Generation of Custom Solvers in Rust for Convex Optimization

2026-09-12

AI Summary

本文介绍了一个开源工具cvxgenrust，通过生成特定的Rust代码来解决一系列参数化的凸优化问题，相比直接使用CVXPY求解，它能减少运行时间。

Abstract

We introduce cvxgenrust, an open-source tool for generating custom Rust code that solves families of parameterized convex optimization problems modeled in CVXPY. cvxgenrust canonicalizes a problem family, extracts affine maps to Clarabel cone-program data, and generates a specialized Rust crate that updates parameters and calls Clarabel natively at runtime. The generated solver can also be exposed to Python and registered as a custom CVXPY solver. Our code generator supports a wide range of convex optimization problems up to semidefinite programs and exponential-cone problems. Numerical experiments show reduced runtime relative to direct CVXPY solves and performance comparable to CVXPYgen on shared problem classes.

Problem

• Convex Optimization
• Custom Solvers
• Rust
• CVXPY

Innovation

• cvxgenrust
• custom solvers
• convex optimization
• Rust
• Clarabel