Generation of Custom Solvers in Rust for Convex Optimization

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.

Optimization and Control (math.OC); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG); Mathematical Software (cs.MS)

arXiv:2609.13875 [math.OC]

(or arXiv:2609.13875v1 [math.OC] for this version)

https://doi.org/10.48550/arXiv.2609.13875 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

arXivLabs is a framework that allows collaborators to develop and share new arXiv features directly on our website.

Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy. arXiv is committed to these values and only works with partners that adhere to them.

Have an idea for a project that will add value for arXiv's community? Learn more about arXivLabs.