QOCO, a C-based solver for second-order cone programs with quadratic objectives using a primal-dual interior point method, and QOCOGEN, a code generator that creates faster and library-free custom solvers for specific problem families.
Summary
We released the Quadratic Objective Conic Optimizer (QOCO) and the code generator QOCOGEN. QOCO (pronounced co-co) is an software package written in C to solve second-order cone programs with quadratic objectives based on a primal-dual interior point method. QOCOGEN is a custom code generator which takes in an SOCP problem family and generates a customized C solver (called qoco_custom) for this problem family which implements the same algorithm as QOCO. This customized solver is library-free, only uses static memory allocation, and can be a few times faster than QOCO.