Choosing Augmentation Parameters in OSQP- A New Approach based on Conjugate Directions

Abstract

This work proposes a new method to select the augmentation parameters in the operator splitting quadratic program (OSQP) algorithm so as to reduce the computation time of overall algorithm. The selection is based upon the information of conjugate directions of the coefficient matrix of a linear system of equations present in the algorithm. This selection makes it possible to cache these conjugate directions, instead of computing them at each iteration, resulting in faster computation of the solution of the linear system thus reducing the overall computation time. This reduction is demonstrated by a numerical example.