Decent QP solver?

I’m looking for a QP solver to do a “quick-and-dirty” Optimal Control/MPC implementation for a linear-quadratic system.

Does GalacticOptim or Optim support a pure QP solver? A year ago, someone suggested COSMO.jl.

Any views on a suitable choice? [I don’t need to use JuMP, as it is relatively straightforward to formulate the QP matrices.]

1 Like

I use OSQP.jl for these cases. It has some nice properties for MPC in particular, such as code generation, possibly division-free operation, warm starting etc.

You can call it through MathOptInterface which is used by both JuMP and optionally by Optimization.jl

3 Likes

If your QP is convex, HiGHS should be competitive. If not, I know BQPD supports negative curvature, but I don’t think there’s a Julia binding.

2 Likes