OSQP is an open-source project open to any academic or commercial applications. Contributions are welcome as GitHub pull requests in any part of the project such as

  • algorithm developments

  • interfaces to other languages

  • compatibility with new architectures

  • linear system solvers interfaces

Interfacing new linear system solvers

OSQP is designed to be easily interfaced to new linear system solvers via dynamic library loading. To add a linear system solver interface you need to edit the lin_sys/ directory subfolder direct/ or indirect/ depending on the type of solver. Create a subdirectory with your solver name with four files:

  • Dynamic library loading: mysolver_loader.c and mysolver_loader.h.

  • Linear system solution: mysolver.c and mysolver.h.

We suggest you to have a look at the MKL Pardiso solver interface for more details.

Dynamic library loading

In this part define the methods to load the shared library and obtain the functions required to solve the linear system. The main functions to be exported are lh_load_mysolver(const char* libname) and lh_unload_mysolver(). In addition, the file mysolver_loader.c must define static function pointers to the shared library functions to be loaded.

Linear system solution

In this part we define the core of the interface: linear system solver object. The main functions are the external method

  • init_linsys_solver_mysolver: create the instance and perform the setup

and the internal methods of the object

  • free_linsys_solver_mysolver: free the instance

  • solve_linsys_mysolver: solve the linear system

  • update_matrices: update problem matrices

  • update_rho_vec: update \(\rho\) as a diagonal vector.

After the initializations these functions are assigned to the internal pointers so that, for an instance s they can be called as s->free, s->solve, s->update_matrices and s->update_rho_vec.

The linear system solver object is defined in mysolver.h as follows

typedef struct mysolver mysolver_solver;

struct mysolver {
    // Methods
    enum linsys_solver_type type; // Linear system solver defined in constants.h

    c_int (*solve)(struct mysolver * self, c_float * b);
    void (*free)(struct mysolver * self);
    c_int (*update_matrices)(struct mysolver * self, const csc *P, const csc *A);
    c_int (*update_rho_vec)(struct mysolver * self, const c_float * rho_vec);

    // Attributes
    c_int nthreads; // Number of threads used (required!)

    // Internal attributes of the solver

    // Internal attributes required for matrix updates
    c_int * Pdiag_idx, Pdiag_n;  ///< index and number of diagonal elements in P
    c_int * PtoKKT, * AtoKKT;    ///< Index of elements from P and A to KKT matrix
    c_int * rhotoKKT;            ///< Index of rho places in KKT matrix


// Initialize mysolver solver
c_int init_linsys_solver_mysolver(mysolver_solver ** s, const csc * P, const csc * A, c_float sigma, c_float * rho_vec, c_int polish);

// Solve linear system and store result in b
c_int solve_linsys_mysolver(mysolver_solver * s, c_float * b);

 // Update linear system solver matrices
c_int update_linsys_solver_matrices_mysolver(mysolver_solver * s, const csc *P, const csc *A);

// Update rho_vec parameter in linear system solver structure
c_int update_linsys_solver_rho_vec_mysolver(mysolver_solver * s, const c_float * rho_vec);

// Free linear system solver
void free_linsys_solver_mysolver(mysolver_solver * s);

The function details are coded in the mysolver.c file.