Restarted Primal-Dual Hybrid Conjugate Gradient Method for Large-Scale Quadratic Programming

TL;DR

This paper introduces a restarted primal-dual conjugate gradient method for large-scale quadratic programming, achieving faster convergence and superior GPU performance compared to existing methods.

Contribution

It develops a novel PDHCG algorithm that improves convergence speed and scalability for large-scale QP problems, with efficient GPU implementation.

Findings

Reduces iteration count significantly compared to rAPDHG

Achieves approximately 5x faster performance on large problems

Demonstrates state-of-the-art GPU efficiency

Abstract

Convex quadratic programming (QP) is an essential class of optimization problems with broad applications across various fields. Traditional QP solvers, typically based on simplex or barrier methods, face significant scalability challenges. In response to these limitations, recent research has shifted towards matrix-free first-order methods to enhance scalability in QP. Among these, the restarted accelerated primal-dual hybrid gradient (rAPDHG) method, proposed by Lu, has gained notable attention due to its linear convergence rate to an optimal solution and its straightforward implementation on Graphics Processing Units (GPUs). Building on this framework, this paper introduces a restarted primal-dual hybrid conjugate gradient (PDHCG) method, which incorporates conjugate gradient (CG) techniques to address the primal subproblems inexactly. We demonstrate that PDHCG maintains a linear convergence rate with an improved convergence constant and is also straightforward to implement on GPUs. Extensive numerical experiments on both synthetic and real-world datasets demonstrate that our method significantly reduces the number of iterations required to achieve the desired accuracy compared to rAPDHG. Additionally, the GPU implementation of our method achieves state-of-the-art performance on large-scale problems. In most large-scale scenarios, our method is approximately 5 times faster than rAPDHG and about 100 times faster than other existing methods. These results highlight the substantial potential of the proposed PDHCG method to greatly improve both the efficiency and scalability of solving complex quadratic programming challenges.