GPU Implementation of Second-Order Linear and Nonlinear Programming Solvers

Abstract

In recent years, GPU-accelerated optimization solvers based on second-order methods (e.g., interior-point methods) have gained momentum with the advent of mature and efficient GPU-accelerated direct sparse linear solvers, such as cuDSS. This paper provides an overview of the state of the art in GPU-based second-order solvers, focusing on pivoting-free interior-point methods for large and sparse linear and nonlinear programs. We begin by highlighting the capabilities and limitations of the currently available GPU-accelerated sparse linear solvers. Next, we discuss different formulations of the Karush-Kuhn-Tucker systems for second-order methods and evaluate their suitability for pivoting-free GPU implementations. We also discuss strategies for computing sparse Jacobians and Hessians on GPUs for nonlinear programming. Finally, we present numerical experiments demonstrating the scalability of GPU-based optimization solvers. We observe speedups often exceeding 10x compared to comparable CPU implementations on large-scale instances when solved up to medium precision. Additionally, we examine the current limitations of existing approaches.