex problems specified in CVXPY, supporting embedded applications.

Findings

Outperforms existing tools in problem size handling

Produces smaller binary code

Achieves faster solve times

Abstract

We introduce CVXPYgen, a tool for generating custom C code, suitable for embedded applications, that solves a parametrized class of convex optimization problems. CVXPYgen is based on CVXPY, a Python-embedded domain-specific language that supports a natural syntax (that follows the mathematical description) for specifying convex optimization problems. Along with the C implementation of a custom solver, CVXPYgen creates a Python wrapper for prototyping and desktop (non-embedded) applications. We give two examples, position control of a quadcopter and back-testing a portfolio optimization model. CVXPYgen outperforms a state-of-the-art code generation tool in terms of problem size it can handle, binary code size, and solve times. CVXPYgen and the generated solvers are open-source.