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Added Pseudo-inverse preconditioner for EqQP.

Open GeoffNN opened this issue 4 years ago • 1 comments

This allows to precompute a preconditioner, and share it across multiple outer loops, where the inner loop is solving an Equality Constrained QP. This should provide speedups when the parameters of the inner loop QP don't change too much.

TODO: modify the implicit diff decorator so that the jvp also uses the same preconditioner, since the backward system shares the same linear operator with the forward.

GeoffNN avatar Dec 17 '21 02:12 GeoffNN

CC @Algue-Rythme, this is pretty similar to your Jacobi preconditioner for OSQP.

GeoffNN avatar Dec 17 '21 02:12 GeoffNN