PDCS: A Primal-Dual Large-Scale Conic Programming Solver with GPU Enhancements

Abstract: In this paper, we introduce the "Primal-Dual Conic Programming Solver" (PDCS), a large-scale conic programming solver with GPU enhancements. Problems that PDCS currently supports include linear programs, second-order cone programs, convex quadratic programs, and exponential cone programs. PDCS achieves scalability to large-scale problems by leveraging sparse matrix-vector multiplication as its core computational operation, which is both memory-efficient and well-suited for GPU acceleration. The solver is based on the restarted primal-dual hybrid gradient method but further incorporates several enhancements, including adaptive reflected Halpern restarts, adaptive step-size selection, adaptive weight adjustment, and diagonal rescaling. Additionally, PDCS employs a bijection-based method to compute projections onto rescaled cones. Furthermore, cuPDCS is a GPU implementation of PDCS and it implements customized computational schemes that utilize different levels of GPU architecture to handle cones of different types and sizes. Numerical experiments demonstrate that cuPDCS is generally more efficient than state-of-the-art commercial solvers and other first-order methods on large-scale conic program applications, including Fisher market equilibrium problems, Lasso regression, and multi-period portfolio optimization. Furthermore, cuPDCS also exhibits better scalability, efficiency, and robustness compared to other first-order methods on the conic program benchmark dataset CBLIB. These advantages are more pronounced in large-scale, lower-accuracy settings.